UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22235
AQR Funds
(Exact name of registrant as specified in charter)
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
(Address of principal executive offices) (Zip code)
Bradley D. Asness, Esq.
Principal and Chief Legal Officer
AQR Capital Management, LLC
Two Greenwich Plaza
4th Floor
Greenwich, CT 06830
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 203-742-3600
Date of fiscal year end: December 31
Date of reporting period: January 1, 2015 to June 30, 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
June 30, 2015 (Unaudited)
AQR Diversified Arbitrage Fund
AQR Equity Market Neutral Fund
AQR Global Macro Fund
AQR Long-Short Equity Fund
AQR Managed Futures Strategy Fund
AQR Managed Futures Strategy HV Fund
AQR Multi-Strategy Alternative Fund
AQR Risk-Balanced Commodities Strategy Fund
AQR Risk Parity Fund
AQR Risk Parity II HV Fund
AQR Risk Parity II MV Fund
AQR Style Premia Alternative Fund
AQR Style Premia Alternative LV Fund
Schedule of Investments | ||||
2 | ||||
28 | ||||
49 | ||||
66 | ||||
91 | ||||
106 | ||||
119 | ||||
186 | ||||
191 | ||||
204 | ||||
212 | ||||
219 | ||||
246 | ||||
Financial Statements and Notes | 270 | |||
Fund Expense Examples | 351 |
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
LONG INVESTMENTS - 139.5% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 37.3% | ||||||||
Communications - 0.0% (a) | ||||||||
FriendFinder Networks, Inc. (3)†(b) | 6,483 | $ | 225,236 | |||||
|
| |||||||
Consumer Discretionary - 1.0% | ||||||||
ANN, Inc. † | 17,549 | 847,441 | ||||||
Bright Horizons Family Solutions, Inc. †(c) | 6,364 | 367,839 | ||||||
China Century Dragon Media, Inc. (3)†(b) | 150,272 | — | ||||||
China Networks International Holdings Ltd. (3)†(b) | 2,287,278 | 45,746 | ||||||
DEMC Ltd., Class A (3)†(b) | 11,482 | 114,819 | ||||||
DEMC Ltd., Class B (3)†(b) | 10,488 | — | ||||||
Education Management Corp. (3)†(b) | 26,919,323 | 1,188,219 | ||||||
General Motors Co. (n) | 16,411 | 546,979 | ||||||
Journal Media Group, Inc. | 113,527 | 941,139 | ||||||
Orbitz Worldwide, Inc. †(n) | 302,341 | 3,452,734 | ||||||
Standard Pacific Corp. † | 1,645 | 14,657 | ||||||
Time Warner Cable, Inc. | 44,280 | 7,889,368 | ||||||
World Duty Free SpA (Italy) (2)† | 5,390 | 60,439 | ||||||
|
| |||||||
15,469,380 | ||||||||
|
| |||||||
Consumer Staples - 0.1% | ||||||||
Herbalife Ltd. (Cayman Islands) †(c) | 12,701 | 699,698 | ||||||
Neptune Technologies & Bioressources, Inc. (Canada) † | 148 | 189 | ||||||
|
| |||||||
699,887 | ||||||||
|
| |||||||
Energy - 0.2% | ||||||||
Aegean Marine Petroleum Network, Inc. (Greece) | 4,568 | 56,460 | ||||||
CanElson Drilling, Inc. (Canada) | 229,430 | 793,545 | ||||||
Energy Fuels, Inc. (Canada) † | 14,400 | 64,448 | ||||||
Legacy Oil+Gas, Inc. (Canada) † | 347,418 | 673,140 | ||||||
Pacific Rubiales Energy Corp. (Colombia) | 38,003 | 143,310 | ||||||
Rosetta Resources, Inc. † | 36,019 | 833,480 | ||||||
|
| |||||||
2,564,383 | ||||||||
|
| |||||||
Financials - 20.0% | ||||||||
1347 Capital Corp. † | 420,504 | 4,099,914 | ||||||
Alignvest Acquisition Corp. (Canada) † | 890,000 | 7,375,100 | ||||||
AR Capital Acquisition Corp. (2)† | 905,000 | 8,208,350 | ||||||
Arowana, Inc. (Australia) (2)† | 720,000 | 7,034,400 | ||||||
Associated Estates Realty Corp. REIT | 27,655 | 791,763 | ||||||
Atlantic Alliance Partnership Corp. (2)† | 450,000 | 4,567,500 | ||||||
Bank of Cyprus PCL (Cyprus) (2)† | 118,716,595 | 25,767,057 | ||||||
Barington/Hilco Acquisition Corp. (2)† | 487,260 | 4,726,422 | ||||||
Boulevard Acquisition Corp. † | 249,255 | 3,115,688 | ||||||
Bridge Capital Holdings † | 1,237 | 36,863 | ||||||
Cambridge Capital Acquisition Corp. † | 1,478,400 | 14,784,000 | ||||||
Capitol Acquisition Corp. II † | 611,021 | 6,446,272 | ||||||
CB Pharma Acquisition Corp. (3)†(b) | 325,500 | 3,212,685 | ||||||
Chart Acquisition Corp. (3)†(b) | 1,268,535 | 12,558,497 | ||||||
China VantagePoint Acquisition Co. (3)†(b) | 1,990 | — | ||||||
City National Corp. | 2,683 | 242,516 | ||||||
Communications Sales & Leasing, Inc. REIT | 130,904 | 3,235,947 | ||||||
DT Asia Investments Ltd. (Hong Kong) (3)†(b) | 209,241 | 2,071,486 |
SHARES | VALUE (Note 5) | |||||||
Financials - 20.0% (continued) | ||||||||
Dundee Acquisition Ltd., Class A (Canada) † | 1,260,000 | $ | 9,896,397 | |||||
Electrum Special Acquisition Corp., Class U † | 990,000 | 9,919,800 | ||||||
Excel Trust, Inc. REIT | 330,003 | 5,204,147 | ||||||
Federal Home Loan Mortgage Corp. † | 430,138 | 950,605 | ||||||
Federal National Mortgage Association † | 499,933 | 1,162,344 | ||||||
FinTech Acquisition Corp. (2)† | 810,000 | 7,857,000 | ||||||
Garnero Group Acquisition Co. (Brazil) † | 1,900,200 | 18,659,964 | ||||||
Global Defense & National Security Systems, Inc. † | 813,485 | 8,541,593 | ||||||
GP Investments Acquisition Corp., Class U † | 2,475,000 | 25,022,250 | ||||||
Harmony Merger Corp. (2)† | 1,475,100 | 14,455,980 | ||||||
HCC Insurance Holdings, Inc. | 15,380 | 1,181,799 | ||||||
Hudson Valley Holding Corp. | 43,244 | 1,219,913 | ||||||
Hydra Industries Acquisition Corp. (2)† | 1,720,000 | 16,598,000 | ||||||
L&L Acquisition Corp. (3)†(b) | 306,000 | — | ||||||
Montpelier Re Holdings Ltd. | 6,851 | 270,614 | ||||||
PartnerRe Ltd. | 344 | 44,204 | ||||||
Pinecrest Resources Ltd. (Canada) † | 19,955 | 1,757 | ||||||
Pinecrest Resources Ltd. I (Canada) (3)†(b) | 19,955 | 1,550 | ||||||
Pinecrest Resources Ltd. II (Canada) (3)†(b) | 39,910 | 2,882 | ||||||
PNBK Holdings LLC (3)†(b) | 2,000,000 | 1,621,980 | ||||||
Quinpario Acquisition Corp. 2 (2)† | 2,880,978 | 28,406,443 | ||||||
Rescap Liquidating Trust † | 616,418 | 6,410,747 | ||||||
ROI Acquisition Corp. II † | 882,000 | 9,040,500 | ||||||
Santa Monica Media Corp. (3)†(b) | 15,377 | — | ||||||
Susquehanna Bancshares, Inc. | 5,718 | 80,738 | ||||||
Terrapin 3 Acquisition Corp., Class A (2)† | 1,428,000 | 14,208,600 | ||||||
TPT Acquisition, Inc. (3)†(b) | 20,730 | 15,548 | ||||||
Willis Group Holdings PLC (United Kingdom) | 2,465 | 115,608 | ||||||
WL Ross Holding Corp. † | 2,881,628 | 29,997,747 | ||||||
|
| |||||||
319,163,170 | ||||||||
|
| |||||||
Health Care - 5.0% | ||||||||
Alexion Pharmaceuticals, Inc. †(c) | 1 | 193 | ||||||
Baxter International, Inc. | 950,193 | 66,446,996 | ||||||
Bio-Reference Laboratories, Inc. † | 80,825 | 3,334,031 | ||||||
China Medical Technologies, Inc. ADR (China) (3)†(b) | 4,931 | 49 | ||||||
Humana, Inc. | 8,945 | 1,711,000 | ||||||
Lumenis Ltd., Class B (Israel) † | 196,991 | 2,702,716 | ||||||
Mylan NV † | 3,579 | 242,871 | ||||||
Omnicare, Inc. | 2,869 | 270,403 | ||||||
OPKO Health, Inc. †(n) | 2,720 | 43,738 | ||||||
Perrigo Co. PLC (Ireland) (n) | 18,600 | 3,437,838 | ||||||
Regal Lifestyle Communities, Inc. (Canada) | 206,730 | 1,984,542 | ||||||
Rotech Healthcare, Inc. (3)†(b) | 16,828 | 315,859 | ||||||
Sorin SpA (Italy) (2)† | 57,721 | 161,585 | ||||||
|
| |||||||
80,651,821 | ||||||||
|
| |||||||
Industrials - 0.8% | ||||||||
Ansaldo STS SpA (Italy) (2) | 18,655 | 194,149 | ||||||
JetBlue Airways Corp. † | 557,768 | 11,579,264 | ||||||
Pall Corp. | 2,253 | 280,386 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
2
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 5) | |||||||
Industrials - 0.8% (continued) | ||||||||
Pangaea Logistics Solutions Ltd. † | 70,896 | $ | 228,994 | |||||
Quality Distribution, Inc. † | 4,167 | 64,422 | ||||||
RR Donnelley & Sons Co. | 657 | 11,451 | ||||||
TNT Express NV (Netherlands) (2) | 37,309 | 316,856 | ||||||
|
| |||||||
12,675,522 | ||||||||
|
| |||||||
Information Technology - 8.6% | ||||||||
Alcatel-Lucent ADR (France) †(c) | 555,892 | 2,012,329 | ||||||
Altera Corp. | 15,075 | 771,840 | ||||||
Broadcom Corp., Class A | 60,002 | 3,089,503 | ||||||
Citrix Systems, Inc. †(c) | 50,983 | 3,576,967 | ||||||
ClickSoftware Technologies Ltd. (Israel) † | 47,112 | 592,198 | ||||||
Dealertrack Technologies, Inc. † | 48,880 | 3,069,175 | ||||||
Freescale Semiconductor Ltd. † | 9,445 | 377,517 | ||||||
IGATE Corp. † | 1,098 | 52,364 | ||||||
Informatica Corp. † | 228,674 | 11,083,829 | ||||||
Micrel, Inc. | 97,504 | 1,355,306 | ||||||
Rally Software Development Corp. † | 5,950 | 115,727 | ||||||
Red Hat, Inc. †(c) | 117,402 | 8,914,334 | ||||||
SinoHub, Inc. (China) (3)†(b) | 190,038 | 1,900 | ||||||
SouthPeak Interactive Corp. (3)†(b) | 1,500,000 | — | ||||||
Telestone Technologies Corp. (China) † | 115,818 | 1,158 | ||||||
Yahoo!, Inc. † | 2,619,675 | 102,927,031 | ||||||
|
| |||||||
137,941,178 | ||||||||
|
| |||||||
Materials - 1.0% | ||||||||
Alamos Gold, Inc. (Canada) | 124,585 | 705,217 | ||||||
Jaguar Mining, Inc. (3)†(b) | 142,136 | 16,567 | ||||||
Jaguar Mining, Inc. (Canada) †(c) | 25,812 | 3,823 | ||||||
MeadWestvaco Corp. | 46,489 | 2,193,816 | ||||||
Momentive Performance Materials, Inc. (3)†(b) | 288,707 | 6,284,132 | ||||||
RTI International Metals, Inc. † | 107 | 3,373 | ||||||
Sapphire Industry Corp. (3)†(b) | 25,025 | — | ||||||
Sigma-Aldrich Corp. | 42,500 | 5,922,375 | ||||||
Southern Arc Minerals, Inc. (Canada) †(c) | 248,481 | 8,953 | ||||||
Syngenta AG (Switzerland) (2) | 966 | 394,149 | ||||||
Verso Corp. † | 449,919 | 301,446 | ||||||
Verso Corp. (NYSE) † | 259,115 | 171,016 | ||||||
|
| |||||||
16,004,867 | ||||||||
|
| |||||||
Telecommunication Services - 0.1% | ||||||||
Cleveland Unlimited (3)†(b) | 1 | 1,624,585 | ||||||
XO holdings, Inc. O Shares (3)†(b) | 1,366,340 | — | ||||||
|
| |||||||
1,624,585 | ||||||||
|
| |||||||
Utilities - 0.5% | ||||||||
Cleco Corp. | 858 | 46,203 | ||||||
PPL Corp. | 89,700 | 2,643,459 | ||||||
Talen Energy Corp. † | 278,979 | 4,787,280 | ||||||
WEC Energy Group, Inc. | 1,327 | 59,654 | ||||||
|
| |||||||
7,536,596 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 594,556,625 | |||||||
|
|
CONVERTIBLE PREFERRED STOCKS - 17.6% | SHARES | VALUE (Note 5) | ||||||
Consumer Discretionary - 2.8% | ||||||||
Fiat Chrysler Automobiles NV, Series FCAU (Netherlands), 7.875%, 12/15/16 (c) | 15,185,000 | $ | 19,155,878 | |||||
Sealy Corp., $25.00 par, 8.000%, 07/15/16 (3)†(b)(d) | 299,636 | 25,727,751 | ||||||
|
| |||||||
44,883,629 | ||||||||
|
| |||||||
Consumer Staples - 4.1% | ||||||||
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875% , 12/31/49 (c)(e) | 96,625 | 10,530,869 | ||||||
Post Holdings, Inc., Perpetual Preferred Stock 144A, $100.00 par, 2.500%, 02/15/19 (2)(c)(e)(f) | 62,897 | 6,592,392 | ||||||
Tyson Foods, Inc., $50.00 par, 4.750%, 07/15/17 (c) | 482,550 | 24,856,150 | ||||||
Universal Corp., Perpetual Preferred Stock, $1,000.00 par, 6.750%, 03/15/18 (c)(e) | 18,625 | 23,756,560 | ||||||
|
| |||||||
65,735,971 | ||||||||
|
| |||||||
Energy - 2.6% | ||||||||
Chesapeake Energy Corp., Perpetual Preferred Stock 144A, $1,000.00 par, 5.750%, 05/17/15 (2)(e)(f) | 1,475 | 1,003,922 | ||||||
Energy XXI Ltd., Perpetual Preferred Stock, $250.00 par, 5.625%, 12/31/49 (2)(c)(e) | 4,610 | 157,749 | ||||||
Sanchez Energy Corp., Perpetual Preferred Stock, Series A, $50.00 par, 4.875%, 10/05/17 (2)(c)(e) | 411,250 | 11,772,031 | ||||||
Sanchez Energy Corp., Perpetual Preferred Stock, Series B, $50.00 par, 6.500%, 04/06/18 (2)(c)(e) | 140,250 | 4,340,737 | ||||||
Southwestern Energy Co., Series B, $50.00 par, 6.250%, 01/15/18 (c) | 488,875 | 24,135,759 | ||||||
|
| |||||||
41,410,198 | ||||||||
|
| |||||||
Financials - 2.4% | ||||||||
American Tower Corp., Series A, $100.00 par, 5.250% , 05/15/17 (c) | 36,375 | 3,667,055 | ||||||
Cowen Group, Inc., Perpetual Preferred Stock, Series A 144A, $1,000.00 par, 5.625%, (2)†(c)(e)(f) | 5,700 | 6,423,188 | ||||||
Crown Castle International Corp., Series A, $100.00 par, 4.500%, 11/01/16 (c) | 40,550 | 4,184,760 | ||||||
Health Care REIT, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500%, 04/20/18 (c)(e) | 205,600 | 12,220,864 | ||||||
iStar Financial, Inc., Perpetual Preferred Stock, Series J, $50.00 par, 4.500%, 03/15/18 (2)(c)(e) | 125,175 | 7,133,723 | ||||||
Maiden Holdings Ltd., Series B (Bermuda), $50.00 par, 7.250%, 09/15/16 (c) | 83,593 | 4,618,513 | ||||||
|
| |||||||
38,248,103 | ||||||||
|
| |||||||
Health Care - 3.0% | ||||||||
Allergan PLC, Series A, $1,000.00 par, 5.500%, 03/01/18 †(c) | 28,075 | 29,270,433 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
3
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 5) | |||||||
Health Care - 3.0% (continued) | ||||||||
Amsurg Corp., Series A-1, $100.00 par, 5.250%, 07/01/17 (c) | 81,475 | $ | 11,361,689 | |||||
Omnicare Capital Trust II, Series B, $50.00 par, 4.000%, 06/15/33 (c) | 54,925 | 6,338,345 | ||||||
|
| |||||||
46,970,467 | ||||||||
|
| |||||||
Industrials - 0.0% (a) | ||||||||
Timberjack Corp., $188,000.00 par, 8.000%, 12/31/16 (3)†(b) | 188,000 | 921 | ||||||
|
| |||||||
Materials - 0.3% | ||||||||
A Schulman, Inc., Perpetual Preferred Stock, $100.00 par, 6.000%, 12/31/49 †(c)(e) | 4,625 | 4,849,023 | ||||||
|
|
SHARES | VALUE (Note 5) | |||||||
Telecommunication Services - 1.2% | ||||||||
T-Mobile US, Inc., $50.00 par, 5.500%, 12/15/17 (c) | 281,925 | $ | 19,029,938 | |||||
|
| |||||||
Utilities - 1.2% | ||||||||
Dominion Resources, Inc., Series A, $49.00 par, 6.125% , 04/01/16 (c) | 118,650 | 6,358,453 | ||||||
Dominion Resources, Inc., Series B, $49.00 par, 6.000%, 07/01/16 (c) | 242,350 | 13,045,701 | ||||||
|
| |||||||
19,404,154 | ||||||||
|
| |||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | 280,532,404 | |||||||
|
|
CORPORATE BONDS - 5.8% | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | ||||||||||||
Communications - 0.1% | ||||||||||||||||
Interactive Network, Inc./FriendFinder Networks, Inc. (3)(b) | 14.000% | 12/20/18 | $ | 845 | $ | 633,658 | ||||||||||
|
| |||||||||||||||
Consumer Discretionary - 0.3% | ||||||||||||||||
Brookstone Co., Inc. (3)(b)(g) | 13.000% | 10/15/14 | 516 | — | ||||||||||||
Brookstone Holdings Corp. (3)(b)(d) | 10.000% | 07/07/21 | 57 | 47,101 | ||||||||||||
Caesars Entertainment Operating Co., Inc. (2)(g) | 10.750% | 02/01/16 | 10,125 | 2,632,500 | ||||||||||||
Exide Technologies (3)(b)(g) | 8.625% | 02/01/18 | 33,550 | 372,405 | ||||||||||||
RadioShack Corp. (2)(g) | 6.750% | 05/15/19 | 6,230 | 93,450 | ||||||||||||
Roust Trading Ltd., Series AI (Virgin Islands, British) (3)(b)(c)(d)(i) | 11.000% | 05/31/16 | 910 | 727,841 | ||||||||||||
|
| |||||||||||||||
3,873,297 | ||||||||||||||||
|
| |||||||||||||||
Consumer Staples - 0.3% | ||||||||||||||||
US Foods, Inc. (2) | 8.500% | 06/30/19 | 4,572 | 4,766,310 | ||||||||||||
|
| |||||||||||||||
Energy - 1.2% | ||||||||||||||||
Black Elk Energy Offshore Operations LLC/Black Elk Finance Corp. (2)(c) | 13.750% | 12/01/15 | 5,800 | 3,828,000 | ||||||||||||
Centrus Energy Corp. (2)(c)(d) | 8.000% | 09/30/19 | 7,613 | 2,968,875 | ||||||||||||
Endeavour International Corp. (3)(b)(c)(g) | 12.000% | 06/01/18 | 7,600 | 28,500 | ||||||||||||
Endeavour International Corp., Series WI (3)(b)(c)(g) | 12.000% | 03/01/18 | 16,850 | 1,853,500 | ||||||||||||
EOAL Cyprus Holdings Ltd. (Cyprus) (3)(b)(g) | 15.000% | 07/15/15 | 4,100 | 41 | ||||||||||||
Gold Point Energy Corp.(3)(b)(g) | 4.500% | 05/01/15 | 1,140 | — | ||||||||||||
Norshore Atlantic BV (Netherlands) (3)(b) | 12.000% | 12/21/18 | 4,150 | 2,697,500 | ||||||||||||
Quicksilver Resources, Inc. (2)(g) | 9.125% | 08/15/19 | 4,425 | 564,187 | ||||||||||||
Sabine Oil & Gas Corp. (2)(g) | 7.500% | 09/15/20 | 10,750 | 2,391,875 | ||||||||||||
Sabine Oil & Gas Corp. (2)(g) | 7.250% | 06/15/19 | 17,830 | 3,922,600 | ||||||||||||
Songa Offshore (Cyprus) (2) | 7.500% | 12/11/18 | 15,000 | 1,516,176 | ||||||||||||
|
| |||||||||||||||
19,771,254 | ||||||||||||||||
|
| |||||||||||||||
Financials - 1.0% | ||||||||||||||||
Jasper Explorer PLC 144A (Cyprus) (3)(b)(f)(g) | 13.500% | 05/27/16 | 6,000 | 300,000 | ||||||||||||
Kistefos AS (Norway) (3)(b)(h) | 10.970% | 07/03/15 | 72,500 | 9,246,918 | ||||||||||||
Lehman Brothers Holdings, Inc. MTN (2)†(g) | 5.625% | 01/24/13 | 33,650 | 3,827,688 | ||||||||||||
Washington Mutual Bank, Bank Note (2)(g) | 0.000% | 05/01/09 | 13,900 | 2,919,000 | ||||||||||||
|
| |||||||||||||||
16,293,606 | ||||||||||||||||
|
| |||||||||||||||
Industrials - 0.9% | ||||||||||||||||
Edgen Murray Corp. 144A (2)(c)(f) | 8.750% | 11/01/20 | 4,495 | 4,854,600 | ||||||||||||
Manitowoc Co., Inc./The (2)(c) | 5.875% | 10/15/22 | 8,575 | 9,239,562 | ||||||||||||
|
| |||||||||||||||
14,094,162 | ||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
4
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||
Information Technology - 0.0% (a) | ||||||||||||||||
SouthPeak Interactive Corp. (3)(b) | 29.000% | 12/31/15 | $ | 1,091 | $ | 27,650 | ||||||||||
|
| |||||||||||||||
Materials - 1.1% | ||||||||||||||||
ArcelorMittal (Luxembourg) (2) | 4.500% | 08/05/15 | 2,575 | 2,575,798 | ||||||||||||
Momentive Performance Materials, Inc. (2)(c)(g) | 3.880% | 10/24/21 | 13,550 | 12,161,125 | ||||||||||||
Momentive Performance Materials, Inc. (3)(b) | 8.875% | 10/15/20 | 13,550 | — | ||||||||||||
Verso Paper Holdings LLC / Verso Paper, Inc. 144A (2)(c)(d)(f) | 13.000% | 08/01/20 | 12,493 | 2,748,473 | ||||||||||||
|
| |||||||||||||||
17,485,396 | ||||||||||||||||
|
| |||||||||||||||
Telecommunication Services - 0.9% | ||||||||||||||||
NII Capital Corp. (2)(g) | 7.625% | 04/01/21 | 13,250 | 3,246,250 | ||||||||||||
Virgin Media Finance PLC (United Kingdom) (3)(b)(c) | 4.875% | 02/15/22 | 11,400 | 10,716,000 | ||||||||||||
|
| |||||||||||||||
13,962,250 | ||||||||||||||||
|
| |||||||||||||||
Utilities - 0.0% (a) | ||||||||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. (3)(b)(g) | 10.000% | 12/01/20 | 11,317 | 622,435 | ||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS | 91,530,018 | |||||||||||||||
|
| |||||||||||||||
CONVERTIBLE BONDS - 42.8% | ||||||||||||||||
Consumer Discretionary - 1.3% | ||||||||||||||||
Cenveo Corp. (2)(c) | 7.000% | 05/15/17 | 1,800 | 1,674,000 | ||||||||||||
Exide Technologies (3)(b)(c)(g)(h) | 0.000% | 09/18/13 | 650 | 32,500 | ||||||||||||
JAKKS Pacific, Inc. 144A (2)(c)(f) | 4.250% | 08/01/18 | 5,775 | 6,962,484 | ||||||||||||
JAKKS Pacific, Inc. 144A (2)(c)(f) | 4.875% | 06/01/20 | 6,250 | 7,070,313 | ||||||||||||
M/I Homes, Inc. (2)(c) | 3.000% | 03/01/18 | 1,800 | 1,785,375 | ||||||||||||
Meritage Homes Corp. (2)(c) | 1.875% | 09/15/32 | 2,475 | 2,621,953 | ||||||||||||
Palm Harbor Homes, Inc. (3)(b)(g) | 3.250% | 05/15/24 | 70 | 3,226 | ||||||||||||
|
| |||||||||||||||
20,149,851 | ||||||||||||||||
|
| |||||||||||||||
Consumer Staples - 1.4% | ||||||||||||||||
Herbalife Ltd. (Cayman Islands) (2)(c) | 2.000% | 08/15/19 | 10,975 | 9,706,016 | ||||||||||||
Vector Group Ltd. (2)(c)(h) | 2.500% | 01/15/19 | 8,725 | 12,853,312 | ||||||||||||
|
| |||||||||||||||
22,559,328 | ||||||||||||||||
|
| |||||||||||||||
Energy - 3.9% | ||||||||||||||||
Aegean Marine Petroleum Network, Inc. (Greece) (2)(c) | 4.000% | 11/01/18 | 4,775 | 5,219,672 | ||||||||||||
Alon USA Energy, Inc. (2)(c) | 3.000% | 09/15/18 | 6,400 | 8,968,000 | ||||||||||||
Alpha Natural Resources, Inc. (2)(c) | 4.875% | 12/15/20 | 800 | 54,000 | ||||||||||||
Amyris, Inc. (2)(c) | 6.500% | 05/15/19 | 6,075 | 4,005,703 | ||||||||||||
Cal Dive International, Inc. (2)(g) | 5.000% | 07/15/17 | 2,275 | 234,609 | ||||||||||||
Cheniere Energy, Inc. (2)(c) | 4.250% | 03/15/45 | 16,475 | 12,376,844 | ||||||||||||
Emerald Oil, Inc. 144A (2)(c)(f) | 2.000% | 04/01/19 | 1,600 | 752,000 | ||||||||||||
Endeavour International Corp. (3)(b)(g) | 5.500% | 07/15/16 | 8,229 | 20,572 | ||||||||||||
James River Coal Co. (2)(c)(g) | 10.000% | 06/01/18 | 310 | 31 | ||||||||||||
Polarcus Ltd. MTN 144A (Norway) (2)(f) | 5.600% | 04/27/18 | 400 | 191,000 | ||||||||||||
Renewable Energy Group, Inc. (2)(c) | 2.750% | 06/15/19 | 3,650 | 3,873,563 | ||||||||||||
Scorpio Tankers, Inc. 144A (2)(c)(f) | 2.375% | 07/01/19 | 4,000 | 4,270,000 | ||||||||||||
Ship Finance International Ltd. (Bermuda) (2)(c) | 3.250% | 02/01/18 | 14,850 | 15,768,844 | ||||||||||||
Vantage Drilling Co. (Cayman Islands) (2)(c) | 7.875% | 09/01/42 | 4,625 | 4,382,187 | ||||||||||||
ZaZa Energy Corp. 144A (2)(c)(f) | 9.000% | 08/01/17 | 3,550 | 1,775,000 | ||||||||||||
|
| |||||||||||||||
61,892,025 | ||||||||||||||||
|
| |||||||||||||||
Financials - 8.8% | ||||||||||||||||
AmTrust Financial Services, Inc. (2)(c) | 2.750% | 12/15/44 | 6,875 | 6,612,891 | ||||||||||||
Ares Capital Corp. (2)(c) | 5.750% | 02/01/16 | 4,425 | 4,513,500 | ||||||||||||
Ares Capital Corp. 144A (2)(f) | 5.125% | 06/01/16 | 3,025 | 3,115,750 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
5
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||
Financials - 8.8% (continued) | ||||||||||||||||
Cowen Group, Inc. (2)(c) | 3.000% | 03/15/19 | $ | 4,550 | $ | 5,940,594 | ||||||||||
E*TRADE Financial Corp., Series A (2)(c) | 0.000% | 08/31/19 | 1,775 | 5,129,306 | ||||||||||||
Element Financial Corp. 144A (Canada) (2)(c)(f) | 5.125% | 06/30/19 | 13,700 | 13,381,906 | ||||||||||||
Encore Capital Group, Inc. (2)(c) | 3.000% | 07/01/20 | 1,300 | 1,383,687 | ||||||||||||
Ezcorp, Inc. 144A (2)(c)(f) | 2.125% | 06/15/19 | 2,475 | 1,938,234 | ||||||||||||
GAIN Capital Holdings, Inc. (2)(c) | 4.125% | 12/01/18 | 3,325 | 3,628,406 | ||||||||||||
Health Care REIT, Inc. (2) | 3.000% | 12/01/29 | 2,400 | 3,090,000 | ||||||||||||
iStar Financial, Inc. (2)(c) | 3.000% | 11/15/16 | 6,366 | 7,671,030 | ||||||||||||
KCAP Financial, Inc. (2)(c) | 8.750% | 03/15/16 | 4,000 | 4,205,000 | ||||||||||||
Lexington Realty Trust 144A (2)(c)(f) | 6.000% | 01/15/30 | 7,550 | 9,451,656 | ||||||||||||
MBF Healthcare Acquisition Corp. (2)(g) | 3.375% | 08/01/18 | 1,609 | 321,800 | ||||||||||||
Meadowbrook Insurance Group, Inc. (2)(c) | 5.000% | 03/15/20 | 6,050 | 6,931,031 | ||||||||||||
MGIC Investment Corp. (2)(c) | 2.000% | 04/01/20 | 6,600 | 10,989,000 | ||||||||||||
MGIC Investment Corp. (2)(c) | 5.000% | 05/01/17 | 20,525 | 23,462,641 | ||||||||||||
NorthStar Realty Finance LP 144A (2)(c)(f) | 5.375% | 06/15/33 | 300 | 533,812 | ||||||||||||
Prospect Capital Corp. (2)(c) | 4.750% | 04/15/20 | 3,925 | 3,679,687 | ||||||||||||
Radian Group, Inc. (2)(c) | 2.250% | 03/01/19 | 4,850 | 8,605,719 | ||||||||||||
Resource Capital Corp. (2)(c) | 6.000% | 12/01/18 | 1,350 | 1,247,063 | ||||||||||||
Starwood Property Trust, Inc. (2)(c) | 3.750% | 10/15/17 | 4,625 | 4,656,797 | ||||||||||||
Starwood Waypoint Residential Trust 144A (2)(c)(f) | 4.500% | 10/15/17 | 6,150 | 6,065,438 | ||||||||||||
ZAIS Financial Corp. 144A (2)(c)(f) | 8.000% | 11/15/16 | 3,400 | 3,427,625 | ||||||||||||
|
| |||||||||||||||
139,982,573 | ||||||||||||||||
|
| |||||||||||||||
Health Care - 5.8% | ||||||||||||||||
Accuray, Inc., Series A (2)(c) | 3.500% | 02/01/18 | 3,025 | 4,061,062 | ||||||||||||
Acorda Therapeutics, Inc. (2)(c) | 1.750% | 06/15/21 | 875 | 885,938 | ||||||||||||
Albany Molecular Research, Inc. (2)(c) | 2.250% | 11/15/18 | 1,525 | 2,132,141 | ||||||||||||
Anthem, Inc. (2)(c) | 2.750% | 10/15/42 | 26,429 | 57,995,137 | ||||||||||||
China Medical Technologies, Inc. 144A (China) (2)(c)(f)(g) | 6.250% | 12/15/16 | 2,625 | 10,500 | ||||||||||||
China Medical Technologies, Inc., Series CMT (China) (2)(c)(g) | 4.000% | 08/15/13 | 250 | 1,000 | ||||||||||||
Healthways, Inc. (2)(c) | 1.500% | 07/01/18 | 7,950 | 7,408,406 | ||||||||||||
Medicines Co./The 144A (2)(c)(f) | 2.500% | 01/15/22 | 6,325 | 6,917,969 | ||||||||||||
PDL BioPharma, Inc. (2)(c) | 4.000% | 02/01/18 | 1,250 | 1,185,156 | ||||||||||||
Sequenom, Inc. (2)(c) | 5.000% | 01/01/18 | 7,325 | 7,137,297 | ||||||||||||
Spectrum Pharmaceuticals, Inc. (2)(c) | 2.750% | 12/15/18 | 5,600 | 5,257,000 | ||||||||||||
|
| |||||||||||||||
92,991,606 | ||||||||||||||||
|
| |||||||||||||||
Industrials - 2.8% | ||||||||||||||||
CBIZ, Inc. 144A (2)(c)(f) | 4.875% | 10/01/15 | 1,400 | 1,827,875 | ||||||||||||
China Linen Textile Industry Ltd. (Cayman Islands) (3)(b)(g) | 7.500% | 12/31/15 | 1,850 | 18 | ||||||||||||
General Cable Corp. (2)(c)(i) | 4.500% | 11/15/29 | 1,270 | 1,054,100 | ||||||||||||
Meritor, Inc. (2)(c)(i) | 4.625% | 03/01/26 | 2,000 | 2,017,500 | ||||||||||||
Meritor, Inc. (2)(c) | 7.875% | 03/01/26 | 10,015 | 15,823,700 | ||||||||||||
Titan International, Inc. 144A (2)(c)(f) | 5.625% | 01/15/17 | 7,575 | 9,222,563 | ||||||||||||
UTi Worldwide, Inc. (2)(c) | 4.500% | 03/01/19 | 13,350 | 13,633,688 | ||||||||||||
Wabash National Corp. (2)(c) | 3.375% | 05/01/18 | 1,000 | 1,256,250 | ||||||||||||
|
| |||||||||||||||
44,835,694 | ||||||||||||||||
|
| |||||||||||||||
Information Technology - 16.1% | ||||||||||||||||
AOL, Inc. 144A (2)(f) | 0.750% | 09/01/19 | 3,875 | 4,131,719 | ||||||||||||
Avid Technology, Inc. 144A (2)(c)(f) | 2.000% | 06/15/20 | 1,725 | 1,570,828 | ||||||||||||
Ciena Corp. (2)(c) | 4.000% | 12/15/20 | 4,700 | 6,606,437 | ||||||||||||
Convergys Corp. (2)(c) | 5.750% | 09/15/29 | 7,825 | 17,860,563 | ||||||||||||
GT Advanced Technologies, Inc. (2)(c)(g) | 3.000% | 10/01/17 | 2,650 | 728,750 | ||||||||||||
Microchip Technology, Inc. (2)(c) | 2.125% | 12/15/37 | 24,065 | 45,934,069 | ||||||||||||
Micron Technology, Inc., Series F (2)(c) | 2.125% | 02/15/33 | 1,375 | 2,466,406 | ||||||||||||
ModusLink Global Solutions, Inc. 144A (2)(c)(f) | 5.250% | 03/01/19 | 7,600 | 6,768,750 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
6
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||
Information Technology - 16.1% (continued) | ||||||||||||||||
Nortel Networks Corp. (Canada) (2)(c)(g) | 1.750% | 04/15/12 | $ | 8,325 | $ | 7,284,375 | ||||||||||
Nortel Networks Corp. (Canada) (2)(c)(g) | 2.125% | 04/15/14 | 2,475 | 2,165,625 | ||||||||||||
Palo Alto Networks, Inc. 144A (2)(c)(f) | 0.000% | 07/01/19 | 1,525 | 2,482,891 | ||||||||||||
Powerwave Technologies, Inc. (3)(b)(g) | 3.875% | 10/01/27 | 4,104 | 410 | ||||||||||||
Powerwave Technologies, Inc. 144A (2)(c)(f)(g) | 2.750% | 07/15/41 | 3,900 | 39,000 | ||||||||||||
Quantum Corp. (2)(c) | 4.500% | 11/15/17 | 1,650 | 1,963,500 | ||||||||||||
Rambus, Inc. (2)(c) | 1.125% | 08/15/18 | 5,600 | 7,430,500 | ||||||||||||
SouthPeak Interactive Corp. (3)(b)(g) | 10.000% | 12/31/14 | 2,500 | 63,345 | ||||||||||||
SunEdison, Inc. (2)(c) | 2.000% | 10/01/18 | 23,425 | 48,958,250 | ||||||||||||
SunEdison, Inc. (2)(c) | 2.750% | 01/01/21 | 4,400 | 9,311,500 | ||||||||||||
SunEdison, Inc. 144A (2)(c)(f) | 0.250% | 01/15/20 | 575 | 698,625 | ||||||||||||
TTM Technologies, Inc. (2)(c) | 1.750% | 12/15/20 | 6,150 | 7,160,906 | ||||||||||||
VeriSign, Inc. (2)(c) | 4.136% | 08/15/37 | 27,135 | 49,996,238 | ||||||||||||
Vishay Intertechnology, Inc. (2)(c) | 2.250% | 11/15/40 | 15,402 | 14,516,385 | ||||||||||||
WebMD Health Corp. (2)(c) | 1.500% | 12/01/20 | 13,725 | 14,737,219 | ||||||||||||
WebMD Health Corp. (2)(c) | 2.250% | 03/31/16 | 5,075 | 5,090,859 | ||||||||||||
|
| |||||||||||||||
257,967,150 | ||||||||||||||||
|
| |||||||||||||||
Materials - 0.5% | ||||||||||||||||
A.M. Castle & Co. (2)(c) | 7.000% | 12/15/17 | 925 | 792,031 | ||||||||||||
Cemex SAB de CV (Mexico) (2)(c) | 3.750% | 03/15/18 | 1,625 | 1,915,469 | ||||||||||||
Cereplast, Inc. (3)(b)(g) | 7.000% | 06/01/16 | 3,516 | 35 | ||||||||||||
ShengdaTech, Inc. 144A (3)(b)(f)(g) | 6.000% | 06/01/18 | 300 | 17,647 | ||||||||||||
ShengdaTech, Inc. 144A (3)(b)(f)(g) | 6.500% | 12/15/15 | 1,200 | 70,586 | ||||||||||||
Stillwater Mining Co. (2)(c) | 1.750% | 10/15/32 | 4,825 | 5,159,734 | ||||||||||||
|
| |||||||||||||||
7,955,502 | ||||||||||||||||
|
| |||||||||||||||
Utilities - 2.2% | ||||||||||||||||
NRG Yield, Inc. 144A (2)(c)(f) | 3.250% | 06/01/20 | 3,075 | 3,065,391 | ||||||||||||
NRG Yield, Inc. 144A (2)(c)(f) | 3.500% | 02/01/19 | 29,450 | 31,824,406 | ||||||||||||
|
| |||||||||||||||
34,889,797 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE BONDS | 683,223,526 | |||||||||||||||
|
|
CLOSED END FUNDS - 5.9% | SHARES | VALUE (Note 5) | ||||||
Aberdeen Global Income Fund, Inc. (c) | 7,286 | $ | 62,660 | |||||
Advent Claymore Convertible Securities and Income Fund II (c) | 165,776 | 1,062,624 | ||||||
Advent Claymore Enhanced Growth & Income Fund (c) | 45,474 | 412,449 | ||||||
AllianceBernstein Global High Income Fund, Inc. (c) | 18,152 | 218,187 | ||||||
Alpine Global Dynamic Dividend Fund | 63,210 | 625,779 | ||||||
Alpine Global Premier Properties Fund | 344,031 | 2,225,881 | ||||||
Apollo Tactical Income Fund, Inc. (c) | 8,468 | 133,540 | ||||||
Ares Dynamic Credit Allocation Fund, Inc. (c) | 60,378 | 925,595 | ||||||
Ares Multi-Strategy Credit Fund, Inc. | 2,550 | 47,914 | ||||||
Avenue Income Credit Strategies Fund (c) | 16,842 | 239,325 | ||||||
Babson Capital Global Short Duration High Yield Fund | 100 | 1,995 | ||||||
BlackRock Core Bond Trust | 288,993 | 3,661,541 | ||||||
BlackRock Corporate High Yield Fund, Inc. | 302,278 | 3,261,580 | ||||||
BlackRock Credit Allocation Income Trust | 343,513 | 4,352,310 | ||||||
BlackRock Floating Rate Income Strategies Fund, Inc. | 56,709 | 766,706 |
CLOSED END FUNDS - 5.9% (continued) | SHARES | VALUE (Note 5) | ||||||
BlackRock Floating Rate Income Trust | 14,338 | $ | 186,107 | |||||
BlackRock Global Opportunities Equity Trust | 31,991 | 439,876 | ||||||
BlackRock Limited Duration Income Trust | 39,960 | 605,394 | ||||||
BlackRock Long-Term Municipal Advantage Trust | 21,231 | 229,295 | ||||||
BlackRock Multi-Sector Income Trust | 9,642 | 159,864 | ||||||
BlackRock Muni Intermediate Duration Fund, Inc. | 44,481 | 604,942 | ||||||
BlackRock Municipal Income Investment Quality Trust | 14,292 | 201,088 | ||||||
BlackRock Municipal Income Quality Trust | 10,011 | 135,949 | ||||||
BlackRock Municipal Target Term Trust | 163,357 | 3,311,246 | ||||||
BlackRock MuniHoldings New Jersey Quality Fund, Inc. | 25,495 | 337,809 | ||||||
BlackRock MuniHoldings Quality Fund, Inc. | 11,687 | 151,580 | ||||||
BlackRock MuniYield Investment Quality Fund | 12,886 | 170,095 | ||||||
BlackRock MuniYield Michigan Quality Fund II, Inc. | 31,788 | 396,396 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
7
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CLOSED END FUNDS - 5.9% (continued) | SHARES | VALUE (Note 5) | ||||||
BlackRock MuniYield Michigan Quality Fund, Inc. | 28,626 | $ | 380,726 | |||||
BlackRock MuniYield Pennsylvania Quality Fund (2) | 3,278 | 44,024 | ||||||
BlackRock Resources & Commodities Strategy Trust | 305,869 | 2,789,525 | ||||||
BlackRock Utility and Infrastructure Trust | 564 | 10,237 | ||||||
Blackstone/GSO Long-Short Credit Income Fund | 56,559 | 876,099 | ||||||
Blackstone/GSO Strategic Credit Fund | 134,296 | 2,099,046 | ||||||
Brookfield Global Listed Infrastructure Income Fund, Inc. | 16,251 | 268,792 | ||||||
Brookfield High Income Fund, Inc. | 800 | 6,520 | ||||||
CBRE Clarion Global Real Estate Income Fund | 218,519 | 1,739,411 | ||||||
Central Securities Corp. (2) | 48,449 | 1,024,696 | ||||||
Cohen & Steers Limited Duration Preferred and Income Fund, Inc. | 5,154 | 118,542 | ||||||
Cohen & Steers Quality Income Realty Fund, Inc. | 303,143 | 3,240,599 | ||||||
Cohen & Steers REIT and Preferred Income Fund, Inc. | 87,071 | 1,522,872 | ||||||
Cohen & Steers Total Return Realty Fund, Inc. | 3,937 | 47,874 | ||||||
Cushing Renaissance Fund/The | 287 | 5,496 | ||||||
Delaware Enhanced Global Dividend & Income Fund | 25,040 | 270,682 | ||||||
Deutsche High Income Trust | 2,425 | 20,661 | ||||||
Dreyfus Municipal Bond Infrastructure Fund, Inc. | 6,005 | 69,838 | ||||||
Duff & Phelps Global Utility Income Fund, Inc. | 18,511 | 328,015 | ||||||
Duff & Phelps Utility and Corporate Bond Trust, Inc. | 4,672 | 43,777 | ||||||
Eaton Vance Floating-Rate Income Plus Fund | 276 | 4,422 | ||||||
Eaton Vance Floating-Rate Income Trust | 26,116 | 359,878 | ||||||
Eaton Vance Limited Duration Income Fund | 224,955 | 3,030,144 | ||||||
Eaton Vance Municipal Bond Fund | 63,151 | 768,548 | ||||||
Eaton Vance Municipal Bond Fund II | 5,532 | 66,771 | ||||||
Eaton Vance New York Municipal Bond Fund | 13,251 | 163,385 | ||||||
Eaton Vance Risk-Managed Diversified Equity Income Fund | 19,256 | 208,157 | ||||||
Eaton Vance Senior Income Trust | 75,656 | 469,824 | ||||||
Eaton Vance Short Duration Diversified Income Fund | 63,009 | 872,675 | ||||||
Eaton Vance Tax-Advantaged Bond and Options Strategies Fund | 11,844 | 152,788 | ||||||
First Trust Aberdeen Global Opportunity Income Fund | 112,237 | 1,225,628 | ||||||
First Trust Energy Infrastructure Fund | 3,592 | 73,995 | ||||||
First Trust High Income Long/Short Fund | 134,186 | 2,098,669 | ||||||
First Trust Senior Floating Rate Income Fund II | 15,354 | 202,059 | ||||||
First Trust Strategic High Income Fund II | 4,994 | 66,071 | ||||||
Fort Dearborn Income Securities, Inc. | 679 | 9,370 | ||||||
Franklin Limited Duration Income Trust | 80,685 | 939,980 | ||||||
Gabelli Dividend & Income Trust/The | 30,808 | 641,423 | ||||||
Gabelli Healthcare & WellnessRx Trust/The | 33,651 | 378,237 |
CLOSED END FUNDS - 5.9% (continued) | SHARES | VALUE (Note 5) | ||||||
GAMCO Natural Resources Gold & Income Trust | 970 | $ | 7,420 | |||||
General American Investors Co., Inc. | 2,111 | 73,526 | ||||||
Invesco Bond Fund | 21,942 | 381,352 | ||||||
Invesco Dynamic Credit Opportunities Fund | 79,336 | 921,091 | ||||||
Invesco High Income Trust II | 20,373 | 291,945 | ||||||
Invesco Municipal Trust | 48,042 | 577,465 | ||||||
Invesco Pennsylvania Value Municipal Income Trust | 2,182 | 26,402 | ||||||
Invesco Quality Municipal Income Trust | 83,695 | 989,275 | ||||||
Invesco Trust for Investment Grade Municipals | 9,031 | 114,603 | ||||||
Invesco Trust for Investment Grade New York Municipals | 15,577 | 207,797 | ||||||
Ivy High Income Opportunities Fund | 774 | 11,564 | ||||||
John Hancock Hedged Equity & Income Fund | 126 | 2,011 | ||||||
John Hancock Income Securities Trust | 12,568 | 174,821 | ||||||
KKR Income Opportunities Fund | 500 | 7,880 | ||||||
Lazard Global Total Return and Income Fund, Inc. | 2,840 | 43,679 | ||||||
Liberty All Star Equity Fund | 381,144 | 2,191,578 | ||||||
Liberty All Star Growth Fund, Inc. | 20,160 | 103,824 | ||||||
LMP Capital and Income Fund, Inc. | 14,247 | 214,845 | ||||||
LMP Corporate Loan Fund, Inc. | 4,588 | 50,652 | ||||||
Macquarie Global Infrastructure Total Return Fund, Inc. | 13,895 | 324,309 | ||||||
MFS Investment Grade Municipal Trust | 33,509 | 311,634 | ||||||
MFS Municipal Income Trust | 65,795 | 423,062 | ||||||
Morgan Stanley Emerging Markets Fund, Inc. | 651 | 9,661 | ||||||
Morgan Stanley Income Securities, Inc. | 30,061 | 517,350 | ||||||
Neuberger Berman High Yield Strategies Fund, Inc. | 57,436 | 676,596 | ||||||
Neuberger Berman Real Estate Securities Income Fund, Inc. | 70,135 | 332,440 | ||||||
New America High Income Fund, Inc./The | 13,576 | 119,062 | ||||||
Nuveen Connecticut Premium Income Municipal Fund | 29,769 | 371,517 | ||||||
Nuveen Credit Strategies Income Fund | 324,308 | 2,792,292 | ||||||
Nuveen Diversified Dividend & Income Fund | 33,734 | 387,604 | ||||||
Nuveen Dividend Advantage Municipal Fund 2 | 81,153 | 1,088,262 | ||||||
Nuveen Dividend Advantage Municipal Fund 3 | 38,401 | 513,037 | ||||||
Nuveen Dividend Advantage Municipal Income Fund | 11,229 | 152,265 | ||||||
Nuveen Georgia Dividend Advantage Municipal Fund 2 | 6,220 | 79,367 | ||||||
Nuveen Global Equity Income Fund | 50,649 | 632,606 | ||||||
Nuveen Maryland Premium Income Municipal Fund | 72,572 | 889,007 | ||||||
Nuveen Massachusetts Premium Income Municipal Fund | 7,723 | 102,407 | ||||||
Nuveen Michigan Quality Income Municipal Fund | 2,155 | 28,554 | ||||||
Nuveen Municipal Advantage Fund, Inc. | 54,786 | 712,218 | ||||||
Nuveen Municipal Market Opportunity Fund, Inc. | 67,977 | 876,903 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
8
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CLOSED END FUNDS - 5.9% (continued) | SHARES | VALUE (Note 5) | ||||||
Nuveen New Jersey Dividend Advantage Municipal Fund | 83,600 | $ | 1,074,260 | |||||
Nuveen New York AMT-Free Municipal Income Fund | 90,762 | 1,139,063 | ||||||
Nuveen New York Dividend Advantage Municipal Fund | 14,702 | 199,065 | ||||||
Nuveen North Carolina Premium Income Municipal Fund | 49,217 | 624,564 | ||||||
Nuveen Ohio Quality Income Municipal Fund | 11,824 | 169,320 | ||||||
Nuveen Pennsylvania Investment Quality Municipal Fund | 52,220 | 686,693 | ||||||
Nuveen Performance Plus Municipal Fund, Inc. | 51,675 | 725,000 | ||||||
Nuveen Premier Municipal Income Fund, Inc. | 34,955 | 450,919 | ||||||
Nuveen Premium Income Municipal Fund 2, Inc. | 71,765 | 953,039 | ||||||
Nuveen Premium Income Municipal Fund, Inc. | 112,920 | 1,483,769 | ||||||
Nuveen Quality Income Municipal Fund, Inc. | 71,624 | 955,464 | ||||||
Nuveen Quality Municipal Fund, Inc. | 99,684 | 1,258,012 | ||||||
Nuveen Quality Preferred Income Fund 2 | 19,380 | 164,149 | ||||||
Nuveen Quality Preferred Income Fund 3 | 13,361 | 108,892 | ||||||
Nuveen Select Quality Municipal Fund, Inc. | 68,937 | 911,347 | ||||||
Nuveen Senior Income Fund | 27,258 | 174,451 | ||||||
Nuveen Short Duration Credit Opportunities Fund | 18,981 | 312,807 | ||||||
Nuveen Virginia Premium Income Municipal Fund | 883 | 11,850 | ||||||
PIMCO Dynamic Credit Income Fund | 9,956 | 200,912 | ||||||
Pioneer Floating Rate Trust | 51,189 | 582,531 | ||||||
Prudential Global Short Duration High Yield Fund, Inc. | 446 | 6,735 | ||||||
Prudential Short Duration High Yield Fund, Inc. | 3,282 | 50,773 | ||||||
Putnam High Income Securities Fund | 48,754 | 379,794 | ||||||
Putnam Managed Municipal Income Trust | 83,514 | 590,444 | ||||||
Putnam Municipal Opportunities Trust | 57,873 | 671,906 | ||||||
RMR Real Estate Income Fund | 40,121 | 743,843 | ||||||
Royce Micro-Cap Trust, Inc. | 3,663 | 33,773 |
CLOSED END FUNDS - 5.9% (continued) | SHARES | VALUE (Note 5) | ||||||
Royce Value Trust, Inc. | 1,969 | $ | 27,153 | |||||
Source Capital, Inc. | 7,418 | 539,585 | ||||||
Sprott Focus Trust, Inc. | 37,326 | 264,268 | ||||||
Stone Harbor Emerging Markets Total Income Fund | 26,011 | 364,934 | ||||||
Swiss Helvetia Fund, Inc./The (c) | 29,852 | 349,268 | ||||||
Templeton Emerging Markets Fund (c) | 3,218 | 46,854 | ||||||
Templeton Global Income Fund | 134,545 | 945,851 | ||||||
Tortoise Pipeline & Energy Fund, Inc. | 17,764 | 454,581 | ||||||
Transamerica Income Shares, Inc. | 22,823 | 453,949 | ||||||
Tri-Continental Corp. | 11,997 | 254,216 | ||||||
Voya Emerging Markets High Income Dividend Equity Fund (c) | 6,417 | 63,207 | ||||||
Voya Infrastructure Industrials and Materials Fund (c) | 1,595 | 23,319 | ||||||
Voya Prime Rate Trust | 53,118 | 278,869 | ||||||
Wells Fargo Advantage Income Opportunities Fund | 37,198 | 307,627 | ||||||
Wells Fargo Advantage Multi-Sector Income Fund | 96,201 | 1,217,905 | ||||||
Western Asset Global Corporate Defined Opportunity Fund, Inc. | 62,716 | 1,075,579 | ||||||
Western Asset Global High Income Fund, Inc. | 26,574 | 274,775 | ||||||
Western Asset Global Partners Income Fund, Inc. | 42,620 | 390,825 | ||||||
Western Asset High Income Opportunity Fund, Inc. | 336,521 | 1,733,083 | ||||||
Western Asset High Yield Defined Opportunity Fund, Inc. | 1,000 | 15,400 | ||||||
Western Asset Income Fund | 960 | 12,586 | ||||||
Western Asset Managed High Income Fund, Inc. | 207,337 | 1,024,245 | ||||||
Western Asset Worldwide Income Fund, Inc. | 60,452 | 655,300 | ||||||
Zweig Total Return Fund, Inc./The | 23,766 | 307,532 | ||||||
|
| |||||||
TOTAL CLOSED END FUNDS | 95,043,352 | |||||||
|
|
LOAN PARTICIPATIONS - 0.6% | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | ||||||||||||
Consumer Discretionary - 0.2% | ||||||||||||||||
Dex Media West, Inc. (2)(h) | 8.000% | 12/30/16 | $ | 1,284 | $ | 862,597 | ||||||||||
RH Donnelley, Inc. (2)(h) | �� | 9.750% | 12/31/16 | 3,335 | 1,645,501 | |||||||||||
|
| |||||||||||||||
2,508,098 | ||||||||||||||||
|
| |||||||||||||||
Financials - 0.1% | ||||||||||||||||
J.G. Wentworth LLC (3)(b)(h) | 7.000% | 02/08/19 | 1,876 | 1,813,642 | ||||||||||||
|
| |||||||||||||||
Utilities - 0.3% | ||||||||||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. (2)(h) | 4.250% | 06/19/16 | 5,050 | 5,047,879 | ||||||||||||
|
| |||||||||||||||
TOTAL LOAN PARTICIPATIONS | 9,369,619 | |||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
9
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
PREFERRED STOCKS - 0.2% | SHARES | VALUE (Note 5) | ||||||
Financials - 0.2% | ||||||||
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series V †(e) | 166,629 | $ | 564,872 | |||||
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series W †(e) | 56,025 | 202,811 | ||||||
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series X †(e) | 69,243 | 236,811 | ||||||
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, 8.375%, Series Z †(e)(h) | 158,730 | 595,237 | ||||||
Federal National Mortgage Association, Perpetual Preferred Stock, 8.250%, Series S †(e)(h) | 158,730 | 595,238 | ||||||
First Bank, Inc., Perpetual Preferred Stock (3)†(b)(e) | 2,458 | 661,944 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 2,856,913 | |||||||
|
| |||||||
RIGHTS - 0.3% | ||||||||
Financials - 0.1% | ||||||||
1347 Capital Corp. † | 420,504 | 159,791 | ||||||
Arowana, Inc. (Australia) † | 720,000 | 201,600 | ||||||
Barington/Hilco Acquisition Corp. † | 487,260 | 135,946 | ||||||
CB Pharma Acquisition Corp. (2)† | 325,500 | 131,827 | ||||||
DT Asia Investments Ltd. (Hong Kong) † | 209,241 | 61,308 | ||||||
Garnero Group Acquisition Co. (Brazil) (2)† | 2,430,200 | 388,832 | ||||||
Hydra Industries Acquisition Corp. † | 1,720,000 | 584,800 | ||||||
|
| |||||||
1,664,104 | ||||||||
|
| |||||||
Health Care - 0.2% | ||||||||
Ambit Biosciences Corp. (3)†(b) | 146,272 | 104,130 | ||||||
American Medical Alert Corp. (3)†(b) | 283,523 | 2,835 | ||||||
Chelsea Therapeutics International Ltd. (3)†(b) | 4,668,137 | 275,280 | ||||||
Community Health Systems, Inc. †(c) | 7,762,436 | 108,674 | ||||||
Durata Therapeutics, Inc. (3)†(b) | 261,441 | 268,320 | ||||||
Forest Laboratories, Inc. (3)†(b) | 335,833 | — | ||||||
Furiex Pharmaceuticals, Inc. (3)†(b) | 251,398 | 2,469,475 | ||||||
Prosensa Holding NV (Netherlands) (3)†(b) | 197,426 | 188,895 | ||||||
Sorin SpA (Italy) (2)† | 57,721 | 2 | ||||||
|
| |||||||
3,417,611 | ||||||||
|
| |||||||
Information Technology - 0.0% (a) | ||||||||
Gerber Scientific, Inc. (3)†(b) | 879,944 | — | ||||||
|
| |||||||
TOTAL RIGHTS | 5,081,715 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 7.4% | | PRINCIPAL AMOUNT (000’s | ) | |||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (c)(j) | ||||||||
(cost $118,211,557) | $ | 118,250 | 118,237,229 | |||||
|
|
WARRANTS - 1.4% | SHARES | VALUE (Note 5) | ||||||
Consumer Discretionary - 0.2% | ||||||||
Education Management Corp. (3)†(b) | 16,528,497 | $ | 97,353 | |||||
General Motors Co. † | 356,485 | 103,381 | ||||||
Global Eagle Entertainment, Inc. (2)† | 367,857 | 1,401,535 | ||||||
Hemisphere Media Group, Inc. † | 743,407 | 817,748 | ||||||
IVS Group SA (Luxembourg) (2)† | 590,301 | 63,769 | ||||||
KBS Fashion Group Ltd. (China) (3)†(b) | 763,024 | 15,260 | ||||||
|
| |||||||
2,499,046 | ||||||||
|
| |||||||
Energy - 0.0% (a) | ||||||||
Glori Energy, Inc. (2)† | 287,100 | 34,452 | ||||||
Harvest Natural Resources, Inc. (3)†(b) | 51,454 | 74 | ||||||
|
| |||||||
34,526 | ||||||||
|
| |||||||
Financials - 1.0% | ||||||||
1347 Capital Corp. (2)†(c) | 420,504 | 84,101 | ||||||
AR Capital Acquisition Corp. †(c) | 697,500 | 244,125 | ||||||
Arowana, Inc. (Australia) (3)†(b) | 720,000 | 93,600 | ||||||
Associated Banc-Corp. (2)† | 20,065 | 70,227 | ||||||
Barington/Hilco Acquisition Corp. (2)†(c) | 487,260 | 77,962 | ||||||
Boston Private Financial Holdings, Inc. (2)† | 97,674 | 553,812 | ||||||
Boulevard Acquisition Corp. †(c) | 504,000 | 1,839,600 | ||||||
Cambridge Capital Acquisition Corp. † | 1,478,400 | 221,760 | ||||||
Capitol Acquisition Corp. II † | 662,317 | 1,549,822 | ||||||
CB Pharma Acquisition Corp. (3)†(b)(c) | 325,500 | 123,690 | ||||||
Chart Acquisition Corp. † | 1,268,625 | 507,450 | ||||||
Comerica, Inc. (2)† | 9,708 | 42,715 | ||||||
DT Asia Investments Ltd. (Hong Kong) (2)†(c) | 209,241 | 25,109 | ||||||
Dundee Acquisition Ltd. (Canada) (2)† | 630,000 | 126,101 | ||||||
FinTech Acquisition Corp. (2)† | 810,000 | 275,400 | ||||||
Garnero Group Acquisition Co. (Brazil) (2)† | 2,430,200 | 315,926 | ||||||
Harmony Merger Corp. † | 1,475,100 | 590,040 | ||||||
Hydra Industries Acquisition Corp. (2)† | 1,720,000 | 258,000 | ||||||
Levy Acquisition Corp. † | 828,789 | 4,806,976 | ||||||
Neostem (3)†(b) | 243,000 | 78 | ||||||
Quinpario Acquisition Corp. 2 (2)†(c) | 2,880,708 | 864,212 | ||||||
ROI Acquisition Corp. II (2)†(c) | 882,000 | 220,500 | ||||||
Terrapin 3 Acquisition Corp. †(c) | 1,428,000 | 449,963 | ||||||
Valley National Bancorp (2)† | 49,509 | 11,882 | ||||||
WL Ross Holding Corp. †(c) | 2,898,000 | 2,753,100 | ||||||
|
| |||||||
16,106,151 | ||||||||
|
| |||||||
Health Care - 0.0% (a) | ||||||||
Mast Therapeutics, Inc. (3)†(b) | 103,750 | 966 | ||||||
Pluristem Therapeutics, Inc. (Israel) (3)†(b) | 63,750 | 4,462 | ||||||
Venaxis, Inc. (3)†(b) | 24,000 | 1,080 | ||||||
|
| |||||||
6,508 | ||||||||
|
| |||||||
Industrials - 0.1% | ||||||||
Blue Bird Corp. (2)† | 756,000 | 1,058,400 | ||||||
Jack Cooper Holdings Corp. (3)†(b) | 2,223 | 355,680 | ||||||
Jason Industries, Inc. (2)† | 1,933,070 | 837,986 | ||||||
Pingtan Marine Enterprise Ltd. (China) (3)†(b) | 395,000 | 23,700 | ||||||
|
| |||||||
2,275,766 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
10
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 5) | |||||||
Information Technology - 0.0% (a) | ||||||||
exceet Group SE (Germany) (2)† | 72,000 | $ | 4,014 | |||||
Net Element International, Inc. (Bulgaria) (2)† | 319,668 | 6,393 | ||||||
RMG Networks Holding Corp. (3)†(b)(c) | 631,210 | 19,252 | ||||||
Transwitch Corp. (3)†(b) | 640,000 | 6 | ||||||
|
| |||||||
29,665 | ||||||||
|
| |||||||
Materials - 0.1% | ||||||||
Delta Technology Holdings Ltd. (China) (2)† | 818,832 | 327,533 | ||||||
Tecnoglass, Inc. † | 348,017 | 1,667,001 | ||||||
|
| |||||||
1,994,534 | ||||||||
|
| |||||||
Utilities - 0.0% (a) | ||||||||
Electrawinds SE (Germany) (3)†(b) | 621,000 | 3,462 | ||||||
|
| |||||||
TOTAL WARRANTS | 22,949,658 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 20.1% | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.010% (2)(k) | 6,795,880 | 6,795,880 | ||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (2)(k) | 27,183,519 | 27,183,519 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(k) | 165,513,676 | 165,513,676 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(k)(l) | 87,256,776 | 87,256,776 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (2)(k) | 33,979,398 | 33,979,398 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 320,729,249 | |||||||
|
| |||||||
PURCHASED OPTIONS - 0.1% | | CONTRACTS/ NOTIONAL | | |||||
Put - CCO Holdings LLC/CCO Holdings Capital Corp., Expires 03/18/2016, Strike $210.00 | 38 | 164,540 | ||||||
Put - OPKO Health, Inc., Expires 01/15/2016, Strike $25.00 | 2,250 | 2,160,000 | ||||||
|
| |||||||
TOTAL PURCHASED OPTIONS |
| 2,324,540 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN |
| 2,226,434,848 | ||||||
|
| |||||||
SECURITIES SOLD SHORT - (52.7)% | SHARES | |||||||
COMMON STOCKS - (50.6)% | ||||||||
Consumer Discretionary - (2.1)% | ||||||||
Ascena Retail Group, Inc. † | (10,899 | ) | (181,523 | ) | ||||
Charter Communications, Inc., Class A † | (21,856 | ) | (3,742,840 | ) | ||||
Fiat Chrysler Automobiles NV (Netherlands) † | (1,076,770 | ) | (15,645,468 | ) |
SHARES | VALUE (Note 5) | |||||||
Consumer Discretionary - (2.1)% (continued) | ||||||||
Global Eagle Entertainment, Inc. † | (261,660 | ) | $ | (3,406,813 | ) | |||
JAKKS Pacific, Inc. † | (912,744 | ) | (9,027,038 | ) | ||||
M/I Homes, Inc. † | (29,716 | ) | (733,094 | ) | ||||
Meritage Homes Corp. † | (22,347 | ) | (1,052,320 | ) | ||||
MGM Resorts International † | (1 | ) | (18 | ) | ||||
Ryland Group, Inc./The | (323 | ) | (14,978 | ) | ||||
|
| |||||||
(33,804,092 | ) | |||||||
|
| |||||||
Consumer Staples - (3.0)% | ||||||||
Bunge Ltd. | (36,861 | ) | (3,236,396 | ) | ||||
Post Holdings, Inc. † | (108,080 | ) | (5,828,755 | ) | ||||
Reynolds American, Inc. | (429 | ) | (32,029 | ) | ||||
Tyson Foods, Inc., Class A | (434,056 | ) | (18,503,807 | ) | ||||
Universal Corp. | (208,431 | ) | (11,947,265 | ) | ||||
Vector Group Ltd. | (343,207 | ) | (8,051,636 | ) | ||||
|
| |||||||
(47,599,888 | ) | |||||||
|
| |||||||
Energy - (3.9)% | ||||||||
Aegean Marine Petroleum Network, Inc. (Greece) | (233,264 | ) | (2,883,143 | ) | ||||
Alon USA Energy, Inc. | (364,640 | ) | (6,891,696 | ) | ||||
Alpha Natural Resources, Inc. † | (22,275 | ) | (6,725 | ) | ||||
Cheniere Energy, Inc. † | (82,149 | ) | (5,689,640 | ) | ||||
Chesapeake Energy Corp. | (33,338 | ) | (372,386 | ) | ||||
Crescent Point Energy Corp. (Canada) | (32,964 | ) | (676,435 | ) | ||||
Energy XXI Ltd. | (44,530 | ) | (117,114 | ) | ||||
Noble Energy, Inc. | (19,234 | ) | (820,907 | ) | ||||
Renewable Energy Group, Inc. † | (203,790 | ) | (2,355,812 | ) | ||||
Sanchez Energy Corp. † | (1,030,143 | ) | (10,095,401 | ) | ||||
Scorpio Tankers, Inc. (Monaco) | (231,482 | ) | (2,335,653 | ) | ||||
Ship Finance International Ltd. (Norway) | (540,971 | ) | (8,828,647 | ) | ||||
Southwestern Energy Co. † | (871,472 | ) | (19,808,559 | ) | ||||
Trinidad Drilling Ltd. (Canada) | (224,926 | ) | (727,543 | ) | ||||
ZaZa Energy Corp. † | (16,465 | ) | (13,007 | ) | ||||
|
| |||||||
(61,622,668 | ) | |||||||
|
| |||||||
Financials - (6.4)% | ||||||||
American Realty Capital Properties, Inc. REIT | (6,953 | ) | (56,528 | ) | ||||
American Tower Corp. REIT | (24,611 | ) | (2,295,960 | ) | ||||
AmTrust Financial Services, Inc. | (65,083 | ) | (4,263,587 | ) | ||||
Ares Capital Corp. | (16,193 | ) | (266,537 | ) | ||||
Associated Banc-Corp. | (12,100 | ) | (245,267 | ) | ||||
BB&T Corp. | (1,419 | ) | (57,200 | ) | ||||
Boston Private Financial Holdings, Inc. | (90,776 | ) | (1,217,306 | ) | ||||
CareTrust REIT, Inc. REIT | (62,239 | ) | (788,568 | ) | ||||
Cowen Group, Inc., Class A † | (1,482,653 | ) | (9,488,979 | ) | ||||
Crown Castle International Corp. REIT | (29,204 | ) | (2,345,081 | ) | ||||
E*TRADE Financial Corp. † | (169,947 | ) | (5,089,913 | ) | ||||
Element Financial Corp. (Canada) † | (537,255 | ) | (8,495,425 | ) | ||||
Encore Capital Group, Inc. † | (21,752 | ) | (929,681 | ) | ||||
Endurance Specialty Holdings Ltd. | (3,187 | ) | (209,386 | ) | ||||
Ezcorp, Inc., Class A † | (67,591 | ) | (502,201 | ) | ||||
GAIN Capital Holdings, Inc. | (165,105 | ) | (1,578,404 | ) | ||||
Health Care REIT, Inc. REIT | (129,717 | ) | (8,513,327 | ) | ||||
iStar Financial, Inc. REIT † | (874,538 | ) | (11,648,846 | ) | ||||
KCAP Financial, Inc. | (50,449 | ) | (301,685 | ) | ||||
Lexington Realty Trust REIT | (956,273 | ) | (8,109,195 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
11
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 5) | |||||||
Financials - (6.4)% (continued) | ||||||||
Maiden Holdings Ltd. | (205,609 | ) | $ | (3,244,510 | ) | |||
MGIC Investment Corp. † | (1,568,973 | ) | (17,854,913 | ) | ||||
NorthStar Realty Finance Corp. REIT | (35,415 | ) | (563,099 | ) | ||||
Penson Worldwide, Inc. (3)†(b) | (217,523 | ) | — | |||||
Prospect Capital Corp. | (4,749 | ) | (35,000 | ) | ||||
Radian Group, Inc. | (430,908 | ) | (8,083,834 | ) | ||||
Resource Capital Corp. REIT | (6,574 | ) | (25,441 | ) | ||||
Royal Bank of Canada (Canada) | (1,989 | ) | (121,633 | ) | ||||
Starwood Property Trust, Inc. REIT | (51,834 | ) | (1,118,059 | ) | ||||
Starwood Waypoint Residential Trust REIT | (69,363 | ) | (1,648,065 | ) | ||||
Sterling Bancorp | (84,234 | ) | (1,238,240 | ) | ||||
Valley National Bancorp | (1,807 | ) | (18,630 | ) | ||||
Western Alliance Bancorp † | (1,237 | ) | (41,761 | ) | ||||
XL Group PLC (Ireland) | (9,060 | ) | (337,032 | ) | ||||
ZAIS Financial Corp. REIT | (66,163 | ) | (1,069,856 | ) | ||||
|
| |||||||
(101,803,149 | ) | |||||||
|
| |||||||
Health Care - (10.7)% | ||||||||
AbbVie, Inc. | (46 | ) | (3,091 | ) | ||||
Accuray, Inc. † | (487,830 | ) | (3,287,974 | ) | ||||
Acorda Therapeutics, Inc. † | (13,775 | ) | (459,121 | ) | ||||
Albany Molecular Research, Inc. † | (82,940 | ) | (1,677,047 | ) | ||||
Alexion Pharmaceuticals, Inc. † | (1 | ) | (181 | ) | ||||
Allergan PLC † | (73,112 | ) | (22,186,567 | ) | ||||
Amsurg Corp. † | (133,980 | ) | (9,371,901 | ) | ||||
Anthem, Inc. | (329,926 | ) | (54,154,054 | ) | ||||
Baxalta, Inc. † | (950,193 | ) | (30,349,164 | ) | ||||
Baxter International, Inc. † | (950,193 | ) | (36,107,334 | ) | ||||
China Medical Technologies, Inc. ADR (China) (3)†(b) | (45,264 | ) | (453 | ) | ||||
Cyberonics, Inc. † | (2,724 | ) | (161,969 | ) | ||||
Healthways, Inc. † | (201,236 | ) | (2,410,807 | ) | ||||
IGI Laboratories, Inc. † | (5,519 | ) | (34,770 | ) | ||||
Medicines Co./The † | (140,777 | ) | (4,027,630 | ) | ||||
PDL BioPharma, Inc. | (33,664 | ) | (216,459 | ) | ||||
Perrigo Co. PLC (Ireland) | (4,200 | ) | (776,286 | ) | ||||
Sequenom, Inc. † | (751,001 | ) | (2,283,043 | ) | ||||
Spectrum Pharmaceuticals, Inc. † | (319,184 | ) | (2,183,218 | ) | ||||
STERIS Corp. | (7,306 | ) | (470,799 | ) | ||||
Teva Pharmaceutical Industries Ltd. ADR (Israel) | (16,269 | ) | (961,498 | ) | ||||
|
| |||||||
(171,123,366 | ) | |||||||
|
| |||||||
Industrials - (2.2)% | ||||||||
CBIZ, Inc. † | (183,229 | ) | (1,766,328 | ) | ||||
Cenveo, Inc. † | (153,551 | ) | (325,528 | ) | ||||
General Cable Corp. | (32,336 | ) | (637,989 | ) | ||||
JetBlue Airways Corp. † | (557,769 | ) | (11,579,284 | ) | ||||
Meritor, Inc. † | (695,605 | ) | (9,126,338 | ) | ||||
Terex Corp. | (78 | ) | (1,813 | ) | ||||
Titan International, Inc. | (491,834 | ) | (5,282,297 | ) | ||||
Towers Watson & Co., Class A | (931 | ) | (117,120 | ) | ||||
UTi Worldwide, Inc. † | (562,719 | ) | (5,621,563 | ) | ||||
Wabash National Corp. † | (63,224 | ) | (792,829 | ) | ||||
|
| |||||||
(35,251,089 | ) | |||||||
|
|
SHARES | VALUE (Note 5) | |||||||
Information Technology - (18.5)% | ||||||||
Alibaba Group Holding Ltd. ADR (China) † | (1,070,661 | ) | $ | (88,083,280 | ) | |||
ARRIS Group, Inc. † | (183 | ) | (5,600 | ) | ||||
Avago Technologies Ltd. (Singapore) | (11,903 | ) | (1,582,266 | ) | ||||
Ciena Corp. † | (149,866 | ) | (3,548,827 | ) | ||||
Convergys Corp. | (642,046 | ) | (16,365,753 | ) | ||||
Equinix, Inc. REIT | (3,188 | ) | (809,752 | ) | ||||
Interactive Intelligence Group, Inc. † | (40 | ) | (1,779 | ) | ||||
Microchip Technology, Inc. | (927,527 | ) | (43,987,968 | ) | ||||
Micron Technology, Inc. † | (113,207 | ) | (2,132,820 | ) | ||||
ModusLink Global Solutions, Inc. † | (676,010 | ) | (2,298,434 | ) | ||||
Nokia OYJ ADR (Finland) | (304,632 | ) | (2,086,729 | ) | ||||
NXP Semiconductor NV (Netherlands) † | (3,257 | ) | (319,837 | ) | ||||
Palo Alto Networks, Inc. † | (12,169 | ) | (2,125,924 | ) | ||||
Quantum Corp. † | (796,648 | ) | (1,338,369 | ) | ||||
Rambus, Inc. † | (385,007 | ) | (5,578,751 | ) | ||||
SunEdison, Inc. † | (1,777,130 | ) | (53,153,958 | ) | ||||
TTM Technologies, Inc. † | (529,650 | ) | (5,291,204 | ) | ||||
VeriSign, Inc. † | (733,010 | ) | (45,241,377 | ) | ||||
Vishay Intertechnology, Inc. | (1,007,070 | ) | (11,762,578 | ) | ||||
WebMD Health Corp. † | (203,462 | ) | (9,009,297 | ) | ||||
|
| |||||||
(294,724,503 | ) | |||||||
|
| |||||||
Materials - (0.7)% | ||||||||
A Schulman, Inc. | (68,954 | ) | (3,014,669 | ) | ||||
A.M. Castle & Co. † | (43,545 | ) | (268,673 | ) | ||||
Alcoa, Inc. | (320 | ) | (3,568 | ) | ||||
AuRico Gold, Inc. (Canada) | (246,630 | ) | (704,939 | ) | ||||
Cemex SAB de CV ADR (Mexico) † | (122,646 | ) | (1,123,437 | ) | ||||
Monsanto Co. | (2,172 | ) | (231,513 | ) | ||||
Rock-Tenn Co., Class A | (37,285 | ) | (2,244,557 | ) | ||||
Stillwater Mining Co. † | (246,957 | ) | (2,862,232 | ) | ||||
|
| |||||||
(10,453,588 | ) | |||||||
|
| |||||||
Telecommunication Services - (1.0)% | ||||||||
T-Mobile US, Inc. † | (419,880 | ) | (16,278,748 | ) | ||||
|
| |||||||
Utilities - (2.1)% | ||||||||
Dominion Resources, Inc. | (194,026 | ) | (12,974,519 | ) | ||||
NRG Yield, Inc., Class A | (491,106 | ) | (10,799,421 | ) | ||||
NRG Yield, Inc., Class C | (338,915 | ) | (7,418,849 | ) | ||||
PPL Corp. | (89,700 | ) | (2,643,459 | ) | ||||
Talen Energy Corp. † | (11,212 | ) | (192,398 | ) | ||||
WEC Energy Group, Inc. | (1,191 | ) | (53,559 | ) | ||||
|
| |||||||
(34,082,205 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT | (806,743,296 | ) | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
12
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CONVERTIBLE BONDS - (1.8)% | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000���s) | VALUE (Note 5) | ||||||||||||
Financials - (0.2)% | ||||||||||||||||
Ares Capital Corp. (2) | 5.125% | 06/01/16 | $ | (3,025 | ) | $ | (3,115,750 | ) | ||||||||
|
| |||||||||||||||
Information Technology - (1.6)% | ||||||||||||||||
Citrix Systems, Inc. (2) | 0.500% | 04/15/19 | (9,975 | ) | (10,536,094 | ) | ||||||||||
Red Hat, Inc. 144A (2)(f) | 0.250% | 10/01/19 | (12,225 | ) | (14,960,344 | ) | ||||||||||
|
| |||||||||||||||
(25,496,438 | ) | |||||||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE BONDS SOLD SHORT | (28,612,188 | ) | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS - (0.3)% | ||||||||||||||||
U.S. Treasury Note (2) | 0.875% | 10/15/17 | (4,625 | ) | (4,635,480 | ) | ||||||||||
|
| |||||||||||||||
TOTAL SECURITIES SOLD SHORT, AT VALUE | (839,990,964 | ) | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 86.8% | 1,386,443,884 | |||||||||||||||
|
| |||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 13.2% (m) | 211,021,145 | |||||||||||||||
|
| |||||||||||||||
NET ASSETS - 100.0% | $ | 1,597,465,029 | ||||||||||||||
|
|
† | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Security fair valued as of June 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $89,649,059 or 5.6% of total net assets. |
(c) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2015, the value of these securities was $1,110,528,616. Additional cash collateral pledged was $134,954,143. |
(d) | Represents a Pay-in-Kind Stock. |
(e) | Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. The rate shown represents the variable dividend rate in effect as of the close of the reporting period. |
(f) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(g) | Defaulted security. |
(h) | Indicates a variable rate security. The interest rate shown represents the discount rate as of the close of the reporting period. |
(i) | Represents a step bond. The rate shown reflects the yield as of close of the reporting period. |
(j) | The rate shown is the effective yield at the date of purchase. |
(k) | Represents annualized seven-day yield as of the close of the reporting period. |
(l) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(m) | Includes appreciation on forward foreign currency exchange, futures, swap contracts and call options written. |
(n) | All or a portion of this security has been segregated for covered call options written. |
All bonds are denominated in US dollars, unless noted otherwise.
All securities are United States companies, unless noted otherwise in parentheses.
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 5). |
(3) | Level 3 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
MTN - Medium Term Note
NYSE - New York Stock Exchange
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
13
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
Credit default swap contracts buy protection as of June 30, 2015:
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND | CURRENCY | CREDIT SPREAD | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||||
CitiBank | Markit CDX North America High Yield Index Series 24 | 5.000% | USD | 3.557% | 96,775,000 | $(6,375,719 | ) | 06/20/2020 | $300,846 | |||||||||||||||||||
CitiBank | Markit CDX North America Investment Grade Index Series 24 | 1.000% | USD | 0.704% | 3,500,000 | (58,717 | ) | 06/20/2020 | 8,769 | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$(6,434,436 | ) | $309,615 | ||||||||||||||||||||||||||
|
|
|
|
Open written options contracts outstanding at June 30, 2015:
Call options written
NUMBER OF CONTRACTS | ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
38 | CCO Holdings LLC/CCO Holdings Capital Corp. (Exercise price $210) | J.P. Morgan | 3/18/2016 | $(10,220 | ) | $(8,930 | ) | $1,290 | ||||||||||||
4,000 | General Motors Co. (Exercise price $42) | J.P. Morgan | 1/15/2016 | (2,203,696 | ) | (80,000 | ) | 2,123,696 | ||||||||||||
2,250 | OPKO Health, Inc. (Exercise price $25) | J.P. Morgan | 1/15/2016 | (157,385 | ) | (90,000 | ) | 67,385 | ||||||||||||
1,082 | Orbitz Worldwide, Inc. (Exercise price $12) | J.P. Morgan | 8/21/2015 | (13,899 | ) | (1,082 | ) | 12,817 | ||||||||||||
44 | Perrigo Co. PLC (Exercise price $190) | J.P. Morgan | 7/17/2015 | (68,593 | ) | (14,080 | ) | 54,513 | ||||||||||||
14 | Perrigo Co. PLC (Exercise price $180) | J.P. Morgan | 8/21/2015 | (22,449 | ) | (17,920 | ) | 4,529 | ||||||||||||
44 | Perrigo Co. PLC (Exercise price $190) | J.P. Morgan | 8/21/2015 | (75,633 | ) | (36,960 | ) | 38,673 | ||||||||||||
14 | Perrigo Co. PLC (Exercise price $175) | J.P. Morgan | 8/21/2015 | (26,249 | ) | (21,700 | ) | 4,549 | ||||||||||||
14 | Perrigo Co. PLC (Exercise price $185) | J.P. Morgan | 8/21/2015 | (18,549 | ) | (15,260 | ) | 3,289 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
$(2,596,673 | ) | $(285,932 | ) | $2,310,741 | ||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
14
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: | ||||||||||||||||||||
633 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | $(24,399,375 | ) | $(24,247,853 | ) | $151,522 | ||||||||||||
409 | Barclays Capital | S&P 500 E-Mini Futures | 9/2015 | (42,624,085 | ) | (42,012,480 | ) | 611,605 | ||||||||||||
30 | Barclays Capital | TOPIX Index Futures | 9/2015 | (4,048,644 | ) | (3,996,813 | ) | 51,831 | ||||||||||||
453 | Barclays Capital | U.S. Treasury 10-Year Note Futures | 9/2015 | (57,504,056 | ) | (57,155,860 | ) | 348,196 | ||||||||||||
625 | J.P. Morgan | U.S. Treasury 2-Year Note Futures | 9/2015 | (136,579,884 | ) | (136,835,937 | ) | (256,053 | ) | |||||||||||
280 | J.P. Morgan | U.S. Treasury 5-Year Note Futures | 9/2015 | (33,336,653 | ) | (33,392,188 | ) | (55,535 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
$(298,492,697 | ) | $(297,641,131 | ) | $851,566 | ||||||||||||||||
|
|
|
|
|
|
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | CitiBank | CAD | 3,889,895 | $3,116,859 | $3,111,180 | $(5,679 | ) | |||||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | 1,458,792 | 1,168,547 | 1,166,757 | (1,790 | ) | |||||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | 1,457,299 | 1,651,745 | 1,626,444 | (25,301 | ) | |||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 2,879,947 | 3,264,273 | 3,214,213 | (50,060 | ) | |||||||||||||
Euro, Expiring 04/05/16 | Credit Suisse International | EUR | 21,000 | 22,913 | 23,538 | 625 | ||||||||||||||
Euro, Expiring 04/05/17 | Credit Suisse International | EUR | 21,000 | 23,362 | 23,880 | 518 | ||||||||||||||
Euro, Expiring 04/05/16 | The Royal Bank of Scotland | EUR | 21,000 | 27,886 | 23,538 | (4,348 | ) | |||||||||||||
Euro, Expiring 04/05/17 | The Royal Bank of Scotland | EUR | 21,000 | 28,010 | 23,880 | (4,130 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$9,303,595 | $9,213,430 | $(90,165 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | CitiBank | CAD | (8,785,033 | ) | $(7,019,462 | ) | $(7,026,363 | ) | $(6,901 | ) | ||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | (20,609,014 | ) | (16,502,589 | ) | (16,483,307 | ) | 19,282 | |||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (167,671 | ) | (180,508 | ) | (179,881 | ) | 627 | |||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | (15,437,837 | ) | (17,250,269 | ) | (17,229,656 | ) | 20,613 | |||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (17,925,156 | ) | (20,013,616 | ) | (20,005,670 | ) | 7,946 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
15
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Euro, Expiring 04/05/16 | Credit Suisse International | EUR | (21,000 | ) | $ (27,886 | ) | $ (23,538 | ) | $ 4,348 | |||||||||||
Euro, Expiring 04/05/17 | Credit Suisse International | EUR | (21,000 | ) | (28,010 | ) | (23,880 | ) | 4,130 | |||||||||||
Euro, Expiring 04/05/16 | The Royal Bank of Scotland | EUR | (21,000 | ) | (27,886 | ) | (23,538 | ) | 4,348 | |||||||||||
Euro, Expiring 04/05/17 | The Royal Bank of Scotland | EUR | (21,000 | ) | (28,010 | ) | (23,880 | ) | 4,130 | |||||||||||
Norwegian Krone, Expiring 07/03/15 | Credit Suisse International | NOK | (37,802,313 | ) | (4,857,853 | ) | (4,821,339 | ) | 36,514 | |||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | (15,562,500 | ) | (1,996,600 | ) | (1,981,314 | ) | 15,286 | |||||||||||
Norwegian Krone, Expiring 10/02/15 | Credit Suisse International | NOK | (37,802,312 | ) | (4,845,993 | ) | (4,810,975 | ) | 35,018 | |||||||||||
|
|
|
|
|
| |||||||||||||||
(72,778,682 | ) | (72,633,341 | ) | 145,341 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(63,475,087 | ) | $(63,419,911 | ) | $55,176 | ||||||||||||||||
|
|
|
|
|
|
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
NOK - Norwegian Krone
USD - United States Dollar
Total Return Basket Swaps* Outstanding at June 30, 2015
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Bank of America | The Fund receives the total return on a portfolio of short positions and pays the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 66 to 67 months maturity 08/12/2019 | $(127,228 | ) | ||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details |
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Cayman Islands | ||||||||||||
Herbalife Ltd. | (82,666 | ) | $ | (4,426,764 | ) | $ | (127,306 | ) | ||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 78 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (127,228 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
16
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the Federal Funds floating rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 12 months maturity 11/12/2015 | $3,568,376 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
United States | ||||||||||||
CareTrust REIT, Inc. | 255,428 | $ | 1,251,473 | $ | 1,984,800 | |||||||
Enova International, Inc. | 45,105 | 1,030,042 | (187,481 | ) | ||||||||
Journal Media Group, Inc. | 45,340 | — | 375,869 | |||||||||
KLX, Inc. | 2,006 | 82,130 | 6,394 | |||||||||
Urban Edge Properties | 38,278 | 918,060 | (122,260 | ) | ||||||||
|
| |||||||||||
Total of Long Equity Positions | 2,057,322 | |||||||||||
|
| |||||||||||
PRINCIPAL | ||||||||||||
Corporate Bonds | ||||||||||||
United States | ||||||||||||
HJ Heinz Co., 4.25%, 10/15/20 | $ | 35,275,000 | 36,579,305 | (239,148 | ) | |||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 1,750,202 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 3,568,376 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
17
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of short positions and pays the JPY/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 12 months maturity 10/22/2015 | $(2,978,848 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
Yahoo Japan Corp. | (5,642,991 | ) | $ | (19,984,589 | ) | $ | (2,790,791 | ) | ||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (188,057 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (2,978,848 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the Federal Funds floating rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 12 months maturity ranging from 8/31/2015 - 01/27/2016 | $11,205,704 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
QLT, Inc. | 163,944 | $ | 890,882 | $ | (213,793 | ) | ||||||
|
| |||||||||||
France | ||||||||||||
Alcatel-Lucent | 22,848 | 87,496 | (4,786 | ) | ||||||||
|
| |||||||||||
Ireland | ||||||||||||
XL Group PLC | 12,008 | 448,583 | (1,885 | ) | ||||||||
|
| |||||||||||
Israel | ||||||||||||
ClickSoftware Technologies Ltd. | 198,668 | 2,499,170 | (1,913 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Israel (continued) | ||||||||||||
Lumenis Ltd. | 40,504 | $ | 555,813 | $ | (98 | ) | ||||||
|
| |||||||||||
(2,011 | ) | |||||||||||
|
| |||||||||||
United States | ||||||||||||
Advent Software, Inc. | 346,087 | 15,169,615 | 130,891 | |||||||||
Alexion Pharmaceuticals, Inc. | 253 | 39,549 | 6,186 | |||||||||
Altera Corp. | 134,235 | 6,911,481 | (38,649 | ) | ||||||||
ANN, Inc. | 142,619 | 6,773,861 | 113,210 | |||||||||
Ark Restaurants Corp. | 26,212 | 580,072 | 76,015 | |||||||||
Associated Estates Realty Corp. | 251,705 | 7,171,100 | 35,214 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
18
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Axis Capital Holdings Ltd. | 22,216 | $ | 1,239,478 | $ | (53,810 | ) | ||||||
Baker Hughes, Inc. | 385,961 | 23,384,959 | 428,835 | |||||||||
Bridge Capital Holdings | 47,892 | 1,286,265 | 140,916 | |||||||||
Broadcom Corp. | 162,843 | 8,828,931 | (444,145 | ) | ||||||||
Catamaran Corp. | 196,818 | 11,782,819 | 238,824 | |||||||||
Cigna Corp. | 10,660 | 1,769,300 | (42,380 | ) | ||||||||
City National Corp. | 133,757 | 11,869,902 | 220,393 | |||||||||
Cleco Corp. | 248,001 | 13,318,554 | 36,300 | |||||||||
Dealertrack Technologies, Inc. | 72,945 | 4,586,140 | (5,924 | ) | ||||||||
DIRECTV | 337,062 | 28,682,296 | 2,593,687 | |||||||||
Dresser-Rand Group, Inc. | 305,712 | 24,918,216 | 1,122,332 | |||||||||
Eurasia Drilling Co., Ltd. | 3,413 | 66,539 | (10,370 | ) | ||||||||
Evoq Properties, Inc. | 44,422 | 40,231 | 1,970 | |||||||||
Excel Trust, Inc. | 7,139 | 113,773 | (1,191 | ) | ||||||||
Family Dollar Stores, Inc. | 396,455 | 30,805,831 | 438,788 | |||||||||
Freescale Semiconductor Ltd. | 297,557 | 12,194,199 | (300,846 | ) | ||||||||
GrafTech International Ltd. | 597,947 | 2,993,261 | (27,443 | ) | ||||||||
Hawaiian Electric Industries, Inc. | 253,459 | 7,773,588 | (238,251 | ) | ||||||||
HCC Insurance Holdings, Inc. | 67,317 | 5,190,497 | (17,859 | ) | ||||||||
Heritage Financial Group, Inc. | 201,370 | 5,432,399 | 644,948 | |||||||||
Home Loan Servicing Solutions Ltd. | 465,753 | 2,699,315 | (2,377,945 | ) | ||||||||
Home Properties, Inc. | 17,568 | 1,299,294 | (15,951 | ) | ||||||||
Hospira, Inc. | 238,832 | 20,935,378 | 251,409 | |||||||||
Hudson City BanCorp., Inc. | 2,586,048 | 25,758,713 | (208,559 | ) | ||||||||
Hudson Valley Holding Corp. | 35,262 | 919,227 | 75,514 | |||||||||
IGATE Corp. | 141,022 | 6,724,285 | 1,054 | |||||||||
Integrated Silicon Solution, Inc. | 152,892 | 2,866,805 | 518,224 | |||||||||
KYTHERA Biopharmaceuticals, Inc. | 53,030 | 3,932,134 | 61,555 | |||||||||
LNB Bancorp, Inc. | 164,558 | 2,900,196 | 144,127 | |||||||||
Meadowbrook Insurance Group, Inc. | 671,786 | 5,619,427 | 157,933 | |||||||||
MeadWestvaco Corp. | 8,855 | 446,186 | (28,318 | ) | ||||||||
Micrel, Inc. | 200,014 | 2,786,164 | (5,970 | ) | ||||||||
Montpelier Re Holdings Ltd. | 79,694 | 3,074,410 | 73,503 | |||||||||
Mylan NV | 21,536 | 1,596,679 | (135,246 | ) | ||||||||
Office Depot, Inc. | 1,044,951 | 9,778,236 | (728,961 | ) | ||||||||
Omnicare, Inc. | 82,127 | 7,788,261 | (47,791 | ) | ||||||||
Oneida Financial Corp. | 76,102 | 1,493,410 | 62,876 | |||||||||
Orbitz Worldwide, Inc. | 1,330,405 | 15,489,046 | (295,821 | ) | ||||||||
Pall Corp. | 49,900 | 6,227,725 | (17,670 | ) | ||||||||
PartnerRe Ltd. | 11,328 | 1,487,013 | (31,365 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | �� | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||
United States (continued) | ||||||||||||
Pepco Holdings, Inc. | 1,144,591 | $ | 31,035,755 | $ | (200,474 | ) | ||||||
Polypore International, Inc. | 372,106 | 22,208,174 | 73,533 | |||||||||
Quality Distribution, Inc. | 233,270 | 3,680,451 | (74,096 | ) | ||||||||
Rally Software Development Corp. | 62,442 | 1,212,417 | 2,080 | |||||||||
Rosetta Resources, Inc. | 196,673 | 4,737,802 | (186,789 | ) | ||||||||
RR Donnelley & Sons Co. | 389 | 6,457 | 323 | |||||||||
RTI International Metals, Inc. | 85,731 | 3,191,946 | (489,705 | ) | ||||||||
Sigma-Aldrich Corp. | 152,403 | 20,916,664 | 320,694 | |||||||||
Square 1 Financial, Inc. | 4,951 | 128,775 | 6,634 | |||||||||
Standard Pacific Corp. | 37,916 | 336,680 | 1,152 | |||||||||
Susquehanna Bancshares, Inc. | 1,323,887 | 17,545,590 | 1,147,694 | |||||||||
Time Warner Cable, Inc. | 7,025 | 1,035,063 | 216,581 | |||||||||
Tornier NV | 122,488 | 2,920,114 | 140,861 | |||||||||
TTM Technologies, Inc. | 1 | 6 | 4 | |||||||||
UIL Holdings Corp. | 15,042 | 730,289 | (41,065 | ) | ||||||||
WEC Energy Group, Inc. | 3,834 | 169,614 | 2,801 | |||||||||
|
| |||||||||||
3,420,467 | ||||||||||||
|
| |||||||||||
Total Common Stocks | 3,197,992 | |||||||||||
|
| |||||||||||
Rights | ||||||||||||
Netherlands | ||||||||||||
Prosensa Holding NV | 7,998 | — | 7,652 | |||||||||
|
| |||||||||||
United States | ||||||||||||
Durata Therapeutics,Inc. | 89,246 | 66,934 | 24,660 | |||||||||
Safeway, Inc. | 351,185 | — | 15,698 | |||||||||
Safeway, Inc. | 351,185 | — | 52,892 | |||||||||
|
| |||||||||||
93,250 | ||||||||||||
|
| |||||||||||
Total Rights | 100,902 | |||||||||||
|
| |||||||||||
Total of Long Equity Positions and Rights | 3,298,894 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Finland | ||||||||||||
Nokia OYJ | (11,155 | ) | (80,287 | ) | 3,876 | |||||||
|
| |||||||||||
Singapore | ||||||||||||
Avago Technologies Ltd. | (31,649 | ) | (4,527,239 | ) | 320,138 | |||||||
|
| |||||||||||
United States | ||||||||||||
AbbVie, Inc. | (24 | ) | (1,581 | ) | (32 | ) | ||||||
Alcoa, Inc. | (243,504 | ) | (3,255,612 | ) | 540,542 | |||||||
ARRIS Group, Inc. | (124,180 | ) | (4,147,026 | ) | 347,118 | |||||||
Ascena Retail Group, Inc. | (98,015 | ) | (1,530,412 | ) | (102,028 | ) | ||||||
AT&T, Inc. | (524,836 | ) | (17,803,849 | ) | (838,326 | ) | ||||||
Ball Corp. | (26,249 | ) | (1,873,802 | ) | 32,435 | |||||||
BB&T Corp. | (334,390 | ) | (12,556,661 | ) | (922,600 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
19
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Community Bank System, Inc. | (25,607 | ) | $ | (907,400 | ) | $ | (59,776 | ) | ||||
Cyberonics, Inc. | (27,124 | ) | (1,678,976 | ) | 66,183 | |||||||
Dollar Tree, Inc. | (96,821 | ) | (7,350,820 | ) | (297,071 | ) | ||||||
Endurance Specialty Holdings Ltd. | (38,503 | ) | (2,372,548 | ) | (157,099 | ) | ||||||
Halliburton Co. | (424,552 | ) | (17,871,941 | ) | (413,514 | ) | ||||||
Iron Mountain, Inc. | (21,277 | ) | (674,237 | ) | 14,650 | |||||||
M&T Bank Corp. | (217,616 | ) | (26,983,081 | ) | (203,686 | ) | ||||||
Monsanto Co. | (621 | ) | (70,670 | ) | 4,477 | |||||||
NextEra Energy, Inc. | (61,696 | ) | (6,206,618 | ) | 158,559 | |||||||
Noble Energy, Inc. | (103,867 | ) | (4,668,959 | ) | 235,916 | |||||||
Northwest Bancshares, Inc. | (113,653 | ) | (1,356,935 | ) | (100,096 | ) | ||||||
NXP Semiconductors NV | (102,993 | ) | (10,427,986 | ) | 314,073 | |||||||
PacWest Bancorp | (2,969 | ) | (134,377 | ) | (4,454 | ) | ||||||
Renasant Corp. | (187,707 | ) | (5,557,599 | ) | (561,649 | ) | ||||||
Reynolds American, Inc. | (1 | ) | (73 | ) | (1 | ) | ||||||
Rock-Tenn Co. | (4,536 | ) | (296,282 | ) | 23,215 | |||||||
Ryland Group, Inc./The | (7,672 | ) | (353,550 | ) | (2,201 | ) | ||||||
Staples, Inc. | (228,636 | ) | (3,785,543 | ) | 285,126 | |||||||
STERIS Corp. | (63,499 | ) | (4,081,081 | ) | (10,795 | ) | ||||||
Sterling Bancorp | (68,738 | ) | (943,878 | ) | (66,570 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Western Alliance Bancorp | (39,749 | ) | $ | (1,223,031 | ) | $ | (118,895 | ) | ||||
Wright Medical Group, Inc. | (116,486 | ) | (2,831,775 | ) | (227,148 | ) | ||||||
|
| |||||||||||
(2,063,647 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (1,739,633 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions and Rights | 1,559,261 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 9,646,443 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 11,205,704 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the GBP/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 12 months maturity 08/20/2015 | $(1,327,959 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
United Arab Emirates | ||||||||||||
Dragon Oil PLC | 152,988 | $ | 1,744,154 | $ | 2,384 | |||||||
|
| |||||||||||
United Kingdom | ||||||||||||
BG Group PLC | 734,260 | 13,592,401 | (1,363,439 | ) | ||||||||
CSR PLC | 646,996 | 8,898,155 | (17,620 | ) | ||||||||
Greene King PLC | 7,821 | 95,674 | 8,135 | |||||||||
Pace PLD | 855,258 | 5,518,650 | (518,665 | ) | ||||||||
Synergy Health PLC | 164,351 | 5,708,364 | (1,265,237 | ) | ||||||||
Rexam PLC | 425,397 | 3,756,789 | (67,301 | ) | ||||||||
Telecity Group PLC | 107,425 | 1,841,107 | (105,794 | ) | ||||||||
TSB Banking Group PLC | 1,499,988 | 7,842,741 | 154,376 | |||||||||
|
| |||||||||||
(3,175,545 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (3,173,161 | ) | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Netherlands | ||||||||||||
Royal Dutch Shell PLC | (331,625 | ) | $ | (10,800,877 | ) | $ | 1,359,340 | |||||
|
| |||||||||||
Total of Long and Short Equity Positions | (1,813,821) | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 485,862 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (1,327,959 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
20
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | 12 months maturity 08/31/2015 | $(369,302 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Legacy Oil + Gas, Inc. | 909,227 | $ | 1,857,794 | $ | (96,121 | ) | ||||||
Probe Metals, Inc. | 27,415 | 60 | 10,146 | |||||||||
|
| |||||||||||
(85,975 | ) | |||||||||||
|
| |||||||||||
Colombia | ||||||||||||
Pacific Rubiales Energy Corp. | 328,109 | 1,555,937 | (318,633 | ) | ||||||||
|
| |||||||||||
Total of Long Equity Positions | (404,608 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Crescent Point Energy Corp. | (86,232 | ) | (1,883,406 | ) | 113,889 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Canada (continued) | ||||||||||||
Royal Bank of Canada | (100,018 | ) | $ | (6,041,058 | ) | $ | (75,335 | ) | ||||
|
| |||||||||||
38,554 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 38,554 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (366,054 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (3,248 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (369,302 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
21
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the HKD/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | 12 months maturity 01/22/2016 | $(58,878 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Hong Kong | ||||||||||||
Cheung Kong Property Holdings Ltd. | (3,331 | ) | $ | (21 | ) | $ | (27,610 | ) | ||||
CK Hutchison Holdings Ltd. | (3,331 | ) | (72,244 | ) | 23,272 | |||||||
|
| |||||||||||
(4,338 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (4,338 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (54,540 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (58,878 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
22
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 12-13 months maturity ranging from 08/27/2015 - 07/20/2016 | $1,123,774 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Lafarge SA | 120,422 | $ | 8,127,567 | $ | (165,615 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
AER Lingus Group PLC | 996 | 2,703 | (27 | ) | ||||||||
|
| |||||||||||
Italy | ||||||||||||
Ansaldo STS SpA | 333,432 | 3,501,868 | (31,721 | ) | ||||||||
Pirelli & C. SpA | 13,229 | 226,470 | (3,202 | ) | ||||||||
Sorin SpA | 574,643 | 1,702,953 | (94,293 | ) | ||||||||
World Duty Free SpA | 314,425 | 3,525,455 | 259 | |||||||||
|
| |||||||||||
(128,957 | ) | |||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
TNT Express NV | 1,211,957 | 10,323,062 | (30,207 | ) | ||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Jazztel PLC | 1,130,209 | 15,830,929 | 492,707 | |||||||||
|
| |||||||||||
Total Common Stocks | 167,901 | |||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Rights | ||||||||||||
Italy | ||||||||||||
Sorin SpA | 574,643 | $ | — | $ | — | |||||||
|
| |||||||||||
Total of Long Equity Positions and Rights | 167,901 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 955,873 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 1,123,774 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
23
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long positions and pays the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 12 months maturity 08/20/2015 | $132,177 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
iiNET Ltd. | 111,780 | $ | 731,295 | $ | 88,153 | |||||||
Recall Holdings Ltd. | 154,088 | 852,950 | (30,520 | ) | ||||||||
|
| |||||||||||
57,633 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 57,633 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
Federation Centres | (16 | ) | (38 | ) | 2 | |||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 57,635 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 74,542 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 132,177 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
24
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long positions and pays the JPY/USD 1 Week Forward Swap Rate Plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 12 months maturity 08/27/2015 | $881,804 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
Tokyo Electron Ltd. | 43,507 | $ | 2,502,205 | $ | 262,973 | |||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 618,831 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 881,804 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
25
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of short positions and pays the CHF/USD 1 Week Forward Swap rate plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | 12 months maturity 08/27/2015 | $472,200 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Switzerland | ||||||||||||
Syngenta AG | 276 | $ | 118,673 | $ | (6,059 | ) | ||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Switzerland | ||||||||||||
Holcim Ltd. | (108,329 | ) | (8,578,230 | ) | 585,115 | |||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 579,056 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (106,856 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 472,200 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
26
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2015
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
J.P. Morgan | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 12 months maturity 04/20/2016 | $614,029 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | PRINCIPAL | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Private Placements | ||||||||||||
United States | ||||||||||||
Penson Technologies LLC (3) | $ | 9,326,216 | $ | 9 | $ | 614,029 | ||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | — | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 614,029 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
(3) | Level 3 security (See Note 5). |
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Bank of America | ||||||||||
Money Market Funds | $1,640,644 | $— | $1,640,644 | |||||||
| ||||||||||
Barclays Capital | ||||||||||
Cash | — | 3,543,472 | 3,543,472 | |||||||
| ||||||||||
Citibank | ||||||||||
Cash | — | 10,353,980 | 10,353,980 | |||||||
Money Market Funds | 950,008 | — | 950,008 | |||||||
| ||||||||||
Credit Suisse International | ||||||||||
Money Market Funds | 80,002 | — | 80,002 | |||||||
| ||||||||||
Deutsche Bank | ||||||||||
Money Market Funds | 84,586,117 | — | 84,586,117 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | 1,010,384 | 1,010,384 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
27
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
LONG INVESTMENTS - 95.2% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 33.5% | ||||||||
Belgium - 1.3% | ||||||||
Colruyt SA | 112 | $ | 5,024 | |||||
Delhaize Group | 2,197 | 178,698 | ||||||
Proximus | 5,246 | 185,640 | ||||||
Umicore SA | 119 | 5,651 | ||||||
|
| |||||||
375,013 | ||||||||
|
| |||||||
Canada - 7.6% | ||||||||
Alimentation Couche-Tard, Inc., Class B (1)(a) | 1,000 | 42,778 | ||||||
Bank of Montreal (1)(a) | 100 | 5,926 | ||||||
BCE, Inc. (1)(a) | 119 | 5,055 | ||||||
BlackBerry Ltd. (1)†(a) | 22,840 | 186,707 | ||||||
Bombardier, Inc., Class B (1) | 18,155 | 32,705 | ||||||
Canadian Imperial Bank of Commerce (1)(a) | 300 | 22,115 | ||||||
Canadian Tire Corp. Ltd., Class A (1)(a) | 300 | 32,085 | ||||||
Canfor Corp. (1)†(a) | 8,200 | 178,575 | ||||||
CGI Group, Inc., Class A (1)†(a) | 2,111 | 82,564 | ||||||
CI Financial Corp. (1)(a) | 200 | 5,380 | ||||||
Constellation Software, Inc. (1)(a) | 400 | 158,802 | ||||||
Dollarama, Inc. (1)(a) | 715 | 43,335 | ||||||
Empire Co., Ltd., Class A (1)(a) | 1,100 | 77,476 | ||||||
Encana Corp. (1)(a) | 3,300 | 36,382 | ||||||
Enerplus Corp. (1)(a) | 2,200 | 19,305 | ||||||
Fairfax Financial Holdings Ltd. (1)(a) | 129 | 63,610 | ||||||
Finning International, Inc. (1)(a) | 10,200 | 191,832 | ||||||
Keyera Corp. (1)(a) | 400 | 13,355 | ||||||
Kinross Gold Corp. (1)† | 48,172 | 112,234 | ||||||
Linamar Corp. (1)(a) | 4,000 | 259,792 | ||||||
Magna International, Inc. (1)(a) | 6,000 | 336,749 | ||||||
Metro, Inc. (1)(a) | 600 | 16,102 | ||||||
National Bank of Canada (1)(a) | 400 | 15,026 | ||||||
Open Text Corp. (1)(a) | 797 | 32,371 | ||||||
Penn West Petroleum Ltd. (1) | 18,100 | 31,157 | ||||||
Royal Bank of Canada (1)(a) | 400 | 24,461 | ||||||
Suncor Energy, Inc. (1)(a) | 400 | 11,017 | ||||||
Toronto-Dominion Bank/The (1)(a) | 119 | 5,053 | ||||||
West Fraser Timber Co., Ltd. (1)(a) | 2,000 | 109,896 | ||||||
|
| |||||||
2,151,845 | ||||||||
|
| |||||||
Denmark - 1.6% | ||||||||
AP Moeller - Maersk A/S, Class B (a) | 7 | 12,656 | ||||||
DSV A/S (a) | 516 | 16,709 | ||||||
ISS A/S (a) | 2,448 | 80,626 | ||||||
Novo Nordisk A/S, Class B (a) | 395 | 21,676 | ||||||
Pandora A/S (a) | 2,653 | 284,678 | ||||||
TDC A/S (a) | 4,535 | 33,243 | ||||||
|
| |||||||
449,588 | ||||||||
|
| |||||||
Finland - 0.9% | ||||||||
Fortum OYJ | 2,266 | 40,255 | ||||||
Metso OYJ | 183 | 5,029 | ||||||
Neste OYJ | 1,378 | 35,153 | ||||||
Orion OYJ, Class B | 4,815 | 168,662 | ||||||
|
| |||||||
249,099 | ||||||||
|
| |||||||
Germany - 5.2% | ||||||||
Allianz SE (a) | 552 | 86,085 |
SHARES | VALUE (Note 5) | |||||||
Germany - 5.2% (continued) | ||||||||
Aurubis AG (a) | 1,512 | $ | 88,826 | |||||
Bayer AG (a) | 201 | 28,148 | ||||||
Brenntag AG (a) | 90 | 5,164 | ||||||
Continental AG (a) | 160 | 37,884 | ||||||
Deutsche Boerse AG (a) | 185 | 15,323 | ||||||
Deutsche Lufthansa AG †(a) | 4,733 | 61,065 | ||||||
Freenet AG (a) | 7,094 | 238,953 | ||||||
Fresenius Medical Care AG & Co. KGaA (a) | 62 | 5,133 | ||||||
Hannover Rueck SE (a) | 499 | 48,297 | ||||||
HeidelbergCement AG (a) | 331 | 26,234 | ||||||
HOCHTIEF AG (a) | 2,648 | 205,273 | ||||||
HUGO BOSS AG (a) | 1,084 | 121,187 | ||||||
Merck KGaA (a) | 1,665 | 165,984 | ||||||
MTU Aero Engines AG (a) | 378 | 35,576 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | 195 | 34,572 | ||||||
OSRAM Licht AG (a) | 1,247 | 59,658 | ||||||
ProSiebenSat.1 Media AG (a) | 816 | 40,306 | ||||||
Salzgitter AG (a) | 148 | 5,291 | ||||||
STADA Arzneimittel AG (a) | 927 | 31,270 | ||||||
Symrise AG (a) | 83 | 5,155 | ||||||
Telefonica Deutschland Holding AG (a) | 9,208 | 53,045 | ||||||
United Internet AG (a) | 1,944 | 86,401 | ||||||
|
| |||||||
1,484,830 | ||||||||
|
| |||||||
Hong Kong - 0.3% | ||||||||
Hongkong Land Holdings Ltd. (1) | 2,000 | 16,600 | ||||||
Noble Group Ltd. | 122,900 | 69,240 | ||||||
|
| |||||||
85,840 | ||||||||
|
| |||||||
Italy - 1.7% | ||||||||
Atlantia SpA | 377 | 9,315 | ||||||
Autogrill SpA † | 12,056 | 100,994 | ||||||
Banca Popolare di Milano Scarl | 41,975 | 44,268 | ||||||
Enel SpA | 5,124 | 23,224 | ||||||
Eni SpA | 2,336 | 41,491 | ||||||
Finmeccanica SpA † | 2,389 | 30,051 | ||||||
Mediaset SpA | 15,381 | 74,048 | ||||||
Mediobanca SpA | 1,985 | 19,462 | ||||||
Pirelli & C. SpA | 1,787 | 30,159 | ||||||
Prysmian SpA | 2,469 | 53,371 | ||||||
Snam SpA | 6,924 | 32,952 | ||||||
UnipolSai SpA | 3,356 | 8,314 | ||||||
|
| |||||||
467,649 | ||||||||
|
| |||||||
Netherlands - 3.1% | ||||||||
Boskalis Westminster NV | 4,778 | 234,541 | ||||||
Delta Lloyd NV | 8,266 | 135,641 | ||||||
Heineken NV | 427 | 32,463 | ||||||
Koninklijke Ahold NV | 10,017 | 188,046 | ||||||
Royal Dutch Shell PLC, A Shares (a) | 1,332 | 37,882 | ||||||
Wolters Kluwer NV | 8,505 | 253,141 | ||||||
|
| |||||||
881,714 | ||||||||
|
| |||||||
Norway - 0.9% | ||||||||
Marine Harvest ASA (a) | 1,751 | 20,054 | ||||||
Norsk Hydro ASA | 31,056 | 130,340 | ||||||
Orkla ASA (a) | 3,540 | 27,775 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
28
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
SHARES | VALUE (Note 5) | |||||||
Norway - 0.9% (continued) | ||||||||
Yara International ASA (a) | 1,194 | $ | 62,217 | |||||
|
| |||||||
240,386 | ||||||||
|
| |||||||
Singapore - 1.3% | ||||||||
ComfortDelGro Corp. Ltd. | 68,300 | 158,616 | ||||||
Hutchison Port Holdings Trust, Class U | 9,400 | 5,921 | ||||||
Singapore Airlines Ltd. | 24,500 | 195,070 | ||||||
United Overseas Bank Ltd. | 300 | 5,133 | ||||||
Wilmar International Ltd. | 5,200 | 12,656 | ||||||
|
| |||||||
377,396 | ||||||||
|
| |||||||
Spain - 2.3% | ||||||||
Acerinox SA | 2,586 | 35,796 | ||||||
ACS Actividades de Construccion y Servicios SA | 544 | 17,547 | ||||||
Banco Santander SA | 21,106 | 148,460 | ||||||
Enagas SA | 718 | 19,546 | ||||||
Endesa SA | 6,873 | 131,629 | ||||||
Gas Natural SDG SA | 848 | 19,256 | ||||||
Iberdrola SA | 10,487 | 70,804 | ||||||
Mediaset Espana Comunicacion SA | 4,996 | 65,591 | ||||||
Red Electrica Corp. SA | 108 | 8,672 | ||||||
Repsol SA | 556 | 9,800 | ||||||
Tecnicas Reunidas SA | 385 | 19,836 | ||||||
Telefonica SA | 7,739 | 110,245 | ||||||
|
| |||||||
657,182 | ||||||||
|
| |||||||
Sweden - 3.1% | ||||||||
Boliden AB (a) | 10,042 | 183,073 | ||||||
Electrolux AB, Series B (a) | 2,530 | 79,273 | ||||||
Husqvarna AB, B Shares | 20,341 | 153,221 | ||||||
ICA Gruppen AB | 1,332 | 47,257 | ||||||
Meda AB, A Shares | 2,918 | 40,607 | ||||||
Securitas AB, B Shares (a) | 15,640 | 206,556 | ||||||
Skandinaviska Enskilda Banken AB, Class A (a) | 737 | 9,427 | ||||||
Skanska AB, B Shares (a) | 2,168 | 43,932 | ||||||
Tele2 AB, B Shares (a) | 5,133 | 59,776 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares (a) | 2,052 | 21,372 | ||||||
TeliaSonera AB (a) | 6,231 | 36,724 | ||||||
|
| |||||||
881,218 | ||||||||
|
| |||||||
Switzerland - 3.0% | ||||||||
Actelion Ltd. †(a) | 1,614 | 236,373 | ||||||
Adecco SA †(a) | 430 | 34,898 | ||||||
Aryzta AG †(a) | 94 | 4,625 | ||||||
Baloise Holding AG (a) | 42 | 5,121 | ||||||
Flughafen Zuerich AG (a) | 170 | 131,598 | ||||||
Galenica AG (a) | 8 | 8,344 | ||||||
Geberit AG (a) | 158 | 52,676 | ||||||
Helvetia Holding AG (a) | 9 | 5,144 | ||||||
Lonza Group AG †(a) | 499 | 66,699 | ||||||
Nestle SA (a) | 70 | 5,050 | ||||||
Novartis AG (a) | 285 | 28,033 | ||||||
Partners Group Holding AG (a) | 17 | 5,081 | ||||||
Roche Holding AG (a) | 176 | 49,349 | ||||||
Sonova Holding AG (a) | 110 | 14,875 |
SHARES | VALUE (Note 5) | |||||||
Switzerland - 3.0% (continued) | ||||||||
Swiss Life Holding AG †(a) | 322 | $ | 73,732 | |||||
Swiss Re AG (a) | 541 | 47,891 | ||||||
Zurich Insurance Group AG †(a) | 247 | 75,194 | ||||||
|
| |||||||
844,683 | ||||||||
|
| |||||||
United Kingdom - 1.2% | ||||||||
Fiat Chrysler Automobiles NV † | 6,285 | 92,202 | ||||||
Reed Elsevier NV | 7,896 | 187,812 | ||||||
Subsea 7 SA † | 6,888 | 67,374 | ||||||
Unilever NV CVA | 134 | 5,602 | ||||||
|
| |||||||
352,990 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 9,499,433 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.3% | ||||||||
Germany - 0.3% | ||||||||
Porsche Automobil Holding SE | 857 | 72,259 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 41.2% | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.010% (b) | 2 | 2 | ||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (b) | 10 | 10 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b) | 11,662,322 | 11,662,322 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (b) | 12 | 12 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 11,662,346 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 20.2% | | PRINCIPAL AMOUNT (000’s | ) | |||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (c) | ||||||||
(cost $5,732,133) | $ | 5,734 | 5,733,381 | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE | 26,967,419 | |||||||
|
| |||||||
SECURITIES SOLD SHORT - (31.0)% | SHARES | |||||||
COMMON STOCKS - (31.0)% | ||||||||
Belgium - (1.6)% | ||||||||
Anheuser-Busch InBev NV | (2,619 | ) | (315,172 | ) | ||||
KBC Groep NV | (1,681 | ) | (112,691 | ) | ||||
Solvay SA | (96 | ) | (13,225 | ) | ||||
|
| |||||||
(441,088 | ) | |||||||
|
| |||||||
Canada - (7.9)% | ||||||||
Agnico Eagle Mines Ltd. (1) | (4,058 | ) | (115,209 | ) | ||||
Barrick Gold Corp. (1) | (6,133 | ) | (65,553 | ) | ||||
Baytex Energy Corp. (1) | (3,200 | ) | (49,781 | ) | ||||
CAE, Inc. (1) | (8,100 | ) | (96,435 | ) | ||||
Canadian Pacific Railway Ltd. (1) | (640 | ) | (102,492 | ) | ||||
Canadian Utilities Ltd., Class A (1) | (6,089 | ) | (175,357 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
29
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
SHARES | VALUE (Note 5) | |||||||
Canada - (7.9)% (continued) | ||||||||
First Quantum Minerals Ltd. (1) | (14,792 | ) | $ | (193,397 | ) | |||
Franco-Nevada Corp. (1) | (2,349 | ) | (112,034 | ) | ||||
Gildan Activewear, Inc. (1) | (6,347 | ) | (210,838 | ) | ||||
Goldcorp, Inc. (1) | (2,967 | ) | (48,151 | ) | ||||
Imperial Oil Ltd. (1) | (1,719 | ) | (66,407 | ) | ||||
Lundin Mining Corp. (1)† | (6,987 | ) | (28,698 | ) | ||||
Methanex Corp. (1) | (1,128 | ) | (62,966 | ) | ||||
Pembina Pipeline Corp. (1) | (6,887 | ) | (222,601 | ) | ||||
Potash Corp of Saskatchewan, Inc. (1) | (2,426 | ) | (75,130 | ) | ||||
Precision Drilling Corp. (1) | (16,400 | ) | (110,296 | ) | ||||
Silver Wheaton Corp. (1) | (6,079 | ) | (105,373 | ) | ||||
SNC-Lavalin Group, Inc. (1) | (1,700 | ) | (57,111 | ) | ||||
Teck Resources Ltd., Class B (1) | (3,400 | ) | (33,701 | ) | ||||
Tourmaline Oil Corp. (1)† | (1,500 | ) | (45,060 | ) | ||||
TransCanada Corp. (1) | (5,285 | ) | (214,785 | ) | ||||
Vermilion Energy, Inc. (1) | (1,400 | ) | (60,472 | ) | ||||
|
| |||||||
(2,251,847 | ) | |||||||
|
| |||||||
Denmark - (0.6)% | ||||||||
Carlsberg A/S, Class B | (1,535 | ) | (139,080 | ) | ||||
Vestas Wind Systems A/S | (362 | ) | (18,043 | ) | ||||
|
| |||||||
(157,123 | ) | |||||||
|
| |||||||
Finland - (0.7)% | ||||||||
Kone OYJ, Class B | (938 | ) | (38,074 | ) | ||||
Nokia OYJ | (1,612 | ) | (10,989 | ) | ||||
Nokian Renkaat OYJ | (4,658 | ) | (145,937 | ) | ||||
UPM-Kymmene OYJ | (571 | ) | (10,104 | ) | ||||
|
| |||||||
(205,104 | ) | |||||||
|
| |||||||
Germany - (3.6)% | ||||||||
adidas AG | (2,101 | ) | (160,757 | ) | ||||
BASF SE | (57 | ) | (5,016 | ) | ||||
Bilfinger SE | (573 | ) | (21,688 | ) | ||||
Commerzbank AG † | (1,550 | ) | (19,815 | ) | ||||
Daimler AG | (1,373 | ) | (125,074 | ) | ||||
Deutsche Bank AG | (3,569 | ) | (107,308 | ) | ||||
Deutsche Telekom AG | (939 | ) | (16,189 | ) | ||||
E.ON SE | (5,243 | ) | (69,913 | ) | ||||
LANXESS AG | (1,121 | ) | (66,141 | ) | ||||
METRO AG | (1,047 | ) | (33,068 | ) | ||||
Rheinmetall AG | (4,241 | ) | (215,116 | ) | ||||
RWE AG | (5,401 | ) | (116,167 | ) | ||||
ThyssenKrupp AG | (2,116 | ) | (55,046 | ) | ||||
|
| |||||||
(1,011,298 | ) | |||||||
|
| |||||||
Hong Kong - (0.8)% | ||||||||
Jardine Matheson Holdings Ltd. (1) | (4,200 | ) | (237,300 | ) | ||||
|
| |||||||
Italy - (0.9)% | ||||||||
Banca Popolare dell’Emilia Romagna SC | (5,052 | ) | (45,076 | ) | ||||
Banco Popolare SC † | (1,117 | ) | (18,392 | ) | ||||
Buzzi Unicem SpA | (521 | ) | (7,422 | ) | ||||
Mediolanum SpA | (1,751 | ) | (14,453 | ) | ||||
Saipem SpA † | (1,173 | ) | (12,395 | ) | ||||
Salvatore Ferragamo SpA | (2,985 | ) | (89,669 | ) | ||||
Telecom Italia SpA † | (56,920 | ) | (72,335 | ) | ||||
|
| |||||||
(259,742 | ) | |||||||
|
|
SHARES | VALUE (Note 5) | |||||||
Luxembourg - (2.2)% | ||||||||
Altice SA † | (1,958 | ) | $ | (270,125 | ) | |||
ArcelorMittal | (17,317 | ) | (168,176 | ) | ||||
Tenaris SA | (12,816 | ) | (172,866 | ) | ||||
|
| |||||||
(611,167 | ) | |||||||
|
| |||||||
Netherlands - (2.3)% | ||||||||
ASML Holding NV | (1,993 | ) | (207,307 | ) | ||||
Fugro NV CVA † | (208 | ) | (4,580 | ) | ||||
Gemalto NV | (1,060 | ) | (94,751 | ) | ||||
Koninklijke KPN NV | (22,124 | ) | (84,820 | ) | ||||
Koninklijke Philips NV | (2,634 | ) | (67,226 | ) | ||||
Koninklijke Vopak NV | (302 | ) | (15,274 | ) | ||||
OCI NV † | (2,661 | ) | (75,417 | ) | ||||
SBM Offshore NV † | (8,026 | ) | (95,669 | ) | ||||
|
| |||||||
(645,044 | ) | |||||||
|
| |||||||
Norway - (0.8)% | ||||||||
Schibsted ASA | (4,005 | ) | (124,076 | ) | ||||
Schibsted ASA † | (3,387 | ) | (102,382 | ) | ||||
Statoil ASA | (847 | ) | (15,147 | ) | ||||
|
| |||||||
(241,605 | ) | |||||||
|
| |||||||
Singapore - (2.1)% | ||||||||
CapitaLand Ltd. | (28,800 | ) | (74,787 | ) | ||||
Genting Singapore PLC | (78,900 | ) | (52,385 | ) | ||||
Global Logistic Properties Ltd. | (34,100 | ) | (64,015 | ) | ||||
Golden Agri-Resources Ltd. | (322,800 | ) | (98,290 | ) | ||||
Keppel Corp. Ltd. | (18,500 | ) | (112,760 | ) | ||||
Singapore Press Holdings Ltd. | (64,600 | ) | (195,589 | ) | ||||
|
| |||||||
(597,826 | ) | |||||||
|
| |||||||
Spain - (2.4)% | ||||||||
Amadeus IT Holding SA, A Shares | (1,943 | ) | (77,565 | ) | ||||
Banco Bilbao Vizcaya Argentaria SA | (1,499 | ) | (14,771 | ) | ||||
Banco de Sabadell SA | (26,815 | ) | (64,951 | ) | ||||
Banco Popular Espanol SA | (25,404 | ) | (123,606 | ) | ||||
Bankia SA † | (55,418 | ) | (70,554 | ) | ||||
CaixaBank SA | (20,005 | ) | (93,089 | ) | ||||
Distribuidora Internacional de Alimentacion SA | (1,866 | ) | (14,300 | ) | ||||
Ferrovial SA | (3,506 | ) | (76,173 | ) | ||||
Grifols SA | (1,774 | ) | (71,638 | ) | ||||
Inditex SA | (2,227 | ) | (72,639 | ) | ||||
|
| |||||||
(679,286 | ) | |||||||
|
| |||||||
Sweden - (2.0)% | ||||||||
Alfa Laval AB | (3,677 | ) | (64,719 | ) | ||||
Assa Abloy AB | (7,389 | ) | (139,104 | ) | ||||
Atlas Copco AB, A Shares † | (688 | ) | (19,249 | ) | ||||
Getinge AB, B Shares | (3,966 | ) | (95,485 | ) | ||||
Hexagon AB, B Shares | (3,875 | ) | (140,355 | ) | ||||
Nordea Bank AB | (1,239 | ) | (15,452 | ) | ||||
Sandvik AB | (6,395 | ) | (70,699 | ) | ||||
SKF AB, B Shares | (767 | ) | (17,501 | ) | ||||
|
| |||||||
(562,564 | ) | |||||||
|
| |||||||
Switzerland - (2.8)% | ||||||||
Cie Financiere Richemont SA | (1,183 | ) | (96,152 | ) | ||||
Credit Suisse Group AG † | (3,297 | ) | (90,956 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
30
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
SHARES | VALUE (Note 5) | |||||||
Switzerland - (2.8)% (continued) | ||||||||
Dufry AG † | (1,477 | ) | $ | (205,809 | ) | |||
Holcim Ltd. † | (631 | ) | (46,559 | ) | ||||
Julius Baer Group Ltd. † | (1,510 | ) | (84,732 | ) | ||||
Schindler Holding AG | (238 | ) | (38,925 | ) | ||||
Sulzer AG | (273 | ) | (28,081 | ) | ||||
UBS Group AG † | (9,606 | ) | (203,805 | ) | ||||
|
| |||||||
(795,019 | ) | |||||||
|
| |||||||
United States - (0.3)% | ||||||||
Valeant Pharmaceuticals International, Inc. (1)† | (421 | ) | (93,392 | ) | ||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT | (8,789,405 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT, AT VALUE | (8,789,405 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 64.2% | 18,178,014 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 35.8% (d) | 10,155,437 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 28,333,451 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 413,284 | 1.5 | % | ||||
Consumer Staples | 63,697 | 0.2 | ||||||
Energy | (762,581 | ) | (2.7 | ) | ||||
Financials | (293,137 | ) | (1.0 | ) | ||||
Health Care | 604,636 | 2.1 | ||||||
Industrials | 453,514 | 1.6 | ||||||
Information Technology | 37,251 | 0.1 | ||||||
Materials | (268,614 | ) | (0.9 | ) | ||||
Telecommunication Services | 549,337 | 1.9 | ||||||
Utilities | (15,100 | ) | 0.0 | |||||
Money Market Funds | 11,662,346 | 41.2 | ||||||
Short-Term Investments | 5,733,381 | 20.2 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 18,178,014 | 64.2 | ||||||
Other Assets in Excess of Liabilities (d) | 10,155,437 | 35.8 | ||||||
|
|
|
| |||||
Net Assets | $ | 28,333,451 | 100.0 | % | ||||
|
|
|
|
† | Non-income producing security. |
(a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2015, the value of these securities was $5,588,765. In addition, $4,251,461 of cash collateral was pledged. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certification
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
31
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
6 | Barclays Capital | FTSE 100 Index Futures | 9/2015 | $625,822 | $612,222 | $(13,600 | ) | |||||||||||
2 | Barclays Capital | Hang Seng Index Futures | 7/2015 | 351,604 | 338,048 | (13,556 | ) | |||||||||||
4 | J.P. Morgan | MSCI Singapore Index Futures | 7/2015 | 222,827 | 220,841 | (1,986 | ) | |||||||||||
3 | J.P. Morgan | S&P/Toronto Stock Exchange 60 Index Futures | 9/2015 | 410,863 | 405,396 | (5,467 | ) | |||||||||||
5 | Barclays Capital | TOPIX Index Futures | 9/2015 | 671,186 | 666,136 | (5,050 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||
2,282,302 | 2,242,643 | (39,659 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||
Short Contracts: | ||||||||||||||||||
23 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | $ | (880,996 | ) | $ | (881,043 | ) | $ | (47 | ) | ||||||
2 | J.P. Morgan | S&P 500 E-Mini Futures | 9/2015 | (210,091 | ) | (205,440 | ) | 4,651 | ||||||||||
|
|
|
|
|
| |||||||||||||
(1,091,087 | ) | (1,086,483 | ) | 4,604 | ||||||||||||||
|
|
|
|
|
| |||||||||||||
$ | 1,191,215 | $ | 1,156,160 | $ | (35,055 | ) | ||||||||||||
|
|
|
|
|
|
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | 714,000 | $581,351 | $571,065 | $(10,286 | ) | |||||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | 1,000 | 1,073 | 1,072 | (1 | ) | |||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 1,000 | 1,135 | 1,116 | (19 | ) | |||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | 1,965,000 | 253,361 | 253,476 | 115 | ||||||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | 260,000 | 192,231 | 192,831 | 600 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$1,029,151 | $1,019,560 | $(9,591 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | (454,294 | ) | $(362,992 | ) | $(363,349 | ) | $(357 | ) | ||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (62,000 | ) | (66,790 | ) | (66,515 | ) | 275 | |||||||||||
Danish Krone, Expiring 09/16/15 | Credit Suisse International | DKK | (1,830,000 | ) | (274,361 | ) | (274,087 | ) | 274 | |||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (552,000 | ) | (625,421 | ) | (616,070 | ) | 9,351 | |||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | (737,000 | ) | (94,221 | ) | (93,829 | ) | 392 | |||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | (2,573,000 | ) | (311,006 | ) | (310,884 | ) | 122 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
32
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | (60,000 | ) | $ (44,636 | ) | $ (44,499 | ) | $ 137 | |||||||||||
|
|
|
|
|
| |||||||||||||||
(1,779,427 | ) | (1,769,233 | ) | 10,194 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(750,276 | ) | $(749,673 | ) | $603 | ||||||||||||||||
|
|
|
|
|
|
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
HKD - Hong Kong Dollar
NOK - Norwegian Krone
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
Total Return Basket Swaps* Outstanding at June 30, 2015
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 4-12 months maturity 10/14/2015 | $428,558 | |||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Domtar Corp. | 2,500 | $ | 102,688 | $ | 812 | |||||||
|
| |||||||||||
Ireland | ||||||||||||
Accenture PLC | 218 | 21,074 | 24 | |||||||||
Medtronic PLC | 400 | 30,266 | (626 | ) | ||||||||
|
| |||||||||||
(602 | ) | |||||||||||
|
| |||||||||||
Singapore | ||||||||||||
Flextronics International Ltd. | 16,000 | 188,986 | (8,026 | ) | ||||||||
|
| |||||||||||
Switzerland | ||||||||||||
ACE Ltd. | 50 | 5,252 | (168 | ) | ||||||||
TE Connectivity Ltd. | 200 | 13,004 | (144 | ) | ||||||||
|
| |||||||||||
(312 | ) | |||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom | ||||||||||||
Delphi Automotive PLC | 1,300 | $ | 97,034 | $ | 13,582 | |||||||
International Game Technology PLC | 1,002 | 17,996 | (200 | ) | ||||||||
Pentair PLC | 100 | 6,399 | 476 | |||||||||
|
| |||||||||||
13,858 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
3M Co. | 780 | 124,770 | (4,416 | ) | ||||||||
AbbVie, Inc. | 3,900 | 235,051 | 26,990 | |||||||||
Activision Blizzard, Inc. | 3,400 | 73,859 | 8,455 | |||||||||
Aetna, Inc. | 2,400 | 223,041 | 82,863 | |||||||||
Aflac, Inc. | 2,300 | 143,080 | (20 | ) | ||||||||
Akamai Technologies, Inc. | 2,400 | 166,199 | 1,369 | |||||||||
Alaska Air Group, Inc. | 800 | 42,391 | 9,153 | |||||||||
Allstate Corp./The | 939 | 63,122 | (2,209 | ) | ||||||||
Ally Financial, Inc. | 2,500 | 53,353 | 2,722 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
33
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Alnylam Pharmaceuticals, Inc. | 400 | $ | 37,928 | $ | 10,020 | |||||||
Altria Group, Inc. | 2,033 | 106,145 | (6,711 | ) | ||||||||
Amazon.com, Inc. | 97 | 41,919 | 188 | |||||||||
Amdocs Ltd. | 6,019 | 324,127 | 4,450 | |||||||||
American Airlines Group, Inc. | 2,300 | 116,866 | (25,016 | ) | ||||||||
American Electric Power Co., Inc. | 300 | 16,027 | (136 | ) | ||||||||
American Express Co. | 100 | 8,113 | (341 | ) | ||||||||
American International Group, Inc. | 600 | 32,925 | 4,167 | |||||||||
Ameriprise Financial, Inc. | 1,000 | 126,043 | (1,113 | ) | ||||||||
AmerisourceBergen Corp. | 2,443 | 256,008 | 3,781 | |||||||||
Amgen, Inc. | 1,800 | 275,513 | 823 | |||||||||
ANSYS, Inc. | 201 | 15,345 | 2,994 | |||||||||
Anthem, Inc. | 1,300 | 185,657 | 27,725 | |||||||||
AO Smith Corp. | 1,101 | 67,321 | 11,929 | |||||||||
Apollo Education Group, Inc. | 2,200 | 56,312 | (27,976 | ) | ||||||||
Apple, Inc. | 600 | 72,625 | 2,630 | |||||||||
Applied Materials, Inc. | 300 | 6,213 | (447 | ) | ||||||||
Archer-Daniels-Midland Co. | 3,561 | 176,357 | (4,646 | ) | ||||||||
Arrow Electronics, Inc. | 3,000 | 178,631 | (11,231 | ) | ||||||||
Assurant, Inc. | 1,100 | 68,207 | 5,493 | |||||||||
Assured Guaranty Ltd. | 2,478 | 68,054 | (8,607 | ) | ||||||||
Atmel Corp. | 4,300 | 34,089 | 8,287 | |||||||||
Atwood Oceanics, Inc. | 800 | 24,236 | (3,084 | ) | ||||||||
Automatic Data Processing, Inc. | 952 | 80,516 | (4,137 | ) | ||||||||
AutoNation, Inc. | 100 | 6,350 | (52 | ) | ||||||||
Avnet, Inc. | 5,500 | 244,356 | (18,251 | ) | ||||||||
Avon Products, Inc. | 14,300 | 118,059 | (28,541 | ) | ||||||||
Bank of America Corp. | 3,200 | 50,055 | 4,409 | |||||||||
Becton Dickinson and Co. | 326 | 46,605 | (427 | ) | ||||||||
Bed Bath & Beyond, Inc. | 300 | 22,955 | (2,261 | ) | ||||||||
Bemis Co., Inc. | 2,271 | 104,505 | (2,287 | ) | ||||||||
Best Buy Co., Inc. | 3,800 | 142,958 | (19,040 | ) | ||||||||
Big Lots, Inc. | 3,800 | 171,032 | (70 | ) | ||||||||
Biogen, Inc. | 600 | 220,835 | 21,529 | |||||||||
BioMarin Pharmaceutical, Inc. | 1,200 | 145,713 | 18,423 | |||||||||
Boeing Co./The | 400 | 61,228 | (5,740 | ) | ||||||||
Boston Scientific Corp. | 1,500 | 24,533 | 2,017 | |||||||||
Brinker International, Inc. | 600 | 31,718 | 2,872 | |||||||||
Bristol-Myers Squibb Co. | 300 | 19,010 | 952 | |||||||||
Broadridge Financial Solutions, Inc. | 3,149 | 166,437 | (8,955 | ) | ||||||||
Brocade Communications Systems, Inc. | 21,174 | 242,991 | 8,556 | |||||||||
Brunswick Corp./DE | 500 | 26,663 | (1,233 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Bunge Ltd. | 1,370 | $ | 123,293 | $ | (3,007 | ) | ||||||
CA, Inc. | 1,560 | 43,060 | 2,632 | |||||||||
California Resources Corp. | 11,100 | 78,960 | (11,916 | ) | ||||||||
Cameron International Corp. | 2,200 | 104,242 | 10,972 | |||||||||
Capital One Financial Corp. | 200 | 16,051 | 1,543 | |||||||||
Cardinal Health, Inc. | 100 | 8,885 | (520 | ) | ||||||||
Carter’s, Inc. | 1,400 | 128,197 | 20,623 | |||||||||
Caterpillar, Inc. | 100 | 8,448 | 34 | |||||||||
CBOE Holdings, Inc. | 300 | 16,356 | 810 | |||||||||
CDW Corp. | 3,100 | 117,839 | (11,571 | ) | ||||||||
Celanese Corp. | 1,400 | 79,439 | 21,193 | |||||||||
Celgene Corp. | 500 | 57,448 | 420 | |||||||||
Centene Corp. | 951 | 60,029 | 16,431 | |||||||||
CF Industries Holdings, Inc. | 1,000 | 60,372 | 3,908 | |||||||||
Chico’s FAS, Inc. | 2,900 | 49,679 | (1,452 | ) | ||||||||
Chubb Corp./The | 55 | 5,304 | (71 | ) | ||||||||
Cigna Corp. | 800 | 87,935 | 41,665 | |||||||||
Cintas Corp. | 1,200 | 95,540 | 5,968 | |||||||||
Cisco Systems, Inc. | 13,300 | 370,049 | (4,831 | ) | ||||||||
CIT Group, Inc. | 600 | 27,914 | (20 | ) | ||||||||
Citrix Systems, Inc. | 800 | 49,883 | 6,245 | |||||||||
Clorox Co./The | 95 | 10,123 | (241 | ) | ||||||||
Coach, Inc. | 1,600 | 58,352 | (2,976 | ) | ||||||||
Coca-Cola Co./The | 633 | 25,976 | (1,144 | ) | ||||||||
Coca-Cola Enterprises, Inc. | 5,684 | 256,850 | (9,937 | ) | ||||||||
Cognizant Technology Solutions Corp. | 500 | 22,095 | 8,450 | |||||||||
Community Health Systems, Inc. | 1,798 | 88,268 | 24,952 | |||||||||
CommVault Systems, Inc. | 118 | 5,549 | (544 | ) | ||||||||
Computer Sciences Corp. | 1,200 | 74,617 | 4,151 | |||||||||
Consolidated Edison, Inc. | 92 | 5,692 | (367 | ) | ||||||||
Con-way, Inc. | 1,200 | 54,179 | (8,135 | ) | ||||||||
Corning, Inc. | 9,500 | 214,184 | (26,749 | ) | ||||||||
CR Bard, Inc. | 473 | 80,889 | (148 | ) | ||||||||
Crane Co. | 665 | 41,467 | (2,412 | ) | ||||||||
CSX Corp. | 2,600 | 91,249 | (6,359 | ) | ||||||||
Cummins, Inc. | 1,000 | 137,345 | (6,155 | ) | ||||||||
CVS Health Corp. | 1,100 | 110,840 | 4,529 | |||||||||
Danaher Corp. | 1,320 | 111,134 | 1,844 | |||||||||
Darden Restaurants, Inc. | 217 | 14,399 | 1,026 | |||||||||
Dean Foods Co. | 1,958 | 34,464 | (2,803 | ) | ||||||||
Deckers Outdoor Corp. | 2,500 | 187,335 | (7,410 | ) | ||||||||
Delta Air Lines, Inc. | 3,300 | 137,339 | (1,775 | ) | ||||||||
Denbury Resources, Inc. | 12,300 | 96,137 | (17,909 | ) | ||||||||
DENTSPLY International, Inc. | 342 | 17,855 | (225 | ) | ||||||||
Devon Energy Corp. | 100 | 6,534 | (585 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
34
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Dick’s Sporting Goods, Inc. | 1,145 | $ | 61,107 | $ | (1,831 | ) | ||||||
Dillard’s, Inc. | 800 | 95,124 | (10,972 | ) | ||||||||
Discover Financial Services | 600 | 35,746 | (1,174 | ) | ||||||||
Dollar General Corp. | 1,300 | 89,723 | 11,339 | |||||||||
Dollar Tree, Inc. | 1,700 | 124,519 | 9,764 | |||||||||
Dover Corp. | 100 | 7,685 | (667 | ) | ||||||||
Dow Chemical Co./The | 700 | 32,659 | 3,161 | |||||||||
DR Horton, Inc. | 900 | 23,774 | 850 | |||||||||
Dr. Pepper Snapple Group, Inc. | 2,362 | 174,404 | (2,215 | ) | ||||||||
DST Systems, Inc. | 360 | 40,606 | 4,747 | |||||||||
DSW, Inc. | 500 | 18,066 | (1,381 | ) | ||||||||
DTE Energy Co. | 2,252 | 168,870 | (780 | ) | ||||||||
Dun & Bradstreet Corp./The | 1,800 | 232,872 | (13,272 | ) | ||||||||
eBay, Inc. | 2,592 | 147,910 | 8,232 | |||||||||
Edwards Lifesciences Corp. | 1,400 | 180,786 | 18,616 | |||||||||
Electronic Arts, Inc. | 2,600 | 134,071 | 38,829 | |||||||||
EMC Corp. | 200 | 5,688 | (410 | ) | ||||||||
Emerson Electric Co. | 300 | 18,350 | (1,721 | ) | ||||||||
EOG Resources, Inc. | 411 | 38,677 | (2,694 | ) | ||||||||
Equifax, Inc. | 1,773 | 175,421 | (3,281 | ) | ||||||||
Estee Lauder Cos., Inc./The | 900 | 75,645 | 2,349 | |||||||||
Everest Re Group Ltd. | 183 | 33,297 | 10 | |||||||||
Expedia, Inc. | 1,500 | 137,657 | 26,368 | |||||||||
Express Scripts Holding Co. | 300 | 25,391 | 1,291 | |||||||||
FactSet Research Systems, Inc. | 32 | 5,314 | (113 | ) | ||||||||
Fairchild Semiconductor International, Inc. | 6,000 | 96,473 | 7,807 | |||||||||
FedEx Corp. | 500 | 87,933 | (2,733 | ) | ||||||||
First Solar, Inc. | 2,984 | 176,759 | (36,571 | ) | ||||||||
Flowserve Corp. | 100 | 6,620 | (1,354 | ) | ||||||||
Fluor Corp. | 600 | 33,527 | (1,721 | ) | ||||||||
Foot Locker, Inc. | 2,200 | 125,397 | 22,025 | |||||||||
Ford Motor Co. | 1,300 | 21,517 | (2,004 | ) | ||||||||
Fossil Group, Inc. | 300 | 28,774 | (7,966 | ) | ||||||||
Franklin Resources, Inc. | 300 | 15,874 | (1,165 | ) | ||||||||
Gannett Co., Inc. | 750 | — | 10,492 | |||||||||
Gap, Inc./The | 3,900 | 161,072 | (12,209 | ) | ||||||||
General Dynamics Corp. | 1,700 | 232,605 | 8,268 | |||||||||
General Electric Co. | 3,900 | 98,464 | 5,159 | |||||||||
General Motors Co. | 4,500 | 163,810 | (13,825 | ) | ||||||||
Gilead Sciences, Inc. | 2,800 | 276,517 | 51,307 | |||||||||
Goldman Sachs Group, Inc./The | 2,700 | 510,491 | 53,242 | |||||||||
Goodyear Tire & Rubber Co./The | 4,100 | 109,194 | 14,421 | |||||||||
Google, Inc. | 338 | 186,901 | (4,367 | ) | ||||||||
Graham Holdings Co. | 107 | 113,505 | 1,525 | |||||||||
Groupon, Inc. | 6,289 | 36,686 | (5,052 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
H&R Block, Inc. | 1,754 | $ | 54,558 | $ | (2,552 | ) | ||||||
Harley-Davidson, Inc. | 500 | 31,996 | (3,821 | ) | ||||||||
Harman International Industries, Inc. | 300 | 38,253 | (2,571 | ) | ||||||||
Harris Corp. | 100 | 6,414 | 1,277 | |||||||||
HCA Holdings, Inc. | 1,700 | 122,921 | 31,303 | |||||||||
Health Net, Inc. | 6,331 | 358,981 | 46,963 | |||||||||
Helix Energy Solutions Group, Inc. | 6,800 | 100,273 | (14,388 | ) | ||||||||
Hewlett-Packard Co. | 10,000 | 352,186 | (52,086 | ) | ||||||||
HollyFrontier Corp. | 2,100 | 78,290 | 11,359 | |||||||||
Home Depot, Inc./The | 800 | 85,734 | 3,170 | |||||||||
Hormel Foods Corp. | 92 | 5,238 | (52 | ) | ||||||||
Hubbell, Inc. | 100 | 11,206 | (378 | ) | ||||||||
Humana, Inc. | 700 | 94,928 | 38,968 | |||||||||
Huntington Ingalls Industries, Inc. | 2,596 | 336,305 | (44,021 | ) | ||||||||
IAC/InterActiveCorp. | 1,510 | 97,119 | 23,168 | |||||||||
IDEX Corp. | 100 | 6,953 | 905 | |||||||||
IHS, Inc. | 200 | 23,540 | 2,186 | |||||||||
Illinois Tool Works, Inc. | 100 | 8,153 | 1,026 | |||||||||
Informatica Corp. | 1,581 | 76,565 | 66 | |||||||||
Integrated Device Technology, Inc. | 13,000 | 264,423 | 17,677 | |||||||||
Intel Corp. | 7,600 | 246,253 | (15,099 | ) | ||||||||
International Business Machines Corp. | 600 | 99,846 | (2,250 | ) | ||||||||
International Paper Co. | 5,739 | 299,975 | (26,856 | ) | ||||||||
Interpublic Group of Cos., Inc./The | 4,362 | 92,832 | (8,776 | ) | ||||||||
Intuit, Inc. | 656 | 63,762 | 2,343 | |||||||||
Invesco Ltd. | 2,600 | 102,681 | (5,207 | ) | ||||||||
ITT Corp. | 1,100 | 45,212 | 812 | |||||||||
Jabil Circuit, Inc. | 900 | 17,507 | 1,654 | |||||||||
Jacobs Engineering Group, Inc. | 1,590 | 66,280 | (1,694 | ) | ||||||||
Janus Capital Group, Inc. | 1,900 | 33,195 | (667 | ) | ||||||||
Johnson & Johnson | 1,200 | 121,901 | (4,949 | ) | ||||||||
JPMorgan Chase & Co. | 4,100 | 245,066 | 32,750 | |||||||||
Juniper Networks, Inc. | 1,153 | 25,094 | 4,849 | |||||||||
KBR, Inc. | 5,400 | 89,657 | 15,535 | |||||||||
Kimberly-Clark Corp. | 1,383 | 149,795 | (3,239 | ) | ||||||||
Kohl’s Corp. | 500 | 38,946 | (7,641 | ) | ||||||||
Kroger Co./The | 1,267 | 96,288 | (4,418 | ) | ||||||||
L Brands, Inc. | 1,300 | 120,145 | (8,696 | ) | ||||||||
L-3 Communications Holdings, Inc. | 400 | 46,045 | (693 | ) | ||||||||
Lam Research Corp. | 300 | 23,973 | 432 | |||||||||
Lear Corp. | 1,200 | 123,938 | 10,774 | |||||||||
Lennox International, Inc. | 100 | 7,570 | 3,199 | |||||||||
Lexmark International, Inc. | 2,500 | 102,137 | 8,363 | |||||||||
Liberty Interactive Corp. QVC Group | 1,300 | 37,770 | (1,695 | ) | ||||||||
LifePoint Health, Inc. | 300 | 21,463 | 4,622 | |||||||||
Lincoln Electric Holdings, Inc. | 900 | 61,009 | (6,208 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
35
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Lincoln National Corp. | 2,800 | $ | 157,049 | $ | 8,767 | |||||||
Lockheed Martin Corp. | 200 | 34,637 | 2,543 | |||||||||
Lowe’s Cos., Inc. | 1,900 | 134,589 | (7,346 | ) | ||||||||
LyondellBasell Industries NV | 2,000 | 178,023 | 29,017 | |||||||||
Macy’s, Inc. | 900 | 57,412 | 3,311 | |||||||||
ManpowerGroup, Inc. | 3,325 | 265,611 | 31,577 | |||||||||
Marathon Oil Corp. | 1,250 | 36,110 | (2,935 | ) | ||||||||
Marathon Petroleum Corp. | 3,800 | 182,444 | 16,334 | |||||||||
Marvell Technology Group Ltd. | 10,700 | 157,645 | (16,565 | ) | ||||||||
Masco Corp. | 3,420 | 92,502 | (1,291 | ) | ||||||||
McGraw Hill Financial, Inc. | 114 | 9,657 | 1,794 | |||||||||
Medivation, Inc. | 915 | 100,596 | 3,897 | |||||||||
Merck & Co., Inc. | 3,200 | 186,505 | (4,329 | ) | ||||||||
MetLife, Inc. | 6,100 | 309,943 | 31,596 | |||||||||
Micron Technology, Inc. | 3,600 | 106,567 | (38,743 | ) | ||||||||
Microsoft Corp. | 6,200 | 263,320 | 10,410 | |||||||||
Molson Coors Brewing Co. | 700 | 54,400 | (5,533 | ) | ||||||||
Mondelez International, Inc. | 500 | 18,011 | 2,559 | |||||||||
Monster Beverage Corp. | 300 | 28,199 | 12,007 | |||||||||
Moody’s Corp. | 375 | 40,568 | (83 | ) | ||||||||
MSCI, Inc. | 735 | 45,500 | (261 | ) | ||||||||
Murphy Oil Corp. | 565 | 26,238 | (2,751 | ) | ||||||||
Murphy USA, Inc. | 900 | 64,323 | (14,085 | ) | ||||||||
Nabors Industries Ltd. | 9,300 | 122,667 | 11,532 | |||||||||
NASDAQ OMX Group, Inc./The | 700 | 29,086 | 5,081 | |||||||||
National Oilwell Varco, Inc. | 500 | 27,234 | (3,094 | ) | ||||||||
Navient Corp. | 7,000 | 139,366 | (11,896 | ) | ||||||||
NetApp, Inc. | 2,461 | 93,310 | (15,641 | ) | ||||||||
Newfield Exploration Co. | 3,000 | 97,503 | 10,857 | |||||||||
NIKE, Inc. | 1,900 | 178,349 | 26,889 | |||||||||
Nordstrom, Inc. | 300 | 23,920 | (1,570 | ) | ||||||||
Norfolk Southern Corp. | 100 | 10,851 | (2,115 | ) | ||||||||
Northrop Grumman Corp. | 1,400 | 215,329 | 6,753 | |||||||||
NVIDIA Corp. | 2,500 | 49,296 | 979 | |||||||||
Oil States International, Inc. | 700 | 32,714 | (6,653 | ) | ||||||||
ON Semiconductor Corp. | 11,100 | 122,434 | 7,325 | |||||||||
Oracle Corp. | 3,300 | 135,949 | (2,959 | ) | ||||||||
Orbital ATK, Inc. | 500 | 35,581 | 1,099 | |||||||||
Owens Corning | 4,920 | 197,554 | 5,396 | |||||||||
Parker-Hannifin Corp. | 300 | 34,197 | 702 | |||||||||
PepsiCo, Inc. | 3,531 | 341,935 | (12,352 | ) | ||||||||
Pfizer, Inc. | 3,000 | 94,679 | 5,911 | |||||||||
PG&E Corp. | 2,930 | 149,684 | (5,821 | ) | ||||||||
Philip Morris International, Inc. | 162 | 13,841 | (854 | ) | ||||||||
Phillips 66 | 900 | 69,999 | 2,505 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Pilgrim’s Pride Corp. | 2,600 | $ | 74,455 | $ | (14,733 | ) | ||||||
Pinnacle West Capital Corp. | 726 | 41,509 | (207 | ) | ||||||||
Pitney Bowes, Inc. | 8,533 | 196,548 | (18,976 | ) | ||||||||
Procter & Gamble Co./The | 1,838 | 151,408 | (7,603 | ) | ||||||||
PTC, Inc. | 2,200 | 79,189 | 11,055 | |||||||||
Public Service Enterprise Group, Inc. | 6,959 | 284,329 | (10,980 | ) | ||||||||
PulteGroup, Inc. | 1,300 | 23,728 | 2,467 | |||||||||
QUALCOMM, Inc. | 200 | 14,341 | (1,815 | ) | ||||||||
Quanta Services, Inc. | 1,024 | 29,812 | (301 | ) | ||||||||
Quintiles Transnational Holdings, Inc. | 640 | 40,828 | 5,642 | |||||||||
Rackspace Hosting, Inc. | 3,763 | 146,857 | (6,911 | ) | ||||||||
Ralph Lauren Corp. | 1,100 | 153,106 | (7,510 | ) | ||||||||
Raytheon Co. | 1,100 | 114,506 | (9,258 | ) | ||||||||
Regal Beloit Corp. | 600 | 46,833 | (3,279 | ) | ||||||||
Reinsurance Group of America, Inc. | 1,100 | 94,266 | 10,091 | |||||||||
Rent-A-Center, Inc. | 200 | 5,557 | 113 | |||||||||
Republic Services, Inc. | 801 | 32,374 | (998 | ) | ||||||||
Rite Aid Corp. | 5,600 | 35,305 | 11,455 | |||||||||
Robert Half International, Inc. | 600 | 36,172 | (2,872 | ) | ||||||||
Rock-Tenn Co. | 1,700 | 100,353 | 1,987 | |||||||||
Rockwell Automation, Inc. | 100 | 11,343 | 1,121 | |||||||||
Ross Stores, Inc. | 3,200 | 156,462 | (910 | ) | ||||||||
Santander Consumer USA Holdings, Inc. | 1,573 | 37,365 | 2,856 | |||||||||
Seagate Technology PLC | 1,200 | 72,050 | (15,050 | ) | ||||||||
SEI Investments Co. | 600 | 21,433 | 7,985 | |||||||||
Skyworks Solutions, Inc. | 1,300 | 87,265 | 48,065 | |||||||||
SM Energy Co. | 2,700 | 133,089 | (8,565 | ) | ||||||||
Snap-on, Inc. | 100 | 11,781 | 4,144 | |||||||||
SolarWinds, Inc. | 573 | 28,550 | (2,117 | ) | ||||||||
Southwest Airlines Co. | 4,700 | 202,936 | (47,413 | ) | ||||||||
Spirit AeroSystems Holdings, Inc. | 5,382 | 268,589 | 28,013 | |||||||||
SPX Corp. | 400 | 35,967 | (7,011 | ) | ||||||||
St. Jude Medical, Inc. | 200 | 13,489 | 1,125 | |||||||||
Staples, Inc. | 7,000 | 116,619 | (9,449 | ) | ||||||||
State Street Corp. | 800 | 58,416 | 3,184 | |||||||||
Steel Dynamics, Inc. | 2,200 | 42,808 | 2,765 | |||||||||
Stryker Corp. | 219 | 20,669 | 261 | |||||||||
Superior Energy Services, Inc. | 1,200 | 26,059 | (811 | ) | ||||||||
SUPERVALU, Inc. | 17,300 | 173,446 | (33,489 | ) | ||||||||
Symantec Corp. | 5,700 | 136,234 | (3,709 | ) | ||||||||
Synopsys, Inc. | 1,899 | 93,741 | 2,444 | |||||||||
Target Corp. | 3,011 | 241,100 | 4,688 | |||||||||
TEGNA, Inc. | 1,500 | 50,964 | (2,859 | ) | ||||||||
Teradyne, Inc. | 3,400 | 66,731 | (1,145 | ) | ||||||||
Terex Corp. | 5,400 | 144,159 | (18,609 | ) | ||||||||
Tesoro Corp. | 200 | 17,536 | (654 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
36
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Texas Instruments, Inc. | 1,400 | $ | 79,336 | $ | (7,222 | ) | ||||||
Thoratec Corp. | 700 | 18,561 | 12,638 | |||||||||
Time Warner, Inc. | 500 | 38,812 | 4,893 | |||||||||
Timken Co./The | 1,000 | 40,483 | (3,913 | ) | ||||||||
TJX Cos., Inc./The | 2,400 | 162,003 | (3,195 | ) | ||||||||
Travelers Cos., Inc./The | 865 | 86,090 | (2,479 | ) | ||||||||
Trinity Industries, Inc. | 2,200 | 68,065 | (9,919 | ) | ||||||||
Triumph Group, Inc. | 100 | 5,929 | 670 | |||||||||
Tyco International PLC | 129 | 5,444 | (481 | ) | ||||||||
Tyson Foods, Inc. | 300 | 12,348 | 441 | |||||||||
UGI Corp. | 400 | 13,665 | 115 | |||||||||
Union Pacific Corp. | 300 | 35,218 | (6,607 | ) | ||||||||
United Continental Holdings, Inc. | 3,400 | 222,364 | (42,130 | ) | ||||||||
United States Steel Corp. | 1,900 | 47,751 | (8,573 | ) | ||||||||
United Therapeutics Corp. | 1,000 | 137,152 | 36,798 | |||||||||
UnitedHealth Group, Inc. | 2,500 | 288,471 | 16,529 | |||||||||
Universal Health Services, Inc. | 900 | 103,303 | 24,587 | |||||||||
Unum Group | 3,000 | 100,020 | 7,230 | |||||||||
Urban Outfitters, Inc. | 800 | 27,922 | 78 | |||||||||
Valero Energy Corp. | 6,200 | 359,566 | 28,554 | |||||||||
Validus Holdings Ltd. | 123 | 5,301 | 110 | |||||||||
VCA, Inc. | 200 | 7,855 | 3,026 | |||||||||
VeriSign, Inc. | 900 | 55,690 | (142 | ) | ||||||||
VF Corp. | 1,400 | 106,169 | (8,533 | ) | ||||||||
Viacom, Inc. | 1,035 | 70,800 | (3,898 | ) | ||||||||
Voya Financial, Inc. | 900 | 38,797 | 3,026 | |||||||||
WABCO Holdings, Inc. | 200 | 17,272 | 7,472 | |||||||||
Waddell & Reed Financial, Inc. | 1,000 | 48,187 | (877 | ) | ||||||||
Walgreens Boots Alliance, Inc. | 400 | 26,993 | 6,783 | |||||||||
Wal-Mart Stores, Inc. | 2,000 | 164,002 | (22,142 | ) | ||||||||
Waste Management, Inc. | 779 | 38,079 | (1,973 | ) | ||||||||
Western Digital Corp. | 1,610 | 156,767 | (30,511 | ) | ||||||||
Western Refining, Inc. | 3,300 | 155,913 | (11,967 | ) | ||||||||
Westlake Chemical Corp. | 500 | 33,099 | 1,196 | |||||||||
Whirlpool Corp. | 400 | 73,829 | (4,609 | ) | ||||||||
Whiting Petroleum Corp. | 800 | 24,945 | 1,935 | |||||||||
Williams-Sonoma, Inc. | 300 | 23,102 | 1,579 | |||||||||
WPX Energy, Inc. | 1,323 | 18,754 | (2,508 | ) | ||||||||
Wyndham Worldwide Corp. | 400 | 34,000 | (1,236 | ) | ||||||||
Xerox Corp. | 5,145 | 66,506 | (11,763 | ) | ||||||||
Xilinx, Inc. | 901 | 35,581 | 4,207 | |||||||||
Yahoo!, Inc. | 3,563 | 155,654 | (15,663 | ) | ||||||||
Zimmer Biomet Holdings, Inc. | 600 | 66,384 | (846 | ) | ||||||||
Zoetis, Inc. | 400 | 18,897 | 391 | |||||||||
|
| |||||||||||
305,014 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 310,744 | |||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Restaurant Brands International, Inc. | (10,200 | ) | $ | (397,637 | ) | $ | 7,895 | |||||
|
| |||||||||||
Ireland | ||||||||||||
Alkermes PLC | (2,300 | ) | (127,376 | ) | (20,606 | ) | ||||||
Endo International PLC | (2,497 | ) | (192,593 | ) | (6,293 | ) | ||||||
|
| |||||||||||
(26,899 | ) | |||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Core Laboratories NV | (2,000 | ) | (240,709 | ) | 12,629 | |||||||
Sensata Technologies Holding NV | (7,500 | ) | (405,372 | ) | 9,822 | |||||||
|
| |||||||||||
22,451 | ||||||||||||
|
| |||||||||||
Norway | ||||||||||||
Golar LNG Ltd. | (1,700 | ) | (56,490 | ) | (23,070 | ) | ||||||
|
| |||||||||||
Panama | ||||||||||||
Copa Holdings SA | (1,406 | ) | (144,881 | ) | 28,760 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Weatherford International PLC | (4,800 | ) | (57,421 | ) | (1,475 | ) | ||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aon PLC | (100 | ) | (9,722 | ) | (246 | ) | ||||||
Ensco PLC | (800 | ) | (24,878 | ) | 7,062 | |||||||
Michael Kors Holdings Ltd. | (900 | ) | (67,470 | ) | 29,589 | |||||||
Willis Group Holdings PLC | (2,800 | ) | (123,739 | ) | (7,581 | ) | ||||||
|
| |||||||||||
28,824 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
Advance Auto Parts, Inc. | (1,100 | ) | (169,228 | ) | (5,991 | ) | ||||||
AECOM | (7,700 | ) | (235,605 | ) | (19,111 | ) | ||||||
Air Lease Corp. | (1,000 | ) | (36,345 | ) | 2,445 | |||||||
Akorn, Inc. | (3,091 | ) | (149,519 | ) | 14,566 | |||||||
Albemarle Corp. | (1,018 | ) | (64,994 | ) | 8,729 | |||||||
Alcoa, Inc. | (2,800 | ) | (45,068 | ) | 13,848 | |||||||
Alexion Pharmaceuticals, Inc. | (270 | ) | (44,921 | ) | (3,887 | ) | ||||||
Align Technology, Inc. | (1,500 | ) | (83,289 | ) | (10,776 | ) | ||||||
Allegheny Technologies, Inc. | (4,300 | ) | (140,180 | ) | 10,320 | |||||||
Allergan PLC | (500 | ) | (136,789 | ) | (14,941 | ) | ||||||
Alliance Data Systems Corp. | (1,300 | ) | (368,369 | ) | (11,153 | ) | ||||||
AMC Networks, Inc. | (300 | ) | (19,373 | ) | (5,182 | ) | ||||||
AMETEK, Inc. | (400 | ) | (19,787 | ) | (2,125 | ) | ||||||
Amphenol Corp. | (202 | ) | (9,902 | ) | (1,808 | ) | ||||||
Anadarko Petroleum Corp. | (74 | ) | (6,223 | ) | 446 | |||||||
Antero Resources Corp. | (1,300 | ) | (46,122 | ) | 1,480 | |||||||
Apache Corp. | (200 | ) | (12,550 | ) | 1,024 | |||||||
ARRIS Group, Inc. | (4,193 | ) | (140,814 | ) | 12,508 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
37
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Arthur J Gallagher & Co. | (1,000 | ) | $ | (46,624 | ) | $ | (676 | ) | ||||
AT&T, Inc. | (300 | ) | (10,443 | ) | (213 | ) | ||||||
Avis Budget Group, Inc. | (900 | ) | (53,570 | ) | 13,898 | |||||||
B/E Aerospace, Inc. | (1,105 | ) | (67,646 | ) | 6,981 | |||||||
BorgWarner, Inc. | (4,057 | ) | (244,304 | ) | 13,705 | |||||||
Brookdale Senior Living, Inc. | (8,643 | ) | (311,128 | ) | 11,216 | |||||||
Brown-Forman Corp. | (529 | ) | (48,265 | ) | (4,731 | ) | ||||||
Cabela’s, Inc. | (2,400 | ) | (136,810 | ) | 16,858 | |||||||
Cabot Oil & Gas Corp. | (5,100 | ) | (147,423 | ) | (13,431 | ) | ||||||
Campbell Soup Co. | (600 | ) | (26,454 | ) | (2,136 | ) | ||||||
CarMax, Inc. | (3,500 | ) | (226,861 | ) | (4,874 | ) | ||||||
CDK Global, Inc. | (953 | ) | (44,273 | ) | (7,170 | ) | ||||||
CenterPoint Energy, Inc. | (800 | ) | (16,555 | ) | 1,331 | |||||||
CenturyLink, Inc. | (1,400 | ) | (54,797 | ) | 13,665 | |||||||
CH Robinson Worldwide, Inc. | (100 | ) | (6,496 | ) | 257 | |||||||
Charles River Laboratories International, Inc. | (592 | ) | (41,688 | ) | 47 | |||||||
Charles Schwab Corp./The | (12,738 | ) | (399,074 | ) | (16,822 | ) | ||||||
Cheniere Energy, Inc. | (2,215 | ) | (161,430 | ) | 8,019 | |||||||
Chipotle Mexican Grill, Inc. | (200 | ) | (132,861 | ) | 11,863 | |||||||
Ciena Corp. | (5,720 | ) | (110,618 | ) | (24,832 | ) | ||||||
Cimarex Energy Co. | (500 | ) | (56,462 | ) | 1,307 | |||||||
Citigroup, Inc. | (300 | ) | (15,459 | ) | (1,113 | ) | ||||||
Clean Harbors, Inc. | (4,200 | ) | (220,663 | ) | (5,045 | ) | ||||||
CME Group, Inc. | (100 | ) | (9,367 | ) | 61 | |||||||
Cobalt International Energy, Inc. | (19,700 | ) | (189,676 | ) | (1,611 | ) | ||||||
Colfax Corp. | (2,600 | ) | (126,117 | ) | 6,127 | |||||||
Concho Resources, Inc. | (1,300 | ) | (149,996 | ) | 1,978 | |||||||
CONSOL Energy, Inc. | (6,883 | ) | (204,957 | ) | 55,321 | |||||||
Constellation Brands, Inc. | (988 | ) | (113,917 | ) | (711 | ) | ||||||
Cooper Cos., Inc./The | (400 | ) | (64,318 | ) | (6,870 | ) | ||||||
CoStar Group, Inc. | (700 | ) | (129,779 | ) | (11,103 | ) | ||||||
Cree, Inc. | (300 | ) | (10,499 | ) | 2,690 | |||||||
Crown Holdings, Inc. | (700 | ) | (31,107 | ) | (5,930 | ) | ||||||
Cullen/Frost Bankers, Inc. | (1,000 | ) | (72,036 | ) | (6,544 | ) | ||||||
Cypress Semiconductor Corp. | (5,600 | ) | (84,222 | ) | 18,366 | |||||||
DaVita HealthCare Partners, Inc. | (1,500 | ) | (112,366 | ) | (6,839 | ) | ||||||
Discovery Communications, Inc. | (1,726 | ) | (55,605 | ) | (1,802 | ) | ||||||
DISH Network Corp. | (163 | ) | (10,942 | ) | (95 | ) | ||||||
Dominion Resources, Inc. | (2,600 | ) | (187,868 | ) | 14,006 | |||||||
Dril-Quip, Inc. | (100 | ) | (7,658 | ) | 133 | |||||||
Dunkin’ Brands Group, Inc. | (800 | ) | (35,939 | ) | (8,061 | ) | ||||||
E*TRADE Financial Corp. | (4,062 | ) | (104,090 | ) | (17,567 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Eagle Materials, Inc. | (700 | ) | $ | (57,209 | ) | $ | 3,778 | |||||
Ecolab, Inc. | (800 | ) | (88,741 | ) | (1,715 | ) | ||||||
Energen Corp. | (800 | ) | (54,159 | ) | (481 | ) | ||||||
Envision Healthcare Holdings Inc | (8,000 | ) | (307,357 | ) | (8,483 | ) | ||||||
EQT Corp. | (1,100 | ) | (91,896 | ) | 2,422 | |||||||
Eversource Energy | (1,800 | ) | (92,421 | ) | 10,683 | |||||||
Facebook, Inc. | (300 | ) | (23,511 | ) | (2,218 | ) | ||||||
Fastenal Co. | (2,600 | ) | (112,324 | ) | 2,656 | |||||||
FEI Co. | (1,000 | ) | (80,579 | ) | (2,351 | ) | ||||||
First Horizon National Corp. | (2,400 | ) | (30,301 | ) | (7,307 | ) | ||||||
First Niagara Financial Group, Inc. | (26,800 | ) | (233,220 | ) | (19,772 | ) | ||||||
First Republic Bank | (1,500 | ) | (80,017 | ) | (14,528 | ) | ||||||
FirstEnergy Corp. | (2,100 | ) | (74,981 | ) | 6,626 | |||||||
FleetCor Technologies, Inc. | (1,600 | ) | (241,772 | ) | (7,924 | ) | ||||||
FMC Corp. | (100 | ) | (5,782 | ) | 527 | |||||||
FMC Technologies, Inc. | (800 | ) | (34,401 | ) | 1,209 | |||||||
Forest City Enterprises, Inc. | (900 | ) | (22,735 | ) | 2,845 | |||||||
Fortinet, Inc. | (1,700 | ) | (56,493 | ) | (13,768 | ) | ||||||
Fortune Brands Home & Security, Inc. | (1,100 | ) | (47,995 | ) | (2,407 | ) | ||||||
Freeport-McMoRan, Inc. | (4,500 | ) | (87,536 | ) | 3,746 | |||||||
Frontier Communications Corp. | (35,000 | ) | (269,248 | ) | 95,998 | |||||||
Genesee & Wyoming, Inc. | (2,000 | ) | (184,858 | ) | 32,499 | |||||||
Gentex Corp. | (6,385 | ) | (110,083 | ) | 5,242 | |||||||
Genworth Financial, Inc. | (2,147 | ) | (17,727 | ) | 1,474 | |||||||
Hain Celestial Group, Inc./The | (2,100 | ) | (123,527 | ) | (14,779 | ) | ||||||
Halliburton Co. | (2,176 | ) | (99,755 | ) | 6,035 | |||||||
Hasbro, Inc. | (500 | ) | (27,632 | ) | (9,763 | ) | ||||||
Helmerich & Payne, Inc. | (1,545 | ) | (107,136 | ) | (1,662 | ) | ||||||
Hershey Co./The | (500 | ) | (52,568 | ) | 8,153 | |||||||
Hertz Global Holdings, Inc. | (9,400 | ) | (207,251 | ) | 36,923 | |||||||
Hexcel Corp. | (1,385 | ) | (64,140 | ) | (4,750 | ) | ||||||
Hologic, Inc. | (1,000 | ) | (24,347 | ) | (13,713 | ) | ||||||
HomeAway, Inc. | (900 | ) | (28,412 | ) | 404 | |||||||
Howard Hughes Corp./The | (700 | ) | (107,609 | ) | 7,131 | |||||||
Huntsman Corp. | (3,500 | ) | (76,662 | ) | (583 | ) | ||||||
IDEXX Laboratories, Inc. | (2,598 | ) | (168,635 | ) | 1,999 | |||||||
Illumina, Inc. | (753 | ) | (144,461 | ) | (19,965 | ) | ||||||
Incyte Corp. | (2,200 | ) | (157,852 | ) | (71,410 | ) | ||||||
IPG Photonics Corp. | (100 | ) | (8,076 | ) | (441 | ) | ||||||
ITC Holdings Corp. | (1,800 | ) | (65,830 | ) | 7,906 | |||||||
Jarden Corp. | (2,050 | ) | (102,577 | ) | (3,511 | ) | ||||||
Jazz Pharmaceuticals PLC | (1,700 | ) | (290,563 | ) | (8,756 | ) | ||||||
JB Hunt Transport Services, Inc. | (700 | ) | (56,214 | ) | (1,249 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
38
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
JDS Uniphase Corp. | (14,900 | ) | $ | (197,757 | ) | $ | 25,215 | |||||
JetBlue Airways Corp. | (4,306 | ) | (94,151 | ) | 4,759 | |||||||
Joy Global, Inc. | (132 | ) | (5,280 | ) | 501 | |||||||
Kansas City Southern | (2,300 | ) | (250,242 | ) | 40,482 | |||||||
KAR Auction Services, Inc. | (1,500 | ) | (48,529 | ) | (7,571 | ) | ||||||
Kate Spade & Co. | (6,709 | ) | (220,306 | ) | 75,794 | |||||||
KB Home | (714 | ) | (10,503 | ) | (1,349 | ) | ||||||
Keurig Green Mountain, Inc. | (2,700 | ) | (284,100 | ) | 77,199 | |||||||
Kinder Morgan, Inc. | (6,600 | ) | (275,610 | ) | 22,236 | |||||||
KLX, Inc. | (3,412 | ) | (147,776 | ) | (2,796 | ) | ||||||
Las Vegas Sands Corp. | (299 | ) | (17,367 | ) | 1,648 | |||||||
Lennar Corp. | (2,300 | ) | (103,245 | ) | (14,147 | ) | ||||||
Level 3 Communications, Inc. | (8,500 | ) | (447,622 | ) | (73 | ) | ||||||
LinkedIn Corp. | (700 | ) | (163,192 | ) | 18,551 | |||||||
Lions Gate Entertainment Corp. | (2,700 | ) | (83,960 | ) | (16,075 | ) | ||||||
Loews Corp. | (4,519 | ) | (186,414 | ) | 12,387 | |||||||
Louisiana-Pacific Corp. | (11,438 | ) | (179,141 | ) | (15,648 | ) | ||||||
Mallinckrodt PLC | (600 | ) | (63,698 | ) | (6,934 | ) | ||||||
Manitowoc Co., Inc./The | (700 | ) | (14,898 | ) | 1,178 | |||||||
Martin Marietta Materials, Inc. | (1,600 | ) | (190,550 | ) | (35,866 | ) | ||||||
Mattel, Inc. | (729 | ) | (19,609 | ) | 881 | |||||||
McKesson Corp. | (200 | ) | (44,649 | ) | (313 | ) | ||||||
MDU Resources Group, Inc. | (11,667 | ) | (257,463 | ) | 29,607 | |||||||
MEDNAX, Inc. | (1,000 | ) | (70,707 | ) | (3,403 | ) | ||||||
MGM Resorts International | (6,800 | ) | (146,360 | ) | 22,260 | |||||||
Motorola Solutions, Inc. | (800 | ) | (51,705 | ) | 5,833 | |||||||
MRC Global, Inc. | (4,931 | ) | (57,426 | ) | (18,709 | ) | ||||||
MSC Industrial Direct Co., Inc. | (1,793 | ) | (133,245 | ) | 8,148 | |||||||
National Fuel Gas Co. | (3,600 | ) | (236,288 | ) | 24,284 | |||||||
Navistar International Corp. | (1,200 | ) | (37,722 | ) | 10,566 | |||||||
NCR Corp. | (2,200 | ) | (65,900 | ) | (320 | ) | ||||||
Netflix, Inc. | (200 | ) | (88,076 | ) | (43,312 | ) | ||||||
NetSuite, Inc. | (2,600 | ) | (250,361 | ) | 11,811 | |||||||
News Corp. | (355 | ) | (5,541 | ) | 362 | |||||||
NextEra Energy, Inc. | (100 | ) | (10,432 | ) | 629 | |||||||
Nielsen NV | (2,900 | ) | (131,334 | ) | 1,501 | |||||||
NiSource, Inc. | (4,000 | ) | (174,760 | ) | (7,600 | ) | ||||||
Noble Energy, Inc. | (500 | ) | (29,521 | ) | 8,181 | |||||||
Northern Trust Corp. | (1,700 | ) | (116,207 | ) | (13,775 | ) | ||||||
Norwegian Cruise Line Holdings Ltd. | (1,100 | ) | (51,549 | ) | (10,096 | ) | ||||||
NRG Energy, Inc. | (10,500 | ) | (271,399 | ) | 31,160 | |||||||
Nuance Communications, Inc. | (900 | ) | (13,061 | ) | (2,698 | ) | ||||||
Nucor Corp. | (400 | ) | (20,047 | ) | 2,419 | |||||||
NVR, Inc. | (10 | ) | (13,360 | ) | (40 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Occidental Petroleum Corp. | (938 | ) | $ | (73,730 | ) | $ | 782 | |||||
Oceaneering International, Inc. | (300 | ) | (17,886 | ) | 3,909 | |||||||
OGE Energy Corp. | (3,500 | ) | (113,223 | ) | 13,228 | |||||||
ONEOK, Inc. | (2,774 | ) | (128,039 | ) | 18,522 | |||||||
Owens-Illinois, Inc. | (400 | ) | (10,289 | ) | 1,113 | |||||||
PacWest Bancorp | (2,200 | ) | (100,572 | ) | (2,300 | ) | ||||||
Palo Alto Networks, Inc. | (2,700 | ) | (361,545 | ) | (110,145 | ) | ||||||
Pandora Media, Inc. | (7,800 | ) | (133,547 | ) | 12,335 | |||||||
Patterson-UTI Energy, Inc. | (3,383 | ) | (66,361 | ) | 2,710 | |||||||
PerkinElmer, Inc. | (3,818 | ) | (185,515 | ) | (15,464 | ) | ||||||
Polaris Industries, Inc. | (209 | ) | (30,246 | ) | (709 | ) | ||||||
Post Holdings, Inc. | (7,200 | ) | (323,797 | ) | (64,499 | ) | ||||||
Precision Castparts Corp. | (200 | ) | (42,621 | ) | 2,647 | |||||||
Qorvo, Inc. | (1,418 | ) | (109,475 | ) | (4,348 | ) | ||||||
Quest Diagnostics, Inc. | (100 | ) | (5,921 | ) | (1,331 | ) | ||||||
Questar Corp. | (3,600 | ) | (85,429 | ) | 10,153 | |||||||
Range Resources Corp. | (4,100 | ) | (226,354 | ) | 23,896 | |||||||
Regeneron Pharmaceuticals, Inc. | (477 | ) | (209,073 | ) | (34,259 | ) | ||||||
Rice Energy, Inc. | (7,100 | ) | (146,238 | ) | (1,655 | ) | ||||||
Rockwell Collins, Inc. | (100 | ) | (7,616 | ) | (1,619 | ) | ||||||
Rowan Cos. PLC | (1,352 | ) | (29,441 | ) | 900 | |||||||
Royal Caribbean Cruises Ltd. | (100 | ) | (6,263 | ) | (1,606 | ) | ||||||
salesforce.com, Inc. | (2,900 | ) | (171,724 | ) | (30,203 | ) | ||||||
SanDisk Corp. | (1,400 | ) | (113,158 | ) | 31,650 | |||||||
SBA Communications Corp. | (3,400 | ) | (403,153 | ) | 12,255 | |||||||
Schlumberger Ltd. | (400 | ) | (33,085 | ) | (1,391 | ) | ||||||
Scripps Networks Interactive, Inc. | (500 | ) | (37,414 | ) | 4,729 | |||||||
Sealed Air Corp. | (3,300 | ) | (131,358 | ) | (38,196 | ) | ||||||
Seattle Genetics, Inc. | (664 | ) | (26,690 | ) | (5,448 | ) | ||||||
Sempra Energy | (300 | ) | (32,977 | ) | 3,295 | |||||||
ServiceNow, Inc. | (1,600 | ) | (108,052 | ) | (10,844 | ) | ||||||
Signature Bank | (600 | ) | (74,973 | ) | (12,861 | ) | ||||||
Signet Jewelers Ltd. | (600 | ) | (75,201 | ) | (1,743 | ) | ||||||
Sirius XM Holdings, Inc. | (12,198 | ) | (46,733 | ) | 1,235 | |||||||
Sirona Dental Systems, Inc. | (100 | ) | (7,803 | ) | (2,239 | ) | ||||||
Sotheby’s | (3,100 | ) | (127,760 | ) | (12,484 | ) | ||||||
Southwestern Energy Co. | (7,600 | ) | (180,437 | ) | 7,689 | |||||||
Spectra Energy Corp. | (4,800 | ) | (172,207 | ) | 15,727 | |||||||
Spirit Airlines, Inc. | (3,778 | ) | (260,157 | ) | 25,543 | |||||||
Splunk, Inc. | (1,600 | ) | (96,693 | ) | (14,699 | ) | ||||||
Sprint Corp. | (47,000 | ) | (232,622 | ) | 18,301 | |||||||
Sprouts Farmers Market, Inc. | (12,700 | ) | (431,476 | ) | 88,830 | |||||||
Stericycle, Inc. | (3,200 | ) | (429,358 | ) | 846 | |||||||
SunEdison, Inc. | (11,955 | ) | (291,967 | ) | (65,607 | ) | ||||||
SunPower Corp. | (171 | ) | (5,522 | ) | 664 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
39
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
SVB Financial Group | (200 | ) | $ | (24,980 | ) | $ | (3,816 | ) | ||||
Synovus Financial Corp. | (1,200 | ) | (29,276 | ) | (7,708 | ) | ||||||
Tableau Software, Inc. | (600 | ) | (58,385 | ) | (10,795 | ) | ||||||
Targa Resources Corp. | (2,880 | ) | (264,368 | ) | 7,414 | |||||||
Teekay Corp. | (5,300 | ) | (246,427 | ) | 19,481 | |||||||
Tempur Sealy International, Inc. | (611 | ) | (35,592 | ) | (4,673 | ) | ||||||
Tenet Healthcare Corp. | (3,859 | ) | (192,029 | ) | (31,330 | ) | ||||||
Tesla Motors, Inc. | (1,099 | ) | (220,849 | ) | (73,969 | ) | ||||||
Tiffany & Co. | (700 | ) | (63,456 | ) | (804 | ) | ||||||
T-Mobile US, Inc. | (4,300 | ) | (136,689 | ) | (30,022 | ) | ||||||
Toll Brothers, Inc. | (2,400 | ) | (79,459 | ) | (12,197 | ) | ||||||
Towers Watson & Co. | (100 | ) | (12,952 | ) | 372 | |||||||
TransDigm Group, Inc. | (352 | ) | (70,462 | ) | (8,622 | ) | ||||||
TreeHouse Foods, Inc. | (1,400 | ) | (118,842 | ) | 5,400 | |||||||
Trimble Navigation Ltd. | (3,100 | ) | (81,472 | ) | 8,746 | |||||||
TripAdvisor, Inc. | (300 | ) | (25,083 | ) | (1,059 | ) | ||||||
Twenty-First Century Fox, Inc. | (600 | ) | (20,275 | ) | 747 | |||||||
Twitter, Inc. | (2,990 | ) | (133,662 | ) | 25,364 | |||||||
Ultimate Software Group, Inc./The | (1,000 | ) | (170,156 | ) | 5,816 | |||||||
Under Armour, Inc. | (1,424 | ) | (106,473 | ) | (12,346 | ) | ||||||
United Natural Foods, Inc. | (1,100 | ) | (85,111 | ) | 15,063 | |||||||
United Rentals, Inc. | (1,800 | ) | (167,243 | ) | 9,527 | |||||||
USG Corp. | (17,200 | ) | (473,864 | ) | (4,124 | ) | ||||||
Vantiv, Inc. | (2,100 | ) | (72,807 | ) | (7,392 | ) | ||||||
VeriFone Systems, Inc. | (3,200 | ) | (112,332 | ) | 3,660 | |||||||
Verisk Analytics, Inc. | (400 | ) | (27,414 | ) | (1,690 | ) | ||||||
Verizon Communications, Inc. | (600 | ) | (28,723 | ) | 757 | |||||||
Vertex Pharmaceuticals, Inc. | (607 | ) | (74,805 | ) | (148 | ) | ||||||
Visa, Inc. | (400 | ) | (25,890 | ) | (970 | ) | ||||||
Visteon Corp. | (1,300 | ) | (131,789 | ) | (4,685 | ) | ||||||
VMware, Inc. | (400 | ) | (32,957 | ) | (1,339 | ) | ||||||
Vulcan Materials Co. | (700 | ) | (51,816 | ) | (6,935 | ) | ||||||
Waste Connections, Inc. | (900 | ) | (42,516 | ) | 108 | |||||||
WellCare Health Plans, Inc. | (1,520 | ) | (121,373 | ) | (7,568 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Wendy’s Co./The | (1,700 | ) | $ | (13,559 | ) | $ | (5,617 | ) | ||||
WESCO International, Inc. | (200 | ) | (15,275 | ) | 1,547 | |||||||
Western Union Co./The | (400 | ) | (6,487 | ) | (1,645 | ) | ||||||
WEX, Inc. | (800 | ) | (82,103 | ) | (9,073 | ) | ||||||
WhiteWave Foods Co./The | (400 | ) | (16,430 | ) | (3,122 | ) | ||||||
Whole Foods Market, Inc. | (129 | ) | (5,819 | ) | 732 | |||||||
Williams Cos., Inc./The | (1,500 | ) | (75,712 | ) | (10,373 | ) | ||||||
Workday, Inc. | (2,300 | ) | (200,478 | ) | 24,781 | |||||||
WR Grace & Co. | (200 | ) | (19,811 | ) | (249 | ) | ||||||
Wynn Resorts Ltd. | (1,446 | ) | (186,884 | ) | 44,207 | |||||||
Yelp, Inc. | (2,971 | ) | (149,304 | ) | 21,462 | |||||||
Zebra Technologies Corp. | (2,118 | ) | (194,672 | ) | (40,531 | ) | ||||||
Zillow Group, Inc. | (500 | ) | (53,511 | ) | 10,141 | |||||||
Zions Bancorporation | (1,700 | ) | (46,318 | ) | (7,632 | ) | ||||||
Zynga, Inc. | (7,000 | ) | (16,712 | ) | (3,308 | ) | ||||||
|
| |||||||||||
42,524 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 79,010 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 389,754 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 38,804 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 428,558 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
40
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays the Sterling Overnight Index Average plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 16-25 months maturity 10/12/2016 | $217,673 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
DCC PLC | 1,433 | $ | 98,887 | $ | 13,647 | |||||||
|
| |||||||||||
South Africa | ||||||||||||
Mondi PLC | 2,292 | 40,513 | 8,832 | |||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Amec Foster Wheeler PLC | 2,890 | 36,868 | 249 | |||||||||
Associated British Foods PLC | 231 | 9,240 | 1,169 | |||||||||
AstraZeneca PLC | 1,709 | 122,592 | (14,429 | ) | ||||||||
Barratt Developments PLC | 11,047 | 74,124 | 32,428 | |||||||||
Berkeley Group Holdings PLC | 1,568 | 58,975 | 23,422 | |||||||||
BP PLC | 17,057 | 120,722 | (7,520 | ) | ||||||||
BT Group PLC | 20,610 | 134,263 | 11,684 | |||||||||
Bunzl PLC | 839 | 20,747 | 2,141 | |||||||||
Capita PLC | 775 | 14,715 | 344 | |||||||||
Centrica PLC | 6,591 | 30,323 | (2,974 | ) | ||||||||
Compass Group PLC | 2,966 | 47,950 | 1,105 | |||||||||
Direct Line Insurance Group PLC | 3,735 | 20,675 | (959 | ) | ||||||||
Dixons Carphone PLC | 1,731 | 12,268 | 41 | |||||||||
DS Smith PLC | 12,927 | 68,328 | 10,064 | |||||||||
GKN PLC | 9,698 | 45,290 | 5,662 | |||||||||
GlaxoSmithKline PLC | 1,263 | 27,759 | (1,499 | ) | ||||||||
Hikma Pharmaceuticals PLC | 3,255 | 116,338 | (17,465 | ) | ||||||||
Howden Joinery Group PLC | 10,872 | 84,518 | 3,728 | |||||||||
Imperial Tobacco Group PLC | 2,363 | 109,887 | 3,920 | |||||||||
International Consolidated Airlines Group SA | 6,112 | 54,620 | (7,123 | ) | ||||||||
Kingfisher PLC | 14,036 | 78,199 | (1,639 | ) | ||||||||
Man Group PLC | 97,763 | 302,552 | (61,599 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
National Grid PLC | 7,685 | $ | 111,694 | $ | (12,782 | ) | ||||||
Next PLC | 122 | 13,223 | 1,056 | |||||||||
Pearson PLC | 900 | 18,901 | (1,860 | ) | ||||||||
Persimmon PLC | 6,837 | 170,930 | 41,194 | |||||||||
Premier Oil PLC | 24,651 | 67,110 | (9,381 | ) | ||||||||
Shire PLC | 1,851 | 148,196 | 531 | |||||||||
Sky PLC | 1,026 | 14,381 | 2,330 | |||||||||
Smith & Nephew PLC | 2,913 | 53,610 | (4,330 | ) | ||||||||
Smiths Group PLC | 1,974 | 35,779 | (788 | ) | ||||||||
SSE PLC | 215 | 5,351 | (164 | ) | ||||||||
Tate & Lyle PLC | 2,990 | 27,805 | (3,394 | ) | ||||||||
Taylor Wimpey PLC | 96,311 | 235,254 | 45,615 | |||||||||
Thomas Cook Group PLC | 42,787 | 98,274 | (6,303 | ) | ||||||||
Travis Perkins PLC | 748 | 18,869 | 5,905 | |||||||||
Vedanta Resources PLC | 11,810 | 101,666 | (5,216 | ) | ||||||||
Vodafone Group PLC | 7,779 | 25,400 | 2,977 | |||||||||
William Hill PLC | 5,597 | 34,007 | 1,447 | |||||||||
WPP PLC | 3,895 | 94,695 | (7,267 | ) | ||||||||
|
| |||||||||||
30,320 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 52,799 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Switzerland | ||||||||||||
Coca-Cola HBC AG | (406 | ) | (8,542 | ) | (171 | ) | ||||||
Glencore PLC | (17,704 | ) | (86,877 | ) | 15,881 | |||||||
|
| |||||||||||
15,710 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aberdeen Asset Management PLC | (9,901 | ) | (67,622 | ) | 4,820 | |||||||
Admiral Group PLC | (9,748 | ) | (228,917 | ) | 16,505 | |||||||
Aggreko PLC | (4,248 | ) | (107,173 | ) | 11,222 | |||||||
Anglo American PLC | (2,715 | ) | (43,001 | ) | 3,779 | |||||||
Antofagasta PLC | (17,579 | ) | (204,208 | ) | 13,936 | |||||||
ARM Holdings PLC | (7,570 | ) | (124,302 | ) | 427 | |||||||
ASOS PLC | (2,007 | ) | (117,993 | ) | (4,368 | ) | ||||||
British American Tobacco PLC | (3,287 | ) | (186,692 | ) | 9,712 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
41
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Burberry Group PLC | (2,277 | ) | $ | (63,248 | ) | $ | 7,073 | |||||
Cobham PLC | (21,256 | ) | (101,915 | ) | 14,127 | |||||||
Diageo PLC | (1,721 | ) | (47,996 | ) | (1,843 | ) | ||||||
Drax Group PLC | (1,938 | ) | (15,905 | ) | 5,305 | |||||||
easyJet PLC | (2,233 | ) | (60,542 | ) | 6,261 | |||||||
Experian PLC | (2,642 | ) | (45,639 | ) | (2,414 | ) | ||||||
Hargreaves Lansdown PLC | (21,946 | ) | (379,375 | ) | (18,243 | ) | ||||||
Inmarsat PLC | (5,010 | ) | (64,838 | ) | (7,184 | ) | ||||||
Intertek Group PLC | (2,674 | ) | (106,897 | ) | 4,081 | |||||||
Ladbrokes PLC | (92,970 | ) | (156,336 | ) | (33,247 | ) | ||||||
Legal & General Group PLC | (1,306 | ) | (5,619 | ) | 512 | |||||||
Lloyds Banking Group PLC | (21,448 | ) | (26,737 | ) | (2,050 | ) | ||||||
Marks & Spencer Group PLC | (5,827 | ) | (42,447 | ) | (6,710 | ) | ||||||
Meggitt PLC | (6,251 | ) | (49,153 | ) | 3,379 | |||||||
Old Mutual PLC | (1,860 | ) | (6,582 | ) | 695 | |||||||
Petrofac Ltd. | (7,776 | ) | (118,858 | ) | 5,712 | |||||||
Prudential PLC | (218 | ) | (5,604 | ) | 350 | |||||||
Rolls-Royce Holdings PLC | (7,091 | ) | (114,502 | ) | 17,644 | |||||||
Royal Bank of Scotland Group PLC | (2,522 | ) | (14,537 | ) | 592 | |||||||
RSA Insurance Group PLC | (21,204 | ) | (148,087 | ) | 15,863 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Serco Group PLC | (71,179 | ) | $ | (185,562 | ) | $ | 53,569 | |||||
Spectris PLC | (1,147 | ) | (38,853 | ) | 851 | |||||||
Sports Direct International PLC | (4,738 | ) | (53,155 | ) | (266 | ) | ||||||
St. James’s Place PLC | (2,968 | ) | (43,373 | ) | 1,170 | |||||||
Standard Chartered PLC | (1,711 | ) | (29,485 | ) | 2,085 | |||||||
Standard Life PLC | (6,479 | ) | (49,179 | ) | 4,000 | |||||||
Tesco PLC | (55,387 | ) | (181,085 | ) | (3,452 | ) | ||||||
Weir Group PLC/The | (4,141 | ) | (117,424 | ) | 7,057 | |||||||
|
| |||||||||||
130,950 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 146,660 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 199,459 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 18,214 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 217,673 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 16-25 months maturity 10/14/2016 | $210,530 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
ABC-Mart, Inc. | 100 | $ | 5,891 | $ | 230 | |||||||
Ajinomoto Co., Inc. | 5,000 | 105,194 | 2,933 | |||||||||
Aozora Bank Ltd. | 15,000 | 56,412 | 183 | |||||||||
Asahi Kasei Corp. | 7,000 | 60,496 | (3,078 | ) | ||||||||
Astellas Pharma, Inc. | 3,000 | 43,890 | (1,153 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Bandai Namco Holdings, Inc. | 5,300 | $ | 109,304 | $ | (6,884 | ) | ||||||
Bank of Yokohama Ltd./The | 12,000 | 68,712 | 4,776 | |||||||||
Bridgestone Corp. | 300 | 11,001 | 88 | |||||||||
Calbee, Inc. | 1,500 | 51,672 | 11,520 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
42
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Central Japan Railway Co. | 700 | $ | 102,252 | $ | 24,066 | |||||||
Chiba Bank Ltd./The | 8,000 | 58,723 | 2,196 | |||||||||
Chugai Pharmaceutical Co., Ltd. | 900 | 24,136 | 6,908 | |||||||||
Citizen Holdings Co., Ltd. | 6,300 | 34,706 | 9,247 | |||||||||
Dai Nippon Printing Co., Ltd. | 2,000 | 19,889 | 749 | |||||||||
Daicel Corp. | 13,100 | 148,495 | 19,607 | |||||||||
Dai-ichi Life Insurance Co., Ltd./The | 5,400 | 77,779 | 28,264 | |||||||||
Disco Corp. | 900 | 79,475 | (5,073 | ) | ||||||||
Don Quijote Holdings Co., Ltd. | 1,400 | 56,427 | 3,142 | |||||||||
Fuji Electric Co., Ltd. | 14,000 | 57,831 | 2,382 | |||||||||
Fuji Heavy Industries Ltd. | 8,100 | 262,621 | 35,222 | |||||||||
FUJIFILM Holdings Corp. | 1,700 | 53,512 | 7,157 | |||||||||
Fujitsu Ltd. | 14,000 | 84,403 | (6,180 | ) | ||||||||
Fukuoka Financial Group, Inc. | 5,000 | 21,162 | 4,754 | |||||||||
Gree, Inc. | 2,200 | 13,531 | (683 | ) | ||||||||
Hitachi Chemical Co., Ltd. | 800 | 14,532 | (123 | ) | ||||||||
Hitachi High-Technologies Corp. | 2,400 | 60,208 | 7,260 | |||||||||
Hitachi Metals Ltd. | 6,000 | 90,425 | 1,816 | |||||||||
Hoya Corp. | 6,500 | 238,045 | 22,278 | |||||||||
Ibiden Co., Ltd | 1,000 | 13,932 | 2,979 | |||||||||
Isuzu Motors Ltd. | 7,800 | 98,816 | 3,516 | |||||||||
ITOCHU Corp. | 5,400 | 60,265 | 11,054 | |||||||||
Japan Airlines Co., Ltd. | 10,200 | 314,468 | 40,996 | |||||||||
JSR Corp. | 6,200 | 107,341 | 2,110 | |||||||||
JTEKT Corp. | 3,100 | 45,074 | 13,548 | |||||||||
Kajima Corp. | 17,000 | 72,673 | 7,173 | |||||||||
Kao Corp. | 300 | 10,229 | 3,723 | |||||||||
Keisei Electric Railway Co., Ltd. | 1,000 | 13,275 | (1,386 | ) | ||||||||
Kobe Steel Ltd. | 44,000 | 81,865 | (7,839 | ) | ||||||||
Koito Manufacturing Co., Ltd. | 1,600 | 54,072 | 8,228 | |||||||||
Konami Corp. | 900 | 16,452 | 277 | |||||||||
Konica Minolta, Inc. | 2,000 | 19,027 | 4,283 | |||||||||
Kurita Water Industries Ltd. | 1,500 | 34,567 | 374 | |||||||||
Lawson, Inc. | 100 | 6,396 | 447 | |||||||||
Mabuchi Motor Co., Ltd. | 1,000 | 39,815 | 23,438 | |||||||||
Marubeni Corp. | 900 | 5,202 | (37 | ) | ||||||||
Mazda Motor Corp. | 7,000 | 139,360 | (2,378 | ) | ||||||||
MEIJI Holdings Co., Ltd. | 100 | 6,988 | 5,915 | |||||||||
Mitsubishi Chemical Holdings Corp. | 5,100 | 26,080 | 5,982 | |||||||||
Mitsubishi Electric Corp. | 16,000 | 180,933 | 25,670 | |||||||||
Mitsubishi Motors Corp. | 9,700 | 87,412 | (4,922 | ) | ||||||||
Mitsubishi Tanabe Pharma Corp. | 2,200 | 35,287 | (2,327 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Mitsubishi UFJ Financial Group., Inc. | 10,200 | $ | 73,923 | $ | (539 | ) | ||||||
Mitsui & Co., Ltd. | 3,300 | 43,690 | 1,145 | |||||||||
Mixi, Inc. | 400 | 17,663 | 2,182 | |||||||||
Mizuho Financial Group, Inc. | 2,600 | 4,627 | 999 | |||||||||
MS&AD Insurance Group Holdings, Inc. | 1,100 | 34,276 | (35 | ) | ||||||||
Murata Manufacturing Co., Ltd. | 400 | 56,524 | 13,282 | |||||||||
Nippon Express Co., Ltd. | 19,000 | 104,860 | (11,504 | ) | ||||||||
Nippon Shokubai Co., Ltd. | 7,000 | 97,562 | (1,809 | ) | ||||||||
Nippon Steel & Sumitomo Metal Corp. | 8,000 | 17,231 | 3,512 | |||||||||
Nippon Telegraph & Telephone Corp. | 2,800 | 88,527 | 12,877 | |||||||||
Nissin Foods Holdings Co., Ltd. | 100 | 5,389 | (1,007 | ) | ||||||||
Nitori Holdings Co., Ltd. | 400 | 21,593 | 11,019 | |||||||||
Nitto Denko Corp. | 500 | 30,000 | 11,061 | |||||||||
NOK Corp. | 7,200 | 217,758 | 5,325 | |||||||||
Nomura Research Institute Ltd. | 1,100 | 42,338 | 676 | |||||||||
NTT DOCOMO, Inc. | 300 | 5,632 | 128 | |||||||||
Omron Corp. | 1,500 | 62,008 | 3,149 | |||||||||
Oriental Land Co., Ltd. | 200 | 15,186 | (2,429 | ) | ||||||||
Osaka Gas Co., Ltd. | 4,000 | 15,330 | 457 | |||||||||
Otsuka Corp. | 3,100 | 122,170 | 22,543 | |||||||||
Otsuka Holdings Co., Ltd. | 3,000 | 94,347 | 1,243 | |||||||||
Panasonic Corp. | 13,900 | 155,229 | 35,148 | |||||||||
Park24 Co., Ltd. | 1,400 | 25,030 | (1,062 | ) | ||||||||
Recruit Holdings Co., Ltd. | 3,000 | 95,333 | (3,850 | ) | ||||||||
Resona Holdings, Inc. | 5,700 | 29,181 | 1,907 | |||||||||
Rohm Co., Ltd. | 1,800 | 98,006 | 22,592 | |||||||||
Santen Pharmaceutical Co., Ltd. | 9,500 | 127,148 | 7,265 | |||||||||
Secom Co., Ltd. | 300 | 15,222 | 4,268 | |||||||||
Sekisui Chemical Co., Ltd. | 9,000 | 110,080 | 405 | |||||||||
Seven & i Holdings Co., Ltd. | 400 | 16,553 | 618 | |||||||||
Seven Bank Ltd. | 1,800 | 6,186 | 2,146 | |||||||||
Shimadzu Corp. | 3,000 | 29,926 | 10,790 | |||||||||
Shimamura Co., Ltd. | 1,500 | 141,929 | 15,555 | |||||||||
Shimizu Corp. | 7,000 | 46,935 | 11,974 | |||||||||
Shin-Etsu Chemical Co., Ltd. | 200 | 13,375 | (972 | ) | ||||||||
Shionogi & Co., Ltd. | 500 | 9,883 | 9,494 | |||||||||
Sojitz Corp. | 46,000 | 76,886 | 34,832 | |||||||||
Sony Corp. | 3,600 | 95,333 | 6,895 | |||||||||
Sony Financial Holdings, Inc. | 1,300 | 22,294 | 468 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
43
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Sumitomo Heavy Industries Ltd. | 28,000 | $ | 171,107 | $ | (8,025 | ) | ||||||
Sumitomo Metal Mining Co., Ltd. | 1,000 | 11,873 | 3,336 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 1,400 | 63,110 | (784 | ) | ||||||||
Sumitomo Rubber Industries Ltd. | 6,700 | 115,989 | (12,204 | ) | ||||||||
Suruga Bank Ltd. | 1,200 | 24,498 | 1,208 | |||||||||
Suzuki Motor Corp. | 2,300 | 61,557 | 16,066 | |||||||||
T&D Holdings, Inc. | 2,800 | 37,459 | 4,282 | |||||||||
Taiheiyo Cement Corp. | 4,000 | 12,881 | (1,184 | ) | ||||||||
Taisei Corp. | 8,000 | 38,004 | 7,924 | |||||||||
TDK Corp. | 2,000 | 132,418 | 20,727 | |||||||||
THK Co., Ltd. | 500 | 11,882 | (1,092 | ) | ||||||||
Tohoku Electric Power Co., Inc. | 17,300 | 198,114 | 36,119 | |||||||||
Tokio Marine Holdings, Inc. | 1,600 | 64,223 | 2,320 | |||||||||
Tokyo Electric Power Co, Inc. | 29,700 | 110,353 | 51,450 | |||||||||
Tokyo Gas Co., Ltd. | 9,000 | 42,978 | 4,800 | |||||||||
Toppan Printing Co., Ltd. | 4,000 | 32,166 | 1,274 | |||||||||
Trend Micro, Inc. | 600 | 20,117 | 407 | |||||||||
West Japan Railway Co. | 900 | 35,297 | 22,284 | |||||||||
Yamaha Corp. | 2,100 | 38,464 | 3,861 | |||||||||
Yamaha Motor Co., Ltd. | 4,700 | 91,494 | 11,199 | |||||||||
|
| |||||||||||
707,144 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 707,144 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
Advantest Corp. | (7,700 | ) | (91,265 | ) | 11,204 | |||||||
Aeon Co., Ltd. | (7,700 | ) | (70,853 | ) | (38,410 | ) | ||||||
AEON Financial Service Co., Ltd. | (4,700 | ) | (89,172 | ) | (41,228 | ) | ||||||
Brother Industries Ltd. | (2,000 | ) | (32,443 | ) | 4,150 | |||||||
Chiyoda Corp. | (25,000 | ) | (213,615 | ) | (7,658 | ) | ||||||
Credit Saison Co., Ltd. | (5,800 | ) | (105,954 | ) | (18,228 | ) | ||||||
Daikin Industries Ltd. | (3,700 | ) | (250,176 | ) | (15,811 | ) | ||||||
Daiwa House Industry Co., Ltd. | (4,200 | ) | (80,611 | ) | (17,241 | ) | ||||||
Daiwa Securities Group, Inc. | (4,000 | ) | (30,291 | ) | 368 | |||||||
Denso Corp. | (700 | ) | (27,298 | ) | (7,529 | ) | ||||||
Dentsu, Inc. | (200 | ) | (7,662 | ) | (2,684 | ) | ||||||
Eisai Co., Ltd. | (1,500 | ) | (70,195 | ) | (30,372 | ) | ||||||
Fast Retailing Co., Ltd. | (400 | ) | (133,413 | ) | (47,975 | ) | ||||||
GS Yuasa Corp. | (9,000 | ) | (42,916 | ) | 7,575 | |||||||
Hamamatsu Photonics KK | (900 | ) | (27,340 | ) | 801 | |||||||
Hirose Electric Co., Ltd. | (300 | ) | (40,794 | ) | (2,190 | ) | ||||||
Hitachi Construction Machinery Co., Ltd. | (700 | ) | (11,468 | ) | (786 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Hitachi Ltd. | (1,000 | ) | $ | (6,410 | ) | $ | (177 | ) | ||||
Hokkaido Electric Power Co., Inc. | (2,700 | ) | (16,883 | ) | (13,747 | ) | ||||||
Honda Motor Co., Ltd. | (2,600 | ) | (83,927 | ) | (104 | ) | ||||||
IHI Corp. | (47,000 | ) | (211,682 | ) | (7,159 | ) | ||||||
Isetan Mitsukoshi Holdings Ltd. | (9,500 | ) | (126,348 | ) | (43,376 | ) | ||||||
J Front Retailing Co., Ltd. | (13,700 | ) | (211,584 | ) | (46,267 | ) | ||||||
Japan Display, Inc. | (29,600 | ) | (105,988 | ) | (5,740 | ) | ||||||
JFE Holdings, Inc. | (800 | ) | (17,400 | ) | (325 | ) | ||||||
JGC Corp. | (4,000 | ) | (79,804 | ) | 4,296 | |||||||
Kakaku.com, Inc. | (6,700 | ) | (100,265 | ) | 3,325 | |||||||
Kansai Electric Power Co., Inc./The | (6,100 | ) | (56,143 | ) | (11,387 | ) | ||||||
Kintetsu Group Holdings Co., Ltd. | (30,000 | ) | (100,920 | ) | (1,242 | ) | ||||||
Komatsu Ltd. | (600 | ) | (11,980 | ) | (58 | ) | ||||||
Kubota Corp. | (4,000 | ) | (61,226 | ) | (2,200 | ) | ||||||
Kyocera Corp. | (1,800 | ) | (96,263 | ) | 2,676 | |||||||
Kyushu Electric Power Co., Inc. | (36,800 | ) | (374,415 | ) | (52,241 | ) | ||||||
LIXIL Group Corp. | (6,900 | ) | (154,598 | ) | 17,732 | |||||||
Makita Corp. | (500 | ) | (28,282 | ) | 1,203 | |||||||
Marui Group Co., Ltd. | (27,600 | ) | (285,024 | ) | (87,868 | ) | ||||||
Minebea Co., Ltd. | (6,000 | ) | (103,109 | ) | 4,059 | |||||||
Mitsui OSK Lines Ltd. | (15,000 | ) | (44,679 | ) | (3,336 | ) | ||||||
NGK Spark Plug Co., Ltd. | (4,800 | ) | (138,061 | ) | 5,129 | |||||||
Nidec Corp. | (1,000 | ) | (64,470 | ) | (10,368 | ) | ||||||
Nintendo Co., Ltd. | (500 | ) | (72,634 | ) | (10,780 | ) | ||||||
Nippon Paint Holdings Co., Ltd. | (1,700 | ) | (58,426 | ) | 10,519 | |||||||
Nissan Motor Co., Ltd. | (2,700 | ) | (21,963 | ) | (6,244 | ) | ||||||
Nomura Holdings, Inc. | (2,400 | ) | (13,653 | ) | (2,552 | ) | ||||||
Obayashi Corp. | (4,000 | ) | (24,076 | ) | (5,093 | ) | ||||||
Olympus Corp. | (2,900 | ) | (97,641 | ) | (2,481 | ) | ||||||
Ono Pharmaceutical Co., Ltd. | (700 | ) | (64,985 | ) | (11,417 | ) | ||||||
Rakuten, Inc. | (13,100 | ) | (184,372 | ) | (27,116 | ) | ||||||
Ricoh Co., Ltd. | (28,800 | ) | (293,379 | ) | (4,959 | ) | ||||||
Sega Sammy Holdings, Inc. | (6,900 | ) | (91,095 | ) | 875 | |||||||
Seibu Holdings, Inc. | (8,000 | ) | (191,588 | ) | 6,329 | |||||||
Seiko Epson Corp. | (4,400 | ) | (77,936 | ) | (34 | ) | ||||||
Shimano, Inc. | (500 | ) | (69,972 | ) | 1,742 | |||||||
Shiseido Co., Ltd. | (4,000 | ) | (85,373 | ) | (5,352 | ) | ||||||
Showa Shell Sekiyu KK | (1,800 | ) | (17,409 | ) | 1,682 | |||||||
Softbank Corp. | (1,300 | ) | (76,304 | ) | (269 | ) | ||||||
Stanley Electric Co., Ltd. | (3,700 | ) | (85,463 | ) | 8,403 | |||||||
Sumco Corp. | (18,700 | ) | (281,506 | ) | 47,625 | |||||||
Sumitomo Dainippon Pharma Co., Ltd. | (500 | ) | (5,493 | ) | (17 | ) | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | (5,000 | ) | (20,633 | ) | (2,240 | ) | ||||||
Suntory Beverage & Food Ltd. | (3,600 | ) | (152,726 | ) | 9,407 | |||||||
Sysmex Corp. | (200 | ) | (10,963 | ) | (948 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Fnuds | Semi-Annual Report | June 2015 | ||||||||||||||
44
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Taiyo Nippon Sanso Corp. | (3,200 | ) | $ | (37,920 | ) | $ | (806 | ) | ||||
Terumo Corp. | (2,500 | ) | (57,635 | ) | (2,315 | ) | ||||||
Toray Industries, Inc. | (1,000 | ) | (7,694 | ) | (758 | ) | ||||||
Toshiba Corp. | (53,000 | ) | (192,780 | ) | 11,028 | |||||||
TOTO Ltd. | (2,000 | ) | (32,297 | ) | (3,751 | ) | ||||||
Toyota Industries Corp. | (1,600 | ) | (88,435 | ) | (2,679 | ) | ||||||
Toyota Motor Corp. | (1,100 | ) | (67,237 | ) | (6,372 | ) | ||||||
Unicharm Corp. | (6,100 | ) | (146,865 | ) | 1,962 | |||||||
Yahoo Japan Corp. | (32,300 | ) | (112,602 | ) | (17,762 | ) | ||||||
Yakult Honsha Co., Ltd. | (2,800 | ) | (152,103 | ) | (13,740 | ) | ||||||
Yamato Holdings Co., Ltd. | (5,300 | ) | (114,211 | ) | 11,732 | |||||||
Yaskawa Electric Corp. | (10,000 | ) | (118,769 | ) | (9,136 | ) | ||||||
Yokogawa Electric Corp. | (6,300 | ) | (65,115 | ) | (16,024 | ) | ||||||
Yokohama Rubber Co., Ltd./The | (500 | ) | (7,589 | ) | (2,443 | ) | ||||||
|
| |||||||||||
(497,173 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (497,173 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 209,971 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 559 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 210,530 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
45
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays the Hong Kong Overnight Index Average plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | 17-25 months maturity 10/14/2016 | $118,408 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Hong Kong | ||||||||||||
Bank of East Asia Ltd./The | 4,800 | $ | 19,478 | $ | 1,492 | |||||||
BOC Hong Kong Holdings Ltd. | 12,500 | 46,953 | 5,073 | |||||||||
Cheung Kong Property Holdings Ltd. | 4,000 | 26 | 33,155 | |||||||||
CK Hutchison Holdings Ltd. | 16,000 | 241,227 | (5,995 | ) | ||||||||
CLP Holdings Ltd. | 14,000 | 122,085 | (3,098 | ) | ||||||||
Hang Lung Properties Ltd. | 33,000 | 95,340 | 2,733 | |||||||||
Hang Seng Bank Ltd. | 900 | 17,373 | 205 | |||||||||
Henderson Land Development Co., Ltd. | 15,400 | 102,106 | 3,168 | |||||||||
Kerry Properties Ltd. | 25,500 | 91,605 | 8,350 | |||||||||
Li & Fung Ltd. | 96,000 | 93,479 | (17,373 | ) | ||||||||
MTR Corp. Ltd. | 19,000 | 80,634 | 7,765 | |||||||||
New World Development Co., Ltd. | 54,817 | 67,367 | 4,260 | |||||||||
Power Assets Holdings Ltd. | 12,000 | 113,705 | (4,296 | ) | ||||||||
Sino Land Co., Ltd. | 54,000 | 87,583 | 2,550 | |||||||||
Swire Pacific Ltd. | 500 | 6,458 | (180 | ) | ||||||||
WH Group Ltd. | 132,000 | 88,798 | 1,042 | |||||||||
|
| |||||||||||
38,851 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 38,851 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Hong Kong | ||||||||||||
AIA Group Ltd. | (24,600 | ) | (154,209 | ) | (6,642 | ) | ||||||
Cathay Pacific Airways Ltd. | (29,000 | ) | (71,744 | ) | 493 | |||||||
Galaxy Entertainment Group Ltd. | (26,000 | ) | (122,457 | ) | 19,004 | |||||||
HKT Trust & HKT Ltd. | (63,000 | ) | (79,867 | ) | 5,836 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Hong Kong (continued) | ||||||||||||
Hong Kong & China Gas Co., Ltd. | (190,300 | ) | $ | (390,997 | ) | $ | (7,749 | ) | ||||
MGM China Holdings Ltd. | (58,800 | ) | (113,246 | ) | 17,233 | |||||||
Sands China Ltd. | (10,400 | ) | (40,918 | ) | 5,966 | |||||||
Sun Hung Kai Properties Ltd. | (1,000 | ) | (14,280 | ) | (1,903 | ) | ||||||
Swire Properties Ltd. | (41,000 | ) | (130,098 | ) | (671 | ) | ||||||
Techtronic Industries Co., Ltd. | (28,000 | ) | (95,249 | ) | 3,699 | |||||||
Wynn Macau Ltd. | (64,400 | ) | (152,594 | ) | 45,286 | |||||||
|
| |||||||||||
80,552 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
Samsonite International SA | (28,500 | ) | (97,605 | ) | (793 | ) | ||||||
|
| |||||||||||
Total of Short Equity Positions | 79,759 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 118,610 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (202 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 118,408 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
46
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays the Euro Overnight Index Average plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 16-25 months maturity 10/12/2016 | $80,129 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Accor SA | 377 | $ | 13,832 | $ | 5,248 | |||||||
Atos SE | 669 | 47,856 | 2,134 | |||||||||
Cie Generale des Etablissements Michelin | 239 | 22,360 | 2,788 | |||||||||
Eiffage SA | 1,923 | 113,583 | (6,506 | ) | ||||||||
Eutelsat Communications SA | 906 | 29,436 | (169 | ) | ||||||||
GDF Suez | 485 | 10,358 | (1,328 | ) | ||||||||
Iliad SA | 78 | 13,245 | 4,097 | |||||||||
Lagardere SCA | 1,519 | 43,672 | 775 | |||||||||
Orange SA | 7,396 | 114,673 | (373 | ) | ||||||||
Peugeot SA | 12,963 | 217,968 | 49,353 | |||||||||
Sanofi | 1,332 | 123,354 | 8,421 | |||||||||
SCOR SE | 150 | 4,081 | 1,224 | |||||||||
SES SA | 2,472 | 89,236 | (6,132 | ) | ||||||||
Sodexo SA | 145 | 11,683 | 2,121 | |||||||||
Thales SA | 92 | 5,360 | 199 | |||||||||
Total SA | 1,480 | 78,951 | (6,356 | ) | ||||||||
Vivendi SA | 2,211 | 54,234 | 1,830 | |||||||||
|
| |||||||||||
57,326 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 57,326 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Airbus Group SE | (108 | ) | (5,884 | ) | (1,151 | ) | ||||||
Arkema SA | (534 | ) | (39,377 | ) | 775 | |||||||
Bollore SA | (6,414 | ) | (35,892 | ) | 1,581 | |||||||
Bouygues SA | (1,573 | ) | (55,947 | ) | (3,189 | ) | ||||||
Carrefour SA | (3,023 | ) | (98,491 | ) | 1,351 | |||||||
Casino Guichard Perrachon SA | (1,028 | ) | (84,882 | ) | 6,854 | |||||||
Edenred | (365 | ) | (7,995 | ) | (1,023 | ) | ||||||
Essilor International SA | (536 | ) | (49,444 | ) | (14,769 | ) | ||||||
LVMH Moet Hennessy Louis Vuitton SE | (163 | ) | (22,596 | ) | (6,062 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Renault SA | (953 | ) | $ | (97,195 | ) | $ | (2,725 | ) | ||||
Suez Environnement Co. | (3,556 | ) | (67,264 | ) | 877 | |||||||
Technip SA | (729 | ) | (47,894 | ) | 2,715 | |||||||
Vallourec SA | (4,277 | ) | (114,624 | ) | 27,246 | |||||||
Veolia Environnement SA | (392 | ) | (5,803 | ) | (2,223 | ) | ||||||
Zodiac Aerospace | (6,128 | ) | (218,803 | ) | 19,190 | |||||||
|
| |||||||||||
29,447 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 29,447 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 86,773 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (6,644 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 80,129 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
47
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (NOTE 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays the Reserve Bank of Australia Cash rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 17-25 months maturity 10/13/2016 | $190,524 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
Alumina Ltd. | 35,359 | $ | 47,845 | $ | (6,224 | ) | ||||||
Amcor Ltd. | 4,126 | 40,771 | 2,830 | |||||||||
Aurizon Holdings Ltd. | 5,156 | 17,811 | 2,557 | |||||||||
BlueScope Steel Ltd. | 15,536 | 47,868 | (12,015 | ) | ||||||||
Boral Ltd. | 32,651 | 146,544 | 544 | |||||||||
Caltex Australia Ltd. | 3,780 | 98,354 | (5,562 | ) | ||||||||
Coca-Cola Amatil Ltd. | 2,078 | 13,869 | 789 | |||||||||
Echo Entertainment Group Ltd. | 79,725 | 277,777 | (10,148 | ) | ||||||||
Incitec Pivot Ltd. | 3,305 | 7,122 | 2,677 | |||||||||
Lend Lease Group | 2,116 | 27,824 | (3,358 | ) | ||||||||
Macquarie Group Ltd. | 782 | 34,173 | 14,824 | |||||||||
Newcrest Mining Ltd. | 11,314 | 122,321 | (8,399 | ) | ||||||||
Qantas Airways Ltd. | 74,946 | 152,565 | 29,552 | |||||||||
Sonic Healthcare Ltd. | 427 | 5,652 | 1,379 | |||||||||
Tabcorp Holdings Ltd. | 13,571 | 49,472 | (1,902 | ) | ||||||||
Telstra Corp. Ltd. | 21,275 | 96,889 | 3,796 | |||||||||
Woodside Petroleum Ltd. | 8,139 | 222,399 | (7,638 | ) | ||||||||
WorleyParsons Ltd. | 3,304 | 25,995 | 532 | |||||||||
|
| |||||||||||
4,234 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 4,234 | |||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
Brambles Ltd. | (6,064 | ) | $ | (54,464 | ) | $ | 4,996 | |||||
Crown Resorts Ltd. | (10,268 | ) | (108,888 | ) | 12,410 | |||||||
Iluka Resources Ltd. | (6,749 | ) | (36,118 | ) | (3,794 | ) | ||||||
Origin Energy Ltd. | (539 | ) | (5,254 | ) | 279 | |||||||
QBE Insurance Group Ltd. | (7,910 | ) | (74,948 | ) | (8,345 | ) | ||||||
Seek Ltd. | (69,275 | ) | (918,895 | ) | 168,181 | |||||||
|
| |||||||||||
$ | 173,727 | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | 173,727 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 177,961 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 12,563 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 190,524 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Barclays Capital | ||||||||||||
Cash | $ | — | $ | 179,998 | $ | 179,998 | ||||||
| ||||||||||||
J.P. Morgan | ||||||||||||
Cash | — | 35,968 | 35,968 | |||||||||
| ||||||||||||
Morgan Stanley Capital Services, Inc. | ||||||||||||
Cash | 4,510,000 | — | 4,510,000 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
48
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
MONEY MARKET FUNDS - 47.0% | SHARES | VALUE (Note 5) | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a) ^ | 49,890,655 | $ | 49,890,655 | |||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b) ^ | 880,000 | 880,000 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS (cost $50,770,655) | 50,770,655 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 46.4% | PRINCIPAL (000’s) | |||||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (c) ^ | $ | 11,839 | 11,837,721 | |||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (c)(d) | 38,288 | 38,283,865 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 50,121,586 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 93.4% | 100,892,241 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.6% (e) | 7,138,363 | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 108,030,604 | |||||
|
|
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | A portion of the security is pledged as collateral to the brokers for futures contracts. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Interest rate swap contracts outstanding as of June 30, 2015:
COUNTERPARTY† | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||
Credit Suisse International | 2.000% | (1 | ) | AUD | 3,060,000 | $8,833 | 09/07/2017 | $1,533 | ||||||||||||||||
Credit Suisse International | 2.000% | (1 | ) | AUD | 12,435,000 | 24,010 | 09/07/2017 | 18,116 | ||||||||||||||||
Credit Suisse International | 2.000% | (1 | ) | AUD | 2,650,000 | 7,685 | 09/07/2017 | 1,293 | ||||||||||||||||
Credit Suisse International | 2.000% | (1 | ) | AUD | 2,650,000 | 8,650 | 09/07/2017 | 328 | ||||||||||||||||
Credit Suisse International | 2.000% | (1 | ) | AUD | 12,435,000 | 23,993 | 09/07/2017 | 18,133 | ||||||||||||||||
Credit Suisse International | 2.000% | (1 | ) | AUD | 2,660,000 | 8,742 | 09/07/2017 | �� | 270 | |||||||||||||||
Credit Suisse International | 2.000% | (1 | ) | AUD | 3,140,000 | 10,709 | 09/07/2017 | (71 | ) | |||||||||||||||
Credit Suisse International | 3 Month Australian Bank-Bill Reference Rate | 2.000% | AUD | 7,280,000 | (16,134 | ) | 09/07/2017 | (8,529 | ) | |||||||||||||||
Credit Suisse International | 3 Month Australian Bank-Bill Reference Rate | 2.000% | AUD | 25,800,000 | (86,902 | ) | 09/07/2017 | (502 | ) | |||||||||||||||
Credit Suisse International | 3 Month Australian Bank-Bill Reference Rate | 2.000% | AUD | 2,380,000 | (7,592 | ) | 09/07/2017 | (471 | ) | |||||||||||||||
Credit Suisse International | 3 Month Australian Bank-Bill Reference Rate | 2.000% | AUD | 7,640,000 | (963 | ) | 09/07/2017 | (24,919 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
49
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY† | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
Credit Suisse International | 3 Month Australian Bank-Bill Reference Rate | 2.000% | AUD | 7,010,000 | $(1,650 | ) | 09/07/2017 | $(22,098 | ) | |||||||||||||||
Credit Suisse International | 3.000% | (2 | ) | AUD | 1,760,000 | (25,154 | ) | 09/11/2025 | 71,784 | |||||||||||||||
Credit Suisse International | 3.000% | (2 | ) | AUD | 1,670,000 | (561 | ) | 09/11/2025 | 44,807 | |||||||||||||||
Credit Suisse International | 3.000% | (2 | ) | AUD | 1,700,000 | (8,703 | ) | 09/11/2025 | 53,744 | |||||||||||||||
Credit Suisse International | 3.000% | (2 | ) | AUD | 1,570,000 | (19,650 | ) | 09/11/2025 | 61,247 | |||||||||||||||
Credit Suisse International | 3.000% | (2 | ) | AUD | 5,920,000 | 71,116 | 09/11/2025 | 85,732 | ||||||||||||||||
Credit Suisse International | 6 Month Australian Bank-Bill Reference Rate | 3.000% | AUD | 640,000 | (11,491 | ) | 09/11/2025 | (5,466 | ) | |||||||||||||||
Credit Suisse International | 6 Month Australian Bank-Bill Reference Rate | 3.000% | AUD | 680,000 | (10,977 | ) | 09/11/2025 | (7,039 | ) | |||||||||||||||
Credit Suisse International | 6 Month Australian Bank-Bill Reference Rate | 3.000% | AUD | 620,000 | (15,025 | ) | 09/11/2025 | (1,402 | ) | |||||||||||||||
Credit Suisse International | 6 Month Australian Bank-Bill Reference Rate | 3.000% | AUD | 2,830,000 | 21,519 | 09/11/2025 | (96,499 | ) | ||||||||||||||||
Credit Suisse International | 6 Month Australian Bank-Bill Reference Rate | 3.000% | AUD | 600,000 | (10,917 | ) | 09/11/2025 | (4,980 | ) | |||||||||||||||
Credit Suisse International | 6 Month Australian Bank-Bill Reference Rate | 3.000% | AUD | 1,170,000 | (6,422 | ) | 09/11/2025 | (24,577 | ) | |||||||||||||||
Credit Suisse International | 6 Month Australian Bank-Bill Reference Rate | 3.000% | AUD | 2,830,000 | 21,534 | 09/11/2025 | (96,514 | ) | ||||||||||||||||
Credit Suisse International | 6 Month Australian Bank-Bill Reference Rate | 3.500% | AUD | 630,000 | 1,542 | 09/11/2025 | 2,836 | |||||||||||||||||
Credit Suisse International | 1.000% | (3 | ) | CAD | 9,680,000 | (11,171 | ) | 09/18/2017 | (187 | ) | ||||||||||||||
Credit Suisse International | 1.000% | (4 | ) | CAD | 1,290,000 | (1,691 | ) | 09/18/2017 | 177 | |||||||||||||||
Credit Suisse International | 1.000% | (4 | ) | CAD | 320,000 | (615 | ) | 09/18/2017 | 240 | |||||||||||||||
Credit Suisse International | 1.000% | (4 | ) | CAD | 6,320,000 | 15,022 | 09/18/2017 | (22,438 | ) | |||||||||||||||
Credit Suisse International | 1.000% | (4 | ) | CAD | 2,480,000 | 3,312 | 09/18/2017 | (6,222 | ) | |||||||||||||||
Credit Suisse International | 1.000% | (4 | ) | CAD | 680,000 | 1,433 | 09/18/2017 | (2,231 | ) | |||||||||||||||
Credit Suisse International | 1.000% | (4 | ) | CAD | 1,300,000 | (1,529 | ) | 09/18/2017 | 4 | |||||||||||||||
Credit Suisse International | 2.000% | (3 | ) | CAD | 1,450,000 | 7,238 | 09/15/2025 | 16,839 | ||||||||||||||||
Credit Suisse International | 2.000% | (3 | ) | CAD | 1,450,000 | 7,471 | 09/15/2025 | 16,606 | ||||||||||||||||
Credit Suisse International | 3 Month Canadian Bankers’ Acceptance Rate | 2.000% | CAD | 570,000 | (13,186 | ) | 09/15/2025 | 3,721 | ||||||||||||||||
Credit Suisse International | 3 Month Canadian Bankers’ Acceptance Rate | 2.000% | CAD | 270,000 | 1,846 | 09/15/2025 | (6,329 | ) | ||||||||||||||||
Credit Suisse International | 3 Month Canadian Bankers’ Acceptance Rate | 2.000% | CAD | 1,420,000 | (45,483 | ) | 09/15/2025 | 21,904 | ||||||||||||||||
Credit Suisse International | 3 Month Canadian Bankers’ Acceptance Rate | 2.000% | CAD | 280,000 | 2,267 | 09/15/2025 | (6,916 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
50
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY† | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
Credit Suisse International | 3 Month Canadian Bankers’ Acceptance Rate | 2.000% | CAD | 70,000 | $668 | 09/15/2025 | $(1,830 | ) | ||||||||||||||||
Credit Suisse International | 3 Month Canadian Bankers’ Acceptance Rate | 2.000% | CAD | 150,000 | (2,801 | ) | 09/15/2025 | 310 | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.000% | CAD | 6,640,000 | (1,499 | ) | 09/18/2017 | 9,290 | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.000% | CAD | 6,630,000 | (1,153 | ) | 09/18/2017 | 8,933 | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.000% | CAD | 2,130,000 | 6,552 | 09/15/2025 | (41,920 | ) | ||||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | CHF | 1,970,000 | 27,026 | 09/17/2025 | 14,484 | ||||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | CHF | 470,000 | 3,274 | 09/17/2025 | 6,630 | ||||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | CHF | 610,000 | (4,564 | ) | 09/17/2025 | 17,418 | |||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | CHF | 380,000 | 6,484 | 09/17/2025 | 1,524 | ||||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | CHF | 430,000 | 4,685 | 09/17/2025 | 4,376 | ||||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | CHF | 5,020,000 | 32,085 | 09/17/2025 | 73,693 | ||||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | CHF | 10,740,000 | 174,909 | 09/17/2025 | 51,397 | ||||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | CHF | 5,020,000 | 31,902 | 09/17/2025 | 73,877 | ||||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | CHF | 1,720,000 | 24,239 | 09/17/2025 | 12,004 | ||||||||||||||||
Credit Suisse International | 0.500% | (6 | ) | CHF | 3,000,000 | (6,248 | ) | 09/20/2017 | (8,809 | ) | ||||||||||||||
Credit Suisse International | 0.500% | (6 | ) | CHF | 380,000 | (2,789 | ) | 09/17/2025 | 259 | |||||||||||||||
Credit Suisse International | 0.500% | (6 | ) | CHF | 2,840,000 | 154 | 09/17/2025 | (19,065 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | CHF | 1,870,000 | 5,333 | 09/20/2017 | 4,053 | |||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | CHF | 52,280,000 | 78,784 | 09/20/2017 | 183,614 | |||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | CHF | 1,830,000 | 2,596 | 09/20/2017 | 6,589 | |||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | CHF | 3,990,000 | 14,397 | 09/20/2017 | 5,630 | |||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | CHF | 2,390,000 | 13,521 | 09/20/2017 | (1,526 | ) | ||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | CHF | 9,790,000 | 33,994 | 09/20/2017 | 15,143 | |||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | CHF | 9,190,000 | 20,161 | 09/20/2017 | 25,964 | |||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | �� | CHF | 12,880,000 | 18,359 | 09/20/2017 | 46,287 | ||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.750% | CHF | 24,240,000 | (102,529 | ) | 09/20/2017 | 90,922 | ||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.750% | CHF | 24,240,000 | (103,635 | ) | 09/20/2017 | 92,028 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
51
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY† | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
Credit Suisse International | 0.500% | (5 | ) | EUR | 3,010,000 | $(24,666 | ) | 09/20/2017 | $1,445 | |||||||||||||||
Credit Suisse International | 0.500% | (5 | ) | EUR | 380,000 | (2,633 | ) | 09/20/2017 | (299 | ) | ||||||||||||||
Credit Suisse International | 0.500% | (5 | ) | EUR | 5,240,000 | (42,968 | ) | 09/20/2017 | 2,543 | |||||||||||||||
Credit Suisse International | 0.500% | (5 | ) | EUR | 86,410,000 | (740,716 | ) | 09/20/2017 | 74,084 | |||||||||||||||
Credit Suisse International | 0.500% | (5 | ) | EUR | 3,330,000 | (24,960 | ) | 09/20/2017 | (730 | ) | ||||||||||||||
Credit Suisse International | 0.500% | (5 | ) | EUR | 1,790,000 | (12,790 | ) | 09/20/2017 | (1,019 | ) | ||||||||||||||
Credit Suisse International | 0.500% | (5 | ) | EUR | 4,280,000 | (35,791 | ) | 09/20/2017 | 2,772 | |||||||||||||||
Credit Suisse International | 0.500% | (5 | ) | EUR | 1,800,000 | (15,680 | ) | 09/20/2017 | 1,793 | |||||||||||||||
Credit Suisse International | 0.500% | (5 | ) | EUR | 2,790,000 | (27,407 | ) | 09/20/2017 | 5,883 | |||||||||||||||
Credit Suisse International | 0.500% | (5 | ) | EUR | 370,000 | (2,434 | ) | 09/20/2017 | (420 | ) | ||||||||||||||
Credit Suisse International | 0.500% | (5 | ) | EUR | 34,110,000 | (248,962 | ) | 09/20/2017 | (14,188 | ) | ||||||||||||||
Credit Suisse International | 1.000% | (5 | ) | EUR | 1,040,000 | 24,438 | 09/17/2025 | (1,067 | ) | |||||||||||||||
Credit Suisse International | 1.000% | (5 | ) | EUR | 5,400,000 | 239,800 | 09/17/2025 | (118,448 | ) | |||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 0.500% | EUR | 18,080,000 | (771,495 | ) | 09/17/2025 | (631,373 | ) | |||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 0.500% | EUR | 520,000 | (22,949 | ) | 09/17/2025 | (17,399 | ) | |||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 0.500% | EUR | 4,160,000 | 26,454 | 09/20/2017 | 5,640 | |||||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 0.500% | EUR | 30,100,000 | 242,495 | 09/20/2017 | (10,281 | ) | ||||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 0.500% | EUR | 380,000 | (1,778 | ) | 09/17/2025 | (27,707 | ) | |||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 1.000% | EUR | 7,070,000 | 255,805 | 09/17/2025 | (414,687 | ) | ||||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 1.000% | EUR | 520,000 | 290 | 09/17/2025 | (11,976 | ) | ||||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 1.000% | EUR | 770,000 | 4,392 | 09/17/2025 | (21,695 | ) | ||||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 1.000% | EUR | 380,000 | (251 | ) | 09/17/2025 | (8,289 | ) | |||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 1.000% | EUR | 550,000 | (15,629 | ) | 09/17/2025 | 3,269 | ||||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 1.000% | EUR | 380,000 | (238 | ) | 09/17/2025 | (8,302 | ) | |||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 1.000% | EUR | 1,070,000 | 38,336 | 09/17/2025 | (62,382 | ) | ||||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 1.000% | EUR | 380,000 | (1,972 | ) | 09/17/2025 | (6,568 | ) | |||||||||||||||
Credit Suisse International | 6 Month Euro Interbank Offered Rate | 1.000% | EUR | 900,000 | 23,666 | 09/17/2025 | (43,891 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
52
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY† | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
Credit Suisse International | 2.000% | (6 | ) | GBP | 310,000 | $5,652 | 09/17/2025 | $2,236 | ||||||||||||||||
Credit Suisse International | 2.000% | (6 | ) | GBP | 290,000 | 3,739 | 09/17/2025 | 3,640 | ||||||||||||||||
Credit Suisse International | 2.000% | (6 | ) | GBP | 290,000 | 5,025 | 09/17/2025 | 2,354 | ||||||||||||||||
Credit Suisse International | 2.000% | (6 | ) | GBP | 6,430,000 | 38,192 | 09/17/2025 | 125,424 | ||||||||||||||||
Credit Suisse International | 2.000% | (6 | ) | GBP | 480,000 | 18,599 | 09/17/2025 | (6,385 | ) | |||||||||||||||
Credit Suisse International | 2.000% | (6 | ) | GBP | 3,870,000 | (54,761 | ) | 09/17/2025 | 153,236 | |||||||||||||||
Credit Suisse International | 2.000% | (6 | ) | GBP | 290,000 | 1,163 | 09/17/2025 | 6,216 | ||||||||||||||||
Credit Suisse International | 2.000% | (6 | ) | GBP | 290,000 | 10,365 | 09/17/2025 | (2,986 | ) | |||||||||||||||
Credit Suisse International | 2.000% | (6 | ) | GBP | 320,000 | 6,376 | 09/17/2025 | 1,767 | ||||||||||||||||
Credit Suisse International | 2.000% | (6 | ) | GBP | 290,000 | 9,005 | 09/17/2025 | (1,626 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 1.000% | GBP | 1,650,000 | (5,693 | ) | 09/20/2017 | (5,825 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 1.000% | GBP | 1,440,000 | (10,154 | ) | 09/20/2017 | 102 | ||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 1.000% | GBP | 1,300,000 | (6,562 | ) | 09/20/2017 | (2,513 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 1.000% | GBP | 1,490,000 | (6,273 | ) | 09/20/2017 | (4,128 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 1.000% | GBP | 29,010,000 | (128,605 | ) | 09/20/2017 | (73,908 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 1.000% | GBP | 1,720,000 | (13,689 | ) | 09/20/2017 | 1,682 | ||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 1.000% | GBP | 1,290,000 | (9,936 | ) | 09/20/2017 | 931 | ||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 1.000% | GBP | 1,660,000 | (11,861 | ) | 09/20/2017 | 273 | ||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 1.000% | GBP | 17,550,000 | (103,658 | ) | 09/20/2017 | (18,855 | ) | |||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 467,010,000 | (5,361 | ) | 09/20/2017 | (1,359 | ) | ||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 245,500,000 | (3,390 | ) | 09/20/2017 | (143 | ) | ||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 3,036,940,000 | (47,605 | ) | 09/20/2017 | 3,905 | |||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 3,884,810,000 | (56,141 | ) | 09/20/2017 | 240 | |||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 261,670,000 | (4,406 | ) | 09/20/2017 | 641 | |||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 256,740,000 | (4,083 | ) | 09/20/2017 | 389 | |||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 3,867,160,000 | (52,087 | ) | 09/20/2017 | (3,560 | ) | ||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 270,300,000 | (3,028 | ) | 09/20/2017 | (862 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
53
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY† | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 536,570,000 | $(7,483 | ) | 09/20/2017 | $(238 | ) | ||||||||||||||
CitiBank | 0.250% | (6 | ) | JPY | 7,056,400,000 | (99,782 | ) | 09/20/2017 | (1,757 | ) | ||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 251,380,000 | (3,837 | ) | 09/20/2017 | 220 | |||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 536,580,000 | (7,571 | ) | 09/20/2017 | (150 | ) | ||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 3,232,580,000 | (55,169 | ) | 09/20/2017 | 8,653 | |||||||||||||||
Credit Suisse International | 0.250% | (6 | ) | JPY | 238,070,000 | (3,688 | ) | 09/20/2017 | 262 | |||||||||||||||
Credit Suisse International | 0.750% | (6 | ) | JPY | 303,090,000 | (18,120 | ) | 09/17/2025 | (856 | ) | ||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 0.250% | JPY | 8,695,250,000 | 122,050 | 09/20/2017 | 3,072 | |||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.250% | JPY | 1,297,350,000 | 18,878 | 09/20/2017 | (209 | ) | ||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 0.250% | JPY | 5,431,050,000 | 85,517 | 09/20/2017 | (7,367 | ) | ||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 49,610,000 | (4,990 | ) | 09/17/2025 | (2,327 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 50,190,000 | (5,525 | ) | 09/17/2025 | (1,878 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 823,730,000 | (139,625 | ) | 09/17/2025 | 18,131 | ||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 115,920,000 | (11,150 | ) | 09/17/2025 | (5,947 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 115,920,000 | (13,142 | ) | 09/17/2025 | (3,955 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 57,080,000 | (6,648 | ) | 09/17/2025 | (1,771 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 670,350,000 | (42,445 | ) | 09/17/2025 | (56,427 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 50,930,000 | (2,811 | ) | 09/17/2025 | (4,701 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 51,370,000 | (6,365 | ) | 09/17/2025 | (1,212 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 816,340,000 | (98,602 | ) | 09/17/2025 | (21,802 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 49,680,000 | (3,721 | ) | 09/17/2025 | (3,606 | ) | |||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.500% | JPY | 98,350,000 | (16,136 | ) | 09/17/2025 | 1,630 | ||||||||||||||||
Credit Suisse International | 6 Month London Interbank Offered Rate | 0.750% | JPY | 647,430,000 | 47,706 | 09/17/2025 | (7,172 | ) | ||||||||||||||||
Credit Suisse International | 1.000% | (7 | ) | NOK | 15,920,000 | 11,076 | 09/20/2017 | 682 | ||||||||||||||||
Credit Suisse International | 1.000% | (7 | ) | NOK | 127,130,000 | 38,545 | 09/20/2017 | 55,353 | ||||||||||||||||
Credit Suisse International | 1.000% | (7 | ) | NOK | 127,130,000 | 38,511 | 09/20/2017 | 55,387 | ||||||||||||||||
Credit Suisse International | 1.000% | (7 | ) | NOK | 15,910,000 | 7,064 | 09/20/2017 | 4,687 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
54
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY† | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
Credit Suisse International | 2.000% | (7 | ) | NOK | 3,540,000 | $15,892 | 09/17/2025 | $1,553 | ||||||||||||||||
Credit Suisse International | 2.000% | (7 | ) | NOK | 16,970,000 | 45,093 | 09/17/2025 | 38,532 | ||||||||||||||||
Credit Suisse International | 2.000% | (7 | ) | NOK | 3,510,000 | 10,913 | 09/17/2025 | 6,384 | ||||||||||||||||
Credit Suisse International | 2.000% | (7 | ) | NOK | 3,750,000 | 11,507 | 09/17/2025 | 6,972 | ||||||||||||||||
Credit Suisse International | 2.000% | (7 | ) | NOK | 3,530,000 | 8,674 | 09/17/2025 | 8,722 | ||||||||||||||||
Credit Suisse International | 2.000% | (7 | ) | NOK | 4,040,000 | 1,839 | 09/17/2025 | 18,069 | ||||||||||||||||
Credit Suisse International | 2.000% | (7 | ) | NOK | 3,580,000 | (4,952 | ) | 09/17/2025 | 22,594 | |||||||||||||||
Credit Suisse International | 2.000% | (7 | ) | NOK | 4,410,000 | (5,803 | ) | 09/17/2025 | 27,535 | |||||||||||||||
Credit Suisse International | 2.000% | (7 | ) | NOK | 5,200,000 | 12,338 | 09/17/2025 | 13,287 | ||||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 1.000% | NOK | 15,990,000 | (11,842 | ) | 09/20/2017 | 32 | ||||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 1.000% | NOK | 78,320,000 | (81,448 | ) | 09/20/2017 | 23,601 | ||||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 1.000% | NOK | 26,550,000 | (23,242 | ) | 09/20/2017 | 3,632 | ||||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 1.000% | NOK | 20,410,000 | (14,848 | ) | 09/20/2017 | (227 | ) | |||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 1.000% | NOK | 15,440,000 | (13,274 | ) | 09/20/2017 | 1,870 | ||||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 1.000% | NOK | 15,980,000 | (5,734 | ) | 09/20/2017 | (6,069 | ) | |||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 1.000% | NOK | 15,770,000 | (13,578 | ) | 09/20/2017 | 1,930 | ||||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 1.000% | NOK | 16,660,000 | (6,271 | ) | 09/20/2017 | (6,034 | ) | |||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 1.000% | NOK | 17,040,000 | (13,045 | ) | 09/20/2017 | 459 | ||||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 2.000% | NOK | 27,920,000 | 18,277 | 09/17/2025 | (155,863 | ) | ||||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 2.000% | NOK | 3,510,000 | (9,876 | ) | 09/17/2025 | (7,421 | ) | |||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 2.000% | NOK | 3,690,000 | (15,152 | ) | 09/17/2025 | (3,032 | ) | |||||||||||||||
Credit Suisse International | 6 Month Norwegian Interbank Offered Rate | 2.000% | NOK | 27,920,000 | 18,293 | 09/17/2025 | (155,879 | ) | ||||||||||||||||
Credit Suisse International | 3 Month Australian Bank-Bill Reference Rate | 3.500% | NZD | 11,670,000 | (1,673 | ) | 09/13/2017 | 63,946 | ||||||||||||||||
Credit Suisse International | 3 Month Australian Bank-Bill Reference Rate | 3.500% | NZD | 3,450,000 | (75,503 | ) | 09/10/2025 | (7,254 | ) | |||||||||||||||
Credit Suisse International | 3 Month Australian Bank-Bill Reference Rate | 3.500% | NZD | 11,250,000 | 62,265 | 09/13/2017 | (2,234 | ) | ||||||||||||||||
Credit Suisse International | 3 Month Australian Bank-Bill Reference Rate | 3.500% | NZD | 2,910,000 | 5,256 | 09/13/2017 | 10,272 | |||||||||||||||||
Credit Suisse International | 3 Month Australian Bank-Bill Reference Rate | 3.500% | NZD | 2,870,000 | 4,359 | 09/13/2017 | 10,956 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
55
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY† | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
Credit Suisse International | 3 Month Australian Bank-Bill Reference Rate | 4.000% | NZD | 660,000 | $3,817 | 09/10/2025 | $(1,198 | ) | ||||||||||||||||
Credit Suisse International | 3.500% | (1 | ) | NZD | 15,080,000 | 25,382 | 09/13/2017 | (105,851 | ) | |||||||||||||||
Credit Suisse International | 3.500% | (1 | ) | NZD | 2,620,000 | 28,708 | 09/10/2025 | 34,139 | ||||||||||||||||
Credit Suisse International | 3.500% | (1 | ) | NZD | 2,820,000 | (6,093 | ) | 09/13/2017 | (8,955 | ) | ||||||||||||||
Credit Suisse International | 4.000% | (1 | ) | NZD | 680,000 | 641 | 09/10/2025 | (3,340 | ) | |||||||||||||||
Credit Suisse International | 4.000% | (1 | ) | NZD | 2,650,000 | (840 | ) | 09/10/2025 | (9,678 | ) | ||||||||||||||
Credit Suisse International | 4.000% | (1 | ) | NZD | 680,000 | 2,198 | 09/10/2025 | (4,897 | ) | |||||||||||||||
Credit Suisse International | 0.500% | (8 | ) | SEK | 13,900,000 | (17,533 | ) | 09/20/2017 | 1,114 | |||||||||||||||
Credit Suisse International | 0.500% | (8 | ) | SEK | 17,240,000 | (19,175 | ) | 09/20/2017 | (1,189 | ) | ||||||||||||||
Credit Suisse International | 1.000% | (8 | ) | SEK | 3,750,000 | 18,025 | 09/17/2025 | 10,777 | ||||||||||||||||
Credit Suisse International | 1.000% | (8 | ) | SEK | 3,730,000 | 18,070 | 09/17/2025 | 10,578 | ||||||||||||||||
Credit Suisse International | 1.000% | (8 | ) | SEK | 3,610,000 | (835 | ) | 09/17/2025 | 28,561 | |||||||||||||||
Credit Suisse International | 1.000% | (8 | ) | SEK | 3,010,000 | 5,722 | 09/17/2025 | 17,396 | ||||||||||||||||
Credit Suisse International | 1.500% | (8 | ) | SEK | 3,970,000 | 14,377 | 09/17/2025 | (6,640 | ) | |||||||||||||||
Credit Suisse International | 3 Month Stockholm Interbank Offered Rate | 0.500% | SEK | 13,880,000 | 11,556 | 09/20/2017 | 4,840 | |||||||||||||||||
Credit Suisse International | 3 Month Stockholm Interbank Offered Rate | 0.500% | SEK | 16,550,000 | 21,244 | 09/20/2017 | (1,695 | ) | ||||||||||||||||
Credit Suisse International | 3 Month Stockholm Interbank Offered Rate | 0.500% | SEK | 16,350,000 | 9,629 | 09/20/2017 | 9,684 | |||||||||||||||||
Credit Suisse International | 3 Month Stockholm Interbank Offered Rate | 0.500% | SEK | 16,390,000 | 18,338 | 09/20/2017 | 1,022 | |||||||||||||||||
Credit Suisse International | 3 Month Stockholm Interbank Offered Rate | 0.500% | SEK | 17,120,000 | 35,181 | 09/20/2017 | (14,959 | ) | ||||||||||||||||
Credit Suisse International | 3 Month Stockholm Interbank Offered Rate | 1.000% | SEK | 2,990,000 | 1,698 | 09/17/2025 | (24,662 | ) | ||||||||||||||||
Credit Suisse International | 3 Month Stockholm Interbank Offered Rate | 1.500% | SEK | 3,630,000 | (9,263 | ) | 09/17/2025 | 2,189 | ||||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 2,030,000 | (16,705 | ) | 09/18/2017 | (1,496 | ) | ||||||||||||||
CitiBank | 1.500% | (3 | ) | USD | 28,000,000 | (64,977 | ) | 09/18/2017 | (186,072 | ) | ||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 11,300,000 | (46,700 | ) | 09/18/2017 | (54,616 | ) | ||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 1,010,000 | (8,701 | ) | 09/18/2017 | (355 | ) | ||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 1,020,000 | (8,425 | ) | 09/18/2017 | (720 | ) | ||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 2,030,000 | (15,650 | ) | 09/18/2017 | (2,551 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
56
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY† | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 1,010,000 | $(7,486 | ) | 09/18/2017 | $(1,570 | ) | ||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 11,300,000 | (58,800 | ) | 09/18/2017 | (42,516 | ) | ||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 2,100,000 | (18,041 | ) | 09/18/2017 | (788 | ) | ||||||||||||||
CitiBank | 1.500% | (3 | ) | USD | 270,000 | (2,076 | ) | 09/18/2017 | (345 | ) | ||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 2,180,000 | (17,904 | ) | 09/18/2017 | (1,642 | ) | ||||||||||||||
CitiBank | 1.500% | (3 | ) | USD | 17,580,000 | (130,200 | ) | 09/18/2017 | (27,423 | ) | ||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 2,080,000 | (16,926 | ) | 09/18/2017 | (1,723 | ) | ||||||||||||||
CitiBank | 1.500% | (3 | ) | USD | 28,470,000 | (205,341 | ) | 09/18/2017 | (49,922 | ) | ||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 2,260,000 | (17,705 | ) | 09/18/2017 | (2,558 | ) | ||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 1,020,000 | (7,329 | ) | 09/18/2017 | (1,816 | ) | ||||||||||||||
Credit Suisse International | 1.500% | (3 | ) | USD | 15,320,000 | (91,888 | ) | 09/18/2017 | (45,472 | ) | ||||||||||||||
CitiBank | 2.250% | (3 | ) | USD | 5,890,000 | (119,006 | ) | 09/16/2020 | 13,284 | |||||||||||||||
CitiBank | 2.250% | (3 | ) | USD | 1,410,000 | (25,378 | ) | 09/16/2020 | 69 | |||||||||||||||
CitiBank | 2.250% | (3 | ) | USD | 11,800,000 | (162,108 | ) | 09/16/2020 | (49,695 | ) | ||||||||||||||
CitiBank | 2.250% | (3 | ) | USD | 18,520,000 | (435,903 | ) | 09/16/2020 | 103,481 | |||||||||||||||
CitiBank | 2.250% | (3 | ) | USD | 11,800,000 | (161,508 | ) | 09/16/2020 | (50,295 | ) | ||||||||||||||
Credit Suisse International | 2.750% | (3 | ) | USD | 2,500,000 | (64,300 | ) | 09/16/2025 | 9,700 | |||||||||||||||
Credit Suisse International | 2.750% | (3 | ) | USD | 410,000 | (11,555 | ) | 09/16/2025 | 2,601 | |||||||||||||||
Credit Suisse International | 2.750% | (3 | ) | USD | 590,000 | (28,834 | ) | 09/16/2025 | 15,948 | |||||||||||||||
Credit Suisse International | 2.750% | (3 | ) | USD | 910,000 | (28,913 | ) | 09/16/2025 | 9,038 | |||||||||||||||
Credit Suisse International | 2.750% | (3 | ) | USD | 920,000 | (35,531 | ) | 09/16/2025 | 15,438 | |||||||||||||||
Credit Suisse International | 2.750% | (3 | ) | USD | 1,650,000 | (95,542 | ) | 09/16/2025 | 59,506 | |||||||||||||||
Credit Suisse International | 2.750% | (3 | ) | USD | 410,000 | (12,329 | ) | 09/16/2025 | 3,375 | |||||||||||||||
Credit Suisse International | 2.750% | (3 | ) | USD | 7,950,000 | (247,700 | ) | 09/16/2025 | 74,071 | |||||||||||||||
Credit Suisse International | 2.750% | (3 | ) | USD | 3,860,000 | (176,696 | ) | 09/16/2025 | 92,393 | |||||||||||||||
Credit Suisse International | 2.750% | (3 | ) | USD | 410,000 | (13,453 | ) | 09/16/2025 | 4,499 | |||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 1.500% | USD | 13,990,000 | 76,202 | 09/18/2017 | 49,233 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.500% | USD | 1,690,000 | 10,943 | 09/18/2017 | 4,210 | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 1.500% | USD | 28,360,000 | 207,255 | 09/18/2017 | 47,022 | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 1.500% | USD | 28,360,000 | 207,563 | 09/18/2017 | 46,714 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.500% | USD | 1,680,000 | 11,214 | 09/18/2017 | 3,849 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
57
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY† | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.500% | USD | 11,300,000 | $58,800 | 09/18/2017 | $42,516 | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 1.500% | USD | 3,610,000 | 25,184 | 09/18/2017 | 7,183 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.500% | USD | 35,770,000 | 258,700 | 09/18/2017 | 62,015 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.500% | USD | 1,680,000 | 11,472 | 09/18/2017 | 3,591 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.500% | USD | 4,050,000 | 8,847 | 09/18/2017 | 27,465 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.500% | USD | 3,580,000 | 21,320 | 09/18/2017 | 10,778 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.500% | USD | 4,060,000 | 14,712 | 09/18/2017 | 21,690 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.500% | USD | 7,510,000 | 54,311 | 09/18/2017 | 13,024 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 1.500% | USD | 17,530,000 | 62,074 | 09/18/2017 | 95,100 | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 2.250% | USD | 11,830,000 | 219,195 | 09/16/2020 | (6,854 | ) | ||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 2.250% | USD | 11,580,000 | 140,335 | 09/16/2020 | 67,519 | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 2.250% | USD | 7,300,000 | 130,200 | 09/16/2020 | 830 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 250,000 | 8,155 | 09/16/2025 | (2,695 | ) | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 450,000 | 12,793 | 09/16/2025 | (2,965 | ) | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 250,000 | 9,097 | 09/16/2025 | (3,637 | ) | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 460,000 | 18,032 | 09/16/2025 | (7,985 | ) | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 450,000 | 25,746 | 09/16/2025 | (15,918 | ) | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 450,000 | 27,158 | 09/16/2025 | (17,330 | ) | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 230,000 | 5,153 | 09/16/2025 | (130 | ) | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 3,230,000 | 34,488 | 09/16/2025 | 36,056 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 240,000 | 5,689 | 09/16/2025 | (447 | ) | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 2,500,000 | 64,300 | 09/16/2025 | (9,700 | ) | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 2,500,000 | 114,400 | 09/16/2025 | (59,800 | ) | ||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 460,000 | 7,344 | 09/16/2025 | 2,703 | |||||||||||||||||
Credit Suisse International | 3 Month London Interbank Offered Rate | 2.750% | USD | 490,000 | 11,214 | 09/16/2025 | (512 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
$(1,931,674 | ) | $(193,583 | ) | |||||||||||||||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
58
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
† | Forward effective date swap. (See Note 4). |
(1) | 3 Month Australian Bank-Bill Reference Rate |
(2) | 6 Month Australian Bank-Bill Reference Rate |
(3) | 3 Month London Interbank Offered Rate |
(4) | 3 Month Canadian Bankers’ Acceptance Rate |
(5) | 6 Month Euro Interbank Offered Rate |
(6) | 6 Month London Interbank Offered Rate |
(7) | 6 Month Norwegian Interbank Offered Rate |
(8) | 3 Month Stockholm Interbank Offered Rate |
Total return swap contracts outstanding as of June 30, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Bank of America | Bovespa Index August Futures | 8/2015 | BRL | (544,503 | ) | $2,092 | ||||||||
CitiBank | Brent Crude August Futures^ | 9/2015 | USD | (963,200 | ) | (63,021 | ) | |||||||
CitiBank | Brent Crude August Futures^ | 9/2015 | USD | 1,037,512 | (11,269 | ) | ||||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | (862,548 | ) | (150,252 | ) | |||||||
Bank of America | Hang Seng Index July Futures | 7/2015 | HKD | 1,363,259 | (6,844 | ) | ||||||||
Bank of America | H-SHARES Index July Futures | 7/2015 | HKD | 677,914 | (4,085 | ) | ||||||||
Bank of America | MSCI Taiwan Stock Index July Futures | 7/2015 | USD | 725,211 | (6,381 | ) | ||||||||
Bank of America | SGX S&P CNX Nifty Index July Futures | 7/2015 | USD | 16,783 | (14 | ) | ||||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | (1,233,329 | ) | (182,811 | ) | |||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | (408,561 | ) | (58,201 | ) | |||||||
Bank of America | Swiss Market Index September Futures | 9/2015 | CHF | (1,597,363 | ) | 16,094 | ||||||||
Bank of America | Taiwan Stock Exchange July Futures | 7/2015 | TWD | 5,457,688 | 2,253 | |||||||||
Bank of America | Tel Aviv 25 Index July Futures | 7/2015 | ILS | 682,379 | (6,072 | ) | ||||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | 520,428 | 33,735 | |||||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | (1,655,005 | ) | (346,055 | ) | |||||||
CitiBank | WTI Crude August Futures^ | 9/2015 | USD | 882,720 | 74,534 | |||||||||
CitiBank | WTI Crude August Futures^ | 9/2015 | USD | (917,680 | ) | (39,586 | ) | |||||||
|
| |||||||||||||
$(745,883 | ) | |||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
1 | Barclays Capital | KOSPI Index 200 Futures | 9/2015 | $111,358 | $113,071 | $1,713 | ||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 44,529 | 41,369 | (3,160 | ) | |||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 179,637 | 165,850 | (13,787 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 45,893 | 41,475 | (4,418 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 45,588 | 41,545 | (4,043 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 45,862 | 41,604 | (4,258 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 46,250 | 41,617 | (4,633 | ) | |||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 283,443 | 250,725 | (32,718 | ) | |||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 89,647 | 83,769 | (5,878 | ) | |||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 214,512 | 210,625 | (3,887 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 151,043 | 143,903 | (7,140 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 159,790 | 143,993 | (15,797 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
59
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | $ 152,328 | $ 144,045 | $ (8,283 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 144,190 | 144,069 | (121 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 75,985 | 71,637 | (4,348 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 55,509 | 49,791 | (5,718 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 55,869 | 49,781 | (6,088 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 55,681 | 49,881 | (5,800 | ) | |||||||||||||
2 | Barclays Capital | CAC40 Index Futures | 7/2015 | 109,661 | 106,724 | (2,937 | ) | |||||||||||||
9 | Barclays Capital | DAX Index Futures | 9/2015 | 2,727,722 | 2,759,630 | 31,908 | ||||||||||||||
261 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | 10,005,884 | 9,997,930 | (7,954 | ) | |||||||||||||
4 | Barclays Capital | FTSE/JSE Top 40 Index Futures | 9/2015 | 152,066 | 152,030 | (36 | ) | |||||||||||||
13 | Barclays Capital | Hang Seng Index Futures | 7/2015 | 2,275,012 | 2,197,315 | (77,697 | ) | |||||||||||||
4 | J.P. Morgan | KOSPI Index 200 Futures | 9/2015 | 456,177 | 452,284 | (3,893 | ) | |||||||||||||
3 | Barclays Capital | MSCI Singapore Index Futures | 7/2015 | 167,063 | 165,631 | (1,432 | ) | |||||||||||||
15 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2015 | 520,122 | 513,450 | (6,672 | ) | |||||||||||||
177 | Barclays Capital | OMXS30 Index Futures | 7/2015 | 3,331,323 | 3,291,853 | (39,470 | ) | |||||||||||||
29 | Barclays Capital | SET50 Index Futures | 9/2015 | 169,376 | 167,017 | (2,359 | ) | |||||||||||||
56 | Barclays Capital | SPI 200 Index Futures | 9/2015 | 5,918,084 | 5,829,677 | (88,407 | ) | |||||||||||||
116 | Barclays Capital | TOPIX Index Futures | 9/2015 | 15,676,673 | 15,454,345 | (222,328 | ) | |||||||||||||
101 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2016 | 28,128,046 | 28,140,110 | 12,064 | ||||||||||||||
673 | J.P. Morgan | 90-Day EURODollar Futures | 12/2015 | 167,236,705 | 167,349,863 | 113,158 | ||||||||||||||
443 | J.P. Morgan | 90-Day EURODollar Futures | 3/2016 | 109,869,837 | 109,952,600 | 82,763 | ||||||||||||||
199 | J.P. Morgan | 90-Day EURODollar Futures | 6/2016 | 49,237,434 | 49,289,812 | 52,378 | ||||||||||||||
372 | J.P. Morgan | 90-Day Sterling Futures | 12/2015 | 72,536,611 | 72,529,763 | (6,848 | ) | |||||||||||||
505 | J.P. Morgan | 90-Day Sterling Futures | 3/2016 | 98,366,573 | 98,332,172 | (34,401 | ) | |||||||||||||
438 | J.P. Morgan | 90-Day Sterling Futures | 6/2016 | 85,191,945 | 85,148,472 | (43,473 | ) | |||||||||||||
1 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 12/2015 | 268,221 | 270,041 | 1,820 | ||||||||||||||
166 | Goldman Sachs | Long Gilt Futures | 9/2015 | 30,338,826 | 30,185,566 | (153,260 | ) | |||||||||||||
327 | Morgan Stanley and Co., International PLC | U.S. Treasury 10-Year Note Futures | 9/2015 | 41,409,833 | 41,258,203 | (151,630 | ) | |||||||||||||
57 | Morgan Stanley and Co., International PLC | U.S. Treasury Long Bond Futures | 9/2015 | 8,701,239 | 8,598,094 | (103,145 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
734,751,547 | 733,971,332 | (780,215 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
23 | Goldman Sachs | Brent Crude Futures^ | 7/2015 | $(1,454,146 | ) | $(1,462,570 | ) | $(8,424 | ) | |||||||||||
7 | Goldman Sachs | Brent Crude Futures^ | 9/2015 | (444,273 | ) | (448,980 | ) | (4,707 | ) | |||||||||||
106 | Morgan Stanley and Co., International PLC | Corn Futures^ | 9/2015 | (1,917,783 | ) | (2,236,600 | ) | (318,817 | ) | |||||||||||
1 | Morgan Stanley and Co., International PLC | Gasoline RBOB Futures^ | 7/2015 | (86,755 | ) | (86,074 | ) | 681 | ||||||||||||
1 | Morgan Stanley and Co., International PLC | Gold 100 OZ Futures^ | 8/2015 | (117,819 | ) | (117,180 | ) | 639 | ||||||||||||
2 | Morgan Stanley and Co., International PLC | Heating Oil ULSD Futures^ | 7/2015 | (162,823 | ) | (158,751 | ) | 4,072 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (44,497 | ) | (41,369 | ) | 3,128 | ||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (179,990 | ) | (165,850 | ) | 14,140 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
60
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | $ (45,922 | ) | $ (41,474 | ) | $ 4,448 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (45,454 | ) | (41,546 | ) | 3,908 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (45,623 | ) | (41,605 | ) | 4,018 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (46,673 | ) | (41,617 | ) | 5,056 | ||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (283,832 | ) | (250,725 | ) | 33,107 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (89,457 | ) | (83,769 | ) | 5,688 | ||||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (523,464 | ) | (505,425 | ) | 18,039 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (213,999 | ) | (210,625 | ) | 3,374 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (151,510 | ) | (143,903 | ) | 7,607 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (158,997 | ) | (143,993 | ) | 15,004 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (153,408 | ) | (144,045 | ) | 9,363 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (144,198 | ) | (144,082 | ) | 116 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (144,145 | ) | (144,069 | ) | 76 | ||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 9/2015 | (48,366 | ) | (43,956 | ) | 4,410 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (75,460 | ) | (71,637 | ) | 3,823 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (80,890 | ) | (71,829 | ) | 9,061 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (55,622 | ) | (49,791 | ) | 5,831 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (55,448 | ) | (49,781 | ) | 5,667 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (55,248 | ) | (49,881 | ) | 5,367 | ||||||||||||
57 | Morgan Stanley and Co., International PLC | Natural Gas Futures^ | 8/2015 | (1,637,850 | ) | (1,614,240 | ) | 23,610 | ||||||||||||
3 | Morgan Stanley and Co., International PLC | Silver Futures^ | 9/2015 | (240,299 | ) | (233,715 | ) | 6,584 | ||||||||||||
35 | Morgan Stanley and Co., International PLC | Soybean Futures^ | 11/2015 | (1,593,218 | ) | (1,815,187 | ) | (221,969 | ) | |||||||||||
8 | Morgan Stanley and Co., International PLC | Soybean Meal Futures^ | 12/2015 | (240,135 | ) | (276,320 | ) | (36,185 | ) | |||||||||||
88 | Morgan Stanley and Co., International PLC | Soybean Oil Futures^ | 12/2015 | (1,758,174 | ) | (1,798,896 | ) | (40,722 | ) | |||||||||||
48 | Morgan Stanley and Co., International PLC | WTI Crude Futures^ | 8/2015 | (2,886,157 | ) | (2,854,560 | ) | 31,597 | ||||||||||||
8 | Barclays Capital | Amsterdam Index Futures | 7/2015 | (842,582 | ) | (842,024 | ) | 558 | ||||||||||||
28 | Barclays Capital | BIST 30 Futures | 8/2015 | (108,625 | ) | (106,432 | ) | 2,193 | ||||||||||||
98 | Barclays Capital | FTSE 100 Index Futures | 9/2015 | (10,224,686 | ) | (9,999,624 | ) | 225,062 | ||||||||||||
3 | Barclays Capital | FTSE Bursa Malaysia KLCI Index Futures | 7/2015 | (67,529 | ) | (67,565 | ) | (36 | ) | |||||||||||
20 | Barclays Capital | FTSE/MIB Index Futures | 9/2015 | (2,465,994 | ) | (2,516,551 | ) | (50,557 | ) | |||||||||||
5 | Barclays Capital | H-SHARES Index Futures | 7/2015 | (436,799 | ) | (416,852 | ) | 19,947 | ||||||||||||
8 | Barclays Capital | IBEX 35 Index Futures | 7/2015 | (952,566 | ) | (960,992 | ) | (8,426 | ) | |||||||||||
15 | Barclays Capital | S&P 500 E-Mini Futures | 9/2015 | (1,542,033 | ) | (1,540,800 | ) | 1,233 | ||||||||||||
1 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2015 | (136,303 | ) | (135,132 | ) | 1,171 | ||||||||||||
23 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2015 | (385,162 | ) | (385,687 | ) | (525 | ) | |||||||||||
53 | Goldman Sachs | 10-Year Japanese Government Bond Futures | 9/2015 | (63,510,535 | ) | (63,646,770 | ) | (136,235 | ) | |||||||||||
694 | J.P. Morgan | 3-Month Euro Euribor Futures | 9/2015 | (193,337,075 | ) | (193,397,478 | ) | (60,403 | ) | |||||||||||
967 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2015 | (269,502,028 | ) | (269,461,081 | ) | 40,947 | ||||||||||||
917 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2016 | (255,553,380 | ) | (255,515,489 | ) | 37,891 | ||||||||||||
229 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2015 | (22,043,207 | ) | (22,131,810 | ) | (88,603 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
61
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
74 | Goldman Sachs | Canadian 10-Year Bond Futures | 9/2015 | $ (8,242,932 | ) | $ (8,294,635 | ) | $ (51,703 | ) | |||||||||||
119 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 12/2015 | (23,574,994 | ) | (23,627,312 | ) | (52,318 | ) | |||||||||||
81 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 3/2016 | (16,073,770 | ) | (16,082,456 | ) | (8,686 | ) | |||||||||||
20 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 6/2016 | (3,964,986 | ) | (3,969,776 | ) | (4,790 | ) | |||||||||||
40 | Goldman Sachs | Euro - Bund Futures | 9/2015 | (6,748,792 | ) | (6,778,287 | ) | (29,495 | ) | |||||||||||
203 | Goldman Sachs | SGX Japanese Government Bond Futures | 9/2015 | (24,328,607 | ) | (24,372,938 | ) | (44,331 | ) | |||||||||||
70 | Morgan Stanley and Co., International PLC | U.S. Treasury 5-Year Note Futures | 9/2015 | (8,303,384 | ) | (8,348,047 | ) | (44,663 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(927,527,604 | ) | (928,181,783 | ) | (654,179 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(192,776,057 | ) | $(194,210,451 | ) | $(1,434,394 | ) | |||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | 7,567,000 | $5,796,669 | $5,813,736 | $17,067 | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | 4,685,000 | 1,471,587 | 1,465,401 | (6,186 | ) | |||||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | 6,927,000 | 5,574,756 | 5,540,288 | (34,468 | ) | |||||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | 1,538,000 | 1,648,114 | 1,650,000 | 1,886 | ||||||||||||||
Chilean Peso, Expiring 09/16/15* | Credit Suisse International | CLP | 1,611,000,000 | 2,563,172 | 2,501,848 | (61,324 | ) | |||||||||||||
Colombian Peso, Expiring 09/16/15* | Credit Suisse International | COP | 80,000,000 | 31,250 | 30,449 | (801 | ) | |||||||||||||
Czech Republic Koruna, Expiring 09/16/15 | Credit Suisse International | CZK | 3,400,000 | 140,678 | 139,150 | (1,528 | ) | |||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 15,765,000 | 17,604,637 | 17,594,790 | (9,847 | ) | |||||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | 7,240,000 | 11,311,538 | 11,369,500 | 57,962 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | 353,000 | 45,514 | 45,535 | 21 | ||||||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | 128,462,000 | 457,464 | 453,451 | (4,013 | ) | |||||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | 3,030,000 | 789,086 | 803,158 | 14,072 | ||||||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | 120,000,000 | 1,840,273 | 1,855,412 | 15,139 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
62
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | 2,361,406,000 | $ 19,061,178 | $ 19,314,563 | $ 253,385 | ||||||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | 441,131,000 | 399,716 | 394,775 | (4,941 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | 12,823,000 | 832,464 | 811,346 | (21,118 | ) | |||||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | 35,405,000 | 4,520,996 | 4,507,530 | (13,466 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | 2,669,000 | 1,849,726 | 1,796,737 | (52,989 | ) | |||||||||||||
Philippine Peso, Expiring 09/16/15* | Credit Suisse International | PHP | 3,500,000 | 78,221 | 77,297 | (924 | ) | |||||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | 1,180,000 | 319,416 | 313,176 | (6,240 | ) | |||||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | 54,003,000 | 6,538,154 | 6,524,935 | (13,219 | ) | |||||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | 720,000 | 535,330 | 533,994 | (1,336 | ) | |||||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | 2,888,000 | 1,048,628 | 1,054,088 | 5,460 | ||||||||||||||
Taiwanese Dollar, Expiring 09/16/15* | Credit Suisse International | TWD | 7,900,000 | 256,568 | 256,171 | (397 | ) | |||||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | 1,170,000 | 94,785 | 94,875 | 90 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$84,809,920 | $84,942,205 | $132,285 | ||||||||||||||||||
|
|
|
|
|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | (11,183,000 | ) | $(8,550,392 | ) | $(8,591,914 | ) | $(41,522 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | (2,800,000 | ) | (848,807 | ) | (875,799 | ) | (26,992 | ) | ||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | (8,844,000 | ) | (7,105,178 | ) | (7,073,525 | ) | 31,653 | |||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (2,381,000 | ) | (2,559,554 | ) | (2,554,386 | ) | 5,168 | |||||||||||
Chilean Peso, Expiring 09/16/15* | Credit Suisse International | CLP | (40,000,000 | ) | (63,372 | ) | (62,119 | ) | 1,253 | |||||||||||
Colombian Peso, Expiring 09/16/15* | Credit Suisse International | COP | (4,302,000,000 | ) | (1,674,529 | ) | (1,637,377 | ) | 37,152 | |||||||||||
Czech Republic Koruna, Expiring 09/16/15 | Credit Suisse International | CZK | (2,700,000 | ) | (112,244 | ) | (110,502 | ) | 1,742 | |||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (6,663,000 | ) | (7,506,943 | ) | (7,436,351 | ) | 70,592 | |||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | (11,133,000 | ) | (16,983,327 | ) | (17,482,963 | ) | (499,636 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | (82,000 | ) | (10,578 | ) | (10,578 | ) | — | |||||||||||
Indonesian Rupiah, Expiring 09/16/15* | Credit Suisse International | IDR | (10,290,000,000 | ) | (758,207 | ) | (758,805 | ) | (598 | ) | ||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | (6,548,000 | ) | (100,702 | ) | (101,243 | ) | (541 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
63
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | (219,187,000 | ) | $ (1,785,433 | ) | $ (1,792,789 | ) | $ (7,356 | ) | ||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | (2,197,149,000 | ) | (1,963,463 | ) | (1,966,265 | ) | (2,802 | ) | ||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | (68,743,000 | ) | (4,431,478 | ) | (4,349,554 | ) | 81,924 | |||||||||||
Malaysian Ringgit, Expiring 09/17/15* | Credit Suisse International | MYR | (930,000 | ) | (245,305 | ) | (245,021 | ) | 284 | |||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | (79,982,000 | ) | (10,193,359 | ) | (10,182,776 | ) | 10,583 | |||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | (10,456,000 | ) | (7,297,052 | ) | (7,038,849 | ) | 258,203 | |||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | (1,557,000 | ) | (416,903 | ) | (413,234 | ) | 3,669 | |||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | (38,142,000 | ) | (4,566,540 | ) | (4,608,524 | ) | (41,984 | ) | ||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | (582,000 | ) | (430,295 | ) | (431,644 | ) | (1,349 | ) | ||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | (4,071,000 | ) | (1,453,897 | ) | (1,485,871 | ) | (31,974 | ) | ||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | (18,749,000 | ) | (1,493,211 | ) | (1,520,346 | ) | (27,135 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(80,550,769 | ) | (80,730,435 | ) | (179,666 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$4,259,151 | $4,211,770 | $(47,381 | ) | |||||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward. (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
64
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | Total | |||||||||
Barclays Capital | ||||||||||||
Cash | $— | $3,763,187 | $3,763,187 | |||||||||
| ||||||||||||
Citibank | ||||||||||||
Cash | — | 696,083 | 696,083 | |||||||||
| ||||||||||||
Credit Suisse International | ||||||||||||
Cash | — | 3,009,538 | 3,009,538 | |||||||||
Money Market Funds | 30,000 | — | 30,000 | |||||||||
| ||||||||||||
Goldman Sachs | ||||||||||||
Cash | — | 551,932 | 551,932 | |||||||||
U.S. Treasury Bills | — | 1,392,836 | 1,392,836 | |||||||||
| ||||||||||||
J.P. Morgan | ||||||||||||
Cash | — | 1,700,857 | 1,700,857 | |||||||||
| ||||||||||||
Morgan Stanley and Co., International PLC | ||||||||||||
Cash | — | 945,693 | 945,693 | |||||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Citibank | ||||||||||
Money Market Funds | $850,000 | $— | $850,000 | |||||||
| ||||||||||
Goldman Sachs | ||||||||||
Cash | — | 96,364 | 96,364 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | 48,582 | 48,582 | |||||||
| ||||||||||
Morgan Stanley and Co., International PLC | ||||||||||
Cash | — | 768,313 | 768,313 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
65
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
LONG INVESTMENTS - 104.4% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 29.3% | ||||||||
Belgium - 0.8% | ||||||||
Colruyt SA (a) | 544 | $ | 24,402 | |||||
KBC Groep NV | 2,987 | 200,243 | ||||||
Proximus | 21,982 | 777,876 | ||||||
|
| |||||||
1,002,521 | ||||||||
|
| |||||||
Canada - 8.1% | ||||||||
Alimentation Couche-Tard, Inc., Class B (1) | 5,900 | 252,392 | ||||||
Bank of Montreal (1) | 2,610 | 154,657 | ||||||
Bank of Nova Scotia/The (1) | 1,711 | 88,317 | ||||||
BlackBerry Ltd. (1)†(a) | 73,242 | 598,720 | ||||||
Bombardier, Inc., Class B (1) | 64,707 | 116,566 | ||||||
Canadian Imperial Bank of Commerce (1) | 2,883 | 212,520 | ||||||
Canadian Natural Resources Ltd. (1) | 3,700 | 100,424 | ||||||
Canadian Oil Sands Ltd. (1) | 6,353 | 51,373 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 2,466 | 263,738 | ||||||
Canfor Corp. (1)† | 33,069 | 720,158 | ||||||
CGI Group, Inc., Class A (1)† | 12,778 | 499,764 | ||||||
CI Financial Corp. (1) | 3,296 | 88,667 | ||||||
Constellation Software, Inc. (1) | 1,086 | 431,148 | ||||||
Dollarama, Inc. (1) | 4,625 | 280,314 | ||||||
Empire Co., Ltd., Class A (1) | 3,600 | 253,556 | ||||||
Encana Corp. (1) | 17,300 | 190,729 | ||||||
Enerplus Corp. (1) | 6,691 | 58,714 | ||||||
Fairfax Financial Holdings Ltd. (1) | 603 | 297,338 | ||||||
Finning International, Inc. (1) | 39,898 | 750,364 | ||||||
Gibson Energy, Inc. (1) | 3,600 | 64,996 | ||||||
IGM Financial, Inc. (1) | 6,169 | 196,479 | ||||||
Intact Financial Corp. (1) | 1,729 | 120,144 | ||||||
Keyera Corp. (1) | 2,400 | 80,128 | ||||||
Kinross Gold Corp. (1)† | 241,923 | 563,648 | ||||||
Linamar Corp. (1) | 18,117 | 1,176,662 | ||||||
Magna International, Inc. (1) | 23,856 | 1,338,916 | ||||||
Metro, Inc. (1) | 4,478 | 120,178 | ||||||
National Bank of Canada (1) | 3,262 | 122,541 | ||||||
Open Text Corp. (1)(a) | 5,658 | 229,808 | ||||||
Penn West Petroleum Ltd. (1) | 54,600 | 93,987 | ||||||
Royal Bank of Canada (1) | 2,470 | 151,048 | ||||||
Saputo, Inc. (1) | 1,017 | 24,599 | ||||||
Shaw Communications, Inc., Class B (1) | 1,132 | 24,652 | ||||||
Toronto-Dominion Bank/The (1) | 2,200 | 93,425 | ||||||
West Fraser Timber Co., Ltd. (1) | 4,032 | 221,550 | ||||||
Whitecap Resources, Inc. (1) | 2,918 | 30,792 | ||||||
|
| |||||||
10,063,012 | ||||||||
|
| |||||||
Denmark - 1.6% | ||||||||
AP Moeller - Maersk A/S, Class B (a) | 68 | 122,947 | ||||||
Coloplast A/S, Class B (a) | 375 | 24,594 | ||||||
GN Store Nord A/S | 2,323 | 47,938 | ||||||
ISS A/S (a) | 3,009 | 99,103 | ||||||
Novo Nordisk A/S, Class B (a) | 12,246 | 671,998 | ||||||
Pandora A/S (a) | 8,090 | 868,091 | ||||||
TDC A/S (a) | 23,395 | 171,493 | ||||||
|
| |||||||
2,006,164 | ||||||||
|
| |||||||
Finland - 0.7% | ||||||||
Elisa OYJ | 4,126 | 130,724 | ||||||
Fortum OYJ (a) | 5,734 | 101,864 |
SHARES | VALUE (Note 5) | |||||||
Finland - 0.7% (continued) | ||||||||
Metso OYJ (a) | 2,973 | $ | 81,710 | |||||
Neste OYJ | 2,989 | 76,250 | ||||||
Orion OYJ, Class B (a) | 15,479 | 542,204 | ||||||
|
| |||||||
932,752 | ||||||||
|
| |||||||
Germany - 4.3% | ||||||||
Allianz SE (a) | 158 | 24,640 | ||||||
Aurubis AG (a) | 5,509 | 323,641 | ||||||
Bayer AG (a) | 1,674 | 234,427 | ||||||
Brenntag AG (a) | 637 | 36,552 | ||||||
Deutsche Boerse AG | 2,333 | 193,237 | ||||||
Deutsche Lufthansa AG †(a) | 35,583 | 459,093 | ||||||
Deutsche Post AG (a) | 1,335 | 39,008 | ||||||
Freenet AG (a) | 37,552 | 1,264,892 | ||||||
Hannover Rueck SE (a) | 2,798 | 270,809 | ||||||
HOCHTIEF AG (a) | 3,981 | 308,608 | ||||||
HUGO BOSS AG | 3,387 | 378,654 | ||||||
Merck KGaA (a) | 4,893 | 487,784 | ||||||
MTU Aero Engines AG | 2,095 | 197,173 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | 1,194 | 211,690 | ||||||
OSRAM Licht AG (a) | 2,610 | 124,864 | ||||||
ProSiebenSat.1 Media AG (a) | 5,061 | 249,984 | ||||||
STADA Arzneimittel AG (a) | 729 | 24,591 | ||||||
Symrise AG (a) | 1,136 | 70,551 | ||||||
United Internet AG | 9,264 | 411,739 | ||||||
|
| |||||||
5,311,937 | ||||||||
|
| |||||||
Hong Kong - 0.1% | ||||||||
Noble Group Ltd. | 181,000 | 101,973 | ||||||
|
| |||||||
Italy - 2.2% | ||||||||
Autogrill SpA † | 24,058 | 201,536 | ||||||
Banca Popolare di Milano Scarl | 106,317 | 112,125 | ||||||
Enel SpA | 123,262 | 558,660 | ||||||
Eni SpA (a) | 23,211 | 412,265 | ||||||
Finmeccanica SpA † | 13,958 | 175,579 | ||||||
Mediaset SpA | 33,010 | 158,917 | ||||||
Mediobanca SpA | 12,006 | 117,715 | ||||||
Moncler SpA | 4,654 | 86,239 | ||||||
Pirelli & C. SpA | 7,775 | 131,220 | ||||||
Prysmian SpA | 17,596 | 380,362 | ||||||
Snam SpA | 38,193 | 181,761 | ||||||
Terna Rete Elettrica Nazionale SpA | 9,868 | 43,634 | ||||||
UnipolSai SpA | 53,131 | 131,625 | ||||||
|
| |||||||
2,691,638 | ||||||||
|
| |||||||
Netherlands - 2.1% | ||||||||
Boskalis Westminster NV (a) | 12,639 | 620,419 | ||||||
Delta Lloyd NV (a) | 26,338 | 432,194 | ||||||
Heineken NV (a) | 1,220 | 92,754 | ||||||
Koninklijke Ahold NV (a) | 25,999 | 488,070 | ||||||
Koninklijke KPN NV | 26,930 | 103,245 | ||||||
Randstad Holding NV (a) | 7,747 | 504,078 | ||||||
Wolters Kluwer NV (a) | 12,118 | 360,678 | ||||||
|
| |||||||
2,601,438 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
66
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
SHARES | VALUE (Note 5) | |||||||
Norway - 0.6% | ||||||||
Norsk Hydro ASA | 93,587 | $ | 392,778 | |||||
Orkla ASA (a) | 8,315 | 65,240 | ||||||
Telenor ASA (a) | 5,010 | 109,844 | ||||||
Yara International ASA (a) | 4,466 | 232,715 | ||||||
|
| |||||||
800,577 | ||||||||
|
| |||||||
Singapore - 1.1% | ||||||||
ComfortDelGro Corp. Ltd. | 267,400 | 620,996 | ||||||
Singapore Airlines Ltd. | 90,700 | 722,156 | ||||||
Wilmar International Ltd. | 13,900 | 33,831 | ||||||
|
| |||||||
1,376,983 | ||||||||
|
| |||||||
Spain - 2.2% | ||||||||
Abengoa SA, B Shares | 57,694 | 181,936 | ||||||
Acerinox SA (a) | 22,846 | 316,237 | ||||||
ACS Actividades de Construccion y Servicios SA (a) | 1,687 | 54,416 | ||||||
Banco Santander SA (a) | 62,511 | 439,704 | ||||||
Enagas SA (a) | 2,258 | 61,468 | ||||||
Endesa SA (a) | 12,296 | 235,489 | ||||||
Gas Natural SDG SA (a) | 2,594 | 58,903 | ||||||
Iberdrola SA (a) | 42,925 | 289,810 | ||||||
Mediaset Espana Comunicacion SA (a) | 28,778 | 377,818 | ||||||
Repsol SA (a) | 4,634 | 81,677 | ||||||
Tecnicas Reunidas SA (a) | 2,815 | 145,034 | ||||||
Telefonica SA (a) | 35,161 | 500,882 | ||||||
|
| |||||||
2,743,374 | ||||||||
|
| |||||||
Sweden - 1.9% | ||||||||
Boliden AB (a) | 22,969 | 418,741 | ||||||
Electrolux AB, Series B (a) | 14,699 | 460,566 | ||||||
Husqvarna AB, B Shares | 62,579 | 471,385 | ||||||
ICA Gruppen AB | 3,822 | 135,597 | ||||||
Securitas AB, B Shares (a) | 26,655 | 352,030 | ||||||
Skanska AB, B Shares (a) | 2,147 | 43,507 | ||||||
Tele2 AB, B Shares (a) | 21,230 | 247,231 | ||||||
TeliaSonera AB (a) | 34,154 | 201,295 | ||||||
|
| |||||||
2,330,352 | ||||||||
|
| |||||||
Switzerland - 2.6% | ||||||||
Actelion Ltd. †(a) | 7,587 | 1,111,127 | ||||||
Baloise Holding AG | 1,576 | 192,163 | ||||||
Flughafen Zuerich AG | 599 | 463,690 | ||||||
Galenica AG | 41 | 42,763 | ||||||
Geberit AG (a) | 470 | 156,695 | ||||||
Lonza Group AG † | 1,198 | 160,131 | ||||||
Novartis AG (a) | 1,186 | 116,656 | ||||||
Partners Group Holding AG | 87 | 26,003 | ||||||
Roche Holding AG (a) | 852 | 238,894 | ||||||
Sonova Holding AG | 334 | 45,165 | ||||||
Swiss Life Holding AG † | 1,506 | 344,845 | ||||||
Swiss Re AG (a) | 2,453 | 217,146 | ||||||
Swisscom AG | 44 | 24,660 | ||||||
Zurich Insurance Group AG †(a) | 406 | 123,598 | ||||||
|
| |||||||
3,263,536 | ||||||||
|
| |||||||
United Kingdom - 1.0% | ||||||||
Fiat Chrysler Automobiles NV † | 41,232 | 604,880 | ||||||
Reed Elsevier NV (a) | 28,212 | 671,042 |
SHARES | VALUE (Note 5) | |||||||
United Kingdom - 1.0% (continued) | ||||||||
Unilever NV CVA (a) | 590 | $ | 24,668 | |||||
|
| |||||||
1,300,590 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 36,526,847 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.3% | ||||||||
Germany - 0.3% | ||||||||
Porsche Automobil Holding SE | 3,741 | 315,428 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 44.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b) | 28,031,636 | 28,031,636 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b)(c) | 27,910,033 | 27,910,033 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 55,941,669 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 29.9% | | PRINCIPAL AMOUNT (000’s) | | |||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (d) | $ | 37,306 | 37,301,971 | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE | 130,085,915 | |||||||
|
| |||||||
SECURITIES SOLD SHORT - (24.4)% | SHARES | |||||||
COMMON STOCKS - (24.4)% | ||||||||
Belgium - (0.1)% | ||||||||
UCB SA | (1,978 | ) | (142,229 | ) | ||||
|
| |||||||
Canada - (8.2)% | ||||||||
Agnico Eagle Mines Ltd. (1) | (24,965 | ) | (708,774 | ) | ||||
Agrium, Inc. (1) | (300 | ) | (31,794 | ) | ||||
ARC Resources Ltd. (1) | (13,774 | ) | (236,000 | ) | ||||
Barrick Gold Corp. (1) | (41,537 | ) | (443,970 | ) | ||||
Baytex Energy Corp. (1) | (3,049 | ) | (47,432 | ) | ||||
CAE, Inc. (1) | (30,590 | ) | (364,190 | ) | ||||
Cameco Corp. (1) | (8,400 | ) | (120,182 | ) | ||||
Canadian Pacific Railway Ltd. (1) | (2,200 | ) | (352,317 | ) | ||||
Canadian Utilities Ltd., Class A (1) | (27,861 | ) | (802,370 | ) | ||||
Cenovus Energy, Inc. (1) | (6,987 | ) | (111,714 | ) | ||||
Eldorado Gold Corp. (1) | (11,516 | ) | (47,760 | ) | ||||
First Quantum Minerals Ltd. (1) | (80,658 | ) | (1,054,560 | ) | ||||
Fortis, Inc. (1) | (2,900 | ) | (81,451 | ) | ||||
Franco-Nevada Corp. (1) | (13,500 | ) | (643,871 | ) | ||||
Gildan Activewear, Inc. (1) | (10,284 | ) | (341,620 | ) | ||||
Husky Energy, Inc. (1) | (28,616 | ) | (547,347 | ) | ||||
Imperial Oil Ltd. (1) | (14,368 | ) | (555,049 | ) | ||||
Lundin Mining Corp. (1)† | (51,425 | ) | (211,217 | ) | ||||
MEG Energy Corp. (1)† | (12,700 | ) | (207,430 | ) | ||||
Methanex Corp. (1) | (3,519 | ) | (196,433 | ) | ||||
Potash Corp of Saskatchewan, Inc. (1) | (10,705 | ) | (331,521 | ) | ||||
Precision Drilling Corp. (1) | (33,400 | ) | (224,628 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
67
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
SHARES | VALUE (Note 5) | |||||||
Canada - (8.2)% (continued) | ||||||||
Rogers Communications, Inc., Class B (1) | (16,285 | ) | $ | (577,602 | ) | |||
Silver Wheaton Corp. (1) | (21,600 | ) | (374,411 | ) | ||||
SNC-Lavalin Group, Inc. (1) | (10,598 | ) | (356,038 | ) | ||||
Teck Resources Ltd., Class B (1) | (16,048 | ) | (159,067 | ) | ||||
Tourmaline Oil Corp. (1)† | (1,752 | ) | (52,630 | ) | ||||
TransCanada Corp. (1) | (23,618 | ) | (959,848 | ) | ||||
|
| |||||||
(10,141,226 | ) | |||||||
|
| |||||||
Denmark - (1.1)% | ||||||||
Carlsberg A/S, Class B | (8,228 | ) | (745,504 | ) | ||||
FLSmidth & Co. A/S | (5,369 | ) | (257,997 | ) | ||||
Novozymes A/S, B Shares | (2,699 | ) | (128,231 | ) | ||||
Tryg A/S | (7,326 | ) | (152,747 | ) | ||||
Vestas Wind Systems A/S | (498 | ) | (24,822 | ) | ||||
|
| |||||||
(1,309,301 | ) | |||||||
|
| |||||||
Finland - (0.5)% | ||||||||
Kone OYJ, Class B | (5,638 | ) | (228,847 | ) | ||||
Nokian Renkaat OYJ | (12,821 | ) | (401,687 | ) | ||||
Wartsila OYJ | (550 | ) | (25,771 | ) | ||||
|
| |||||||
(656,305 | ) | |||||||
|
| |||||||
Germany - (3.1)% | ||||||||
adidas AG | (324 | ) | (24,791 | ) | ||||
Bayerische Motoren Werke AG | (2,331 | ) | (255,278 | ) | ||||
Bilfinger SE | (1,257 | ) | (47,578 | ) | ||||
Commerzbank AG † | (11,849 | ) | (151,473 | ) | ||||
Continental AG | (1,734 | ) | (410,572 | ) | ||||
Daimler AG | (1,713 | ) | (156,047 | ) | ||||
E.ON SE | (9,077 | ) | (121,037 | ) | ||||
Infineon Technologies AG | (39,610 | ) | (491,544 | ) | ||||
K+S AG | (800 | ) | (33,734 | ) | ||||
LANXESS AG | (1,492 | ) | (88,031 | ) | ||||
METRO AG | (6,376 | ) | (201,381 | ) | ||||
Rheinmetall AG | (8,970 | ) | (454,985 | ) | ||||
RWE AG | (7,535 | ) | (162,066 | ) | ||||
Salzgitter AG | (2,012 | ) | (71,928 | ) | ||||
Siemens AG | (5,424 | ) | (548,754 | ) | ||||
Telefonica Deutschland Holding AG | (13,460 | ) | (77,540 | ) | ||||
ThyssenKrupp AG | (16,159 | ) | (420,367 | ) | ||||
Wacker Chemie AG | (331 | ) | (34,200 | ) | ||||
Wirecard AG | (1,532 | ) | (58,635 | ) | ||||
|
| |||||||
(3,809,941 | ) | |||||||
|
| |||||||
Hong Kong - (0.7)% | ||||||||
Jardine Matheson Holdings Ltd. (1) | (14,900 | ) | (841,850 | ) | ||||
|
| |||||||
Italy - (1.3)% | ||||||||
A2A SpA | (41,678 | ) | (49,743 | ) | ||||
Banca Popolare dell’Emilia Romagna SC | (5,015 | ) | (44,745 | ) | ||||
Banco Popolare SC † | (7,741 | ) | (127,460 | ) | ||||
Buzzi Unicem SpA | (5,657 | ) | (80,590 | ) | ||||
Enel Green Power SpA | (137,720 | ) | (269,216 | ) | ||||
Saipem SpA † | (16,968 | ) | (179,302 | ) | ||||
Salvatore Ferragamo SpA | (14,289 | ) | (429,242 | ) | ||||
Telecom Italia SpA † | (378,606 | ) | (481,137 | ) | ||||
|
| |||||||
(1,661,435 | ) | |||||||
|
|
SHARES | VALUE (Note 5) | |||||||
Luxembourg - (1.5)% | ||||||||
Altice SA † | (7,404 | ) | $ | (1,021,452 | ) | |||
ArcelorMittal | (31,809 | ) | (308,917 | ) | ||||
Tenaris SA | (37,993 | ) | (512,460 | ) | ||||
|
| |||||||
(1,842,829 | ) | |||||||
|
| |||||||
Netherlands - (0.5)% | ||||||||
ASML Holding NV | (2,668 | ) | (277,519 | ) | ||||
OCI NV † | (1,491 | ) | (42,257 | ) | ||||
SBM Offshore NV † | (28,785 | ) | (343,112 | ) | ||||
|
| |||||||
(662,888 | ) | |||||||
|
| |||||||
Norway - (0.6)% | ||||||||
Gjensidige Forsikring ASA | (2,368 | ) | (38,129 | ) | ||||
Schibsted ASA | (15,841 | ) | (490,761 | ) | ||||
Schibsted ASA † | (8,675 | ) | (262,227 | ) | ||||
|
| |||||||
(791,117 | ) | |||||||
|
| |||||||
Singapore - (1.2)% | ||||||||
CapitaLand Ltd. | (149,400 | ) | (387,956 | ) | ||||
Global Logistic Properties Ltd. | (133,000 | ) | (249,677 | ) | ||||
Golden Agri-Resources Ltd. | (309,400 | ) | (94,210 | ) | ||||
Hutchison Port Holdings Trust, Class U (1) | (131,000 | ) | (81,875 | ) | ||||
Keppel Corp. Ltd. | (110,800 | ) | (675,340 | ) | ||||
|
| |||||||
(1,489,058 | ) | |||||||
|
| |||||||
Spain - (1.3)% | ||||||||
Amadeus IT Holding SA, A Shares | (6,485 | ) | (258,882 | ) | ||||
Banco Popular Espanol SA | (49,870 | ) | (242,649 | ) | ||||
Bankia SA † | (156,859 | ) | (199,702 | ) | ||||
Distribuidora Internacional de Alimentacion SA | (7,059 | ) | (54,097 | ) | ||||
Ferrovial SA | (1,920 | ) | (41,715 | ) | ||||
Grifols SA | (9,885 | ) | (399,175 | ) | ||||
Inditex SA | (14,440 | ) | (470,994 | ) | ||||
|
| |||||||
(1,667,214 | ) | |||||||
|
| |||||||
Sweden - (0.7)% | ||||||||
Getinge AB, B Shares | (9,774 | ) | (235,319 | ) | ||||
Hexagon AB, B Shares | (1,731 | ) | (62,698 | ) | ||||
Svenska Handelsbanken AB, A Shares | (17,763 | ) | (259,309 | ) | ||||
Swedish Match AB | (3,156 | ) | (89,727 | ) | ||||
Volvo AB, B Shares | (19,918 | ) | (247,332 | ) | ||||
|
| |||||||
(894,385 | ) | |||||||
|
| |||||||
Switzerland - (2.5)% | ||||||||
Aryzta AG † | (1,772 | ) | (87,188 | ) | ||||
Cie Financiere Richemont SA | (8,319 | ) | (676,151 | ) | ||||
Credit Suisse Group AG † | (22,097 | ) | (609,601 | ) | ||||
Holcim Ltd. † | (2,634 | ) | (194,351 | ) | ||||
Julius Baer Group Ltd. † | (4,497 | ) | (252,345 | ) | ||||
STMicroelectronics NV | (2,992 | ) | (24,489 | ) | ||||
Sulzer AG | (250 | ) | (25,716 | ) | ||||
Swatch Group AG/The | (1,847 | ) | (719,735 | ) | ||||
UBS Group AG † | (24,951 | ) | (529,372 | ) | ||||
|
| |||||||
(3,118,948 | ) | |||||||
|
| |||||||
United Kingdom - (0.7)% | ||||||||
CNH Industrial NV | (92,831 | ) | (847,078 | ) | ||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
68
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
SHARES | VALUE (Note 5) | |||||||
United States - (0.4)% | ||||||||
Valeant Pharmaceuticals International, Inc. (1)† | (2,270 | ) | $ | (503,562 | ) | |||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT |
| (30,379,366 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT, AT VALUE | (30,379,366 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 80.0% | 99,706,549 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 20.0% (f) | 24,849,172 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 124,555,721 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 2,760,163 | 2.2 | % | ||||
Consumer Staples | 243,180 | 0.2 | ||||||
Energy | (2,710,764 | ) | (2.2 | ) | ||||
Financials | 1,317,709 | 1.1 | ||||||
Health Care | 2,467,987 | 2.0 | ||||||
Industrials | 1,249,363 | 1.0 | ||||||
Information Technology | 997,411 | 0.8 | ||||||
Materials | (2,303,710 | ) | (1.8 | ) | ||||
Telecommunication Services | 2,395,863 | 1.9 | ||||||
Utilities | 45,707 | 0.0 | (e) | |||||
Money Market Funds | 55,941,669 | 44.9 | ||||||
Short-Term Investments | 37,301,971 | 29.9 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 99,706,549 | 80.0 | ||||||
Other Assets in Excess of Liabilities (f) | 24,849,172 | 20.0 | ||||||
|
|
|
| |||||
Net Assets | $ | 124,555,721 | 100.0 | % | ||||
|
|
|
|
† | Non-income producing security. |
(a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2015, the value of these securities was $12,833,347. In addition, $17,898,925 of cash collateral was pledged. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
(c) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(d) | The rate shown is the effective yield at the date of purchase. |
(e) | Represents less than 0.05% of net assets. |
(f) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certification
Total return swap contract outstanding as of June 30, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Goldman Sachs | Swiss Market Index September Futures | 9/2015 | CHF | 2,407,542 | $(36,484 | ) | ||||||||
|
|
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
10 | Barclays Capital | Amsterdam Index Futures | 7/2015 | $1,045,229 | $1,052,530 | $7,301 | ||||||||||||||
53 | Barclays Capital | CAC40 Index Futures | 7/2015 | 2,832,967 | 2,828,201 | (4,766 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
69
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
8 | Barclays Capital | DAX Index Futures | 9/2015 | $ 2,424,642 | $ 2,453,005 | $ 28,363 | ||||||||||||||
77 | Barclays Capital | FTSE 100 Index Futures | 9/2015 | 8,015,755 | 7,856,847 | (158,908 | ) | |||||||||||||
5 | Barclays Capital | FTSE/MIB Index Futures | 9/2015 | 617,544 | 629,137 | 11,593 | ||||||||||||||
14 | Barclays Capital | Hang Seng Index Futures | 7/2015 | 2,442,993 | 2,366,340 | (76,653 | ) | |||||||||||||
9 | Barclays Capital | IBEX 35 Index Futures | 7/2015 | 1,076,430 | 1,081,116 | 4,686 | ||||||||||||||
12 | Barclays Capital | MSCI Singapore Index Futures | 7/2015 | 666,593 | 662,524 | (4,069 | ) | |||||||||||||
55 | Barclays Capital | OMXS30 Index Futures | 7/2015 | 1,034,862 | 1,022,892 | (11,970 | ) | |||||||||||||
404 | Barclays Capital | S&P 500 E-Mini Futures | 9/2015 | 42,167,474 | 41,498,880 | (668,594 | ) | |||||||||||||
36 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2015 | 4,924,794 | 4,864,756 | (60,038 | ) | |||||||||||||
10 | Barclays Capital | SPI 200 Index Futures | 9/2015 | 1,057,931 | 1,041,014 | (16,917 | ) | |||||||||||||
62 | Barclays Capital | TOPIX Index Futures | 9/2015 | 8,371,700 | 8,260,081 | (111,619 | ) | |||||||||||||
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76,678,914 | 75,617,323 | (1,061,591 | ) | |||||||||||||||||
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Short Contracts: | ||||||||||||||||||||
84 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | (3,219,752 | ) | (3,217,725 | ) | 2,027 | ||||||||||||
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$73,459,162 | $72,399,598 | $(1,059,564 | ) | |||||||||||||||||
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|
|
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | CitiBank | AUD | 1,032,500 | $790,086 | $793,271 | $3,185 | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | 1,032,500 | 790,079 | 793,272 | 3,193 | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | CitiBank | CAD | 1,638,206 | 1,309,155 | 1,310,253 | 1,098 | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | 2,729,204 | 2,184,468 | 2,182,845 | (1,623 | ) | |||||||||||||
Swiss Franc, Expiring 09/16/15 | CitiBank | CHF | 1,021,791 | 1,095,340 | 1,096,199 | 859 | ||||||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | 1,052,791 | 1,128,606 | 1,129,456 | 850 | ||||||||||||||
Danish Krone, Expiring 09/16/15 | CitiBank | DKK | 104,500 | 15,362 | 15,651 | 289 | ||||||||||||||
Danish Krone, Expiring 09/16/15 | Credit Suisse International | DKK | 1,888,500 | 281,506 | 282,849 | 1,343 | ||||||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | 941,940 | 1,046,059 | 1,051,269 | 5,210 | ||||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 1,231,940 | 1,365,436 | 1,374,928 | 9,492 | ||||||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | 1,507,001 | 2,295,350 | 2,366,554 | 71,204 | ||||||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | 1,507,000 | 2,295,339 | 2,366,552 | 71,213 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | CitiBank | HKD | 6,577,500 | 848,092 | 848,470 | 378 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | 6,577,500 | 848,090 | 848,470 | 380 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
70
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Israeli Shekel, Expiring 09/16/15 | CitiBank | ILS | 263,000 | $ 68,486 | $ 69,713 | $ 1,227 | ||||||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | 263,000 | 68,486 | 69,713 | 1,227 | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | CitiBank | JPY | 321,534,501 | 2,593,118 | 2,629,916 | 36,798 | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | 321,534,500 | 2,593,105 | 2,629,916 | 36,811 | ||||||||||||||
Norwegian Krone, Expiring 09/16/15 | CitiBank | NOK | 62,000 | 7,956 | 7,893 | (63 | ) | |||||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | 1,907,000 | 242,664 | 242,786 | 122 | ||||||||||||||
New Zealand Dollar, Expiring 09/16/15 | CitiBank | NZD | 27,500 | 19,371 | 18,513 | (858 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | 27,499 | 19,370 | 18,512 | (858 | ) | |||||||||||||
Swedish Krona, Expiring 09/16/15 | CitiBank | SEK | 324,500 | 38,278 | 39,208 | 930 | ||||||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | 324,500 | 38,273 | 39,208 | 935 | ||||||||||||||
Singapore Dollar, Expiring 09/16/15 | CitiBank | SGD | 640,858 | 473,814 | 475,297 | 1,483 | ||||||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | 640,857 | 473,815 | 475,297 | 1,482 | ||||||||||||||
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| |||||||||||||||
$22,929,704 | $23,176,011 | $246,307 | ||||||||||||||||||
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|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | (1,087,000 | ) | $(879,195 | ) | $(869,393 | ) | $9,802 | |||||||||||
Swiss Franc, Expiring 09/16/15 | CitiBank | CHF | (1,500 | ) | (1,598 | ) | (1,609 | ) | (11 | ) | ||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (122,500 | ) | (130,873 | ) | (131,420 | ) | (547 | ) | ||||||||||
Danish Krone, Expiring 09/16/15 | CitiBank | DKK | (1,087,279 | ) | (162,456 | ) | (162,847 | ) | (391 | ) | ||||||||||
Danish Krone, Expiring 09/16/15 | Credit Suisse International | DKK | (1,087,278 | ) | (162,455 | ) | (162,847 | ) | (392 | ) | ||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | (40,500 | ) | (44,459 | ) | (45,201 | ) | (742 | ) | ||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (1,335,500 | ) | (1,489,610 | ) | (1,490,507 | ) | (897 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/16/15 | CitiBank | HKD | (17,000 | ) | (2,192 | ) | (2,193 | ) | (1 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | (17,000 | ) | (2,192 | ) | (2,193 | ) | (1 | ) | ||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | (22,000 | ) | (5,691 | ) | (5,832 | ) | (141 | ) | ||||||||||
Norwegian Krone, Expiring 09/16/15 | CitiBank | NOK | (54,743 | ) | (6,967 | ) | (6,969 | ) | (2 | ) | ||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | (1,027,742 | ) | (131,775 | ) | (130,845 | ) | 930 | |||||||||||
New Zealand Dollar, Expiring 09/16/15 | CitiBank | NZD | (6,000 | ) | (4,294 | ) | (4,039 | ) | 255 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
71
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | (6,000 | ) | $ (4,296 | ) | $ (4,039 | ) | $ 257 | |||||||||||
Swedish Krona, Expiring 09/16/15 | CitiBank | SEK | (3,228,119 | ) | (389,270 | ) | (390,039 | ) | (769 | ) | ||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | (3,764,119 | ) | (453,011 | ) | (454,802 | ) | (1,791 | ) | ||||||||||
Singapore Dollar, Expiring 09/16/15 | CitiBank | SGD | (13,500 | ) | (9,971 | ) | (10,012 | ) | (41 | ) | ||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | (777,500 | ) | (575,496 | ) | (576,638 | ) | (1,142 | ) | ||||||||||
|
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|
|
|
| |||||||||||||||
(4,455,801 | ) | (4,451,425 | ) | 4,376 | ||||||||||||||||
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| |||||||||||||||
$18,473,903 | $18,724,586 | $250,683 | ||||||||||||||||||
|
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|
|
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
72
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
Total Return Basket Swaps* Outstanding at June 30, 2015
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the JPY/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 25 months maturity 08/20/2015 | $780,126 | |||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
ABC-Mart, Inc. | 500 | $ | 28,688 | $ | 1,913 | |||||||
Ajinomoto Co., Inc. | 24,000 | 516,698 | 2,309 | |||||||||
Aozora Bank Ltd. | 96,000 | 339,357 | 22,852 | |||||||||
Asahi Glass Co., Ltd. | 4,000 | 25,470 | (1,455 | ) | ||||||||
Asahi Kasei Corp. | 24,000 | 194,280 | 2,582 | |||||||||
Astellas Pharma, Inc. | 29,500 | 412,162 | 8,090 | |||||||||
Bandai Namco Holdings, Inc. | 23,900 | 491,627 | (29,770 | ) | ||||||||
Bank of Yokohama Ltd./The | 44,000 | 261,490 | 7,965 | |||||||||
Bridgestone Corp. | 3,700 | 139,612 | (2,851 | ) | ||||||||
Calbee, Inc. | 9,800 | 338,680 | 74,175 | |||||||||
Central Japan Railway Co. | 3,000 | 445,433 | 95,931 | |||||||||
Chiba Bank Ltd./The | 15,000 | 113,928 | 294 | |||||||||
Chubu Electric Power Co., Inc. | 10,000 | 136,539 | 12,502 | |||||||||
Chugai Pharmaceutical Co., Ltd. | 4,600 | 119,483 | 39,186 | |||||||||
Citizen Holdings Co., Ltd. | 7,900 | 51,604 | 3,513 | |||||||||
Dai Nippon Printing Co., Ltd. | 10,000 | 84,296 | 18,893 | |||||||||
Daicel Corp. | 35,600 | 410,602 | 46,224 | |||||||||
Daihatsu Motor Co., Ltd. | 2,700 | 45,429 | (6,999 | ) | ||||||||
Dai-ichi Life Insurance Co., Ltd./The | 19,600 | 301,141 | 83,754 | |||||||||
Dentsu, Inc. | 800 | 26,440 | 14,946 | |||||||||
Disco Corp. | 5,200 | 472,268 | (42,390 | ) | ||||||||
Don Quijote Holdings Co., Ltd. | 6,000 | 229,636 | 25,658 | |||||||||
Electric Power Development Co., Ltd. | 1,000 | 26,435 | 8,891 | |||||||||
FamilyMart Co., Ltd. | 1,600 | 73,536 | 40 | |||||||||
Fuji Electric Co., Ltd. | 57,000 | 225,335 | 19,819 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Fuji Heavy Industries Ltd. | 30,700 | $ | 927,015 | $ | 201,848 | |||||||
FUJIFILM Holdings Corp. | 7,600 | 213,091 | 58,137 | |||||||||
Fujitsu Ltd. | 68,000 | 364,805 | 15,135 | |||||||||
Fukuoka Financial Group, Inc. | 10,000 | 44,524 | 7,307 | |||||||||
Gree, Inc. | 20,600 | 132,109 | (11,812 | ) | ||||||||
Hino Motors Ltd. | 3,000 | 36,441 | 646 | |||||||||
Hitachi Chemical Co., Ltd. | 1,800 | 26,109 | 6,311 | |||||||||
Hitachi High-Technologies Corp. | 9,500 | 248,980 | 18,082 | |||||||||
Hitachi Metals Ltd. | 8,000 | 132,922 | (9,934 | ) | ||||||||
Hoya Corp. | 29,000 | 1,023,725 | 137,718 | |||||||||
Ibiden Co., Ltd. | 4,200 | 72,589 | (1,561 | ) | ||||||||
Inpex Corp. | 2,200 | 27,038 | (2,066 | ) | ||||||||
Isuzu Motors Ltd. | 25,100 | 321,828 | 7,473 | |||||||||
ITOCHU Corp. | 33,000 | 407,874 | 27,964 | |||||||||
Japan Airlines Co., Ltd. | 44,000 | 1,346,081 | 187,294 | |||||||||
JSR Corp. | 20,200 | 335,544 | 21,053 | |||||||||
JTEKT Corp. | 4,500 | 60,536 | 24,561 | |||||||||
JX Holdings, Inc. | 5,800 | 23,592 | 1,414 | |||||||||
Kajima Corp. | 58,000 | 237,487 | 34,926 | |||||||||
Kao Corp. | 1,400 | 65,493 | (383 | ) | ||||||||
KDDI Corp. | 1,800 | 43,522 | (84 | ) | ||||||||
Keisei Electric Railway Co., Ltd. | 2,000 | 25,938 | (2,159 | ) | ||||||||
Keyence Corp. | 200 | 78,562 | 29,233 | |||||||||
Kobe Steel Ltd. | 125,000 | 198,578 | 11,724 | |||||||||
Koito Manufacturing Co., Ltd. | 7,700 | 270,422 | 29,395 | |||||||||
Konami Corp. | 9,600 | 177,139 | 1,306 | |||||||||
Konica Minolta, Inc. | 17,100 | 178,434 | 20,869 | |||||||||
Mabuchi Motor Co., Ltd. | 7,300 | 270,935 | 190,808 | |||||||||
Marubeni Corp. | 8,000 | 47,512 | (1,603 | ) | ||||||||
Mazda Motor Corp. | 15,500 | 323,321 | (20,005 | ) | ||||||||
MEIJI Holdings Co., Ltd. | 900 | 77,484 | 38,643 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
73
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Mitsubishi Chemical Holdings Corp. | 37,100 | $ | 214,567 | $ | 18,666 | |||||||
Mitsubishi Electric Corp. | 66,000 | 769,033 | 83,206 | |||||||||
Mitsubishi Materials Corp. | 11,000 | 26,640 | 15,597 | |||||||||
Mitsubishi Motors Corp. | 81,900 | 734,587 | (38,107 | ) | ||||||||
Mitsubishi Tanabe Pharma Corp. | 18,200 | 278,202 | (5,533 | ) | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 47,400 | 338,959 | 2,059 | |||||||||
Mitsui & Co., Ltd. | 12,900 | 170,558 | 4,703 | |||||||||
Mixi, Inc. | 3,200 | 140,671 | 18,091 | |||||||||
Mizuho Financial Group, Inc. | 84,500 | 183,883 | (1,047 | ) | ||||||||
MS&AD Insurance Group Holdings, Inc. | 8,400 | 266,076 | (4,598 | ) | ||||||||
Murata Manufacturing Co., Ltd. | 1,300 | 130,500 | 96,370 | |||||||||
Nippon Express Co., Ltd. | 133,000 | 673,129 | (19,643 | ) | ||||||||
Nippon Shokubai Co., Ltd. | 23,000 | 318,207 | (3,589 | ) | ||||||||
Nippon Steel & Sumitomo Metal Corp. | 43,000 | 99,688 | 11,805 | |||||||||
Nippon Telegraph & Telephone Corp. | 9,200 | 237,586 | 95,599 | |||||||||
Nippon Yusen KK | 93,000 | 278,110 | (19,193 | ) | ||||||||
Nissin Foods Holdings Co., Ltd. | 700 | 34,055 | (3,386 | ) | ||||||||
Nitori Holdings Co., Ltd. | 2,700 | 153,156 | 66,971 | |||||||||
Nitto Denko Corp. | 3,600 | 229,946 | 65,695 | |||||||||
NOK Corp. | 34,000 | 1,000,529 | 52,921 | |||||||||
Nomura Research Institute Ltd. | 2,400 | 94,058 | (209 | ) | ||||||||
NTT Data Corp. | 1,000 | 31,292 | 12,379 | |||||||||
Omron Corp. | 4,500 | 165,337 | 30,135 | |||||||||
Oriental Land Co., Ltd. | 2,800 | 123,147 | 55,462 | |||||||||
Osaka Gas Co., Ltd. | 36,000 | 132,860 | 9,225 | |||||||||
Otsuka Corp. | 13,500 | 585,756 | 44,446 | |||||||||
Otsuka Holdings Co., Ltd. | 19,800 | 624,128 | 6,764 | |||||||||
Panasonic Corp. | 66,500 | 777,250 | 133,548 | |||||||||
Park24 Co., Ltd. | 8,500 | 147,383 | (1,868 | ) | ||||||||
Recruit Holdings Co., Ltd. | 16,300 | 503,024 | (5,968 | ) | ||||||||
Resona Holdings, Inc. | 81,100 | 418,951 | 23,379 | |||||||||
Rohm Co., Ltd. | 6,400 | 331,223 | 97,572 | |||||||||
Santen Pharmaceutical Co., Ltd. | 49,700 | 651,884 | 51,307 | |||||||||
Secom Co., Ltd. | 1,700 | 89,069 | 21,372 | |||||||||
Seiko Epson Corp. | 4,100 | 73,194 | (540 | ) | ||||||||
Sekisui Chemical Co., Ltd. | 58,000 | 695,731 | 16,279 | |||||||||
Seven & I Holdings Co., Ltd. | 5,000 | 214,743 | (115 | ) | ||||||||
Seven Bank Ltd. | 5,400 | 20,940 | 4,058 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Shimadzu Corp. | 11,000 | $ | 111,422 | $ | 37,872 | |||||||
Shimamura Co., Ltd. | 5,600 | 581,176 | 6,763 | |||||||||
Shimizu Corp. | 32,000 | 213,935 | 55,362 | |||||||||
Shinsei Bank Ltd. | 28,000 | 56,171 | 256 | |||||||||
Sojitz Corp. | 183,800 | 326,388 | 119,999 | |||||||||
Sompo Japan Nipponkoa Holdings, Inc. | 5,200 | 192,457 | (2,052 | ) | ||||||||
Sony Corp. | 27,500 | 738,937 | 41,976 | |||||||||
Sony Financial Holdings, Inc. | 8,100 | 144,480 | (2,659 | ) | ||||||||
Sumitomo Chemical Co., Ltd. | 26,000 | 154,551 | 1,667 | |||||||||
Sumitomo Electric Industries Ltd. | 1,600 | 19,565 | 5,199 | |||||||||
Sumitomo Heavy Industries Ltd. | 128,000 | 793,995 | (48,479 | ) | ||||||||
Sumitomo Metal Mining Co., Ltd. | 2,000 | 22,522 | 7,896 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 12,900 | 573,831 | 467 | |||||||||
Sumitomo Rubber Industries Ltd. | 28,200 | 490,557 | (53,730 | ) | ||||||||
Suruga Bank Ltd. | 7,900 | 158,263 | 10,963 | |||||||||
Suzuki Motor Corp. | 10,300 | 261,413 | 86,206 | |||||||||
T&D Holdings, Inc. | 8,000 | 101,865 | 17,395 | |||||||||
Taiheiyo Cement Corp. | 27,000 | 84,698 | (5,740 | ) | ||||||||
Taisei Corp. | 22,000 | 98,744 | 27,558 | |||||||||
TDK Corp. | 8,500 | 523,621 | 127,246 | |||||||||
THK Co., Ltd. | 7,200 | 165,547 | (10,169 | ) | ||||||||
Tohoku Electric Power Co., Inc. | 79,900 | 978,205 | 103,600 | |||||||||
Tokio Marine Holdings, Inc. | 9,800 | 383,489 | 24,084 | |||||||||
Tokyo Electric Power Co., Inc. | 163,500 | 695,418 | 195,314 | |||||||||
Tokyo Gas Co., Ltd. | 43,000 | 208,634 | 19,640 | |||||||||
Toppan Printing Co., Ltd. | 15,000 | 117,760 | 7,639 | |||||||||
Toyo Suisan Kaisha Ltd. | 1,000 | 26,532 | 9,905 | |||||||||
Trend Micro, Inc. | 700 | 23,438 | 506 | |||||||||
West Japan Railway Co. | 4,000 | 178,679 | 77,238 | |||||||||
Yamaha Corp. | 5,300 | 99,590 | 7,229 | |||||||||
Yamaha Motor Co., Ltd. | 11,500 | 216,323 | 34,948 | |||||||||
|
| |||||||||||
3,266,224 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 3,266,224 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
Acom Co., Ltd. | (142,300 | ) | (375,477 | ) | (170,014 | ) | ||||||
Advantest Corp. | (34,200 | ) | (361,939 | ) | 6,342 | |||||||
Aeon Co., Ltd. | (63,200 | ) | (632,963 | ) | (263,850 | ) | ||||||
AEON Financial Service Co., Ltd. | (30,300 | ) | (603,538 | ) | (237,122 | ) | ||||||
Aisin Seiki Co., Ltd. | (1,600 | ) | (74,990 | ) | 6,959 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
74
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Amada Holdings Co., Ltd. | (2,400 | ) | $ | (15,996 | ) | $ | (9,336 | ) | ||||
Asahi Group Holdings Ltd. | (6,800 | ) | (219,677 | ) | 3,721 | |||||||
Asics Corp. | (1,800 | ) | (27,058 | ) | (19,442 | ) | ||||||
Canon, Inc. | (2,800 | ) | (97,857 | ) | 7,030 | |||||||
Chiyoda Corp. | (112,000 | ) | (981,747 | ) | (9,554 | ) | ||||||
Chugoku Electric Power Co., Inc./The | (11,900 | ) | (181,467 | ) | 7,876 | |||||||
Credit Saison Co., Ltd. | (7,500 | ) | (135,248 | ) | (25,332 | ) | ||||||
Daikin Industries Ltd. | (13,600 | ) | (917,073 | ) | (60,609 | ) | ||||||
Daiwa Securities Group, Inc. | (29,000 | ) | (222,365 | ) | 5,425 | |||||||
Denso Corp. | (9,100 | ) | (417,737 | ) | (35,017 | ) | ||||||
Eisai Co., Ltd. | (2,100 | ) | (94,722 | ) | (46,072 | ) | ||||||
Fast Retailing Co., Ltd. | (1,500 | ) | (524,652 | ) | (155,555 | ) | ||||||
GS Yuasa Corp. | (43,000 | ) | (196,506 | ) | 27,656 | |||||||
Hirose Electric Co., Ltd. | (2,200 | ) | (301,288 | ) | (13,925 | ) | ||||||
Hitachi Construction Machinery Co., Ltd. | (1,800 | ) | (30,504 | ) | (1,006 | ) | ||||||
Hitachi Ltd. | (10,000 | ) | (61,030 | ) | (4,845 | ) | ||||||
Honda Motor Co., Ltd. | (21,000 | ) | (705,758 | ) | 27,041 | |||||||
IHI Corp. | (226,000 | ) | (1,042,366 | ) | (9,929 | ) | ||||||
Isetan Mitsukoshi Holdings Ltd. | (53,700 | ) | (722,707 | ) | (236,680 | ) | ||||||
J Front Retailing Co., Ltd. | (23,200 | ) | (301,176 | ) | (135,477 | ) | ||||||
Japan Display, Inc. | (119,300 | ) | (393,030 | ) | (57,279 | ) | ||||||
Japan Tobacco, Inc. | (22,000 | ) | (815,656 | ) | 33,572 | |||||||
JFE Holdings, Inc. | (1,200 | ) | (26,766 | ) | 179 | |||||||
JGC Corp. | (24,000 | ) | (482,737 | ) | 29,685 | |||||||
Kakaku.com, Inc. | (10,300 | ) | (148,807 | ) | (221 | ) | ||||||
Kansai Electric Power Co., Inc./The | (28,600 | ) | (248,866 | ) | (67,752 | ) | ||||||
Kawasaki Heavy Industries Ltd. | (5,000 | ) | (19,263 | ) | (4,043 | ) | ||||||
Kikkoman Corp. | (1,000 | ) | (31,006 | ) | (217 | ) | ||||||
Kintetsu Group Holdings Co., Ltd. | (147,000 | ) | (508,794 | ) | 8,202 | |||||||
Komatsu Ltd. | (11,200 | ) | (220,984 | ) | (3,726 | ) | ||||||
Kubota Corp. | (18,000 | ) | (265,166 | ) | (20,249 | ) | ||||||
Kyocera Corp. | (3,400 | ) | (171,785 | ) | (4,989 | ) | ||||||
Kyowa Hakko Kirin Co., Ltd. | (2,000 | ) | (24,205 | ) | (1,931 | ) | ||||||
Kyushu Electric Power Co., Inc. | (146,500 | ) | (1,572,013 | ) | (126,496 | ) | ||||||
LIXIL Group Corp. | (9,300 | ) | (200,093 | ) | 15,622 | |||||||
Makita Corp. | (1,100 | ) | (59,578 | ) | 3 | |||||||
Marui Group Co., Ltd. | (124,500 | ) | (1,323,201 | ) | (358,864 | ) | ||||||
Minebea Co., Ltd. | (22,000 | ) | (362,444 | ) | (740 | ) | ||||||
Mitsubishi Heavy Industries Ltd. | (10,000 | ) | (60,625 | ) | (164 | ) | ||||||
Mitsui Chemicals, Inc. | (19,000 | ) | (37,032 | ) | (33,559 | ) | ||||||
Mitsui OSK Lines Ltd. | (124,000 | ) | (364,081 | ) | (32,842 | ) | ||||||
NGK Insulators Ltd. | (5,000 | ) | (121,287 | ) | (7,368 | ) | ||||||
NGK Spark Plug Co., Ltd. | (16,000 | ) | (450,579 | ) | 7,472 | |||||||
Nidec Corp. | (6,200 | ) | (397,491 | ) | (66,503 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Nintendo Co., Ltd. | (1,000 | ) | $ | (147,080 | ) | $ | (19,747 | ) | ||||
Nippon Electric Glass Co., Ltd. | (52,000 | ) | (215,871 | ) | (47,093 | ) | ||||||
Nippon Paint Holdings Co., Ltd. | (11,300 | ) | (342,686 | ) | 24,245 | |||||||
Nissan Motor Co., Ltd. | (11,300 | ) | (88,393 | ) | (29,657 | ) | ||||||
Nomura Holdings, Inc. | (29,700 | ) | (160,957 | ) | (39,573 | ) | ||||||
Obayashi Corp. | (49,000 | ) | (281,941 | ) | (75,374 | ) | ||||||
Odakyu Electric Railway Co., Ltd. | (3,000 | ) | (25,204 | ) | (2,787 | ) | ||||||
Olympus Corp. | (5,000 | ) | (140,391 | ) | (32,234 | ) | ||||||
Ono Pharmaceutical Co., Ltd. | (1,400 | ) | (144,035 | ) | (8,768 | ) | ||||||
Rakuten, Inc. | (47,600 | ) | (505,425 | ) | (263,036 | ) | ||||||
Ricoh Co., Ltd. | (152,200 | ) | (1,577,765 | ) | 1,131 | |||||||
Sega Sammy Holdings, Inc. | (49,700 | ) | (688,537 | ) | 38,694 | |||||||
Seibu Holdings, Inc. | (33,400 | ) | (793,324 | ) | 19,865 | |||||||
Shimano, Inc. | (900 | ) | (131,898 | ) | 9,083 | |||||||
Shiseido Co., Ltd. | (12,600 | ) | (284,786 | ) | (999 | ) | ||||||
Showa Shell Sekiyu KK | (2,800 | ) | (26,376 | ) | 1,911 | |||||||
Softbank Corp. | (11,500 | ) | (706,756 | ) | 29,372 | |||||||
Sumco Corp. | (102,200 | ) | (1,462,594 | ) | 184,377 | |||||||
Sumitomo Corp. | (2,200 | ) | (20,146 | ) | (5,460 | ) | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | (10,700 | ) | (141,588 | ) | 23,670 | |||||||
Suntory Beverage & Food Ltd. | (22,400 | ) | (947,871 | ) | 56,105 | |||||||
Taiyo Nippon Sanso Corp. | (12,000 | ) | (168,208 | ) | 22,987 | |||||||
Teijin Ltd. | (11,000 | ) | (20,325 | ) | (22,360 | ) | ||||||
Terumo Corp. | (18,400 | ) | (426,063 | ) | (15,173 | ) | ||||||
Toray Industries, Inc. | (6,000 | ) | (46,067 | ) | (4,649 | ) | ||||||
Toshiba Corp. | (207,000 | ) | (726,356 | ) | 16,491 | |||||||
TOTO Ltd. | (18,000 | ) | (281,484 | ) | (42,946 | ) | ||||||
Toyota Industries Corp. | (9,000 | ) | (539,188 | ) | 26,670 | |||||||
Toyota Motor Corp. | (2,500 | ) | (129,251 | ) | (38,042 | ) | ||||||
Unicharm Corp. | (35,000 | ) | (822,501 | ) | (8,907 | ) | ||||||
Yahoo Japan Corp. | (141,900 | ) | (500,790 | ) | (71,926 | ) | ||||||
Yakult Honsha Co., Ltd. | (15,000 | ) | (882,969 | ) | (5,475 | ) | ||||||
Yamato Holdings Co., Ltd. | (14,800 | ) | (293,204 | ) | 7,036 | |||||||
Yaskawa Electric Corp. | (57,000 | ) | (665,426 | ) | (63,630 | ) | ||||||
Yokogawa Electric Corp. | (27,700 | ) | (328,124 | ) | (28,630 | ) | ||||||
Yokohama Rubber Co., Ltd./The | (1,500 | ) | (23,380 | ) | (6,718 | ) | ||||||
|
| |||||||||||
(2,405,470 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (2,405,470 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 860,754 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (80,628 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 780,126 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
75
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 25 months maturity 08/20/2015 | $784,100 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
DCC PLC | 8,036 | $ | 601,762 | $ | 29,307 | |||||||
|
| |||||||||||
South Africa | ||||||||||||
Mondi PLC | 6,542 | 123,987 | 16,858 | |||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Coca-Cola HBC AG | 2,849 | 61,617 | (474 | ) | ||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Ashtead Group PLC | 1,760 | 23,227 | 7,107 | |||||||||
AstraZeneca PLC | 5,751 | 401,111 | (37,128 | ) | ||||||||
BAE Systems PLC | 32,463 | 232,165 | (2,151 | ) | ||||||||
Barratt Developments PLC | 76,350 | 527,151 | 209,270 | |||||||||
Berkeley Group Holdings PLC | 7,400 | 285,361 | 103,501 | |||||||||
BT Group PLC | 100,569 | 679,449 | 32,714 | |||||||||
Bunzl PLC | 5,893 | 154,458 | 6,300 | |||||||||
Capita PLC | 1,267 | 23,182 | 1,437 | |||||||||
Compass Group PLC | 8,742 | 141,362 | 3,223 | |||||||||
Daily Mail & General Trust PLC | 1,699 | 23,648 | 1,143 | |||||||||
Direct Line Insurance Group PLC | 22,569 | 116,393 | 2,738 | |||||||||
DS Smith PLC | 44,906 | 258,297 | 14,021 | |||||||||
easyJet PLC | 1,550 | 37,819 | (141 | ) | ||||||||
GKN PLC | 44,551 | 250,511 | (16,448 | ) | ||||||||
Hikma Pharmaceuticals PLC | 9,936 | 351,908 | (50,095 | ) | ||||||||
Howden Joinery Group PLC | 44,864 | 350,891 | 13,260 | |||||||||
Imperial Tobacco Group PLC | 13,622 | 673,327 | (17,261 | ) | ||||||||
International Consolidated Airlines Group SA | 40,394 | 346,914 | (33,008 | ) | ||||||||
ITV PLC | 12,718 | 37,555 | 15,065 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
John Wood Group PLC | 4,230 | $ | 43,020 | $ | (209 | ) | ||||||
Kingfisher PLC | 83,282 | 442,992 | 11,269 | |||||||||
Man Group PLC | 409,147 | 1,231,201 | (222,790 | ) | ||||||||
Marks & Spencer Group PLC | 9,550 | 81,573 | (1,010 | ) | ||||||||
National Grid PLC | 48,368 | 695,289 | (72,753 | ) | ||||||||
Next PLC | 1,634 | 169,217 | 22,029 | |||||||||
Pearson PLC | 6,300 | 129,264 | (9,977 | ) | ||||||||
Persimmon PLC | 23,836 | 575,806 | 163,729 | |||||||||
Premier Oil PLC | 73,810 | 197,845 | (24,992 | ) | ||||||||
Royal Mail PLC | 5,090 | 38,267 | 2,883 | |||||||||
SABMiller PLC | 475 | 26,393 | (1,764 | ) | ||||||||
Shire PLC | 6,269 | 442,807 | 60,905 | |||||||||
Sky PLC | 3,614 | 48,802 | 10,062 | |||||||||
Smith & Nephew PLC | 4,803 | 78,255 | 2,999 | |||||||||
Smiths Group PLC | 1,402 | 24,845 | 6 | |||||||||
SSE PLC | 2,579 | 64,473 | (2,252 | ) | ||||||||
Tate & Lyle PLC | 4,354 | 41,319 | (5,772 | ) | ||||||||
Taylor Wimpey PLC | 369,796 | 904,407 | 174,021 | |||||||||
Thomas Cook Group PLC | 138,039 | 316,019 | (19,303 | ) | ||||||||
Travis Perkins PLC | 2,031 | 56,608 | 10,659 | |||||||||
Vedanta Resources PLC | 36,350 | 329,393 | (32,530 | ) | ||||||||
Vodafone Group PLC | 97,105 | 347,862 | 6,366 | |||||||||
Whitbread PLC | 717 | 46,497 | 9,207 | |||||||||
William Hill PLC | 5,809 | 36,782 | 15 | |||||||||
WPP PLC | 19,475 | 456,820 | (19,681 | ) | ||||||||
|
| |||||||||||
314,664 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 360,355 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Switzerland | ||||||||||||
Glencore PLC | (103,942 | ) | (532,035 | ) | 115,207 | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
76
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom | ||||||||||||
Aberdeen Asset Management PLC | (53,788 | ) | $ | (354,328 | ) | $ | 13,149 | |||||
Admiral Group PLC | (34,876 | ) | (852,355 | ) | 92,396 | |||||||
Aggreko PLC | (21,329 | ) | (542,467 | ) | 60,702 | |||||||
Amec Foster Wheeler PLC | (4,195 | ) | (54,126 | ) | 249 | |||||||
Anglo American PLC | (18,717 | ) | (276,564 | ) | 6,170 | |||||||
Antofagasta PLC | (77,412 | ) | (898,596 | ) | 60,701 | |||||||
ARM Holdings PLC | (34,001 | ) | (533,531 | ) | (22,857 | ) | ||||||
ASOS PLC | (6,449 | ) | (248,131 | ) | (145,046 | ) | ||||||
Balfour Beatty PLC | (7,894 | ) | (29,727 | ) | (263 | ) | ||||||
BP PLC | (47,135 | ) | (313,142 | ) | 323 | |||||||
British American Tobacco PLC | (17,919 | ) | (996,730 | ) | 31,926 | |||||||
Burberry Group PLC | (3,647 | ) | (85,149 | ) | (4,824 | ) | ||||||
Centrica PLC | (44,635 | ) | (186,562 | ) | 1,350 | |||||||
Cobham PLC | (123,725 | ) | (573,832 | ) | 62,847 | |||||||
Croda International PLC | (808 | ) | (30,888 | ) | (4,049 | ) | ||||||
Diageo PLC | (9,607 | ) | (273,529 | ) | (4,687 | ) | ||||||
Eurasian Natural Resources Corp. Ltd. | (15 | ) | (53 | ) | 2 | |||||||
Experian PLC | (18,534 | ) | (331,107 | ) | (5,997 | ) | ||||||
G4S PLC | (26,358 | ) | (115,168 | ) | 4,029 | |||||||
Hargreaves Lansdown PLC | (96,596 | ) | (1,711,220 | ) | (38,908 | ) | ||||||
Inmarsat PLC | (37,459 | ) | (475,913 | ) | (62,579 | ) | ||||||
Intertek Group PLC | (11,669 | ) | (480,506 | ) | 31,833 | |||||||
Ladbrokes PLC | (250,739 | ) | (426,930 | ) | (84,372 | ) | ||||||
Old Mutual PLC | (12,945 | ) | (40,803 | ) | (172 | ) | ||||||
Petrofac Ltd. | (11,723 | ) | (169,848 | ) | (730 | ) | ||||||
Rolls-Royce Holdings PLC | (797,637 | ) | (52 | ) | (1,201 | ) | ||||||
Rolls-Royce Holdings PLC | (46,212 | ) | (730,343 | ) | 99,122 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Royal Bank of Scotland Group PLC | (11,305 | ) | $ | (58,340 | ) | $ | (4,171 | ) | ||||
RSA Insurance Group PLC | (85,070 | ) | (574,404 | ) | 43,925 | |||||||
Serco Group PLC | (163,256 | ) | (532,651 | ) | 229,912 | |||||||
Spectris PLC | (3,965 | ) | (111,990 | ) | (19,376 | ) | ||||||
Sports Direct International PLC | (9,268 | ) | (92,916 | ) | (11,580 | ) | ||||||
Standard Chartered PLC | (4,849 | ) | (83,174 | ) | 5,520 | |||||||
Standard Life PLC | (9,786 | ) | (70,545 | ) | 2,307 | |||||||
Tesco PLC | (298,144 | ) | (999,288 | ) | 5,937 | |||||||
Weir Group PLC/The | (16,999 | ) | (510,917 | ) | 57,856 | |||||||
WM Morrison Supermarkets PLC | (57,515 | ) | (167,902 | ) | 4,630 | |||||||
|
| |||||||||||
404,074 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 519,281 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 879,636 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (95,536 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 784,100 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
77
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the HKD/USD 1Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | 25-26 months maturity ranging from 07/22/2015 -08/22/2015 | $323,492 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Hong Kong | ||||||||||||
Bank of East Asia Ltd./The | 31,200 | $ | 124,531 | $ | 11,775 | |||||||
BOC Hong Kong Holdings Ltd. | 32,000 | 119,969 | 13,217 | |||||||||
Cheung Kong Property Holdings Ltd. | 33,000 | 211 | 273,527 | |||||||||
CK Hutchison Holdings Ltd. | 47,500 | 782,209 | (83,865 | ) | ||||||||
CLP Holdings Ltd. | 76,000 | 658,911 | (12,983 | ) | ||||||||
Hang Lung Properties Ltd. | 92,000 | 266,317 | 7,100 | |||||||||
Hang Seng Bank Ltd. | 4,400 | 88,145 | (2,209 | ) | ||||||||
Henderson Land Development Co., Ltd. | 38,500 | 275,520 | (12,336 | ) | ||||||||
Kerry Properties Ltd. | 74,500 | 290,368 | 1,658 | |||||||||
Li & Fung Ltd. | 378,000 | 363,821 | (64,153 | ) | ||||||||
MTR Corp. Ltd. | 87,000 | 346,044 | 58,730 | |||||||||
New World Development Co., Ltd. | 194,000 | 252,943 | 546 | |||||||||
Power Assets Holdings Ltd. | 38,500 | 361,698 | (10,678 | ) | ||||||||
Sino Land Co., Ltd. | 268,000 | 437,712 | 9,611 | |||||||||
Swire Pacific Ltd. | 5,000 | 57,044 | 5,741 | |||||||||
WH Group Ltd. | 530,000 | 368,852 | (8,128 | ) | ||||||||
|
| |||||||||||
187,553 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 187,553 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Hong Kong | ||||||||||||
AIA Group Ltd. | (114,200 | ) | (730,004 | ) | (16,711 | ) | ||||||
Cathay Pacific Airways Ltd. | (109,000 | ) | (264,341 | ) | (3,463 | ) | ||||||
Galaxy Entertainment Group Ltd. | (111,000 | ) | (520,980 | ) | 79,315 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Hong Kong (continued) | ||||||||||||
HKT Trust & HKT Ltd. | (353,000 | ) | $ | (446,572 | ) | $ | 31,767 | |||||
Hong Kong & China Gas Co., Ltd. | (747,120 | ) | (1,563,157 | ) | (2,326 | ) | ||||||
MGM China Holdings Ltd. | (240,800 | ) | (433,289 | ) | 40,095 | |||||||
Sands China Ltd. | (21,600 | ) | (80,459 | ) | 7,865 | |||||||
SJM Holdings Ltd. | (210,000 | ) | (234,620 | ) | 7,557 | |||||||
Sun Hung Kai Properties Ltd. | (6,031 | ) | (83,924 | ) | (13,675 | ) | ||||||
Swire Properties Ltd. | (126,600 | ) | (407,914 | ) | 4,125 | |||||||
Techtronic Industries Co., Ltd. | (138,500 | ) | (469,764 | ) | 16,921 | |||||||
Wheelock & Co., Ltd. | (7,000 | ) | (34,458 | ) | (1,261 | ) | ||||||
Wynn Macau Ltd. | (150,800 | ) | (447,236 | ) | 195,963 | |||||||
|
| |||||||||||
346,172 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
Samsonite International SA | (46,500 | ) | (160,085 | ) | (460 | ) | ||||||
|
| |||||||||||
Total of Short Equity Positions | 345,712 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 533,265 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (209,773 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 323,492 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
78
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 25 months maturity 08/20/2015 | $623,176 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
Amcor Ltd. | 31,769 | $ | 286,701 | $ | 49,017 | |||||||
Boral Ltd. | 175,457 | 818,547 | (28,137 | ) | ||||||||
Caltex Australia Ltd. | 33,308 | 847,596 | (29,946 | ) | ||||||||
Challenger Ltd. | 29,189 | 154,831 | (3,527 | ) | ||||||||
Coca-Cola Amatil Ltd. | 21,635 | 152,919 | (307 | ) | ||||||||
CSL Ltd. | 468 | 25,487 | 5,712 | |||||||||
Echo Entertainment Group Ltd. | 231,942 | 806,528 | (27,922 | ) | ||||||||
Macquarie Group Ltd. | 7,781 | 349,325 | 138,196 | |||||||||
Newcrest Mining Ltd. | 76,601 | 798,032 | (26,726 | ) | ||||||||
Qantas Airways Ltd. | 265,599 | 512,452 | 132,949 | |||||||||
Sonic Healthcare Ltd. | 1,534 | 21,726 | 3,534 | |||||||||
Tabcorp Holdings Ltd. | 44,588 | 157,353 | (1,061 | ) | ||||||||
Telstra Corp. Ltd. | 109,730 | 484,906 | 34,397 | |||||||||
Woodside Petroleum Ltd. | 40,750 | 1,088,759 | (13,503 | ) | ||||||||
WorleyParsons Ltd. | 3,272 | 33,650 | (7,380 | ) | ||||||||
|
| |||||||||||
225,296 | ||||||||||||
|
| |||||||||||
Ireland | ||||||||||||
James Hardie Industries PLC | 2,088 | 19,144 | 8,647 | |||||||||
|
| |||||||||||
Total of Long Equity Positions | 233,943 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
AMP Ltd. | (7,158 | ) | (27,907 | ) | (5,308 | ) | ||||||
Brambles Ltd. | (51,894 | ) | (434,404 | ) | 11,067 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Australia (continued) | ||||||||||||
Crown Resorts Ltd. | (31,601 | ) | $ | (323,847 | ) | $ | 26,925 | |||||
Flight Centre Travel Group Ltd. | (2,840 | ) | (81,979 | ) | 7,336 | |||||||
Iluka Resources Ltd. | (43,749 | ) | (224,940 | ) | (33,778 | ) | ||||||
Metcash Ltd. | (9,616 | ) | (8,049 | ) | (133 | ) | ||||||
Orica Ltd. | (2,983 | ) | (43,125 | ) | (5,840 | ) | ||||||
Origin Energy Ltd. | (2,878 | ) | (28,190 | ) | 1,629 | |||||||
QBE Insurance Group Ltd. | (49,368 | ) | (487,856 | ) | (31,994 | ) | ||||||
Seek Ltd. | (305,994 | ) | (3,760,972 | ) | 445,000 | |||||||
Westpac Banking Corp. | (4,639 | ) | (120,653 | ) | 5,875 | |||||||
|
| |||||||||||
420,779 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 420,779 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 654,722 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (31,546 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 623,176 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
79
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
Total Return Basket Swaps* Outstanding at June 30, 2015
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR, plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 20-25 months maturity 02/23/2017 | $334,454 | |||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Domtar Corp. | 10,435 | $ | 461,348 | $ | (29,339 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
Accenture PLC | 1,506 | 143,074 | 2,677 | |||||||||
Medtronic PLC | 7,237 | 545,143 | (8,881 | ) | ||||||||
|
| |||||||||||
(6,204 | ) | |||||||||||
|
| |||||||||||
Singapore | ||||||||||||
Flextronics International Ltd. | 72,535 | 873,155 | (52,784 | ) | ||||||||
|
| |||||||||||
Switzerland | ||||||||||||
ACE Ltd. | 2,546 | 260,828 | (1,951 | ) | ||||||||
TE Connectivity Ltd. | 3,900 | 277,056 | (26,286 | ) | ||||||||
|
| |||||||||||
(28,237 | ) | |||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Delphi Automotive PLC | 4,800 | 376,800 | 31,632 | |||||||||
International Game Technology PLC | 2,792 | 50,144 | (558 | ) | ||||||||
|
| |||||||||||
31,074 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
3M Co. | 7,556 | 1,209,376 | (43,485 | ) | ||||||||
Abbott Laboratories | 10,279 | 496,436 | 8,058 | |||||||||
AbbVie, Inc. | 11,800 | 689,609 | 103,233 | |||||||||
Activision Blizzard, Inc. | 17,700 | 415,773 | 12,744 | |||||||||
Acuity Brands, Inc. | 500 | 81,745 | 8,245 | |||||||||
Adobe Systems, Inc. | 1,000 | 77,130 | 3,880 | |||||||||
AES Corp. | 3,500 | 40,740 | 5,670 | |||||||||
Aetna, Inc. | 9,195 | 916,566 | 255,429 | |||||||||
Aflac, Inc. | 17,965 | 1,127,807 | (10,384 | ) | ||||||||
AGCO Corp. | 500 | 24,925 | 3,465 | |||||||||
Agilent Technologies, Inc. | 5,799 | 236,619 | (12,893 | ) | ||||||||
Akamai Technologies, Inc. | 8,877 | 631,505 | (11,713 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Alaska Air Group, Inc. | 3,000 | $ | 186,690 | $ | 6,600 | |||||||
Alleghany Corp. | 53 | 25,443 | (598 | ) | ||||||||
Alliant Energy Corp. | 557 | 32,127 | 23 | |||||||||
Allstate Corp./The | 13,411 | 898,055 | (28,083 | ) | ||||||||
Ally Financial, Inc. | 8,801 | 184,513 | 12,893 | |||||||||
Alnylam Pharmaceuticals, Inc. | 1,100 | 106,348 | 25,509 | |||||||||
Altria Group, Inc. | 19,851 | 998,376 | (27,464 | ) | ||||||||
Amazon.com, Inc. | 362 | 155,085 | 2,056 | |||||||||
Amdocs Ltd. | 24,899 | 1,342,731 | 16,506 | |||||||||
Ameren Corp. | 828 | 31,201 | (2 | ) | ||||||||
American Airlines Group, Inc. | 5,800 | 278,458 | (46,835 | ) | ||||||||
American Electric Power Co., Inc. | 5,807 | 331,650 | (24,053 | ) | ||||||||
American Express Co. | 3,681 | 291,891 | (5,803 | ) | ||||||||
American International Group, Inc. | 2,500 | 140,001 | 14,549 | |||||||||
Ameriprise Financial, Inc. | 6,021 | 816,392 | (64,189 | ) | ||||||||
AmerisourceBergen Corp. | 16,737 | 1,834,053 | (54,240 | ) | ||||||||
Amgen, Inc. | 9,533 | 1,489,229 | (25,723 | ) | ||||||||
ANSYS, Inc. | 966 | 83,604 | 4,534 | |||||||||
Anthem, Inc. | 5,785 | 873,927 | 75,623 | |||||||||
AO Smith Corp. | 5,566 | 367,369 | 33,271 | |||||||||
Apollo Education Group, Inc. | 12,300 | 320,784 | (162,360 | ) | ||||||||
Apple, Inc. | 3,602 | 454,357 | (2,577 | ) | ||||||||
Applied Materials, Inc. | 12,600 | 251,485 | (9,313 | ) | ||||||||
Archer-Daniels-Midland Co. | 21,306 | 1,037,849 | (10,473 | ) | ||||||||
Arrow Electronics, Inc. | 12,925 | 789,274 | (68,059 | ) | ||||||||
Ashland, Inc. | 919 | 113,930 | (1,904 | ) | ||||||||
Assurant, Inc. | 5,028 | 315,949 | 20,927 | |||||||||
Assured Guaranty Ltd. | 24,439 | 594,981 | (8,689 | ) | ||||||||
Atmel Corp. | 27,600 | 232,116 | 39,882 | |||||||||
Atwood Oceanics, Inc. | 4,100 | 134,279 | (25,875 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
80
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Autodesk, Inc. | 700 | $ | 42,791 | $ | (7,738 | ) | ||||||
Automatic Data Processing, Inc. | 4,855 | 416,538 | (27,021 | ) | ||||||||
Avery Dennison Corp. | 2,369 | 138,901 | 5,466 | |||||||||
Avnet, Inc. | 18,676 | 831,396 | (63,626 | ) | ||||||||
Avon Products, Inc. | 41,800 | 363,091 | (101,423 | ) | ||||||||
Bank of America Corp. | 5,500 | 86,359 | 7,251 | |||||||||
BB&T Corp. | 1,145 | 46,447 | (292 | ) | ||||||||
Becton Dickinson and Co. | 2,779 | 398,172 | (4,527 | ) | ||||||||
Bed Bath & Beyond, Inc. | 1,500 | 116,490 | (13,020 | ) | ||||||||
Bemis Co., Inc. | 14,807 | 678,412 | (11,949 | ) | ||||||||
Best Buy Co., Inc. | 21,867 | 809,714 | (96,631 | ) | ||||||||
Big Lots, Inc. | 19,000 | 913,140 | (58,330 | ) | ||||||||
Biogen, Inc. | 2,797 | 1,117,563 | 12,257 | |||||||||
BioMarin Pharmaceutical, Inc. | 3,300 | 399,959 | 51,415 | |||||||||
Boeing Co./The | 1,600 | 236,869 | (14,917 | ) | ||||||||
Boston Scientific Corp. | 16,700 | 247,828 | 47,762 | |||||||||
Brinker International, Inc. | 2,500 | 148,925 | (4,800 | ) | ||||||||
Bristol-Myers Squibb Co. | 910 | 59,188 | 1,363 | |||||||||
Broadridge Financial Solutions, Inc. | 12,947 | 686,731 | (39,251 | ) | ||||||||
Brocade Communications Systems, Inc. | 99,773 | 1,218,717 | (33,414 | ) | ||||||||
Brunswick Corp./DE | 2,700 | 152,253 | (14,931 | ) | ||||||||
Bunge Ltd. | 8,901 | 792,298 | (10,790 | ) | ||||||||
CA, Inc. | 10,472 | 337,811 | (31,086 | ) | ||||||||
California Resources Corp. | 41,500 | 292,417 | (41,757 | ) | ||||||||
Cameron International Corp. | 7,154 | 353,718 | 20,937 | |||||||||
Capital One Financial Corp. | 4,687 | 393,059 | 19,256 | |||||||||
Cardinal Health, Inc. | 1,709 | 149,189 | (6,231 | ) | ||||||||
Carnival Corp. | 4,303 | 210,322 | 2,203 | |||||||||
Carter’s, Inc. | 7,825 | 738,906 | 92,891 | |||||||||
CBOE Holdings, Inc. | 1,300 | 81,386 | (7,000 | ) | ||||||||
CBS Corp. | 600 | 36,120 | (2,820 | ) | ||||||||
CDW Corp. | 11,131 | 398,437 | (16,866 | ) | ||||||||
Celanese Corp. | 1,300 | 75,192 | 18,252 | |||||||||
Centene Corp. | 7,546 | 493,901 | 112,798 | |||||||||
CF Industries Holdings, Inc. | 3,500 | 206,686 | 18,294 | |||||||||
Chico’s FAS, Inc. | 13,551 | 242,134 | (16,781 | ) | ||||||||
Chubb Corp./The | 418 | 40,377 | (609 | ) | ||||||||
Cintas Corp. | 6,403 | 532,258 | 9,372 | |||||||||
Cisco Systems, Inc. | 48,800 | 1,388,530 | (48,482 | ) | ||||||||
CIT Group, Inc. | 2,952 | 133,755 | 3,483 | |||||||||
Citigroup, Inc. | 3,604 | 198,833 | 252 | |||||||||
Citrix Systems, Inc. | 3,468 | 222,943 | 20,371 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Cliffs Natural Resources, Inc. | 68,400 | $ | 469,868 | $ | (173,696 | ) | ||||||
Clorox Co./The | 2,290 | 239,462 | (1,257 | ) | ||||||||
Coach, Inc. | 7,300 | 288,236 | (35,583 | ) | ||||||||
Coca-Cola Co./The | 6,641 | 270,385 | (9,859 | ) | ||||||||
Coca-Cola Enterprises, Inc. | 25,598 | 1,148,373 | (36,395 | ) | ||||||||
Cognizant Technology Solutions Corp. | 3,300 | 198,627 | 2,970 | |||||||||
Comcast Corp. | 9,551 | 556,235 | 18,162 | |||||||||
Community Health Systems, Inc. | 10,933 | 552,870 | 135,581 | |||||||||
CommVault Systems, Inc. | 1,500 | 65,340 | (1,725 | ) | ||||||||
Compass Minerals International, Inc. | 700 | 64,463 | (6,965 | ) | ||||||||
Computer Sciences Corp. | 2,102 | 139,826 | (1,851 | ) | ||||||||
Consolidated Edison, Inc. | 5,897 | 358,715 | (17,396 | ) | ||||||||
Con-way, Inc. | 2,600 | 114,790 | (15,028 | ) | ||||||||
Corning, Inc. | 39,290 | 918,218 | (143,026 | ) | ||||||||
CR Bard, Inc. | 2,785 | 483,155 | (7,755 | ) | ||||||||
Crane Co. | 5,520 | 334,646 | (10,456 | ) | ||||||||
CSX Corp. | 17,482 | 591,322 | (20,535 | ) | ||||||||
Cummins, Inc. | 4,262 | 592,800 | (33,669 | ) | ||||||||
CVS Health Corp. | 6,765 | 685,895 | 23,618 | |||||||||
Danaher Corp. | 10,362 | 865,043 | 21,841 | |||||||||
Darden Restaurants, Inc. | 2,380 | 160,624 | 8,546 | |||||||||
Dean Foods Co. | 10,908 | 176,278 | 104 | |||||||||
Deckers Outdoor Corp. | 10,327 | 755,759 | (12,525 | ) | ||||||||
Delta Air Lines, Inc. | 21,400 | 957,864 | (78,752 | ) | ||||||||
Denbury Resources, Inc. | 68,220 | 552,920 | (119,040 | ) | ||||||||
DENTSPLY International, Inc. | 2,954 | 150,212 | 2,067 | |||||||||
Devon Energy Corp. | 700 | 42,179 | (536 | ) | ||||||||
Dick’s Sporting Goods, Inc. | 7,940 | 428,568 | (17,514 | ) | ||||||||
Dillards, Inc. | 3,015 | 375,136 | (57,988 | ) | ||||||||
Discover Financial Services | 8,241 | 475,263 | (416 | ) | ||||||||
Dollar General Corp. | 6,100 | 424,316 | 49,898 | |||||||||
Dollar Tree, Inc. | 8,100 | 621,513 | 18,306 | |||||||||
Domino’s Pizza, Inc. | 218 | 22,145 | 2,576 | |||||||||
Dover Corp. | 800 | 59,432 | (3,288 | ) | ||||||||
Dow Chemical Co./The | 5,916 | 293,465 | 9,257 | |||||||||
DR Horton, Inc. | 1,059 | 28,713 | 261 | |||||||||
Dr. Pepper Snapple Group, Inc. | 15,898 | 1,206,797 | (47,833 | ) | ||||||||
DST Systems, Inc. | 2,960 | 332,184 | 40,717 | |||||||||
DSW, Inc. | 1,100 | 39,908 | (3,201 | ) | ||||||||
DTE Energy Co. | 8,313 | 649,665 | (29,182 | ) | ||||||||
Dun & Bradstreet Corp./The | 7,688 | 977,788 | (39,852 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
81
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
eBay, Inc. | 14,737 | $ | 845,303 | $ | 42,454 | |||||||
Edison International | 4,563 | 278,468 | (24,856 | ) | ||||||||
Edwards Lifesciences Corp. | 5,747 | 755,570 | 62,975 | |||||||||
Electronic Arts, Inc. | 10,700 | 615,134 | 96,416 | |||||||||
Eli Lilly & Co. | 299 | 21,582 | 3,381 | |||||||||
Emerson Electric Co. | 6,123 | 353,912 | (14,515 | ) | ||||||||
Energizer Holdings, Inc. | 500 | 67,782 | (2,007 | ) | ||||||||
EOG Resources, Inc. | 1,126 | 105,651 | (7,069 | ) | ||||||||
Equifax, Inc. | 9,079 | 891,647 | (10,167 | ) | ||||||||
Estee Lauder Cos., Inc./The | 5,800 | 500,421 | 2,207 | |||||||||
Expedia, Inc. | 5,100 | 478,246 | 79,439 | |||||||||
F5 Networks, Inc. | 420 | 49,059 | 1,488 | |||||||||
FactSet Research Systems, Inc. | 175 | 28,231 | 208 | |||||||||
Fairchild Semiconductor International, Inc. | 26,291 | 435,528 | 21,409 | |||||||||
FedEx Corp. | 1,576 | 277,451 | (8,901 | ) | ||||||||
Fidelity National Information Services, Inc. | 1,127 | 72,128 | (2,479 | ) | ||||||||
Fifth Third BanCorp. | 5,713 | 117,595 | 1,349 | |||||||||
First Solar, Inc. | 13,736 | 754,980 | (109,662 | ) | ||||||||
Fiserv, Inc. | 1,174 | 92,974 | 4,268 | |||||||||
Flowserve Corp. | 485 | 28,386 | (2,846 | ) | ||||||||
Fluor Corp. | 500 | 28,785 | (2,280 | ) | ||||||||
FNF Group | 700 | 26,887 | (994 | ) | ||||||||
Foot Locker, Inc. | 9,600 | 537,610 | 105,686 | |||||||||
Ford Motor Co. | 12,829 | 205,389 | (12,826 | ) | ||||||||
Fossil Group, Inc. | 2,600 | 258,232 | (77,896 | ) | ||||||||
Franklin Resources, Inc. | 2,059 | 109,725 | (8,773 | ) | ||||||||
GameStop Corp. | 700 | 26,152 | 3,920 | |||||||||
Gannett Co., Inc. | 5,300 | 74,035 | 112 | |||||||||
Gap, Inc./The | 15,000 | 613,982 | (41,432 | ) | ||||||||
Gartner, Inc. | 372 | 32,527 | (617 | ) | ||||||||
General Dynamics Corp. | 9,903 | 1,366,150 | 37,006 | |||||||||
General Electric Co. | 18,400 | 459,445 | 29,443 | |||||||||
General Motors Co. | 29,779 | 1,081,433 | (88,899 | ) | ||||||||
Gilead Sciences, Inc. | 17,136 | 1,843,647 | 162,636 | |||||||||
GNC Holdings, Inc. | 554 | 25,215 | (573 | ) | ||||||||
Goodyear Tire & Rubber Co./The | 31,352 | 859,036 | 86,227 | |||||||||
Google, Inc. | 1,782 | 979,014 | (16,662 | ) | ||||||||
Graham Holdings Co. | 590 | 620,775 | 13,505 | |||||||||
H&R Block, Inc. | 11,162 | 343,104 | (12,151 | ) | ||||||||
Harman International Industries, Inc. | 1,700 | 233,172 | (30,974 | ) | ||||||||
Harris Corp. | 321 | 25,088 | (400 | ) | ||||||||
Hartford Financial Services Group, Inc./The | 6,000 | 248,315 | 1,105 | |||||||||
HCA Holdings, Inc. | 10,700 | 741,724 | 228,980 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
HD Supply Holdings, Inc. | 4,500 | $ | 146,120 | $ | 12,190 | |||||||
Health Net, Inc. | 31,530 | 1,809,227 | 212,477 | |||||||||
Helix Energy Solutions Group, Inc. | 23,400 | 327,793 | (32,251 | ) | ||||||||
Hess Corp. | 833 | 64,280 | (8,569 | ) | ||||||||
Hewlett-Packard Co. | 42,769 | 1,497,449 | (213,952 | ) | ||||||||
HollyFrontier Corp. | 8,116 | 321,688 | 24,784 | |||||||||
Home Depot, Inc./The | 5,821 | 650,094 | (3,206 | ) | ||||||||
Hormel Foods Corp. | 1,761 | 99,132 | 136 | |||||||||
Hubbell, Inc. | 2,039 | 227,455 | (6,672 | ) | ||||||||
Humana, Inc. | 4,705 | 797,324 | 102,649 | |||||||||
Huntington Ingalls Industries, Inc. | 11,951 | 1,533,616 | (188,053 | ) | ||||||||
IAC/InterActiveCorp. | 7,692 | 557,275 | 55,469 | |||||||||
IDEX Corp. | 400 | 30,656 | 776 | |||||||||
IHS, Inc. | 2,200 | 262,020 | 20,966 | |||||||||
Informatica Corp. | 8,571 | 393,319 | 22,117 | |||||||||
Ingersoll-Rand PLC | 800 | 54,208 | (272 | ) | ||||||||
Integrated Device Technology, Inc. | 38,400 | 785,042 | 48,238 | |||||||||
Intel Corp. | 31,900 | 1,030,925 | (60,687 | ) | ||||||||
International Business Machines Corp. | 3,695 | 619,416 | (18,387 | ) | ||||||||
International Paper Co. | 29,943 | 1,583,503 | (158,515 | ) | ||||||||
Interpublic Group of Cos., Inc./The | 24,981 | 528,805 | (47,421 | ) | ||||||||
Intuit, Inc. | 4,085 | 412,117 | (472 | ) | ||||||||
Invesco Ltd. | 10,433 | 415,208 | (24,075 | ) | ||||||||
ITT Corp. | 4,560 | 186,963 | 3,827 | |||||||||
Jabil Circuit, Inc. | 10,500 | 233,415 | (9,870 | ) | ||||||||
Jacobs Engineering Group, Inc. | 6,887 | 297,828 | (18,078 | ) | ||||||||
Janus Capital Group, Inc. | 8,389 | 149,584 | (5,965 | ) | ||||||||
JetBlue Airways Corp. | 5,700 | 97,001 | 21,331 | |||||||||
Johnson & Johnson | 7,904 | 790,516 | (20,192 | ) | ||||||||
JPMorgan Chase & Co. | 14,900 | 906,640 | 102,984 | |||||||||
Juniper Networks, Inc. | 11,700 | 279,981 | 23,868 | |||||||||
KBR, Inc. | 21,500 | 377,539 | 41,281 | |||||||||
KeyCorp. | 3,636 | 53,526 | 1,087 | |||||||||
Kimberly-Clark Corp. | 13,528 | 1,459,104 | (25,542 | ) | ||||||||
KLA-Tencor Corp. | 600 | 38,358 | (4,632 | ) | ||||||||
Kohl’s Corp. | 5,024 | 368,185 | (53,632 | ) | ||||||||
Kroger Co./The | 9,309 | 668,476 | 6,519 | |||||||||
L Brands, Inc. | 6,300 | 578,068 | (37,969 | ) | ||||||||
L-3 Communications Holdings, Inc. | 3,750 | 463,793 | (38,618 | ) | ||||||||
Lam Research Corp. | 2,600 | 212,953 | (1,443 | ) | ||||||||
Lear Corp. | 3,700 | 400,673 | 14,689 | |||||||||
Legg Mason, Inc. | 3,000 | 154,100 | 490 | |||||||||
Lennox International, Inc. | 1,233 | 131,554 | 1,228 | |||||||||
Lexmark International, Inc. | 12,056 | 529,917 | 2,958 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
82
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Liberty Interactive Corp. QVC Group | 3,967 | $ | 113,468 | $ | (3,384 | ) | ||||||
LifePoint Health, Inc. | 2,876 | 203,132 | 46,937 | |||||||||
Lincoln Electric Holdings, Inc. | 4,846 | 318,913 | (23,840 | ) | ||||||||
Lincoln National Corp. | 10,451 | 603,378 | 15,530 | |||||||||
Lockheed Martin Corp. | 1,100 | 217,327 | (12,837 | ) | ||||||||
Lowe’s Cos., Inc. | 9,632 | 691,242 | (46,187 | ) | ||||||||
LyondellBasell Industries NV | 9,638 | 881,443 | 116,283 | |||||||||
Macy’s, Inc. | 4,180 | 271,679 | 10,346 | |||||||||
ManpowerGroup, Inc. | 17,988 | 1,493,879 | 113,889 | |||||||||
Marathon Oil Corp. | 6,333 | 180,079 | (12,002 | ) | ||||||||
Marathon Petroleum Corp. | 15,509 | 791,386 | 19,890 | |||||||||
Marvell Technology Group Ltd. | 44,170 | 665,855 | (83,473 | ) | ||||||||
Masco Corp. | 22,279 | 598,494 | (4,313 | ) | ||||||||
MasterCard, Inc. | 500 | 43,760 | 2,980 | |||||||||
McDonald’s Corp. | 257 | 24,870 | (437 | ) | ||||||||
McGraw Hill Financial, Inc. | 1,549 | 160,156 | (4,559 | ) | ||||||||
Medivation, Inc. | 5,309 | 649,211 | (42,923 | ) | ||||||||
Merck & Co., Inc. | 13,664 | 799,536 | (21,645 | ) | ||||||||
MetLife, Inc. | 28,500 | 1,455,868 | 139,847 | |||||||||
Micron Technology, Inc. | 13,500 | 407,781 | (153,441 | ) | ||||||||
Microsoft Corp. | 19,803 | 850,959 | 23,344 | |||||||||
Molson Coors Brewing Co. | 2,555 | 193,137 | (14,772 | ) | ||||||||
Mondelez International, Inc. | 7,617 | 306,678 | 6,685 | |||||||||
Moody’s Corp. | 1,875 | 196,441 | 5,984 | |||||||||
Morgan Stanley | 31,700 | 1,170,985 | 58,658 | |||||||||
Mosaic Co./The | 4,588 | 215,474 | (526 | ) | ||||||||
MSCI, Inc. | 3,928 | 242,929 | (1,160 | ) | ||||||||
Murphy Oil Corp. | 889 | 41,729 | (4,774 | ) | ||||||||
Murphy USA, Inc. | 3,436 | 216,663 | (24,866 | ) | ||||||||
Nabors Industries Ltd. | 48,734 | 662,999 | 40,232 | |||||||||
NASDAQ OMX Group, Inc./The | 4,701 | 234,673 | (5,217 | ) | ||||||||
Navient Corp. | 30,500 | 642,079 | (86,674 | ) | ||||||||
NCR Corp. | 4,999 | 149,034 | 1,436 | |||||||||
NetApp, Inc. | 20,429 | 714,132 | (69,393 | ) | ||||||||
Newfield Exploration Co. | 11,400 | 376,088 | 35,680 | |||||||||
News Corp. | 1,693 | 27,231 | (2,530 | ) | ||||||||
NIKE, Inc. | 5,916 | 546,139 | 92,907 | |||||||||
Nordstrom, Inc. | 1,200 | 94,104 | (4,704 | ) | ||||||||
Norfolk Southern Corp. | 500 | 55,335 | (11,655 | ) | ||||||||
Northrop Grumman Corp. | 7,434 | 1,197,264 | (18,009 | ) | ||||||||
NVIDIA Corp. | 13,700 | 306,537 | (31,030 | ) | ||||||||
Oil States International, Inc. | 2,975 | 128,828 | (18,069 | ) | ||||||||
ON Semiconductor Corp. | 34,828 | 417,670 | (10,531 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Oracle Corp. | 17,520 | $ | 764,958 | $ | (58,902 | ) | ||||||
Orbital ATK, Inc. | 1,900 | 137,748 | 1,636 | |||||||||
O’Reilly Automotive, Inc. | 200 | 41,140 | 4,056 | |||||||||
Oshkosh Corp. | 1,500 | 70,155 | (6,585 | ) | ||||||||
Owens Corning | 22,485 | 888,354 | 39,152 | |||||||||
Packaging Corp. of America | 2,383 | 149,859 | (945 | ) | ||||||||
Parker Hannifin Corp. | 1,200 | 147,840 | (8,244 | ) | ||||||||
Patterson Cos., Inc. | 2,861 | 139,021 | 167 | |||||||||
PBF Energy, Inc. | 3,101 | 92,031 | (3,901 | ) | ||||||||
PepsiCo, Inc. | 23,570 | 2,243,339 | (43,315 | ) | ||||||||
Pfizer, Inc. | 17,210 | 593,422 | (16,371 | ) | ||||||||
PG&E Corp. | 18,539 | 976,031 | (65,766 | ) | ||||||||
Philip Morris International, Inc. | 501 | 41,168 | (1,003 | ) | ||||||||
Phillips 66 | 5,784 | 457,385 | 8,574 | |||||||||
Pilgrim’s Pride Corp. | 11,000 | 295,958 | (43,288 | ) | ||||||||
Pinnacle West Capital Corp. | 4,372 | 259,063 | (10,340 | ) | ||||||||
Pitney Bowes, Inc. | 51,402 | 1,140,308 | (70,632 | ) | ||||||||
PNC Financial Services Group, Inc./The | 2,528 | 241,836 | (33 | ) | ||||||||
Procter & Gamble Co./The | 18,814 | 1,513,766 | (41,759 | ) | ||||||||
PTC, Inc. | 7,007 | 244,262 | 43,166 | |||||||||
Public Service Enterprise Group, Inc. | 30,003 | 1,217,295 | (38,777 | ) | ||||||||
PulteGroup, Inc. | 7,100 | 162,732 | (19,667 | ) | ||||||||
Quanta Services, Inc. | 5,717 | 164,695 | 69 | |||||||||
Quintiles Transnational Holdings, Inc. | 4,957 | 325,756 | 34,172 | |||||||||
Rackspace Hosting, Inc. | 12,521 | 564,998 | (99,342 | ) | ||||||||
Ralph Lauren Corp. | 4,100 | 541,374 | 1,302 | |||||||||
Raytheon Co. | 3,751 | 393,553 | (34,657 | ) | ||||||||
Red Hat, Inc. | 327 | 23,266 | 1,564 | |||||||||
Regal-Beloit Corp. | 1,127 | 87,928 | (6,119 | ) | ||||||||
Regions Financial Corp. | 8,740 | 89,027 | 1,519 | |||||||||
Reinsurance Group of America, Inc. | 4,830 | 439,713 | 18,509 | |||||||||
Reliance Steel & Aluminum Co. | 401 | 22,622 | 1,631 | |||||||||
RenaissanceRe Holdings Ltd. | 1,024 | 104,709 | (763 | ) | ||||||||
Republic Services, Inc. | 6,761 | 265,434 | (606 | ) | ||||||||
Rite Aid Corp. | 23,555 | 197,702 | (1,018 | ) | ||||||||
Robert Half International, Inc. | 5,616 | 315,715 | (4,027 | ) | ||||||||
Rock-Tenn Co. | 7,699 | 518,813 | (55,333 | ) | ||||||||
Rockwell Automation, Inc. | 2,984 | 365,466 | 6,460 | |||||||||
Ross Stores, Inc. | 12,200 | 619,385 | (26,343 | ) | ||||||||
Ryder System, Inc. | 500 | 47,060 | (3,375 | ) | ||||||||
Santander Consumer USA Holdings, Inc. | 6,386 | 158,562 | 4,728 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
83
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
SEI Investments Co. | 3,821 | $ | 166,267 | $ | 21,077 | |||||||
Skyworks Solutions, Inc. | 7,200 | 614,387 | 135,133 | |||||||||
SM Energy Co. | 10,701 | 541,735 | (48,205 | ) | ||||||||
Snap-on, Inc. | 972 | 143,605 | 11,186 | |||||||||
SolarWinds, Inc. | 2,432 | 118,947 | (6,759 | ) | ||||||||
Southwest Airlines Co. | 15,695 | 677,382 | (158,035 | ) | ||||||||
Spirit AeroSystems Holdings, Inc. | 30,907 | 1,595,758 | 107,527 | |||||||||
SPX Corp. | 400 | 34,120 | (5,164 | ) | ||||||||
St. Jude Medical, Inc. | 1,983 | 144,888 | 10 | |||||||||
Staples, Inc. | 22,200 | 377,104 | (37,222 | ) | ||||||||
State Street Corp. | 9,101 | 704,463 | (3,686 | ) | ||||||||
Steel Dynamics, Inc. | 17,900 | 365,491 | 5,307 | |||||||||
Stryker Corp. | 3,006 | 278,990 | 8,294 | |||||||||
SunTrust Banks, Inc. | 578 | 24,874 | (8 | ) | ||||||||
Superior Energy Services, Inc. | 11,800 | 260,898 | (12,626 | ) | ||||||||
SUPERVALU, Inc. | 76,840 | 782,938 | (161,303 | ) | ||||||||
Symantec Corp. | 17,348 | 446,040 | (42,699 | ) | ||||||||
Synopsys, Inc. | 8,209 | 400,577 | 15,209 | |||||||||
Target Corp. | 14,227 | 1,134,234 | 27,116 | |||||||||
TEGNA, Inc. | 10,601 | 295,248 | 44,726 | |||||||||
Teradyne, Inc. | 27,542 | 539,782 | (8,496 | ) | ||||||||
Terex Corp. | 22,600 | 592,222 | (66,772 | ) | ||||||||
Tesoro Corp. | 7,139 | 612,849 | (10,246 | ) | ||||||||
Texas Instruments, Inc. | 3,427 | 187,535 | (11,011 | ) | ||||||||
Thermo Fisher Scientific, Inc. | 1,205 | 154,113 | 2,248 | |||||||||
Thoratec Corp. | 5,600 | 226,072 | 23,520 | |||||||||
Time Warner, Inc. | 2,873 | 242,100 | 9,029 | |||||||||
Timken Co./The | 10,300 | 438,162 | (61,491 | ) | ||||||||
TJX Cos., Inc./The | 10,800 | 730,305 | (15,669 | ) | ||||||||
Towers Watson & Co. | 800 | 105,768 | (5,128 | ) | ||||||||
Travelers Cos., Inc./The | 8,214 | 802,990 | (9,025 | ) | ||||||||
Trinity Industries, Inc. | 11,500 | 368,379 | (64,434 | ) | ||||||||
Tupperware Brands Corp. | 1,800 | 130,572 | (14,400 | ) | ||||||||
Tyco International PLC | 644 | 26,776 | (1,995 | ) | ||||||||
Tyson Foods, Inc. | 4,501 | 182,875 | 9,002 | |||||||||
Ulta Salon Cosmetics & Fragrance, Inc. | 400 | 54,364 | 7,416 | |||||||||
Union Pacific Corp. | 2,416 | 276,028 | (45,614 | ) | ||||||||
United States Steel Corp. | 11,900 | 300,308 | (54,930 | ) | ||||||||
United Therapeutics Corp. | 6,100 | 946,354 | 114,741 | |||||||||
UnitedHealth Group, Inc. | 17,490 | 2,021,314 | 112,466 | |||||||||
Universal Health Services, Inc. | 3,721 | 431,867 | 96,887 | |||||||||
Unum Group | 14,265 | 496,582 | 13,391 | |||||||||
Urban Outfitters, Inc. | 6,600 | 252,516 | (21,516 | ) | ||||||||
US Bancorp. | 2,853 | 124,297 | (476 | ) | ||||||||
Valero Energy Corp. | 29,105 | 1,731,596 | 90,377 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Validus Holdings Ltd. | 5,848 | $ | 256,951 | $ | 303 | |||||||
VCA, Inc. | 2,665 | 138,838 | 6,151 | |||||||||
Vectren Corp. | 1,984 | 81,055 | (4,710 | ) | ||||||||
VeriSign, Inc. | 4,096 | 263,554 | (10,749 | ) | ||||||||
VF Corp. | 6,966 | 513,357 | (27,548 | ) | ||||||||
Viacom, Inc. | 15,330 | 1,009,265 | (18,333 | ) | ||||||||
Voya Financial, Inc. | 6,054 | 266,624 | 14,705 | |||||||||
WABCO Holdings, Inc. | 900 | 99,090 | 12,258 | |||||||||
Waddell & Reed Financial, Inc. | 7,200 | 360,504 | (19,872 | ) | ||||||||
Wal-Mart Stores, Inc. | 10,125 | 807,634 | (89,468 | ) | ||||||||
Waste Management, Inc. | 12,364 | 587,759 | (14,687 | ) | ||||||||
Waters Corp. | 935 | 115,720 | 4,315 | |||||||||
Wells Fargo & Co. | 7,026 | 395,286 | (144 | ) | ||||||||
Western Digital Corp. | 10,067 | 945,396 | (155,942 | ) | ||||||||
Western Refining, Inc. | 16,358 | 751,836 | (38,300 | ) | ||||||||
Western Union Co./The | 7,953 | 163,936 | (2,252 | ) | ||||||||
Westlake Chemical Corp. | 2,300 | 154,239 | 3,518 | |||||||||
Whirlpool Corp. | 2,100 | 434,468 | (71,063 | ) | ||||||||
Whiting Petroleum Corp. | 6,090 | 236,586 | (31,962 | ) | ||||||||
Whole Foods Market, Inc. | 1,801 | 72,959 | (1,927 | ) | ||||||||
Williams-Sonoma, Inc. | 2,900 | 236,930 | 1,653 | |||||||||
Xerox Corp. | 49,076 | 579,972 | (57,804 | ) | ||||||||
Xilinx, Inc. | 9,976 | 441,220 | (680 | ) | ||||||||
Yahoo!, Inc. | 16,157 | 704,389 | (69,580 | ) | ||||||||
Yum! Brands, Inc. | 600 | 45,630 | 8,418 | |||||||||
Zoetis, Inc. | 4,751 | 229,852 | (758 | ) | ||||||||
|
| |||||||||||
(1,618,315 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (1,703,805 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
lululemon athletica, Inc. | (1,501 | ) | (97,108 | ) | (908 | ) | ||||||
Restaurant Brands International, Inc. | (30,999 | ) | (1,212,453 | ) | 27,981 | |||||||
|
| |||||||||||
27,073 | ||||||||||||
|
| |||||||||||
Ireland | ||||||||||||
Alkermes PLC | (11,100 | ) | (776,745 | ) | 62,571 | |||||||
Endo International PLC | (11,169 | ) | (944,921 | ) | 55,311 | |||||||
Jazz Pharmaceuticals PLC | (6,800 | ) | (1,187,288 | ) | (9,988 | ) | ||||||
Perrigo Co PLC | (600 | ) | (91,140 | ) | (19,758 | ) | ||||||
|
| |||||||||||
88,136 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Core Laboratories NV | (10,600 | ) | (1,193,521 | ) | (15,303 | ) | ||||||
Sensata Technologies Holding NV | (37,080 | ) | (2,031,209 | ) | 75,610 | |||||||
|
| |||||||||||
60,307 | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
84
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Norway | ||||||||||||
Golar LNG Ltd. | (21,442 | ) | $ | (754,787 | ) | $ | (248,698 | ) | ||||
|
| |||||||||||
Panama | ||||||||||||
Copa Holdings SA | (5,484 | ) | (513,246 | ) | 60,322 | |||||||
|
| |||||||||||
Sweden | ||||||||||||
Autoliv, Inc. | (2,371 | ) | (282,257 | ) | 5,443 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Weatherford International PLC | (21,066 | ) | (271,695 | ) | 13,215 | |||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aon PLC | (2,333 | ) | (231,241 | ) | (1,313 | ) | ||||||
Ensco PLC | (10,000 | ) | (310,700 | ) | 88,000 | |||||||
Michael Kors Holdings Ltd. | (4,100 | ) | (298,275 | ) | 125,706 | |||||||
Noble Corp. PLC | (8,720 | ) | (162,636 | ) | 28,435 | |||||||
Willis Group Holdings PLC | (7,100 | ) | (338,704 | ) | 5,714 | |||||||
|
| |||||||||||
246,542 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
Abercrombie & Fitch Co. | (4,131 | ) | (88,747 | ) | (111 | ) | ||||||
ADT Corp./The | (9,897 | ) | (377,988 | ) | 45,746 | |||||||
Advance Auto Parts, Inc. | (5,343 | ) | (791,897 | ) | (59,189 | ) | ||||||
AECOM | (25,429 | ) | (752,677 | ) | (88,515 | ) | ||||||
Air Lease Corp. | (5,654 | ) | (216,742 | ) | 25,072 | |||||||
Airgas, Inc. | (400 | ) | (46,376 | ) | 4,064 | |||||||
Akorn, Inc. | (12,681 | ) | (560,034 | ) | 6,381 | |||||||
Albemarle Corp. | (7,578 | ) | (450,842 | ) | 32,006 | |||||||
Alcoa, Inc. | (3,949 | ) | (61,514 | ) | 17,483 | |||||||
Alexion Pharmaceuticals, Inc. | (3,735 | ) | (668,412 | ) | (6,764 | ) | ||||||
Align Technology, Inc. | (6,140 | ) | (352,797 | ) | (32,243 | ) | ||||||
Allegheny Technologies, Inc. | (13,355 | ) | (438,543 | ) | 35,222 | |||||||
Allergan PLC | (2,425 | ) | (702,716 | ) | (33,174 | ) | ||||||
Alliance Data Systems Corp. | (5,712 | ) | (1,671,648 | ) | 4,087 | |||||||
AMC Networks, Inc. | (400 | ) | (27,528 | ) | (5,212 | ) | ||||||
American Eagle Outfitters, Inc. | (4,000 | ) | (58,080 | ) | (10,800 | ) | ||||||
AMETEK, Inc. | (2,658 | ) | (137,064 | ) | (8,541 | ) | ||||||
Amphenol Corp. | (7,973 | ) | (445,978 | ) | (16,217 | ) | ||||||
Anadarko Petroleum Corp. | (6,469 | ) | (505,699 | ) | 728 | |||||||
Antero Resources Corp. | (14,300 | ) | (517,074 | ) | 26,012 | |||||||
Apache Corp. | (6,994 | ) | (470,394 | ) | 67,330 | |||||||
Armstrong World Industries, Inc. | (1,200 | ) | (62,232 | ) | (1,704 | ) | ||||||
ARRIS Group, Inc. | (28,708 | ) | (931,286 | ) | 52,821 | |||||||
Arthur J Gallagher & Co. | (3,300 | ) | (158,292 | ) | 2,202 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Ascena Retail Group, Inc. | (10,366 | ) | $ | (166,527 | ) | $ | (6,119 | ) | ||||
AT&T, Inc. | (12,089 | ) | (409,454 | ) | (19,947 | ) | ||||||
AutoNation, Inc. | (700 | ) | (44,205 | ) | 119 | |||||||
Avis Budget Group, Inc. | (2,300 | ) | (144,249 | ) | 42,865 | |||||||
B/E Aerospace, Inc. | (7,518 | ) | (446,921 | ) | 34,183 | |||||||
Ball Corp. | (11,336 | ) | (805,007 | ) | 9,787 | |||||||
BorgWarner, Inc. | (22,113 | ) | (1,322,867 | ) | 65,964 | |||||||
Brookdale Senior Living, Inc. | (44,764 | ) | (1,630,281 | ) | 76,970 | |||||||
Brown-Forman Corp. | (6,243 | ) | (585,734 | ) | (39,690 | ) | ||||||
Cabela’s, Inc. | (13,300 | ) | (703,912 | ) | 39,178 | |||||||
Cablevision Systems Corp. | (17,936 | ) | (384,668 | ) | (44,720 | ) | ||||||
Cabot Oil & Gas Corp. | (26,234 | ) | (772,795 | ) | (54,625 | ) | ||||||
Calpine Corp. | (2,100 | ) | (44,604 | ) | 6,825 | |||||||
Campbell Soup Co. | (1,700 | ) | (79,730 | ) | (1,275 | ) | ||||||
CarMax, Inc. | (15,559 | ) | (1,070,873 | ) | 40,711 | |||||||
CDK Global, Inc. | (10,286 | ) | (516,451 | ) | (38,787 | ) | ||||||
Celgene Corp. | (791 | ) | (90,276 | ) | (1,271 | ) | ||||||
CenterPoint Energy, Inc. | (3,601 | ) | (74,947 | ) | 6,420 | |||||||
CenturyLink, Inc. | (12,496 | ) | (464,056 | ) | 96,923 | |||||||
CH Robinson Worldwide, Inc. | (1,446 | ) | (100,402 | ) | 10,186 | |||||||
Charles River Laboratories International, Inc. | (2,519 | ) | (181,131 | ) | 3,945 | |||||||
Charles Schwab Corp./The | (77,490 | ) | (2,432,192 | ) | (97,856 | ) | ||||||
Cheniere Energy, Inc. | (10,389 | ) | (773,006 | ) | 53,464 | |||||||
Chevron Corp. | (3,236 | ) | (333,875 | ) | 21,698 | |||||||
Chipotle Mexican Grill, Inc. | (959 | ) | (620,741 | ) | 40,556 | |||||||
Church & Dwight Co., Inc. | (304 | ) | (25,621 | ) | 958 | |||||||
Ciena Corp. | (28,420 | ) | (620,909 | ) | (52,076 | ) | ||||||
Cimarex Energy Co. | (3,038 | ) | (343,171 | ) | 8,049 | |||||||
Clean Harbors, Inc. | (16,942 | ) | (890,482 | ) | (19,981 | ) | ||||||
CME Group, Inc. | (2,300 | ) | (216,660 | ) | 2,622 | |||||||
Cobalt International Energy, Inc. | (77,108 | ) | (760,356 | ) | 11,638 | |||||||
Colfax Corp. | (12,981 | ) | (659,130 | ) | 60,057 | |||||||
ConAgra Foods, Inc. | (1,100 | ) | (37,136 | ) | (10,956 | ) | ||||||
Concho Resources, Inc. | (5,434 | ) | (635,386 | ) | 16,671 | |||||||
CONSOL Energy, Inc. | (39,971 | ) | (1,155,764 | ) | 286,794 | |||||||
Constellation Brands, Inc. | (11,656 | ) | (1,357,484 | ) | 5,155 | |||||||
Cooper Cos., Inc./The | (2,049 | ) | (358,088 | ) | (6,573 | ) | ||||||
CoStar Group, Inc. | (3,400 | ) | (638,970 | ) | (45,314 | ) | ||||||
Coty, Inc. | (7,272 | ) | (215,236 | ) | (17,250 | ) | ||||||
Cree, Inc. | (7,416 | ) | (263,360 | ) | 70,322 | |||||||
Crown Holdings, Inc. | (4,100 | ) | (205,861 | ) | (11,070 | ) | ||||||
CST Brands, Inc. | (7,965 | ) | (321,253 | ) | 10,140 | |||||||
Cullen/Frost Bankers, Inc. | (5,203 | ) | (364,564 | ) | (44,288 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
85
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Cypress Semiconductor Corp. | (20,527 | ) | $ | (288,818 | ) | $ | 47,421 | |||||
DaVita HealthCare Partners, Inc. | (9,735 | ) | (789,796 | ) | 16,155 | |||||||
Discovery Communications, Inc. | (14,562 | ) | (465,053 | ) | (19,279 | ) | ||||||
DISH Network Corp. | (2,387 | ) | (159,875 | ) | (1,749 | ) | ||||||
Dominion Resources, Inc. | (21,953 | ) | (1,551,463 | ) | 83,466 | |||||||
Dril-Quip, Inc. | (732 | ) | (55,127 | ) | 44 | |||||||
Dunkin’ Brands Group, Inc. | (2,300 | ) | (108,574 | ) | (17,926 | ) | ||||||
E*TRADE Financial Corp. | (21,379 | ) | (605,609 | ) | (34,692 | ) | ||||||
Eagle Materials, Inc. | (2,013 | ) | (165,280 | ) | 11,628 | |||||||
Ecolab, Inc. | (4,419 | ) | (498,342 | ) | (1,314 | ) | ||||||
EI du Pont de Nemours & Co. | (500 | ) | (38,215 | ) | 6,240 | |||||||
EMC Corp. | (8,207 | ) | (215,488 | ) | (1,095 | ) | ||||||
Energen Corp. | (900 | ) | (62,491 | ) | 1,021 | |||||||
Envision Healthcare Holdings Inc | (48,170 | ) | (1,813,759 | ) | (87,992 | ) | ||||||
EQT Corp. | (3,000 | ) | (250,752 | ) | 6,732 | |||||||
Esterline Technologies Corp. | (627 | ) | (59,989 | ) | 211 | |||||||
Eversource Energy | (6,200 | ) | (309,654 | ) | 28,112 | |||||||
Exelon Corp. | (776 | ) | (25,331 | ) | 949 | |||||||
Expeditors International of Washington, Inc. | (800 | ) | (36,688 | ) | (196 | ) | ||||||
Express Scripts Holding Co. | (1,000 | ) | (85,190 | ) | (3,750 | ) | ||||||
Facebook, Inc. | (2,977 | ) | (251,295 | ) | (4,027 | ) | ||||||
Fastenal Co. | (19,200 | ) | (813,071 | ) | 3,215 | |||||||
FEI Co. | (3,711 | ) | (288,969 | ) | (18,785 | ) | ||||||
First Horizon National Corp. | (14,499 | ) | (212,083 | ) | (15,117 | ) | ||||||
First Niagara Financial Group, Inc. | (125,404 | ) | (1,125,894 | ) | (57,920 | ) | ||||||
First Republic Bank | (7,431 | ) | (419,838 | ) | (48,538 | ) | ||||||
FirstEnergy Corp. | (4,701 | ) | (164,641 | ) | 11,623 | |||||||
FleetCor Technologies, Inc. | (6,220 | ) | (961,322 | ) | (9,371 | ) | ||||||
FMC Corp. | (1,541 | ) | (79,759 | ) | (1,221 | ) | ||||||
FMC Technologies, Inc. | (4,400 | ) | (189,332 | ) | 6,776 | |||||||
Forest City Enterprises, Inc. | (11,430 | ) | (265,969 | ) | 13,366 | |||||||
Fortinet, Inc. | (1,629 | ) | (55,037 | ) | (12,290 | ) | ||||||
Fortune Brands Home & Security, Inc. | (2,200 | ) | (103,378 | ) | 2,574 | |||||||
Freeport-McMoRan, Inc. | (18,726 | ) | (367,504 | ) | 18,825 | |||||||
Frontier Communications Corp. | (122,804 | ) | (897,833 | ) | 289,953 | |||||||
Genesee & Wyoming, Inc. | (7,311 | ) | (688,693 | ) | 131,741 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Gentex Corp. | (22,905 | ) | $ | (404,926 | ) | $ | 28,826 | |||||
Genworth Financial, Inc. | (20,576 | ) | (169,812 | ) | 14,051 | |||||||
Groupon, Inc. | (16,800 | ) | (135,408 | ) | 50,904 | |||||||
Hain Celestial Group, Inc./The | (9,983 | ) | (594,233 | ) | (63,248 | ) | ||||||
Halliburton Co. | (9,725 | ) | (446,648 | ) | 27,793 | |||||||
Hanesbrands, Inc. | (3,200 | ) | (94,368 | ) | (12,256 | ) | ||||||
Harley-Davidson, Inc. | (5,447 | ) | (308,656 | ) | 1,717 | |||||||
Hasbro, Inc. | (2,409 | ) | (171,066 | ) | (9,103 | ) | ||||||
Helmerich & Payne, Inc. | (7,041 | ) | (510,966 | ) | 15,139 | |||||||
Hershey Co./The | (1,200 | ) | (123,110 | ) | 16,514 | |||||||
Hertz Global Holdings, Inc. | (56,469 | ) | (1,182,428 | ) | 159,210 | |||||||
Hexcel Corp. | (11,920 | ) | (574,600 | ) | (18,301 | ) | ||||||
Hilton Worldwide Holdings, Inc. | (1,400 | ) | (40,110 | ) | 1,540 | |||||||
Hologic, Inc. | (7,782 | ) | (243,246 | ) | (52,937 | ) | ||||||
HomeAway, Inc. | (6,100 | ) | (183,305 | ) | (6,527 | ) | ||||||
Howard Hughes Corp./The | (2,111 | ) | (312,705 | ) | 9,692 | |||||||
Huntsman Corp. | (9,522 | ) | (206,455 | ) | (3,696 | ) | ||||||
IDEXX Laboratories, Inc. | (16,672 | ) | (1,106,690 | ) | 37,347 | |||||||
Illumina, Inc. | (5,764 | ) | (1,148,327 | ) | (110,300 | ) | ||||||
Incyte Corp. Ltd. | (6,900 | ) | (536,820 | ) | (182,229 | ) | ||||||
Intercontinental Exchange, Inc. | (500 | ) | (117,405 | ) | 5,600 | |||||||
Intuitive Surgical, Inc. | (517 | ) | (254,397 | ) | 3,911 | |||||||
IPG Photonics Corp. | (1,874 | ) | (173,001 | ) | 13,383 | |||||||
ITC Holdings Corp. | (11,300 | ) | (412,819 | ) | 49,185 | |||||||
Jarden Corp. | (12,516 | ) | (650,166 | ) | 2,463 | |||||||
JB Hunt Transport Services, Inc. | (5,872 | ) | (499,188 | ) | 17,156 | |||||||
JDS Uniphase Corp. | (58,762 | ) | (757,389 | ) | 76,925 | |||||||
Johnson Controls, Inc. | (1,000 | ) | (48,850 | ) | (680 | ) | ||||||
Joy Global, Inc. | (2,871 | ) | (109,886 | ) | 5,956 | |||||||
Kansas City Southern | (12,424 | ) | (1,347,573 | ) | 214,504 | |||||||
Kate Spade & Co. | (27,390 | ) | (867,163 | ) | 277,182 | |||||||
Keurig Green Mountain, Inc. | (13,407 | ) | (1,359,490 | ) | 332,112 | |||||||
Kinder Morgan, Inc. | (25,994 | ) | (1,100,323 | ) | 102,414 | |||||||
Kirby Corp. | (1,445 | ) | (114,821 | ) | 4,047 | |||||||
KLX, Inc. | (16,054 | ) | (696,712 | ) | (11,751 | ) | ||||||
Laboratory Corp. of America Holdings | (5,239 | ) | (625,695 | ) | (9,377 | ) | ||||||
Las Vegas Sands Corp. | (3,374 | ) | (186,040 | ) | 8,669 | |||||||
Lennar Corp. | (10,497 | ) | (528,210 | ) | (7,556 | ) | ||||||
Level 3 Communications, Inc. | (39,000 | ) | (2,103,786 | ) | 49,656 | |||||||
LinkedIn Corp. | (2,800 | ) | (744,100 | ) | 165,536 | |||||||
Lions Gate Entertainment Corp. | (14,900 | ) | (475,161 | ) | (76,884 | ) | ||||||
Loews Corp. | (27,937 | ) | (1,137,398 | ) | 61,544 | |||||||
Louisiana-Pacific Corp. | (63,398 | ) | (1,076,382 | ) | (3,286 | ) | ||||||
M&T Bank Corp. | (2,700 | ) | (334,881 | ) | (2,430 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
86
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Madison Square Garden Co./The | (702 | ) | $ | (57,194 | ) | $ | (1,416 | ) | ||||
Mallinckrodt PLC | (4,586 | ) | (540,047 | ) | 183 | |||||||
Manitowoc Co., Inc./The | (3,700 | ) | (80,660 | ) | 8,140 | |||||||
Marriott International, Inc. | (700 | ) | (56,903 | ) | 4,830 | |||||||
Martin Marietta Materials, Inc. | (5,679 | ) | (814,866 | ) | 11,230 | |||||||
Mattel, Inc. | (8,416 | ) | (222,001 | ) | 5,793 | |||||||
McCormick & Co., Inc. | (1,000 | ) | (74,570 | ) | (6,380 | ) | ||||||
McKesson Corp. | (970 | ) | (218,959 | ) | 893 | |||||||
MDC Holdings, Inc. | (6,050 | ) | (168,238 | ) | (13,080 | ) | ||||||
MDU Resources Group, Inc. | (61,203 | ) | (1,284,286 | ) | 88,992 | |||||||
MEDNAX, Inc. | (6,048 | ) | (435,104 | ) | (13,113 | ) | ||||||
Mettler-Toledo International, Inc. | (400 | ) | (123,652 | ) | (12,932 | ) | ||||||
MGM Resorts International | (31,866 | ) | (670,291 | ) | 88,736 | |||||||
Middleby Corp./The | (354 | ) | (36,313 | ) | (3,417 | ) | ||||||
Mohawk Industries, Inc. | (300 | ) | (51,432 | ) | (5,838 | ) | ||||||
Monster Beverage Corp. | (2,738 | ) | (367,844 | ) | 897 | |||||||
Motorola Solutions, Inc. | (7,700 | ) | (537,383 | ) | 95,865 | |||||||
MRC Global, Inc. | (28,800 | ) | (390,528 | ) | (54,144 | ) | ||||||
MSC Industrial Direct Co., Inc. | (10,398 | ) | (760,206 | ) | 34,738 | |||||||
National Fuel Gas Co. | (15,308 | ) | (956,871 | ) | 55,383 | |||||||
Navistar International Corp. | (12,700 | ) | (362,204 | ) | 74,803 | |||||||
Netflix, Inc. | (998 | ) | (469,020 | ) | (186,606 | ) | ||||||
NetSuite, Inc. | (11,800 | ) | (1,140,021 | ) | 57,371 | |||||||
Newell Rubbermaid, Inc. | (3,058 | ) | (121,602 | ) | (4,113 | ) | ||||||
NextEra Energy, Inc. | (800 | ) | (82,324 | ) | 3,900 | |||||||
Nielsen NV | (15,419 | ) | (687,406 | ) | (2,903 | ) | ||||||
NiSource, Inc. | (29,046 | ) | (1,246,318 | ) | (77,890 | ) | ||||||
Noble Energy, Inc. | (7,911 | ) | (369,188 | ) | 31,547 | |||||||
Northern Trust Corp. | (8,800 | ) | (617,848 | ) | (55,000 | ) | ||||||
Norwegian Cruise Line Holdings Ltd. | (5,202 | ) | (225,781 | ) | (65,739 | ) | ||||||
NRG Energy, Inc. | (32,218 | ) | (801,974 | ) | 64,826 | |||||||
Nuance Communications, Inc. | (4,600 | ) | (64,860 | ) | (15,686 | ) | ||||||
Nucor Corp. | (4,900 | ) | (238,532 | ) | 22,589 | |||||||
Occidental Petroleum Corp. | (6,842 | ) | (531,807 | ) | (295 | ) | ||||||
Oceaneering International, Inc. | (1,400 | ) | (72,744 | ) | 7,518 | |||||||
OGE Energy Corp. | (20,814 | ) | (662,099 | ) | 67,443 | |||||||
ONEOK, Inc. | (17,071 | ) | (758,135 | ) | 84,172 | |||||||
Owens-Illinois, Inc. | (7,180 | ) | (167,447 | ) | 2,738 | |||||||
PacWest Bancorp | (8,738 | ) | (408,972 | ) | 383 | |||||||
Palo Alto Networks, Inc. | (8,991 | ) | (1,259,972 | ) | (310,755 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Pandora Media, Inc. | (25,600 | ) | $ | (409,083 | ) | $ | 11,259 | |||||
Patterson-UTI Energy, Inc. | (12,467 | ) | (244,364 | ) | 9,797 | |||||||
PerkinElmer, Inc. | (20,133 | ) | (1,022,084 | ) | (37,718 | ) | ||||||
Polaris Industries, Inc. | (3,673 | ) | (526,028 | ) | (17,980 | ) | ||||||
Post Holdings, Inc. | (29,684 | ) | (1,429,464 | ) | (171,394 | ) | ||||||
Praxair, Inc. | (1,800 | ) | (229,410 | ) | 14,220 | |||||||
Precision Castparts Corp. | (1,984 | ) | (409,866 | ) | 13,324 | |||||||
PVH Corp. | (811 | ) | (85,880 | ) | (7,547 | ) | ||||||
Qorvo, Inc. | (5,899 | ) | (467,011 | ) | (6,502 | ) | ||||||
QUALCOMM, Inc. | (9,878 | ) | (620,396 | ) | 1,737 | |||||||
Quest Diagnostics, Inc. | (500 | ) | (35,875 | ) | (385 | ) | ||||||
Questar Corp. | (17,758 | ) | (415,926 | ) | 44,606 | |||||||
Range Resources Corp. | (13,900 | ) | (751,634 | ) | 65,252 | |||||||
Regeneron Pharmaceuticals, Inc. | (2,493 | ) | (1,127,331 | ) | (144,423 | ) | ||||||
Rent-A-Center, Inc. | (1,921 | ) | (58,794 | ) | 4,334 | |||||||
Rice Energy, Inc. | (27,430 | ) | (566,475 | ) | (4,892 | ) | ||||||
Rockwell Collins, Inc. | (700 | ) | (62,167 | ) | (2,478 | ) | ||||||
Roper Technologies, Inc. | (1,803 | ) | (303,453 | ) | (7,493 | ) | ||||||
Rowan Cos. PLC | (6,714 | ) | (159,012 | ) | 17,280 | |||||||
Royal Caribbean Cruises Ltd. | (2,419 | ) | (185,277 | ) | (5,074 | ) | ||||||
salesforce.com, Inc. | (10,800 | ) | (670,356 | ) | (81,648 | ) | ||||||
SanDisk Corp. | (7,800 | ) | (584,496 | ) | 130,380 | |||||||
SBA Communications Corp. | (10,402 | ) | (1,253,741 | ) | 57,823 | |||||||
Schlumberger Ltd. | (2,000 | ) | (177,780 | ) | 5,400 | |||||||
Scripps Networks Interactive, Inc. | (3,700 | ) | (270,729 | ) | 28,860 | |||||||
Sealed Air Corp. | (15,127 | ) | (708,784 | ) | (68,442 | ) | ||||||
Seattle Genetics, Inc. | (8,323 | ) | (314,210 | ) | (88,623 | ) | ||||||
Sempra Energy | (1,642 | ) | (177,955 | ) | 15,495 | |||||||
ServiceNow, Inc. | (6,000 | ) | (461,280 | ) | 15,420 | |||||||
Sherwin-Williams Co./The | (100 | ) | (28,610 | ) | 1,108 | |||||||
Signature Bank | (2,194 | ) | (289,182 | ) | (31,997 | ) | ||||||
Signet Jewelers Ltd. | (2,812 | ) | (358,035 | ) | (2,576 | ) | ||||||
Sirius XM Holdings, Inc. | (82,522 | ) | (319,398 | ) | 11,591 | |||||||
Sirona Dental Systems, Inc. | (1,518 | ) | (139,195 | ) | (13,243 | ) | ||||||
SolarCity Corp. | (531 | ) | (28,304 | ) | (132 | ) | ||||||
Sotheby’s | (19,805 | ) | (862,834 | ) | (33,145 | ) | ||||||
Southern Co./The | (3,300 | ) | (146,685 | ) | 8,415 | |||||||
Southwestern Energy Co. | (27,900 | ) | (656,092 | ) | 21,925 | |||||||
Spectra Energy Corp. | (26,378 | ) | (958,967 | ) | 99,044 | |||||||
Spectrum Brands Holdings, Inc. | (7,963 | ) | (760,286 | ) | (51,861 | ) | ||||||
Spirit Airlines, Inc. | (17,665 | ) | (1,164,041 | ) | 67,045 | |||||||
Splunk, Inc. | (7,389 | ) | (472,661 | ) | (41,761 | ) | ||||||
Sprint Corp. | (254,889 | ) | (1,247,344 | ) | 85,051 | |||||||
Sprouts Farmers Market, Inc. | (63,798 | ) | (2,075,320 | ) | 354,050 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
87
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Starbucks Corp. | (895 | ) | $ | (41,503 | ) | $ | (6,482 | ) | ||||
Stericycle, Inc. | (16,225 | ) | (2,195,105 | ) | 22,415 | |||||||
SunEdison, Inc. | (55,400 | ) | (1,303,770 | ) | (353,244 | ) | ||||||
Synovus Financial Corp. | (11,900 | ) | (335,937 | ) | (30,821 | ) | ||||||
Tableau Software, Inc. | (1,100 | ) | (106,711 | ) | (20,119 | ) | ||||||
Targa Resources Corp. | (12,310 | ) | (1,151,090 | ) | 52,791 | |||||||
TECO Energy, Inc. | (1,389 | ) | (26,769 | ) | 2,239 | |||||||
Teekay Corp. | (18,145 | ) | (855,708 | ) | 78,739 | |||||||
Tempur Sealy International, Inc. | (3,273 | ) | (189,861 | ) | (25,830 | ) | ||||||
Tenet Healthcare Corp. | (18,540 | ) | (870,311 | ) | (202,784 | ) | ||||||
Tesla Motors, Inc. | (5,152 | ) | (1,021,800 | ) | (360,275 | ) | ||||||
Textron, Inc. | (700 | ) | (30,870 | ) | (371 | ) | ||||||
Tiffany & Co. | (3,260 | ) | (291,030 | ) | (8,238 | ) | ||||||
T-Mobile US, Inc. | (18,471 | ) | (598,105 | ) | (118,016 | ) | ||||||
Toll Brothers, Inc. | (12,000 | ) | (457,320 | ) | (960 | ) | ||||||
Total System Services, Inc. | (594 | ) | (22,451 | ) | (2,360 | ) | ||||||
Tractor Supply Co. | (273 | ) | (23,253 | ) | (1,301 | ) | ||||||
TransDigm Group, Inc. | (4,339 | ) | (961,809 | ) | (13,034 | ) | ||||||
TreeHouse Foods, Inc. | (7,305 | ) | (594,287 | ) | 2,363 | |||||||
Trimble Navigation Ltd. | (8,303 | ) | (217,871 | ) | 23,083 | |||||||
TripAdvisor, Inc. | (2,326 | ) | (198,591 | ) | (4,097 | ) | ||||||
Triumph Group, Inc. | (1,000 | ) | (59,550 | ) | (6,440 | ) | ||||||
Twenty-First Century Fox, Inc. | (1,700 | ) | (59,602 | ) | 4,276 | |||||||
Twitter, Inc. | (21,476 | ) | (840,220 | ) | 62,360 | |||||||
Ultimate Software Group, Inc./The | (3,928 | ) | (658,941 | ) | 13,413 | |||||||
Under Armour, Inc. | (9,151 | ) | (695,839 | ) | (67,720 | ) | ||||||
United Continental Holdings, Inc. | (3,900 | ) | (253,227 | ) | 46,488 | |||||||
United Natural Foods, Inc. | (4,631 | ) | (342,318 | ) | 47,416 | |||||||
United Rentals, Inc. | (7,581 | ) | (703,086 | ) | 38,839 | |||||||
USG Corp. | (61,600 | ) | (1,725,009 | ) | 13,145 | |||||||
Vantiv, Inc. | (8,500 | ) | (323,765 | ) | (850 | ) | ||||||
Varian Medical Systems, Inc. | (700 | ) | (65,002 | ) | 5,971 | |||||||
VeriFone Systems, Inc. | (14,266 | ) | (503,752 | ) | 19,279 | |||||||
Verisk Analytics, Inc. | (3,000 | ) | (210,580 | ) | (7,700 | ) | ||||||
Vertex Pharmaceuticals, Inc. | (4,980 | ) | (610,554 | ) | (4,376 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Visa, Inc. | (4,401 | ) | $ | (298,023 | ) | $ | 2,496 | |||||
Visteon Corp. | (6,450 | ) | (674,938 | ) | (2,183 | ) | ||||||
VMware, Inc. | (700 | ) | (58,758 | ) | (1,260 | ) | ||||||
Vulcan Materials Co. | (3,727 | ) | (318,513 | ) | 5,706 | |||||||
Walgreens Boots Alliance, Inc. | (5,425 | ) | (459,009 | ) | 922 | |||||||
WellCare Health Plans, Inc. | (10,643 | ) | (885,915 | ) | (16,931 | ) | ||||||
Wendy’s Co./The | (6,964 | ) | (77,680 | ) | (874 | ) | ||||||
WESCO International, Inc. | (800 | ) | (55,632 | ) | 720 | |||||||
WEX, Inc. | (2,621 | ) | (287,641 | ) | (11,074 | ) | ||||||
WhiteWave Foods Co./The | (509 | ) | (22,391 | ) | (2,489 | ) | ||||||
Workday, Inc. | (8,600 | ) | (759,740 | ) | 102,786 | |||||||
WR Grace & Co. | (2,103 | ) | (202,898 | ) | (8,033 | ) | ||||||
Wynn Resorts Ltd. | (7,681 | ) | (910,232 | ) | 152,348 | |||||||
Yelp, Inc. | (13,607 | ) | (650,308 | ) | 64,798 | |||||||
Zebra Technologies Corp. | (9,519 | ) | (874,290 | ) | (182,794 | ) | ||||||
Zillow Group, Inc. | (3,400 | ) | (333,718 | ) | 38,802 | |||||||
Zions Bancorporation | (8,693 | ) | (234,545 | ) | (41,327 | ) | ||||||
Zynga, Inc. | (62,619 | ) | (145,276 | ) | (33,814 | ) | ||||||
|
| |||||||||||
1,607,654 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 1,859,994 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 156,189 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 178,265 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 334,454 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
88
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the Euro Interbank Offered Rate, plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 1-25 months maturity ranging from 07/17/2015 - 02/21/2017 | $365,370 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
AtoS | 326 | $ | 24,547 | $ | (188 | ) | ||||||
AXA SA | 6,186 | 149,375 | 7,452 | |||||||||
Cap Gemini SA | 631 | 52,558 | 3,422 | |||||||||
Casino Guichard Perrachon SA | 321 | 28,896 | (4,531 | ) | ||||||||
Cie Generale des Etablissements Michelin | 1,319 | 126,181 | 12,609 | |||||||||
Electricite de France SA | 1,606 | 42,261 | (6,337 | ) | ||||||||
Eutelsat Communications SA | 8,327 | 283,987 | (14,998 | ) | ||||||||
GDF Suez | 7,062 | 147,565 | (16,082 | ) | ||||||||
Iliad SA | 718 | 179,273 | (19,631 | ) | ||||||||
Lagardere SCA | 8,811 | 239,226 | 18,591 | |||||||||
L’Oreal SA | 1,030 | 186,430 | (2,141 | ) | ||||||||
Orange SA | 37,262 | 643,955 | (68,095 | ) | ||||||||
Peugeot SA | 68,622 | 1,241,038 | 174,074 | |||||||||
Safran SA | 956 | 64,654 | 315 | |||||||||
Sanofi | 6,471 | 621,562 | 18,614 | |||||||||
SCOR SE | 8,255 | 281,956 | 9,953 | |||||||||
SES SA | 3,978 | 138,834 | (5,101 | ) | ||||||||
Societe Generale SA | 5,913 | 278,705 | (1,245 | ) | ||||||||
Sodexo SA | 1,884 | 183,120 | (3,768 | ) | ||||||||
Thales SA | 3,734 | 220,377 | 5,235 | |||||||||
Total SA | 9,916 | 523,668 | (37,278 | ) | ||||||||
Vivendi SA | 23,841 | 585,925 | 18,602 | |||||||||
|
| |||||||||||
89,472 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 89,472 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Airbus Group SE | (3,249 | ) | (189,424 | ) | (22,207 | ) | ||||||
Arkema SA | (1,775 | ) | (128,029 | ) | (282 | ) | ||||||
BNP Paribas SA | (4,197 | ) | (267,307 | ) | 12,622 | |||||||
Bollore SA | (78,512 | ) | (432,017 | ) | 12,023 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Bouygues SA | (1,120 | ) | $ | (43,715 | ) | $ | 1,610 | |||||
Bureau Veritas SA | (18,195 | ) | (400,265 | ) | (19,166 | ) | ||||||
Carrefour SA | (12,389 | ) | (414,981 | ) | 16,879 | |||||||
Cie de Saint-Gobain | (9,643 | ) | (437,553 | ) | 2,254 | |||||||
Danone SA | (10,346 | ) | (713,016 | ) | 42,860 | |||||||
Edenred | (2,971 | ) | (78,900 | ) | 5,491 | |||||||
Eiffage SA | (4,582 | ) | (251,102 | ) | (4,036 | ) | ||||||
Essilor International SA | (1,798 | ) | (190,902 | ) | (24,500 | ) | ||||||
Faurecia | (1,988 | ) | (86,638 | ) | 4,452 | |||||||
LVMH Moet Hennessy Louis Vuitton SE | (1,545 | ) | (270,919 | ) | (708 | ) | ||||||
Remy Cointreau SA | (6,233 | ) | (489,707 | ) | 39,398 | |||||||
Renault SA | (6,831 | ) | (696,525 | ) | (19,688 | ) | ||||||
Schneider Electric SE | (5,584 | ) | (416,427 | ) | 29,796 | |||||||
Suez Environnement Co. | (19,973 | ) | (395,932 | ) | 23,056 | |||||||
Technip SA | (2,843 | ) | (193,447 | ) | 17,255 | |||||||
Valeo SA | (157 | ) | (23,916 | ) | (918 | ) | ||||||
Vallourec SA | (24,456 | ) | (576,472 | ) | 76,845 | |||||||
Veolia Environnement SA | (5,581 | ) | (102,000 | ) | (12,268 | ) | ||||||
Vinci SA | (615 | ) | (36,095 | ) | 401 | |||||||
Zodiac Aerospace | (35,887 | ) | (1,262,517 | ) | 93,542 | |||||||
|
| |||||||||||
274,711 | ||||||||||||
|
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Total of Short Equity Positions | 274,711 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 364,183 | |||||||||||
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| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 1,187 | |||||||||||
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| |||||||||||
Swaps, at Value | $ | 365,370 | ||||||||||
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(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
89
Schedule of Investments | June 30, 2015 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
Counterparty | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Barclays Capital | ||||||||||
Cash | $— | $4,525,826 | $4,525,826 | |||||||
| ||||||||||
Citibank | ||||||||||
Cash | 110,000 | — | 110,000 | |||||||
| ||||||||||
Credit Suisse International | ||||||||||
Cash | (190,000 | ) | — | (190,000 | ) | |||||
| ||||||||||
Deutsche Bank | ||||||||||
Money Market Funds | 5,400,032 | — | 5,400,032 | |||||||
| ||||||||||
Goldman Sachs | ||||||||||
Money Market Funds | 22,510,000 | — | 22,510,000 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
90
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
MONEY MARKET FUNDS - 19.2% | SHARES | VALUE (Note 5) | ||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.010% (a)^ | 50,306,633 | $ | 50,306,633 | |||||
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^ | 201,226,532 | 201,226,532 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^ | 1,046,294,545 | 1,046,294,545 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | 54,902,229 | 54,902,229 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^ | 251,533,165 | 251,533,165 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 1,604,263,104 | |||||||
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| |||||||
SHORT-TERM INVESTMENTS - 77.8% | | PRINCIPAL AMOUNT (000’s | ) | |||||
U.S. Treasury Bill, 0.085%, 07/09/2015 (c) ^ | $ | 489,685 | 489,686,469 | |||||
U.S. Treasury Bill, 0.072%, 07/30/2015 (c)(d)^ | 148,697 | 148,694,621 | ||||||
U.S. Treasury Bill, 0.072%, 07/30/2015 (c) | 580,516 | 580,506,712 | ||||||
U.S. Treasury Bill, 0.063%, 08/06/2015 (c) | 355,967 | 355,967,000 | ||||||
U.S. Treasury Bill, 0.075%, 09/03/2015 (c) | 500,000 | 500,000,000 | ||||||
U.S. Treasury Bill, 0.095%, 09/10/2015 (c)(d) | 500,000 | 500,015,000 | ||||||
U.S. Treasury Bill, 0.147%, 09/17/2015 (c) | 469,592 | 469,592,000 | ||||||
U.S. Treasury Bill, 0.083%, 10/01/2015 (c)^ | 239,469 | 239,457,724 | ||||||
U.S. Treasury Bill, 0.096%, 10/08/2015 (c)^ | 239,469 | 239,460,358 | ||||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (c) | 227,352 | 227,327,446 | ||||||
U.S. Treasury Bill, 0.085%, 11/27/2015 (c)^ | 134,500 | 134,480,497 | ||||||
U.S. Treasury Bill, 0.071%, 12/03/2015 (c)(d)^ | 344,100 | 344,037,030 | ||||||
U.S. Treasury Bill, 0.071%, 12/03/2015 (c) | 590,400 | 590,291,957 | ||||||
U.S. Treasury Bill, 0.083%, 12/10/2015 (c)(d)^ | 300,000 | 299,942,700 | ||||||
U.S. Treasury Bill, 0.083%, 12/10/2015 (c) | 500,000 | 499,904,500 | ||||||
U.S. Treasury Bill, 0.101%, 12/17/2015 (c)(d) | 500,000 | 499,859,000 | ||||||
U.S. Treasury Bill, 0.101%, 12/17/2015 (c)^ | 178,847 | 178,796,565 |
SHORT-TERM INVESTMENTS - 77.8% (continued) | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | ||||||
U.S. Treasury Bill, 0.076%, 12/24/2015 (c) | $ | 200,000 | $ | 199,924,200 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 6,497,943,779 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 97.0% |
| 8,102,206,883 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.0% (e) | 246,731,119 | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 8,348,938,002 | |||||
|
|
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | A portion of the security is pledged as collateral to the brokers for futures contracts. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
91
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
Total return swap contracts outstanding as of June 30, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Bank of America | Bovespa Index August Futures | 8/2015 | BRL | (6,232,052 | ) | $14,681 | ||||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | (3,666,810 | ) | (59,835 | ) | |||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | 3,740,755 | 181,998 | |||||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | (6,387,159 | ) | 280,123 | ||||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | 5,990,484 | 116,430 | |||||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | (191,611,486 | ) | (33,377,814 | ) | |||||||
CitiBank | Cotton No. 2 December Futures^ | 11/2015 | USD | (26,315,625 | ) | (915,153 | ) | |||||||
CitiBank | Cotton No. 2 December Futures^ | 11/2015 | USD | 13,072,865 | 135,463 | |||||||||
Merrill Lynch | Gold 100 OZ August Futures^ | 7/2015 | USD | 198,389,670 | (3,171,065 | ) | ||||||||
Merrill Lynch | Gold 100 OZ August Futures^ | 7/2015 | USD | (198,031,265 | ) | 2,812,705 | ||||||||
Bank of America | Hang Seng Index July Futures | 7/2015 | HKD | 924,231,532 | (4,632,725 | ) | ||||||||
Bank of America | H-SHARES Index July Futures | 7/2015 | HKD | 435,622,473 | (2,507,180 | ) | ||||||||
Merrill Lynch | Live Cattle August Futures^ | 8/2015 | USD | 64,553,020 | (1,058,460 | ) | ||||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | 76,669,789 | 4,044,728 | |||||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | (103,713,190 | ) | (15,325,491 | ) | |||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | (383,221,834 | ) | (54,183,631 | ) | |||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | 268,521,461 | 19,762,218 | |||||||||
Bank of America | Swiss Market Index September Futures | 9/2015 | CHF | (8,513,590 | ) | (14,631 | ) | |||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | 37,030,904 | 3,022,522 | |||||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | (73,225,962 | ) | (15,313,258 | ) | |||||||
|
| |||||||||||||
$(100,188,375 | ) | |||||||||||||
|
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^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
3,732 | Goldman Sachs | Cocoa Futures^ | 9/2015 | $125,862,313 | $126,484,428 | $622,115 | ||||||||||||||
1,816 | Morgan Stanley and Co., International PLC | Cocoa Futures^ | 9/2015 | 56,231,710 | 59,365,040 | 3,133,330 | ||||||||||||||
267 | Morgan Stanley and Co., International PLC | Live Cattle Futures^ | 8/2015 | 16,141,679 | 15,814,410 | (327,269 | ) | |||||||||||||
79 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 3,536,745 | 3,266,906 | (269,839 | ) | |||||||||||||
35 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 1,558,512 | 1,447,906 | (110,606 | ) | |||||||||||||
67 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 3,074,808 | 2,778,775 | (296,033 | ) | |||||||||||||
156 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 7,156,905 | 6,471,855 | (685,050 | ) | |||||||||||||
34 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 1,558,215 | 1,411,739 | (146,476 | ) | |||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 144,241 | 124,956 | (19,285 | ) | |||||||||||||
107 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 5,226,620 | 4,464,575 | (762,045 | ) | |||||||||||||
376 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 17,920,293 | 15,693,300 | (2,226,993 | ) | |||||||||||||
96 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 4,303,483 | 4,021,200 | (282,283 | ) | |||||||||||||
177 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 7,917,953 | 7,413,556 | (504,397 | ) | |||||||||||||
303 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 13,459,886 | 12,690,019 | (769,867 | ) | |||||||||||||
145 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 6,271,678 | 6,075,283 | (196,395 | ) | |||||||||||||
309 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 13,592,337 | 12,950,036 | (642,301 | ) | |||||||||||||
78 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 3,400,016 | 3,272,373 | (127,643 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
92
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
116 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | $ 5,075,284 | $ 4,869,158 | $ (206,126 | ) | |||||||||||||
340 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 14,726,633 | 14,275,410 | (451,223 | ) | |||||||||||||
119 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 5,167,867 | 5,001,660 | (166,207 | ) | |||||||||||||
69 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 3,046,519 | 2,900,881 | (145,638 | ) | |||||||||||||
61 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 2,694,824 | 2,565,217 | (129,607 | ) | |||||||||||||
156 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 6,794,182 | 6,561,945 | (232,237 | ) | |||||||||||||
45 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 1,926,110 | 1,894,848 | (31,262 | ) | |||||||||||||
156 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 6,692,782 | 6,571,500 | (121,282 | ) | |||||||||||||
202 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 8,622,208 | 8,511,573 | (110,635 | ) | |||||||||||||
195 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 8,266,138 | 8,225,636 | (40,502 | ) | |||||||||||||
74 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 3,187,306 | 3,122,375 | (64,931 | ) | |||||||||||||
23 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 968,931 | 972,325 | 3,394 | ||||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 1,207,033 | 1,151,178 | (55,855 | ) | |||||||||||||
110 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 16,614,728 | 15,829,302 | (785,426 | ) | |||||||||||||
66 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 9,951,459 | 9,497,961 | (453,498 | ) | |||||||||||||
43 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 6,500,897 | 6,188,313 | (312,584 | ) | |||||||||||||
59 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 8,948,999 | 8,491,944 | (457,055 | ) | |||||||||||||
13 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 1,925,635 | 1,871,106 | (54,529 | ) | |||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 751,347 | 719,531 | (31,816 | ) | |||||||||||||
35 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 5,309,083 | 5,036,806 | (272,277 | ) | |||||||||||||
86 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 13,080,235 | 12,376,754 | (703,481 | ) | |||||||||||||
40 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 5,979,297 | 5,756,730 | (222,567 | ) | |||||||||||||
77 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 11,702,454 | 11,083,188 | (619,266 | ) | |||||||||||||
51 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 8,059,238 | 7,341,246 | (717,992 | ) | |||||||||||||
36 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 5,785,822 | 5,182,983 | (602,839 | ) | |||||||||||||
80 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 12,801,941 | 11,518,080 | (1,283,861 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 159,759 | 143,997 | (15,762 | ) | |||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 483,559 | 432,005 | (51,554 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 321,291 | 288,012 | (33,279 | ) | |||||||||||||
23 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 3,693,283 | 3,312,506 | (380,777 | ) | |||||||||||||
22 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 3,480,190 | 3,168,550 | (311,640 | ) | |||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 466,994 | 432,056 | (34,938 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 312,666 | 288,025 | (24,641 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 306,778 | 288,089 | (18,689 | ) | |||||||||||||
33 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 4,972,785 | 4,754,343 | (218,442 | ) | |||||||||||||
258 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 38,842,532 | 37,173,027 | (1,669,505 | ) | |||||||||||||
236 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 35,090,828 | 34,004,532 | (1,086,296 | ) | |||||||||||||
87 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 12,906,663 | 12,537,418 | (369,245 | ) | |||||||||||||
82 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 12,289,951 | 11,817,307 | (472,644 | ) | |||||||||||||
85 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 12,843,708 | 12,250,093 | (593,615 | ) | |||||||||||||
83 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 12,232,328 | 11,961,088 | (271,240 | ) | |||||||||||||
514 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 74,849,330 | 74,057,763 | (791,567 | ) | |||||||||||||
85 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 12,378,333 | 12,247,713 | (130,620 | ) | |||||||||||||
218 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 31,433,409 | 31,406,987 | (26,422 | ) | |||||||||||||
182 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 26,206,171 | 26,218,238 | 12,067 | ||||||||||||||
247 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 35,016,066 | 35,587,575 | 571,509 | ||||||||||||||
132 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 18,941,904 | 19,019,220 | 77,316 | ||||||||||||||
77 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 11,139,711 | 11,094,987 | (44,724 | ) | |||||||||||||
77 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 11,084,835 | 11,095,411 | 10,576 | ||||||||||||||
36 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 5,207,056 | 5,188,293 | (18,763 | ) | |||||||||||||
44 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 3,366,108 | 3,150,890 | (215,218 | ) | |||||||||||||
25 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 1,917,074 | 1,790,360 | (126,714 | ) | |||||||||||||
20 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 1,524,049 | 1,432,352 | (91,697 | ) | |||||||||||||
15 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 1,150,822 | 1,074,313 | (76,509 | ) | |||||||||||||
19 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 1,440,722 | 1,360,980 | (79,742 | ) | |||||||||||||
15 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 1,114,102 | 1,074,507 | (39,595 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
93
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | $ 230,047 | $ 214,919 | $ (15,128 | ) | |||||||||||||
9 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 672,133 | 644,864 | (27,269 | ) | |||||||||||||
47 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 4,061,243 | 3,369,954 | (691,289 | ) | |||||||||||||
6 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 515,192 | 430,225 | (84,967 | ) | |||||||||||||
29 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 2,452,572 | 2,079,839 | (372,733 | ) | |||||||||||||
15 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 1,284,556 | 1,075,823 | (208,733 | ) | |||||||||||||
11 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 836,907 | 789,412 | (47,495 | ) | |||||||||||||
8 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 621,620 | 574,298 | (47,322 | ) | |||||||||||||
24 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 1,867,199 | 1,722,970 | (144,229 | ) | |||||||||||||
42 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 3,235,783 | 3,016,987 | (218,796 | ) | |||||||||||||
36 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 2,756,482 | 2,586,131 | (170,351 | ) | |||||||||||||
38 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 1,996,045 | 1,895,962 | (100,083 | ) | |||||||||||||
150 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 8,012,622 | 7,484,062 | (528,560 | ) | |||||||||||||
69 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 3,714,875 | 3,442,669 | (272,206 | ) | |||||||||||||
150 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 8,098,955 | 7,484,063 | (614,892 | ) | |||||||||||||
146 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 8,056,015 | 7,281,750 | (774,265 | ) | |||||||||||||
106 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 5,886,050 | 5,284,762 | (601,288 | ) | |||||||||||||
82 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 4,480,223 | 4,085,650 | (394,573 | ) | |||||||||||||
51 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 2,806,672 | 2,539,481 | (267,191 | ) | |||||||||||||
85 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 4,718,298 | 4,232,277 | (486,021 | ) | |||||||||||||
34 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 1,897,530 | 1,692,835 | (204,695 | ) | |||||||||||||
63 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 3,497,718 | 3,136,581 | (361,137 | ) | |||||||||||||
10 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 545,863 | 497,848 | (48,015 | ) | |||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 277,525 | 248,912 | (28,613 | ) | |||||||||||||
15 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 835,465 | 746,674 | (88,791 | ) | |||||||||||||
50 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 2,843,255 | 2,488,800 | (354,455 | ) | |||||||||||||
23 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 1,322,560 | 1,144,796 | (177,764 | ) | |||||||||||||
59 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 3,366,298 | 2,936,519 | (429,779 | ) | |||||||||||||
86 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 5,032,155 | 4,279,962 | (752,193 | ) | |||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 118,834 | 99,553 | (19,281 | ) | |||||||||||||
44 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 2,591,478 | 2,190,496 | (400,982 | ) | |||||||||||||
50 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 2,868,064 | 2,491,100 | (376,964 | ) | |||||||||||||
54 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 3,140,764 | 2,691,198 | (449,566 | ) | |||||||||||||
12 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 687,648 | 598,410 | (89,238 | ) | |||||||||||||
46 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 2,603,061 | 2,294,250 | (308,811 | ) | |||||||||||||
78 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 4,240,841 | 3,891,127 | (349,714 | ) | |||||||||||||
127 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 6,886,886 | 6,339,903 | (546,983 | ) | |||||||||||||
285 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 15,810,994 | 14,228,981 | (1,582,013 | ) | |||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 487,147 | 449,642 | (37,505 | ) | |||||||||||||
98 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 5,252,840 | 4,896,668 | (356,172 | ) | |||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 480,172 | 449,899 | (30,273 | ) | |||||||||||||
13 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 707,151 | 649,926 | (57,225 | ) | |||||||||||||
11 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 590,732 | 550,000 | (40,732 | ) | |||||||||||||
34 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 1,803,783 | 1,699,685 | (104,098 | ) | |||||||||||||
562 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 29,890,172 | 28,078,925 | (1,811,247 | ) | |||||||||||||
56 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 2,968,137 | 2,798,432 | (169,705 | ) | |||||||||||||
105 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 5,473,435 | 5,246,220 | (227,215 | ) | |||||||||||||
96 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 4,997,035 | 4,796,664 | (200,371 | ) | |||||||||||||
163 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 8,290,987 | 8,145,232 | (145,755 | ) | |||||||||||||
156 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 7,932,982 | 7,795,671 | (137,311 | ) | |||||||||||||
130 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 6,684,009 | 6,496,555 | (187,454 | ) | |||||||||||||
186 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 9,440,031 | 9,295,350 | (144,681 | ) | |||||||||||||
88 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 4,425,560 | 4,399,560 | (26,000 | ) | |||||||||||||
139 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 6,905,166 | 6,950,000 | 44,834 | ||||||||||||||
302 | Morgan Stanley and Co., International PLC | Soybean Oil Futures^ | 12/2015 | 6,016,269 | 6,173,484 | 157,215 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
94
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
400 | Morgan Stanley and Co., International PLC | WTI Crude Futures^ | 7/2015 | $ 24,075,406 | $ 23,788,000 | $ (287,406 | ) | |||||||||||||
559 | Barclays Capital | Amsterdam Index Futures | 7/2015 | 61,196,395 | 58,836,420 | (2,359,975 | ) | |||||||||||||
2,684 | Barclays Capital | CAC40 Index Futures | 7/2015 | 150,216,660 | 143,224,398 | (6,992,262 | ) | |||||||||||||
2,506 | Barclays Capital | E-Mini DJIA CBOT Futures | 9/2015 | 224,207,783 | 219,563,190 | (4,644,593 | ) | |||||||||||||
2,839 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2015 | 359,482,235 | 354,988,560 | (4,493,675 | ) | |||||||||||||
1,599 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | 63,629,309 | 61,251,686 | (2,377,623 | ) | |||||||||||||
126 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2015 | 4,817,926 | 4,788,953 | (28,973 | ) | |||||||||||||
567 | Barclays Capital | FTSE/MIB Index Futures | 9/2015 | 74,056,015 | 71,344,217 | (2,711,798 | ) | |||||||||||||
1,066 | Barclays Capital | Hang Seng Index Futures | 7/2015 | 186,587,919 | 180,179,861 | (6,408,058 | ) | |||||||||||||
959 | Barclays Capital | H-SHARES Index Futures | 7/2015 | 83,147,513 | 79,952,235 | (3,195,278 | ) | |||||||||||||
156 | Barclays Capital | IBEX 35 Index Futures | 7/2015 | 19,360,697 | 18,739,340 | (621,357 | ) | |||||||||||||
11 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2015 | 375,627 | 376,530 | 903 | ||||||||||||||
3,850 | Barclays Capital | NASDAQ 100 E-Mini Futures | 9/2015 | 344,378,631 | 338,049,250 | (6,329,381 | ) | |||||||||||||
2,138 | J.P. Morgan | Nikkei 225 Futures | 9/2015 | 356,833,516 | 353,407,198 | (3,426,318 | ) | |||||||||||||
71 | J.P. Morgan | OMXS30 Index Futures | 7/2015 | 1,373,691 | 1,320,461 | (53,230 | ) | |||||||||||||
2,410 | Barclays Capital | S&P 500 E-Mini Futures | 9/2015 | 252,375,681 | 247,555,200 | (4,820,481 | ) | |||||||||||||
1,768 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2015 | 270,032,729 | 264,864,080 | (5,168,649 | ) | |||||||||||||
50 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2015 | 6,890,907 | 6,756,606 | (134,301 | ) | |||||||||||||
1,637 | J.P. Morgan | SGX FTSE China A50 Index Futures | 7/2015 | 21,403,536 | 20,315,170 | (1,088,366 | ) | |||||||||||||
2,629 | Barclays Capital | TOPIX Index Futures | 9/2015 | 354,684,219 | 350,254,075 | (4,430,144 | ) | |||||||||||||
238 | Goldman Sachs | 10-Year Japanese Government Bond Futures | 9/2015 | 285,786,665 | 285,810,025 | 23,360 | ||||||||||||||
8,753 | J.P. Morgan | 90-Day EURODollar Futures | 12/2015 | 2,175,194,052 | 2,176,542,863 | 1,348,811 | ||||||||||||||
8,236 | J.P. Morgan | 90-Day EURODollar Futures | 3/2016 | 2,043,015,326 | 2,044,175,200 | 1,159,874 | ||||||||||||||
8,010 | J.P. Morgan | 90-Day EURODollar Futures | 6/2016 | 1,983,171,920 | 1,983,976,875 | 804,955 | ||||||||||||||
7,976 | J.P. Morgan | 90-Day EURODollar Futures | 9/2016 | 1,970,468,302 | 1,971,069,000 | 600,698 | ||||||||||||||
6,162 | J.P. Morgan | 90-Day EURODollar Futures | 12/2016 | 1,519,043,319 | 1,519,395,150 | 351,831 | ||||||||||||||
4,623 | J.P. Morgan | 90-Day EURODollar Futures | 3/2017 | 1,137,671,453 | 1,137,778,087 | 106,634 | ||||||||||||||
3,108 | J.P. Morgan | 90-Day EURODollar Futures | 6/2017 | 763,267,419 | 763,519,050 | 251,631 | ||||||||||||||
4,826 | J.P. Morgan | 90-Day Sterling Futures | 12/2015 | 940,944,003 | 940,937,193 | (6,810 | ) | |||||||||||||
3,391 | J.P. Morgan | 90-Day Sterling Futures | 3/2016 | 660,490,234 | 660,285,932 | (204,302 | ) | |||||||||||||
1,360 | J.P. Morgan | 90-Day Sterling Futures | 6/2016 | 264,567,460 | 264,387,948 | (179,512 | ) | |||||||||||||
570 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 3/2016 | 113,026,475 | 113,172,839 | 146,364 | ||||||||||||||
785 | Goldman Sachs | Euro - OAT Futures | 9/2015 | 127,732,266 | 128,184,281 | 452,015 | ||||||||||||||
1,123 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 12/2015 | 303,009,078 | 303,256,243 | 247,165 | ||||||||||||||
1,427 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 3/2016 | 384,946,505 | 385,348,762 | 402,257 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
95
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
1,386 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 6/2016 | $ 373,738,810 | $ 374,165,891 | $ 427,081 | ||||||||||||||
888 | Goldman Sachs | Euro-Buxl 30-Year Bond Futures | 9/2015 | 145,166,089 | 147,151,635 | 1,985,546 | ||||||||||||||
576 | Goldman Sachs | Long Gilt Futures | 9/2015 | 105,455,042 | 104,740,277 | (714,765 | ) | |||||||||||||
552 | Morgan Stanley and Co., International PLC | U.S. Treasury 10-Year Note Futures | 9/2015 | 69,581,722 | 69,646,875 | 65,153 | ||||||||||||||
28,255 | Morgan Stanley and Co., International PLC | U.S. Treasury 2-Year Note Futures | 9/2015 | 6,178,218,488 | 6,186,079,062 | �� | 7,860,574 | |||||||||||||
5,925 | Morgan Stanley and Co., International PLC | U.S. Treasury 5-Year Note Futures | 9/2015 | 706,543,860 | 706,602,539 | 58,679 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
26,175,698,272 | 26,096,801,757 | (78,896,515 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
233 | Goldman Sachs | Brent Crude Futures^ | 7/2015 | $(14,597,816 | ) | $(14,816,470 | ) | $(218,654 | ) | |||||||||||
58 | Goldman Sachs | Brent Crude Futures^ | 8/2015 | (3,696,739 | ) | (3,720,120 | ) | (23,381 | ) | |||||||||||
2,638 | Morgan Stanley and Co., International PLC | Coffee ‘C’ Futures^ | 9/2015 | (131,937,501 | ) | (130,976,700 | ) | 960,801 | ||||||||||||
3,387 | Morgan Stanley and Co., International PLC | Corn Futures^ | 9/2015 | (61,003,732 | ) | (71,465,700 | ) | (10,461,968 | ) | |||||||||||
1,661 | Goldman Sachs | Gas Oil Futures^ | 8/2015 | (97,514,405 | ) | (95,673,600 | ) | 1,840,805 | ||||||||||||
163 | Morgan Stanley and Co., International PLC | Gasoline RBOB Futures^ | 7/2015 | (14,141,142 | ) | (14,030,192 | ) | 110,950 | ||||||||||||
7,185 | Morgan Stanley and Co., International PLC | Gold 100 OZ Futures^ | 8/2015 | (846,506,613 | ) | (841,938,300 | ) | 4,568,313 | ||||||||||||
1,675 | Morgan Stanley and Co., International PLC | Hard Red Winter Wheat futures^ | 9/2015 | (44,253,816 | ) | (51,108,437 | ) | (6,854,621 | ) | |||||||||||
610 | Morgan Stanley and Co., International PLC | Heating Oil ULSD Futures^ | 7/2015 | (49,067,468 | ) | (48,419,238 | ) | 648,230 | ||||||||||||
680 | Morgan Stanley and Co., International PLC | Lean Hogs Futures^ | 8/2015 | (20,341,505 | ) | (20,230,000 | ) | 111,505 | ||||||||||||
79 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (3,533,081 | ) | (3,266,906 | ) | 266,175 | ||||||||||||
35 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (1,557,397 | ) | (1,447,907 | ) | 109,490 | ||||||||||||
67 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (3,076,811 | ) | (2,778,775 | ) | 298,036 | ||||||||||||
156 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (7,163,840 | ) | (6,471,855 | ) | 691,985 | ||||||||||||
34 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (1,559,667 | ) | (1,411,740 | ) | 147,927 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (143,580 | ) | (124,956 | ) | 18,624 | ||||||||||||
107 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (5,199,269 | ) | (4,464,575 | ) | 734,694 | ||||||||||||
376 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (17,875,209 | ) | (15,693,300 | ) | 2,181,909 | ||||||||||||
96 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (4,333,771 | ) | (4,021,200 | ) | 312,571 | ||||||||||||
177 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (7,925,848 | ) | (7,413,557 | ) | 512,291 | ||||||||||||
303 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (13,436,683 | ) | (12,690,019 | ) | 746,664 | ||||||||||||
145 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (6,311,427 | ) | (6,075,282 | ) | 236,145 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
96
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
309 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | $ (13,592,390 | ) | $ (12,950,035 | ) | $ 642,355 | ||||||||||||
78 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (3,398,407 | ) | (3,272,373 | ) | 126,034 | ||||||||||||
116 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (5,072,712 | ) | (4,869,158 | ) | 203,554 | ||||||||||||
340 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (14,769,191 | ) | (14,275,410 | ) | 493,781 | ||||||||||||
119 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (5,179,977 | ) | (5,001,659 | ) | 178,318 | ||||||||||||
69 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (3,024,983 | ) | (2,900,881 | ) | 124,102 | ||||||||||||
61 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (2,693,106 | ) | (2,565,218 | ) | 127,888 | ||||||||||||
156 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (6,790,522 | ) | (6,561,945 | ) | 228,577 | ||||||||||||
2,238 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (97,235,537 | ) | (94,261,762 | ) | 2,973,775 | ||||||||||||
45 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (1,929,706 | ) | (1,894,849 | ) | 34,857 | ||||||||||||
156 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (6,676,779 | ) | (6,571,500 | ) | 105,279 | ||||||||||||
202 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (8,676,754 | ) | (8,511,573 | ) | 165,181 | ||||||||||||
195 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (8,278,049 | ) | (8,225,636 | ) | 52,413 | ||||||||||||
74 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (3,178,760 | ) | (3,122,374 | ) | 56,386 | ||||||||||||
23 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (968,912 | ) | (972,325 | ) | (3,413 | ) | |||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (1,202,680 | ) | (1,151,178 | ) | 51,502 | ||||||||||||
110 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (16,666,105 | ) | (15,829,302 | ) | 836,803 | ||||||||||||
66 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (9,924,588 | ) | (9,497,960 | ) | 426,628 | ||||||||||||
43 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (6,503,645 | ) | (6,188,313 | ) | 315,332 | ||||||||||||
59 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (8,871,980 | ) | (8,491,943 | ) | 380,037 | ||||||||||||
13 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (1,928,593 | ) | (1,871,106 | ) | 57,487 | ||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (754,363 | ) | (719,532 | ) | 34,831 | ||||||||||||
35 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (5,333,039 | ) | (5,036,806 | ) | 296,233 | ||||||||||||
86 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (13,082,539 | ) | (12,376,754 | ) | 705,785 | ||||||||||||
40 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (5,999,902 | ) | (5,756,730 | ) | 243,172 | ||||||||||||
77 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (11,726,911 | ) | (11,083,187 | ) | 643,724 | ||||||||||||
51 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (8,078,275 | ) | (7,341,246 | ) | 737,029 | ||||||||||||
36 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (5,759,912 | ) | (5,182,983 | ) | 576,929 | ||||||||||||
80 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (12,812,929 | ) | (11,518,080 | ) | 1,294,849 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (159,398 | ) | (143,998 | ) | 15,400 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (482,055 | ) | (432,005 | ) | 50,050 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (319,669 | ) | (288,012 | ) | 31,657 | ||||||||||||
23 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (3,677,212 | ) | (3,312,506 | ) | 364,706 | ||||||||||||
22 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (3,454,909 | ) | (3,168,550 | ) | 286,359 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (466,699 | ) | (432,056 | ) | 34,643 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (312,058 | ) | (288,025 | ) | 24,033 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (304,644 | ) | (288,089 | ) | 16,555 | ||||||||||||
33 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (4,972,653 | ) | (4,754,343 | ) | 218,310 | ||||||||||||
258 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (38,796,734 | ) | (37,173,027 | ) | 1,623,707 | ||||||||||||
236 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (35,034,400 | ) | (34,004,532 | ) | 1,029,868 | ||||||||||||
87 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (12,906,262 | ) | (12,537,418 | ) | 368,844 | ||||||||||||
82 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (12,207,470 | ) | (11,817,307 | ) | 390,163 | ||||||||||||
85 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (12,719,194 | ) | (12,250,094 | ) | 469,100 | ||||||||||||
83 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (12,186,461 | ) | (11,961,088 | ) | 225,373 | ||||||||||||
1,666 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (244,129,443 | ) | (240,039,363 | ) | 4,090,080 | ||||||||||||
85 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (12,363,775 | ) | (12,247,714 | ) | 116,061 | ||||||||||||
218 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (31,423,581 | ) | (31,406,987 | ) | 16,594 | ||||||||||||
182 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (26,305,352 | ) | (26,218,238 | ) | 87,114 | ||||||||||||
247 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (35,035,392 | ) | (35,587,575 | ) | (552,183 | ) | |||||||||||
132 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (19,001,077 | ) | (19,019,220 | ) | (18,143 | ) | |||||||||||
77 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (11,182,618 | ) | (11,094,988 | ) | 87,630 | ||||||||||||
77 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (11,046,061 | ) | (11,095,411 | ) | (49,350 | ) | |||||||||||
3,964 | Morgan Stanley and Co., International PLC | LME Copper Futures^ | 9/2015 | (257,904,559 | ) | (259,146,500 | ) | (1,241,941 | ) | |||||||||||
36 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (5,203,487 | ) | (5,188,293 | ) | 15,194 | ||||||||||||
44 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (3,416,558 | ) | (3,150,890 | ) | 265,668 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
97
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
25 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | $ (1,900,385 | ) | $ (1,790,359 | ) | $ 110,026 | ||||||||||||
20 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (1,507,973 | ) | (1,432,353 | ) | 75,620 | ||||||||||||
15 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (1,144,197 | ) | (1,074,313 | ) | 69,884 | ||||||||||||
19 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (1,454,769 | ) | (1,360,980 | ) | 93,789 | ||||||||||||
15 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (1,119,754 | ) | (1,074,507 | ) | 45,247 | ||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (229,013 | ) | (214,920 | ) | 14,093 | ||||||||||||
9 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (677,025 | ) | (644,864 | ) | 32,161 | ||||||||||||
47 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (4,063,505 | ) | (3,369,954 | ) | 693,551 | ||||||||||||
6 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (513,705 | ) | (430,224 | ) | 83,481 | ||||||||||||
29 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (2,440,540 | ) | (2,079,839 | ) | 360,701 | ||||||||||||
15 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (1,268,063 | ) | (1,075,823 | ) | 192,240 | ||||||||||||
11 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (841,097 | ) | (789,412 | ) | 51,685 | ||||||||||||
8 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (621,936 | ) | (574,298 | ) | 47,638 | ||||||||||||
24 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (1,845,339 | ) | (1,722,970 | ) | 122,369 | ||||||||||||
564 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (45,052,869 | ) | (40,511,556 | ) | 4,541,313 | ||||||||||||
42 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (3,210,301 | ) | (3,016,987 | ) | 193,314 | ||||||||||||
36 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (2,772,157 | ) | (2,586,131 | ) | 186,026 | ||||||||||||
38 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (2,009,157 | ) | (1,895,963 | ) | 113,194 | ||||||||||||
150 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (8,017,132 | ) | (7,484,062 | ) | 533,070 | ||||||||||||
69 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (3,713,756 | ) | (3,442,669 | ) | 271,087 | ||||||||||||
150 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (8,144,632 | ) | (7,484,062 | ) | 660,570 | ||||||||||||
146 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (8,062,492 | ) | (7,281,750 | ) | 780,742 | ||||||||||||
106 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (5,869,490 | ) | (5,284,762 | ) | 584,728 | ||||||||||||
82 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (4,470,849 | ) | (4,085,650 | ) | 385,199 | ||||||||||||
51 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (2,788,300 | ) | (2,539,481 | ) | 248,819 | ||||||||||||
85 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (4,727,874 | ) | (4,232,277 | ) | 495,597 | ||||||||||||
34 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (1,901,367 | ) | (1,692,835 | ) | 208,532 | ||||||||||||
63 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (3,513,671 | ) | (3,136,581 | ) | 377,090 | ||||||||||||
10 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (545,475 | ) | (497,847 | ) | 47,628 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (278,488 | ) | (248,913 | ) | 29,575 | ||||||||||||
15 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (838,838 | ) | (746,673 | ) | 92,165 | ||||||||||||
50 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (2,848,627 | ) | (2,488,799 | ) | 359,828 | ||||||||||||
23 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (1,322,444 | ) | (1,144,797 | ) | 177,647 | ||||||||||||
59 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (3,357,693 | ) | (2,936,519 | ) | 421,174 | ||||||||||||
86 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (4,998,539 | ) | (4,279,962 | ) | 718,577 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (118,995 | ) | (99,552 | ) | 19,443 | ||||||||||||
44 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (2,606,492 | ) | (2,190,496 | ) | 415,996 | ||||||||||||
50 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (2,859,877 | ) | (2,491,099 | ) | 368,778 | ||||||||||||
54 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (3,107,895 | ) | (2,691,198 | ) | 416,697 | ||||||||||||
12 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (686,965 | ) | (598,410 | ) | 88,555 | ||||||||||||
46 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (2,587,387 | ) | (2,294,250 | ) | 293,137 | ||||||||||||
78 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (4,269,913 | ) | (3,891,127 | ) | 378,786 | ||||||||||||
127 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (6,900,511 | ) | (6,339,903 | ) | 560,608 | ||||||||||||
285 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (15,785,884 | ) | (14,228,981 | ) | 1,556,903 | ||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (484,018 | ) | (449,642 | ) | 34,376 | ||||||||||||
98 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (5,239,972 | ) | (4,896,668 | ) | 343,304 | ||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (479,570 | ) | (449,898 | ) | 29,672 | ||||||||||||
13 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (699,133 | ) | (649,925 | ) | 49,208 | ||||||||||||
11 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (597,536 | ) | (550,000 | ) | 47,536 | ||||||||||||
34 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (1,796,382 | ) | (1,699,686 | ) | 96,696 | ||||||||||||
1,396 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (71,793,050 | ) | (69,747,650 | ) | 2,045,400 | ||||||||||||
56 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (2,939,893 | ) | (2,798,432 | ) | 141,461 | ||||||||||||
105 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (5,478,533 | ) | (5,246,220 | ) | 232,313 | ||||||||||||
96 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (5,019,980 | ) | (4,796,664 | ) | 223,316 | ||||||||||||
163 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (8,305,299 | ) | (8,145,232 | ) | 160,067 | ||||||||||||
156 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (7,925,160 | ) | (7,795,671 | ) | 129,489 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
98
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
130 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | $ (6,689,697 | ) | $ (6,496,555 | ) | $ 193,142 | ||||||||||||
186 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (9,444,363 | ) | (9,295,350 | ) | 149,013 | ||||||||||||
88 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (4,422,711 | ) | (4,399,560 | ) | 23,151 | ||||||||||||
139 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (6,859,518 | ) | (6,950,000 | ) | (90,482 | ) | |||||||||||
5,510 | Morgan Stanley and Co., International PLC | Natural Gas Futures^ | 7/2015 | (158,319,073 | ) | (156,043,200 | ) | 2,275,873 | ||||||||||||
1,297 | Morgan Stanley and Co., International PLC | Nymex Palladium Futures^ | 9/2015 | (96,295,130 | ) | (87,242,705 | ) | 9,052,425 | ||||||||||||
2,050 | Morgan Stanley and Co., International PLC | Platinum Futures^ | 10/2015 | (109,710,800 | ) | (110,648,750 | ) | (937,950 | ) | |||||||||||
2,799 | Morgan Stanley and Co., International PLC | Silver Futures^ | 9/2015 | (222,944,741 | ) | (218,056,095 | ) | 4,888,646 | ||||||||||||
13,779 | Morgan Stanley and Co., International PLC | Sugar #11 (World Markets) Futures^ | 9/2015 | (187,462,124 | ) | (192,443,026 | ) | (4,980,902 | ) | |||||||||||
72 | Barclays Capital | DAX Index Futures | 9/2015 | (22,138,072 | ) | (22,077,039 | ) | 61,033 | ||||||||||||
76 | J.P. Morgan | E-Mini MSCI EAFE Index Futures | 9/2015 | (6,996,014 | ) | (6,969,200 | ) | 26,814 | ||||||||||||
1,094 | J.P. Morgan | E-Mini MSCI Emerging Markets Futures | 9/2015 | (52,621,858 | ) | (52,479,180 | ) | 142,678 | ||||||||||||
1,143 | Barclays Capital | FTSE 100 Index Futures | 9/2015 | (118,313,789 | ) | (116,628,261 | ) | 1,685,528 | ||||||||||||
1,093 | Barclays Capital | KOSPI Index 200 Futures | 9/2015 | (122,605,137 | ) | (123,586,557 | ) | (981,420 | ) | |||||||||||
189 | Barclays Capital | MSCI Singapore Index Futures | 7/2015 | (10,461,858 | ) | (10,434,748 | ) | 27,110 | ||||||||||||
1,500 | Barclays Capital | SPI 200 Index Futures | 9/2015 | (158,708,667 | ) | (156,152,070 | ) | 2,556,597 | ||||||||||||
1,333 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2015 | (371,344,438 | ) | (371,449,452 | ) | (105,014 | ) | |||||||||||
1,072 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2016 | (298,601,300 | ) | (298,705,130 | ) | (103,830 | ) | |||||||||||
1,321 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2016 | (367,885,945 | ) | (368,050,344 | ) | (164,399 | ) | |||||||||||
2,773 | J.P. Morgan | 3-Month Euro Euribor Futures | 9/2016 | (772,040,655 | ) | (772,444,750 | ) | (404,095 | ) | |||||||||||
3,145 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2016 | (875,183,753 | ) | (875,718,164 | ) | (534,411 | ) | |||||||||||
4,386 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2017 | (1,219,850,495 | ) | (1,220,721,723 | ) | (871,228 | ) | |||||||||||
5,850 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2017 | (1,626,004,111 | ) | (1,627,288,851 | ) | (1,284,740 | ) | |||||||||||
482 | J.P. Morgan | 90-Day Sterling Futures | 9/2016 | (93,511,074 | ) | (93,531,797 | ) | (20,723 | ) | |||||||||||
1,382 | J.P. Morgan | 90-Day Sterling Futures | 12/2016 | (267,616,502 | ) | (267,714,795 | ) | (98,293 | ) | |||||||||||
1,223 | J.P. Morgan | 90-Day Sterling Futures | 3/2017 | (236,379,222 | ) | (236,553,726 | ) | (174,504 | ) | |||||||||||
1,183 | J.P. Morgan | 90-Day Sterling Futures | 6/2017 | (228,323,009 | ) | (228,514,861 | ) | (191,852 | ) | |||||||||||
1,218 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2015 | (117,309,423 | ) | (117,714,171 | ) | (404,748 | ) | |||||||||||
2,500 | J.P. Morgan | Australia 3-Year Bond Futures | 9/2015 | (215,107,985 | ) | (214,767,744 | ) | 340,241 | ||||||||||||
1,340 | Goldman Sachs | Canadian 10-Year Bond Futures | 9/2015 | (148,848,611 | ) | (150,200,160 | ) | (1,351,549 | ) | |||||||||||
189 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 12/2015 | (37,471,632 | ) | (37,525,730 | ) | (54,098 | ) | |||||||||||
343 | Morgan Stanley and Co., International PLC | CME Ultra Long Term U.S. Treasury Bond Futures | 9/2015 | (52,458,984 | ) | (52,843,438 | ) | (384,454 | ) | |||||||||||
5,387 | Goldman Sachs | Euro - Bobl Futures | 9/2015 | (775,597,625 | ) | (778,218,199 | ) | (2,620,574 | ) | |||||||||||
754 | Goldman Sachs | Euro - Bund Futures | 9/2015 | (130,153,683 | ) | (127,770,727 | ) | 2,382,956 | ||||||||||||
8,014 | Goldman Sachs | Euro - SCHATZ Futures | 9/2015 | (993,640,419 | ) | (994,176,224 | ) | (535,805 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
99
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
537 | Goldman Sachs | Euro-BTP Italian Government Bond Futures | 9/2015 | $ (78,966,312 | ) | $ (77,953,399 | ) | $ 1,012,913 | ||||||||||||
457 | Morgan Stanley and Co., International PLC | U.S. Treasury Long Bond Futures | 9/2015 | (68,430,180 | ) | (68,935,594 | ) | (505,414 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(12,996,773,094 | ) | (12,950,691,947 | ) | 46,081,147 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$13,178,925,178 | $13,146,109,810 | $(32,815,368 | ) | |||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | CitiBank | AUD | 723,285,500 | $554,028,848 | $555,701,189 | $1,672,341 | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | 723,285,500 | 554,015,589 | 555,701,189 | 1,685,600 | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | 319,500,000 | 99,519,318 | 99,934,966 | 415,648 | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | 319,500,000 | 99,519,309 | 99,934,966 | 415,657 | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | CitiBank | CAD | 847,475,000 | 680,055,204 | 677,819,517 | (2,235,687 | ) | |||||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | 847,474,999 | 680,052,406 | 677,819,515 | (2,232,891 | ) | |||||||||||||
Swiss Franc, Expiring 09/16/15 | CitiBank | CHF | 50,000 | 53,662 | 53,641 | (21 | ) | |||||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | 72,000 | 77,471 | 77,243 | (228 | ) | |||||||||||||
Colombian Peso, Expiring 09/16/15* | CitiBank | COP | 29,000,000,000 | 11,340,806 | 11,037,632 | (303,174 | ) | |||||||||||||
Colombian Peso, Expiring 09/16/15* | Credit Suisse International | COP | 30,000,000,000 | 11,726,311 | 11,418,240 | (308,071 | ) | |||||||||||||
Czech Republic Koruna, Expiring 09/16/15 | CitiBank | CZK | 6,280,084,000 | 258,706,015 | 257,022,648 | (1,683,367 | ) | |||||||||||||
Czech Republic Koruna, Expiring 09/16/15 | Credit Suisse International | CZK | 6,280,084,000 | 258,706,033 | 257,022,648 | (1,683,385 | ) | |||||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | 2,528,155,500 | 2,829,196,696 | 2,821,590,029 | (7,606,667 | ) | |||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 2,528,155,500 | 2,829,116,018 | 2,821,590,029 | (7,525,989 | ) | |||||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | 681,729,497 | 1,056,614,223 | 1,070,569,576 | 13,955,353 | ||||||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | 681,729,497 | 1,056,610,580 | 1,070,569,575 | 13,958,995 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | CitiBank | HKD | 23,423,500 | 3,020,150 | 3,021,534 | 1,384 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
100
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | 32,486,500 | $ 4,188,621 | $ 4,190,623 | $ 2,002 | ||||||||||||||
Hungarian Forint, Expiring 09/16/15 | CitiBank | HUF | 13,513,000,001 | 48,137,854 | 47,698,754 | (439,100 | ) | |||||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | 13,513,000,001 | 48,138,842 | 47,698,754 | (440,088 | ) | |||||||||||||
Indonesian Rupiah, Expiring 09/16/15* | CitiBank | IDR | 250,000,000,000 | 18,441,205 | 18,435,500 | (5,705 | ) | |||||||||||||
Indonesian Rupiah, Expiring 09/16/15* | Credit Suisse International | IDR | 250,000,000,000 | 18,441,205 | 18,435,500 | (5,705 | ) | |||||||||||||
Israeli Shekel, Expiring 09/16/15 | CitiBank | ILS | 88,000,000 | 22,919,975 | 23,326,047 | 406,072 | ||||||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | 88,000,000 | 22,918,675 | 23,326,047 | 407,372 | ||||||||||||||
Indian Rupee, Expiring 09/16/15* | CitiBank | INR | 6,700,000,000 | 103,292,384 | 103,593,827 | 301,443 | ||||||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | 6,700,000,000 | 103,292,380 | 103,593,827 | 301,447 | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | CitiBank | JPY | 88,081,087,000 | 715,524,449 | 720,438,465 | 4,914,016 | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | 88,081,087,000 | 715,487,550 | 720,438,465 | 4,950,915 | ||||||||||||||
Korean Won, Expiring 09/16/15* | CitiBank | KRW | 336,200,000,000 | 302,604,019 | 300,870,757 | (1,733,262 | ) | |||||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | 336,200,000,000 | 302,604,009 | 300,870,757 | (1,733,252 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | CitiBank | MXN | 795,000,000 | 51,395,430 | 50,301,783 | (1,093,647 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | 795,000,000 | 51,392,526 | 50,301,783 | (1,090,743 | ) | |||||||||||||
Malaysian Ringgit, Expiring 09/17/15* | CitiBank | MYR | 65,345,000 | 17,448,660 | 17,216,032 | (232,628 | ) | |||||||||||||
Malaysian Ringgit, Expiring 09/17/15* | Credit Suisse International | MYR | 65,345,000 | 17,448,703 | 17,216,032 | (232,671 | ) | |||||||||||||
Norwegian Krone, Expiring 09/16/15 | CitiBank | NOK | 1,252,105,998 | 160,059,172 | 159,409,813 | (649,359 | ) | |||||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | 1,252,105,998 | 160,056,529 | 159,409,813 | (646,716 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/16/15 | CitiBank | NZD | 8,376,500 | 5,833,945 | 5,638,956 | (194,989 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | 8,376,500 | 5,832,154 | 5,638,956 | (193,198 | ) | |||||||||||||
Philippine Peso, Expiring 09/16/15* | CitiBank | PHP | 1,740,000,000 | 38,424,273 | 38,427,588 | 3,315 | ||||||||||||||
Philippine Peso, Expiring 09/16/15* | Credit Suisse International | PHP | 1,740,000,000 | 38,424,245 | 38,427,588 | 3,343 | ||||||||||||||
Poland Zloty, Expiring 09/16/15 | CitiBank | PLN | 480,755,000 | 128,868,425 | 127,594,112 | (1,274,313 | ) | |||||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | 480,755,000 | 128,868,683 | 127,594,112 | (1,274,571 | ) | |||||||||||||
Swedish Krona, Expiring 09/16/15 | CitiBank | SEK | 5,494,676,501 | 671,971,337 | 663,896,596 | (8,074,741 | ) | |||||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | 5,494,676,500 | 671,881,951 | 663,896,596 | (7,985,355 | ) | |||||||||||||
Singapore Dollar, Expiring 09/16/15 | CitiBank | SGD | 457,545,000 | 338,922,882 | 339,341,422 | 418,540 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
101
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | 457,545,000 | $ 338,924,084 | $ 339,341,422 | $ 417,338 | ||||||||||||||
Turkish Lira, Expiring 09/16/15 | CitiBank | TRY | 144,500,000 | 52,868,919 | 52,740,943 | (127,976 | ) | |||||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | 144,500,000 | 52,875,594 | 52,740,943 | (134,651 | ) | |||||||||||||
Taiwanese Dollar, Expiring 09/16/15* | CitiBank | TWD | 6,243,150,000 | 202,700,690 | 202,445,089 | (255,601 | ) | |||||||||||||
Taiwanese Dollar, Expiring 09/16/15* | Credit Suisse International | TWD | 6,243,149,999 | 202,700,721 | 202,445,089 | (255,632 | ) | |||||||||||||
South African Rand, Expiring 09/16/15 | CitiBank | ZAR | 862,700,000 | 69,313,450 | 69,955,786 | 642,336 | ||||||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | 862,700,000 | 69,309,542 | 69,955,786 | 646,244 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$16,883,871,722 | $16,877,737,700 | $(6,134,022 | ) | |||||||||||||||||
|
|
|
|
|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | CitiBank | AUD | (565,146,500 | ) | $(432,826,925 | ) | $(434,202,790 | ) | $(1,375,865 | ) | ||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | (565,146,500 | ) | (432,881,435 | ) | (434,202,789 | ) | (1,321,354 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | (272,530,000 | ) | (82,419,281 | ) | (85,243,430 | ) | (2,824,149 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | (272,530,000 | ) | (82,419,281 | ) | (85,243,430 | ) | (2,824,149 | ) | ||||||||||
Canadian Dollar, Expiring 09/16/15 | CitiBank | CAD | (317,617,000 | ) | (254,479,985 | ) | (254,033,454 | ) | 446,531 | |||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | (317,617,000 | ) | (254,495,153 | ) | (254,033,454 | ) | 461,699 | |||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (12,295,000 | ) | (13,353,759 | ) | (13,190,338 | ) | 163,421 | |||||||||||
Chilean Peso, Expiring 09/16/15* | CitiBank | CLP | (15,424,000,000 | ) | (24,213,122 | ) | (23,953,133 | ) | 259,989 | |||||||||||
Chilean Peso, Expiring 09/16/15* | Credit Suisse International | CLP | (15,424,000,000 | ) | (24,213,728 | ) | (23,953,133 | ) | 260,595 | |||||||||||
Colombian Peso, Expiring 09/16/15* | CitiBank | COP | (20,500,000,000 | ) | (7,987,531 | ) | (7,802,464 | ) | 185,067 | |||||||||||
Colombian Peso, Expiring 09/16/15* | Credit Suisse International | COP | (20,500,000,000 | ) | (7,987,521 | ) | (7,802,464 | ) | 185,057 | |||||||||||
Czech Republic Koruna, Expiring 09/16/15 | CitiBank | CZK | (1,490,000,000 | ) | (60,280,016 | ) | (60,980,673 | ) | (700,657 | ) | ||||||||||
Czech Republic Koruna, Expiring 09/16/15 | Credit Suisse International | CZK | (1,490,000,000 | ) | (60,287,213 | ) | (60,980,673 | ) | (693,460 | ) | ||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | (2,343,597,515 | ) | (2,622,038,839 | ) | (2,615,611,016 | ) | 6,427,823 | |||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (2,343,597,513 | ) | (2,622,061,161 | ) | (2,615,611,014 | ) | 6,450,147 | |||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | (203,824,500 | ) | (312,215,252 | ) | (320,080,485 | ) | (7,865,233 | ) | ||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | (203,824,500 | ) | (312,216,780 | ) | (320,080,485 | ) | (7,863,705 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
102
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | (47,546,000 | ) | $ (6,133,166 | ) | $ (6,133,236 | ) | $ (70 | ) | ||||||||||
Hungarian Forint, Expiring 09/16/15 | CitiBank | HUF | (36,450,000,000 | ) | (130,246,361 | ) | (128,662,740 | ) | 1,583,621 | |||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | (36,950,000,000 | ) | (132,061,156 | ) | (130,427,661 | ) | 1,633,495 | |||||||||||
Indonesian Rupiah, Expiring 09/16/15* | CitiBank | IDR | (639,050,000,000 | ) | (47,064,719 | ) | (47,124,825 | ) | (60,106 | ) | ||||||||||
Indonesian Rupiah, Expiring 09/16/15* | Credit Suisse International | IDR | (639,050,000,000 | ) | (47,064,719 | ) | (47,124,825 | ) | (60,106 | ) | ||||||||||
Israeli Shekel, Expiring 09/16/15 | CitiBank | ILS | (52,695,000 | ) | (13,693,257 | ) | (13,967,797 | ) | (274,540 | ) | ||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | (52,694,999 | ) | (13,693,605 | ) | (13,967,797 | ) | (274,192 | ) | ||||||||||
Indian Rupee, Expiring 09/16/15* | CitiBank | INR | (3,178,800,000 | ) | (48,883,625 | ) | (49,149,859 | ) | (266,234 | ) | ||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | (3,178,800,000 | ) | (48,881,985 | ) | (49,149,859 | ) | (267,874 | ) | ||||||||||
Japanese Yen, Expiring 09/16/15 | CitiBank | JPY | (307,750,763,001 | ) | (2,480,109,696 | ) | (2,517,174,735 | ) | (37,065,039 | ) | ||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | (307,750,762,999 | ) | (2,480,128,023 | ) | (2,517,174,735 | ) | (37,046,712 | ) | ||||||||||
Korean Won, Expiring 09/16/15* | CitiBank | KRW | (173,000,000,000 | ) | (154,801,864 | ) | (154,820,468 | ) | (18,604 | ) | ||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | (173,000,000,000 | ) | (154,801,942 | ) | (154,820,468 | ) | (18,526 | ) | ||||||||||
Mexican Peso, Expiring 09/17/15 | CitiBank | MXN | (3,970,500,000 | ) | (254,580,520 | ) | (251,224,188 | ) | 3,356,332 | |||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | (3,970,500,000 | ) | (254,603,633 | ) | (251,224,188 | ) | 3,379,445 | |||||||||||
Malaysian Ringgit, Expiring 09/17/15* | CitiBank | MYR | (256,000,000 | ) | (68,469,050 | ) | (67,446,692 | ) | 1,022,358 | |||||||||||
Malaysian Ringgit, Expiring 09/17/15* | Credit Suisse International | MYR | (256,000,000 | ) | (68,469,095 | ) | (67,446,692 | ) | 1,022,403 | |||||||||||
Norwegian Krone, Expiring 09/16/15 | CitiBank | NOK | (3,840,225,500 | ) | (489,947,243 | ) | (488,911,985 | ) | 1,035,258 | |||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | (3,840,225,500 | ) | (489,971,392 | ) | (488,911,985 | ) | 1,059,407 | |||||||||||
New Zealand Dollar, Expiring 09/16/15 | CitiBank | NZD | (1,184,908,499 | ) | (826,184,042 | ) | (797,665,650 | ) | 28,518,392 | |||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | (1,184,908,499 | ) | (826,369,852 | ) | (797,665,650 | ) | 28,704,202 | |||||||||||
Philippine Peso, Expiring 09/16/15* | CitiBank | PHP | (3,337,750,000 | ) | (73,653,229 | ) | (73,713,610 | ) | (60,381 | ) | ||||||||||
Philippine Peso, Expiring 09/16/15* | Credit Suisse International | PHP | (3,337,750,000 | ) | (73,653,229 | ) | (73,713,610 | ) | (60,381 | ) | ||||||||||
Poland Zloty, Expiring 09/16/15 | CitiBank | PLN | (673,500,000 | ) | (179,219,047 | ) | (178,749,331 | ) | 469,716 | |||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | (673,500,000 | )�� | (179,225,989 | ) | (178,749,330 | ) | 476,659 | |||||||||||
Swedish Krona, Expiring 09/16/15 | CitiBank | SEK | (2,742,934,000 | ) | (325,544,092 | ) | (331,416,152 | ) | (5,872,060 | ) | ||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | (2,742,934,000 | ) | (325,564,980 | ) | (331,416,152 | ) | (5,851,172 | ) | ||||||||||
Singapore Dollar, Expiring 09/16/15 | CitiBank | SGD | (138,000,000 | ) | (102,141,094 | ) | (102,348,657 | ) | (207,563 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
103
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | (148,000,000 | ) | $ (109,536,915 | ) | $ (109,765,226 | ) | $ (228,311 | ) | ||||||||||
Turkish Lira, Expiring 09/16/15 | CitiBank | TRY | (333,545,000 | ) | (119,245,091 | ) | (121,740,332 | ) | (2,495,241 | ) | ||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | (333,545,000 | ) | (119,246,399 | ) | (121,740,332 | ) | (2,493,933 | ) | ||||||||||
Taiwanese Dollar, Expiring 09/16/15* | CitiBank | TWD | (3,025,000,000 | ) | (98,192,366 | ) | (98,090,933 | ) | 101,433 | |||||||||||
Taiwanese Dollar, Expiring 09/16/15* | Credit Suisse International | TWD | (3,025,000,000 | ) | (98,192,376 | ) | (98,090,933 | ) | 101,443 | |||||||||||
South African Rand, Expiring 09/16/15 | CitiBank | ZAR | (990,000,000 | ) | (78,572,200 | ) | (80,278,459 | ) | (1,706,259 | ) | ||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | (1,030,000,000 | ) | (81,816,074 | ) | (83,522,033 | ) | (1,705,959 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(18,606,339,008 | ) | (18,640,536,350 | ) | (34,197,342 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(1,722,467,286 | ) | $(1,762,798,650 | ) | $(40,331,364 | ) | |||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward. (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
104
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Bank of America | ||||||||||||
Money Market Funds | $11,730,732 | $— | $11,730,732 | |||||||||
| ||||||||||||
Barclays Capital | ||||||||||||
Cash | — | 240,313,198 | 240,313,198 | |||||||||
| ||||||||||||
Citibank | ||||||||||||
Cash | 97,610,000 | — | 97,610,000 | |||||||||
| ||||||||||||
Credit Suisse International | ||||||||||||
Money Market Funds | 18,350,030 | — | 18,350,030 | |||||||||
| ||||||||||||
Goldman Sachs | ||||||||||||
Cash | — | (2,952,490 | ) | (2,952,490 | ) | |||||||
U.S. Treasury Bills | — | 17,114,337 | 17,114,337 | |||||||||
| ||||||||||||
J.P. Morgan | ||||||||||||
Cash | — | 14,564,892 | 14,564,892 | |||||||||
U.S. Treasury Bills | — | 68,752,063 | 68,752,063 | |||||||||
| ||||||||||||
Morgan Stanley and Co., International PLC | ||||||||||||
Cash | — | (8,420,282 | ) | (8,420,282 | ) | |||||||
U.S. Treasury Bills | — | 23,093,070 | 23,093,070 | |||||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Citibank | ||||||||||||
Cash | $93,110,000 | $— | $93,110,000 | |||||||||
| ||||||||||||
Deutsche Bank | ||||||||||||
Money Market Funds | 1,100,073 | — | 1,100,073 | |||||||||
| ||||||||||||
Goldman Sachs | ||||||||||||
Cash | — | (6,501,057 | ) | (6,501,057 | ) | |||||||
U.S. Treasury Bills | — | 13,579,411 | 13,579,411 | |||||||||
| ||||||||||||
J.P. Morgan | ||||||||||||
Cash | — | (536 | ) | (536 | ) | |||||||
U.S. Treasury Bills | — | 42,791,825 | 42,791,825 | |||||||||
| ||||||||||||
Merrill Lynch | ||||||||||||
Money Market Funds | 23,721,394 | — | 23,721,394 | |||||||||
| ||||||||||||
Morgan Stanley and Co., International PLC | ||||||||||||
Cash | — | (11,821,030 | ) | (11,821,030 | ) | |||||||
U.S. Treasury Bills | — | 124,287,570 | 124,287,570 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
105
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
MONEY MARKET FUNDS - 50.0% | SHARES | VALUE (Note 5) | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^ | 119,819,282 | $ | 119,819,282 | |||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | 5,940,034 | 5,940,034 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 125,759,316 | |||||||
|
|
SHORT-TERM INVESTMENTS - 44.2% | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | ||||||
U.S. Treasury Bill, 0.072%, 07/30/2015 (c) | $ | 38,554 | $ | 38,553,383 | ||||
U.S. Treasury Bill, 0.063%, 08/06/2015 (c) | 2,838 | 2,838,000 | ||||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (c)(d)^ | 69,531 | 69,523,491 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 110,914,874 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 94.2% | 236,674,190 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.8% (e) | 14,696,925 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $251,371,115 | |||||||
|
|
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | A portion of the security is pledged as collateral to the brokers for futures contracts. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Total return swap contracts outstanding as of June 30, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Bank of America | Bovespa Index August Futures | 8/2015 | BRL | (272,835 | ) | $1,241 | ||||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | 219,358 | 9,470 | |||||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | (192,990 | ) | (3,149 | ) | |||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | (726,994 | ) | 31,884 | ||||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | 681,844 | 13,252 | |||||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | (10,026,989 | ) | (1,746,811 | ) | |||||||
CitiBank | Cotton No. 2 December Futures^ | 11/2015 | USD | (1,148,438 | ) | (39,938 | ) | |||||||
CitiBank | Cotton No. 2 December Futures^ | 11/2015 | USD | 537,060 | 6,212 | |||||||||
CitiBank | Gold 100 OZ August Futures^ | 7/2015 | USD | (9,263,280 | ) | 144,192 | ||||||||
CitiBank | Gold 100 OZ August Futures^ | 7/2015 | USD | 9,290,970 | (172,004 | ) | ||||||||
Bank of America | Hang Seng Index July Futures | 7/2015 | HKD | 40,895,084 | (204,973 | ) | ||||||||
Bank of America | H-SHARES Index July Futures | 7/2015 | HKD | 20,292,877 | (116,782 | ) | ||||||||
Deutsche Bank | Lean Hogs August Futures^ | 8/2015 | USD | (522,341 | ) | 16,591 | ||||||||
Deutsche Bank | Lean Hogs August Futures^ | 8/2015 | USD | 535,724 | (29,974 | ) | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | (605,300 | ) | 26,180 | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | 641,063 | (61,943 | ) | ||||||||
Deutsche Bank | Live Cattle August Futures^ | 8/2015 | USD | 2,953,380 | (51,110 | ) | ||||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | (5,175,344 | ) | (764,503 | ) | |||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | 3,920,282 | 224,215 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
106
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | (17,854,641 | ) | $ (2,524,771 | ) | |||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | 12,652,227 | 934,804 | |||||||||
Bank of America | Swiss Market Index September Futures | 9/2015 | CHF | (351,076 | ) | (603 | ) | |||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | 1,679,773 | 136,689 | |||||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | (3,336,079 | ) | (696,827 | ) | |||||||
|
| |||||||||||||
$(4,868,658 | ) | |||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
171 | Goldman Sachs | Cocoa Futures^ | 9/2015 | $5,766,899 | $5,795,508 | $28,609 | ||||||||||||||
83 | Morgan Stanley and Co., International PLC | Cocoa Futures^ | 9/2015 | 2,570,332 | 2,713,270 | 142,938 | ||||||||||||||
12 | Morgan Stanley and Co., International PLC | Live Cattle Futures^ | 8/2015 | 725,851 | 710,760 | (15,091 | ) | |||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 244,235 | 208,625 | (35,610 | ) | |||||||||||||
18 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 857,739 | 751,275 | (106,464 | ) | |||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 224,140 | 209,438 | (14,702 | ) | |||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 313,139 | 293,191 | (19,948 | ) | |||||||||||||
14 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 622,022 | 586,338 | (35,684 | ) | |||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 259,518 | 251,391 | (8,127 | ) | |||||||||||||
15 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 659,819 | 628,642 | (31,177 | ) | |||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 130,770 | 125,861 | (4,909 | ) | |||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 262,515 | 251,853 | (10,662 | ) | |||||||||||||
16 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 692,993 | 671,784 | (21,209 | ) | |||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 303,992 | 294,215 | (9,777 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 44,152 | 42,041 | (2,111 | ) | |||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 88,355 | 84,106 | (4,249 | ) | |||||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 348,420 | 336,510 | (11,910 | ) | |||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 128,407 | 126,323 | (2,084 | ) | |||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 300,317 | 294,875 | (5,442 | ) | |||||||||||||
10 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 426,842 | 421,365 | (5,477 | ) | |||||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 339,124 | 337,462 | (1,662 | ) | |||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 215,359 | 210,972 | (4,387 | ) | |||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 755,215 | 719,514 | (35,701 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 301,559 | 287,817 | (13,742 | ) | |||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 453,551 | 431,743 | (21,808 | ) | |||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 455,034 | 431,794 | (23,240 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 151,688 | 143,909 | (7,779 | ) | |||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 608,383 | 575,663 | (32,720 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 298,965 | 287,837 | (11,128 | ) | |||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 607,920 | 575,750 | (32,170 | ) | |||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 474,073 | 431,838 | (42,235 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 160,717 | 143,971 | (16,746 | ) | |||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 480,097 | 431,928 | (48,169 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 160,578 | 144,022 | (16,556 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
107
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | $ 158,190 | $ 144,025 | $ (14,165 | ) | |||||||||||||
11 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 1,656,077 | 1,584,897 | (71,180 | ) | |||||||||||||
11 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 1,634,902 | 1,584,957 | (49,945 | ) | |||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 593,410 | 576,433 | (16,977 | ) | |||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 449,632 | 432,340 | (17,292 | ) | |||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 604,410 | 576,475 | (27,935 | ) | |||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 589,510 | 576,438 | (13,072 | ) | |||||||||||||
21 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 3,060,427 | 3,025,706 | (34,721 | ) | |||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 582,510 | 576,363 | (6,147 | ) | |||||||||||||
10 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 1,441,900 | 1,440,688 | (1,212 | ) | |||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 1,151,920 | 1,152,450 | 530 | ||||||||||||||
11 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 1,559,420 | 1,584,872 | 25,452 | ||||||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 860,996 | 864,510 | 3,514 | ||||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 434,015 | 432,273 | (1,742 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 288,033 | 288,193 | 160 | ||||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 289,281 | 288,239 | (1,042 | ) | |||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 153,005 | 143,222 | (9,783 | ) | |||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 153,366 | 143,229 | (10,137 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 76,202 | 71,617 | (4,585 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 75,827 | 71,630 | (4,197 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 74,273 | 71,633 | (2,640 | ) | |||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 259,228 | 215,103 | (44,125 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 84,571 | 71,718 | (12,853 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 85,637 | 71,721 | (13,916 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 77,702 | 71,787 | (5,915 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 77,822 | 71,790 | (6,032 | ) | |||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 154,085 | 143,666 | (10,419 | ) | |||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 153,138 | 143,674 | (9,464 | ) | |||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 105,055 | 99,788 | (5,267 | ) | |||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 320,505 | 299,363 | (21,142 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 161,516 | 149,681 | (11,835 | ) | |||||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 377,951 | 349,256 | (28,695 | ) | |||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 441,426 | 399,001 | (42,425 | ) | |||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 277,644 | 249,281 | (28,363 | ) | |||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 218,547 | 199,300 | (19,247 | ) | |||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 110,066 | 99,588 | (10,478 | ) | |||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 277,547 | 248,958 | (28,589 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 55,810 | 49,790 | (6,020 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 166,558 | 149,361 | (17,197 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 54,586 | 49,784 | (4,802 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 170,595 | 149,328 | (21,267 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 57,503 | 49,774 | (7,729 | ) | |||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 114,112 | 99,543 | (14,569 | ) | |||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 234,054 | 199,068 | (34,986 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 59,417 | 49,776 | (9,641 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 58,751 | 49,784 | (8,967 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 172,084 | 149,466 | (22,618 | ) | |||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 115,637 | 99,674 | (15,963 | ) | |||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 113,177 | 99,750 | (13,427 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 163,732 | 149,658 | (14,074 | ) | |||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 271,137 | 249,602 | (21,535 | ) | |||||||||||||
14 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 776,557 | 698,968 | (77,589 | ) | |||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 268,112 | 249,830 | (18,282 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 54,396 | 49,994 | (4,402 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 53,703 | 50,000 | (3,703 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 53,052 | 49,990 | (3,062 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
108
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
26 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | $ 1,382,837 | $ 1,299,025 | $ (83,812 | ) | |||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 106,005 | 99,944 | (6,061 | ) | |||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 208,512 | 199,856 | (8,656 | ) | |||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 260,262 | 249,826 | (10,436 | ) | |||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 305,190 | 299,825 | (5,365 | ) | |||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 406,820 | 399,778 | (7,042 | ) | |||||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 359,908 | 349,814 | (10,094 | ) | |||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 405,745 | 399,800 | (5,945 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 150,871 | 149,985 | (886 | ) | |||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 298,065 | 300,000 | 1,935 | ||||||||||||||
14 | Morgan Stanley and Co., International PLC | Soybean Oil Futures^ | 12/2015 | 278,839 | 286,188 | 7,349 | ||||||||||||||
18 | Morgan Stanley and Co., International PLC | WTI Crude Futures^ | 7/2015 | 1,084,741 | 1,070,460 | (14,281 | ) | |||||||||||||
25 | Barclays Capital | Amsterdam Index Futures | 7/2015 | 2,735,981 | 2,631,325 | (104,656 | ) | |||||||||||||
122 | Barclays Capital | CAC40 Index Futures | 7/2015 | 6,829,946 | 6,510,200 | (319,746 | ) | |||||||||||||
114 | Barclays Capital | E-Mini DJIA CBOT Futures | 9/2015 | 10,202,238 | 9,988,110 | (214,128 | ) | |||||||||||||
129 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2015 | 16,335,915 | 16,130,160 | (205,755 | ) | |||||||||||||
73 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | 2,905,731 | 2,796,356 | (109,375 | ) | |||||||||||||
6 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2015 | 229,425 | 228,045 | (1,380 | ) | |||||||||||||
26 | Barclays Capital | FTSE/MIB Index Futures | 9/2015 | 3,394,716 | 3,271,516 | (123,200 | ) | |||||||||||||
50 | Barclays Capital | Hang Seng Index Futures | 7/2015 | 8,751,558 | 8,451,213 | (300,345 | ) | |||||||||||||
42 | Barclays Capital | H-SHARES Index Futures | 7/2015 | 3,644,578 | 3,501,558 | (143,020 | ) | |||||||||||||
7 | Barclays Capital | IBEX 35 Index Futures | 7/2015 | 867,144 | 840,867 | (26,277 | ) | |||||||||||||
175 | Barclays Capital | NASDAQ 100 E-Mini Futures | 9/2015 | 15,655,728 | 15,365,875 | (289,853 | ) | |||||||||||||
97 | J.P. Morgan | Nikkei 225 Futures | 9/2015 | 16,190,274 | 16,033,909 | (156,365 | ) | |||||||||||||
3 | J.P. Morgan | OMXS30 Index Futures | 7/2015 | 57,997 | 55,794 | (2,203 | ) | |||||||||||||
110 | Barclays Capital | S&P 500 E-Mini Futures | 9/2015 | 11,521,304 | 11,299,200 | (222,104 | ) | |||||||||||||
80 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2015 | 12,218,233 | 11,984,800 | (233,433 | ) | |||||||||||||
3 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2015 | 413,454 | 405,396 | (8,058 | ) | |||||||||||||
74 | J.P. Morgan | SGX FTSE China A50 Index Futures | 7/2015 | 967,539 | 918,340 | (49,199 | ) | |||||||||||||
119 | Barclays Capital | TOPIX Index Futures | 9/2015 | 16,056,372 | 15,854,026 | (202,346 | ) | |||||||||||||
11 | Goldman Sachs | 10-Year Japanese Government Bond Futures | 9/2015 | 13,208,666 | 13,209,708 | 1,042 | ||||||||||||||
398 | J.P. Morgan | 90-Day EURODollar Futures | 12/2015 | 98,907,870 | 98,967,675 | 59,805 | ||||||||||||||
374 | J.P. Morgan | 90-Day EURODollar Futures | 3/2016 | 92,776,721 | 92,826,800 | 50,079 | ||||||||||||||
364 | J.P. Morgan | 90-Day EURODollar Futures | 6/2016 | 90,122,644 | 90,158,250 | 35,606 | ||||||||||||||
362 | J.P. Morgan | 90-Day EURODollar Futures | 9/2016 | 89,433,894 | 89,459,250 | 25,356 | ||||||||||||||
281 | J.P. Morgan | 90-Day EURODollar Futures | 12/2016 | 69,272,296 | 69,287,575 | 15,279 | ||||||||||||||
211 | J.P. Morgan | 90-Day EURODollar Futures | 3/2017 | 51,925,481 | 51,929,738 | 4,257 | ||||||||||||||
142 | J.P. Morgan | 90-Day EURODollar Futures | 6/2017 | 34,872,838 | 34,884,075 | 11,237 | ||||||||||||||
222 | J.P. Morgan | 90-Day Sterling Futures | 12/2015 | 43,289,404 | 43,283,891 | (5,513 | ) | |||||||||||||
154 | J.P. Morgan | 90-Day Sterling Futures | 3/2016 | 29,996,749 | 29,986,444 | (10,305 | ) | |||||||||||||
61 | J.P. Morgan | 90-Day Sterling Futures | 6/2016 | 11,866,762 | 11,858,577 | (8,185 | ) | |||||||||||||
27 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 3/2016 | 5,353,911 | 5,360,819 | 6,908 | ||||||||||||||
36 | Goldman Sachs | Euro - OAT Futures | 9/2015 | 5,857,935 | 5,878,515 | 20,580 | ||||||||||||||
52 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 12/2015 | 14,030,688 | 14,042,142 | 11,454 | ||||||||||||||
65 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 3/2016 | 17,534,259 | 17,552,676 | 18,417 | ||||||||||||||
63 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 6/2016 | 16,987,759 | 17,007,541 | 19,782 | ||||||||||||||
40 | Goldman Sachs | Euro-Buxl 30-Year Bond Futures | 9/2015 | 6,551,308 | 6,628,452 | 77,144 | ||||||||||||||
26 | Goldman Sachs | Long Gilt Futures | 9/2015 | 4,760,897 | 4,727,860 | (33,037 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
109
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
25 | Morgan Stanley and Co., International PLC | U.S. Treasury 10-Year Note Futures | 9/2015 | $ 3,150,886 | $ 3,154,297 | $ 3,411 | ||||||||||||||
1,284 | Morgan Stanley and Co., International PLC | U.S. Treasury 2-Year Note Futures | 9/2015 | 280,762,681 | 281,115,750 | 353,069 | ||||||||||||||
269 | Morgan Stanley and Co., International PLC | U.S. Treasury 5-Year Note Futures | 9/2015 | 32,079,303 | 32,080,351 | 1,048 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
1,189,484,319 | 1,185,930,173 | (3,554,146 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
11 | Goldman Sachs | Brent Crude Futures^ | 7/2015 | $(689,167 | ) | $(699,490 | ) | $(10,323 | ) | |||||||||||
2 | Goldman Sachs | Brent Crude Futures^ | 8/2015 | (127,474 | ) | (128,280 | ) | (806 | ) | |||||||||||
123 | Morgan Stanley and Co., International PLC | Coffee ‘C’ Futures^ | 9/2015 | (6,133,774 | ) | (6,106,950 | ) | 26,824 | ||||||||||||
89 | Morgan Stanley and Co., International PLC | Corn Futures^ | 9/2015 | (1,607,312 | ) | (1,877,900 | ) | (270,588 | ) | |||||||||||
75 | Goldman Sachs | Gas Oil Futures^ | 8/2015 | (4,403,134 | ) | (4,320,000 | ) | 83,134 | ||||||||||||
8 | Morgan Stanley and Co., International PLC | Gasoline RBOB Futures^ | 7/2015 | (694,044 | ) | (688,599 | ) | 5,445 | ||||||||||||
326 | Morgan Stanley and Co., International PLC | Gold 100 OZ Futures^ | 8/2015 | (38,412,324 | ) | (38,200,680 | ) | 211,644 | ||||||||||||
78 | Morgan Stanley and Co., International PLC | Hard Red Winter Wheat Futures^ | 9/2015 | (2,061,706 | ) | (2,379,975 | ) | (318,269 | ) | |||||||||||
28 | Morgan Stanley and Co., International PLC | Heating Oil ULSD Futures^ | 7/2015 | (2,252,277 | ) | (2,222,522 | ) | 29,755 | ||||||||||||
31 | Morgan Stanley and Co., International PLC | Lean Hogs Futures^ | 8/2015 | (926,562 | ) | (922,250 | ) | 4,312 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (242,956 | ) | (208,624 | ) | 34,332 | ||||||||||||
18 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (855,201 | ) | (751,275 | ) | 103,926 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (225,717 | ) | (209,437 | ) | 16,280 | ||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (313,452 | ) | (293,192 | ) | 20,260 | ||||||||||||
14 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (620,919 | ) | (586,338 | ) | 34,581 | ||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (261,162 | ) | (251,390 | ) | 9,772 | ||||||||||||
15 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (659,835 | ) | (628,643 | ) | 31,192 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (130,708 | ) | (125,861 | ) | 4,847 | ||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (262,382 | ) | (251,853 | ) | 10,529 | ||||||||||||
16 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (694,995 | ) | (671,784 | ) | 23,211 | ||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (304,704 | ) | (294,215 | ) | 10,489 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (43,840 | ) | (42,041 | ) | 1,799 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (88,299 | ) | (84,106 | ) | 4,193 | ||||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (348,232 | ) | (336,510 | ) | 11,722 | ||||||||||||
102 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (4,430,168 | ) | (4,296,113 | ) | 134,055 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (128,647 | ) | (126,323 | ) | 2,324 | ||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (299,599 | ) | (294,875 | ) | 4,724 | ||||||||||||
10 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (429,542 | ) | (421,365 | ) | 8,177 | ||||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (339,612 | ) | (337,462 | ) | 2,150 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (214,781 | ) | (210,971 | ) | 3,810 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
110
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2015 | $ (757,550 | ) | $ (719,513 | ) | $ 38,037 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (300,745 | ) | (287,817 | ) | 12,928 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (453,743 | ) | (431,743 | ) | 22,000 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (451,118 | ) | (431,794 | ) | 19,324 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (152,373 | ) | (143,909 | ) | 8,464 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (608,490 | ) | (575,663 | ) | 32,827 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (299,995 | ) | (287,836 | ) | 12,159 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (609,190 | ) | (575,750 | ) | 33,440 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (475,193 | ) | (431,838 | ) | 43,355 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (159,998 | ) | (143,972 | ) | 16,026 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (480,418 | ) | (431,928 | ) | 48,490 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (159,879 | ) | (144,022 | ) | 15,857 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (157,041 | ) | (144,025 | ) | 13,016 | ||||||||||||
11 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (1,654,124 | ) | (1,584,896 | ) | 69,228 | ||||||||||||
11 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (1,632,419 | ) | (1,584,957 | ) | 47,462 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (593,391 | ) | (576,433 | ) | 16,958 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (446,615 | ) | (432,341 | ) | 14,274 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (598,550 | ) | (576,475 | ) | 22,075 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (587,299 | ) | (576,438 | ) | 10,861 | ||||||||||||
75 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (10,986,526 | ) | (10,806,094 | ) | 180,432 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (581,825 | ) | (576,363 | ) | 5,462 | ||||||||||||
10 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (1,441,449 | ) | (1,440,688 | ) | 761 | ||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (1,156,279 | ) | (1,152,450 | ) | 3,829 | ||||||||||||
11 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (1,560,281 | ) | (1,584,872 | ) | (24,591 | ) | |||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (863,685 | ) | (864,510 | ) | (825 | ) | |||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (435,686 | ) | (432,272 | ) | 3,414 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (286,995 | ) | (288,192 | ) | (1,197 | ) | |||||||||||
182 | Morgan Stanley and Co., International PLC | LME Copper Futures^ | 9/2015 | (11,839,988 | ) | (11,898,250 | ) | (58,262 | ) | |||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (289,083 | ) | (288,239 | ) | 844 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (155,298 | ) | (143,222 | ) | 12,076 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (152,031 | ) | (143,229 | ) | 8,802 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (75,399 | ) | (71,618 | ) | 3,781 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (76,567 | ) | (71,631 | ) | 4,936 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (74,650 | ) | (71,633 | ) | 3,017 | ||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (259,373 | ) | (215,104 | ) | 44,269 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (84,157 | ) | (71,719 | ) | 12,438 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (84,538 | ) | (71,722 | ) | 12,816 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (77,742 | ) | (71,787 | ) | 5,955 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (76,880 | ) | (71,790 | ) | 5,090 | ||||||||||||
26 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (2,074,031 | ) | (1,867,554 | ) | 206,477 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (152,871 | ) | (143,666 | ) | 9,205 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (154,009 | ) | (143,674 | ) | 10,335 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (105,745 | ) | (99,787 | ) | 5,958 | ||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (320,685 | ) | (299,362 | ) | 21,323 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (161,468 | ) | (149,682 | ) | 11,786 | ||||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (380,083 | ) | (349,256 | ) | 30,827 | ||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (441,780 | ) | (399,000 | ) | 42,780 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (276,863 | ) | (249,281 | ) | 27,582 | ||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (218,090 | ) | (199,300 | ) | 18,790 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (109,345 | ) | (99,587 | ) | 9,758 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (278,110 | ) | (248,957 | ) | 29,153 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (55,923 | ) | (49,790 | ) | 6,133 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (167,318 | ) | (149,361 | ) | 17,957 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (54,548 | ) | (49,785 | ) | 4,763 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
111
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | $ (170,918 | ) | $ (149,328 | ) | $ 21,590 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (57,498 | ) | (49,774 | ) | 7,724 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (113,820 | ) | (99,543 | ) | 14,277 | ||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (232,490 | ) | (199,068 | ) | 33,422 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (59,498 | ) | (49,777 | ) | 9,721 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (59,348 | ) | (49,784 | ) | 9,564 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (171,593 | ) | (149,466 | ) | 22,127 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (114,320 | ) | (99,674 | ) | 14,646 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (112,495 | ) | (99,750 | ) | 12,745 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (164,594 | ) | (149,659 | ) | 14,935 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (271,674 | ) | (249,603 | ) | 22,071 | ||||||||||||
14 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (775,667 | ) | (698,967 | ) | 76,700 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (267,482 | ) | (249,830 | ) | 17,652 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (53,779 | ) | (49,994 | ) | 3,785 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (54,321 | ) | (50,000 | ) | 4,321 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (52,835 | ) | (49,991 | ) | 2,844 | ||||||||||||
63 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (3,243,141 | ) | (3,147,638 | ) | 95,503 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (104,996 | ) | (99,944 | ) | 5,052 | ||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (208,706 | ) | (199,856 | ) | 8,850 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (261,457 | ) | (249,826 | ) | 11,631 | ||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (305,717 | ) | (299,825 | ) | 5,892 | ||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (406,418 | ) | (399,778 | ) | 6,640 | ||||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (360,214 | ) | (349,814 | ) | 10,400 | ||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (406,038 | ) | (399,800 | ) | 6,238 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (150,774 | ) | (149,985 | ) | 789 | ||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (296,094 | ) | (300,000 | ) | (3,906 | ) | |||||||||||
251 | Morgan Stanley and Co., International PLC | Natural Gas Futures^ | 7/2015 | (7,212,046 | ) | (7,108,320 | ) | 103,726 | ||||||||||||
60 | Morgan Stanley and Co., International PLC | Nymex Palladium Futures^ | 9/2015 | (4,448,008 | ) | (4,035,900 | ) | 412,108 | ||||||||||||
95 | Morgan Stanley and Co., International PLC | Platinum Futures^ | 10/2015 | (5,084,008 | ) | (5,127,625 | ) | (43,617 | ) | |||||||||||
127 | Morgan Stanley and Co., International PLC | Silver Futures^ | 9/2015 | (10,117,284 | ) | (9,893,935 | ) | 223,349 | ||||||||||||
633 | Morgan Stanley and Co., International PLC | Sugar #11 (World Markets) Futures^ | 9/2015 | (8,611,646 | ) | (8,840,731 | ) | (229,085 | ) | |||||||||||
3 | Barclays Capital | DAX Index Futures | 9/2015 | (922,420 | ) | (919,877 | ) | 2,543 | ||||||||||||
3 | J.P. Morgan | E-Mini MSCI EAFE Index Futures | 9/2015 | (276,158 | ) | (275,100 | ) | 1,058 | ||||||||||||
49 | J.P. Morgan | E-Mini MSCI Emerging Markets Futures | 9/2015 | (2,357,720 | ) | (2,350,530 | ) | 7,190 | ||||||||||||
52 | Barclays Capital | FTSE 100 Index Futures | 9/2015 | (5,382,523 | ) | (5,305,922 | ) | 76,601 | ||||||||||||
50 | Barclays Capital | KOSPI Index 200 Futures | 9/2015 | (5,609,801 | ) | (5,653,547 | ) | (43,746 | ) | |||||||||||
9 | Barclays Capital | MSCI Singapore Index Futures | 7/2015 | (498,190 | ) | (496,893 | ) | 1,297 | ||||||||||||
68 | Barclays Capital | SPI 200 Index Futures | 9/2015 | (7,196,874 | ) | (7,078,894 | ) | 117,980 | ||||||||||||
61 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2015 | (16,993,173 | ) | (16,998,062 | ) | (4,889 | ) | |||||||||||
49 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2016 | (13,648,713 | ) | (13,653,500 | ) | (4,787 | ) | |||||||||||
61 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2016 | (16,987,872 | ) | (16,995,512 | ) | (7,640 | ) | |||||||||||
128 | J.P. Morgan | 3-Month Euro Euribor Futures | 9/2016 | (35,636,819 | ) | (35,655,581 | ) | (18,762 | ) | |||||||||||
144 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2016 | (40,071,641 | ) | (40,096,475 | ) | (24,834 | ) | |||||||||||
201 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2017 | (55,903,025 | ) | (55,942,788 | ) | (39,763 | ) | |||||||||||
267 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2017 | (74,212,468 | ) | (74,271,132 | ) | (58,664 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
112
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
22 | J.P. Morgan | 90-Day Sterling Futures | 9/2016 | $ (4,268,153 | ) | $ (4,269,086 | ) | $ (933 | ) | |||||||||||
64 | J.P. Morgan | 90-Day Sterling Futures | 12/2016 | (12,393,295 | ) | (12,397,791 | ) | (4,496 | ) | |||||||||||
56 | J.P. Morgan | 90-Day Sterling Futures | 3/2017 | (10,823,736 | ) | (10,831,569 | ) | (7,833 | ) | |||||||||||
54 | J.P. Morgan | 90-Day Sterling Futures | 6/2017 | (10,422,209 | ) | (10,430,940 | ) | (8,731 | ) | |||||||||||
55 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2015 | (5,296,528 | ) | (5,315,501 | ) | (18,973 | ) | |||||||||||
114 | J.P. Morgan | Australia 3-Year Bond Futures | 9/2015 | (9,809,087 | ) | (9,793,409 | ) | 15,678 | ||||||||||||
61 | Goldman Sachs | Canadian 10-Year Bond Futures | 9/2015 | (6,775,932 | ) | (6,837,470 | ) | (61,538 | ) | |||||||||||
7 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 12/2015 | (1,387,833 | ) | (1,389,841 | ) | (2,008 | ) | |||||||||||
16 | Morgan Stanley and Co., International PLC | CME Ultra Long Term U.S. Treasury Bond Futures | 9/2015 | (2,448,087 | ) | (2,465,000 | ) | (16,913 | ) | |||||||||||
245 | Goldman Sachs | Euro - Bobl Futures | 9/2015 | (35,273,448 | ) | (35,393,254 | ) | (119,806 | ) | |||||||||||
34 | Goldman Sachs | Euro - Bund Futures | 9/2015 | (5,735,156 | ) | (5,761,545 | ) | (26,389 | ) | |||||||||||
364 | Goldman Sachs | Euro - SCHATZ Futures | 9/2015 | (45,131,665 | ) | (45,155,995 | ) | (24,330 | ) | |||||||||||
24 | Goldman Sachs | Euro-BTP Italian Government Bond Futures | 9/2015 | (3,529,018 | ) | (3,483,950 | ) | 45,068 | ||||||||||||
21 | Morgan Stanley and Co., International PLC | U.S. Treasury Long Bond Futures | 9/2015 | (3,143,500 | ) | (3,167,719 | ) | (24,219 | ) | |||||||||||
|
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|
|
|
| |||||||||||||||
(590,373,880 | ) | (588,317,869 | ) | 2,056,011 | ||||||||||||||||
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|
|
|
|
| |||||||||||||||
$599,110,439 | $597,612,304 | $(1,498,135 | ) | |||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | CitiBank | AUD | 33,392,500 | $25,578,562 | $25,655,501 | $76,939 | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | 33,392,500 | 25,577,966 | 25,655,501 | 77,535 | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | 14,800,000 | 4,609,018 | 4,629,221 | 20,203 | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | 14,800,000 | 4,609,017 | 4,629,221 | 20,204 | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | CitiBank | CAD | 38,939,000 | 31,245,023 | 31,143,827 | (101,196 | ) | |||||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | 38,939,000 | 31,244,906 | 31,143,827 | (101,079 | ) | |||||||||||||
Swiss Franc, Expiring 09/16/15 | CitiBank | CHF | 5,500 | 5,904 | 5,901 | (3 | ) | |||||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | 5,500 | 5,904 | 5,901 | (3 | ) | |||||||||||||
Colombian Peso, Expiring 09/16/15* | CitiBank | COP | 1,400,000,000 | 547,505 | 532,851 | (14,654 | ) | |||||||||||||
Colombian Peso, Expiring 09/16/15* | Credit Suisse International | COP | 1,500,000,000 | 586,056 | 570,912 | (15,144 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
113
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Czech Republic Koruna, Expiring 09/16/15 | CitiBank | CZK | 286,350,000 | $ 11,796,603 | $ 11,719,338 | $ (77,265 | ) | |||||||||||||
Czech Republic Koruna, Expiring 09/16/15 | Credit Suisse International | CZK | 286,350,000 | 11,796,595 | 11,719,338 | (77,257 | ) | |||||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | 116,552,500 | 130,425,205 | 130,080,360 | (344,845 | ) | |||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 116,552,500 | 130,421,486 | 130,080,360 | (341,126 | ) | |||||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | 31,266,499 | 48,457,295 | 49,100,067 | 642,772 | ||||||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | 31,266,499 | 48,457,149 | 49,100,068 | 642,919 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | CitiBank | HKD | 1,069,500 | 137,898 | 137,961 | 63 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | 1,479,500 | 190,758 | 190,849 | 91 | ||||||||||||||
Hungarian Forint, Expiring 09/16/15 | CitiBank | HUF | 622,000,000 | 2,215,671 | 2,195,562 | (20,109 | ) | |||||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | 622,000,000 | 2,215,711 | 2,195,562 | (20,149 | ) | |||||||||||||
Indonesian Rupiah, Expiring 09/16/15* | CitiBank | IDR | 11,450,000,000 | 844,601 | 844,346 | (255 | ) | |||||||||||||
Indonesian Rupiah, Expiring 09/16/15* | Credit Suisse International | IDR | 11,450,000,000 | 844,601 | 844,346 | (255 | ) | |||||||||||||
Israeli Shekel, Expiring 09/16/15 | CitiBank | ILS | 4,050,000 | 1,054,893 | 1,073,529 | 18,636 | ||||||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | 4,150,000 | 1,081,488 | 1,100,036 | 18,548 | ||||||||||||||
Indian Rupee, Expiring 09/16/15* | CitiBank | INR | 308,000,000 | 4,748,244 | 4,762,223 | 13,979 | ||||||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | 308,000,000 | 4,748,244 | 4,762,223 | 13,979 | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | CitiBank | JPY | 4,222,092,500 | 34,305,893 | 34,533,607 | 227,714 | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | 4,222,092,500 | 34,304,096 | 34,533,607 | 229,511 | ||||||||||||||
Korean Won, Expiring 09/16/15* | CitiBank | KRW | 15,547,000,001 | 13,993,987 | 13,913,259 | (80,728 | ) | |||||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | 15,547,000,000 | 13,993,986 | 13,913,259 | (80,727 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | CitiBank | MXN | 36,300,000 | 2,346,518 | 2,296,798 | (49,720 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | 36,300,000 | 2,346,387 | 2,296,798 | (49,589 | ) | |||||||||||||
Malaysian Ringgit, Expiring 09/17/15* | CitiBank | MYR | 2,940,000 | 785,071 | 774,583 | (10,488 | ) | |||||||||||||
Malaysian Ringgit, Expiring 09/17/15* | Credit Suisse International | MYR | 2,940,000 | 785,073 | 774,583 | (10,490 | ) | |||||||||||||
Norwegian Krone, Expiring 09/16/15 | CitiBank | NOK | 57,649,500 | 7,369,923 | 7,339,552 | (30,371 | ) | |||||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | 57,649,500 | 7,369,800 | 7,339,552 | (30,248 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/16/15 | CitiBank | NZD | 683,000 | 475,686 | 459,787 | (15,899 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
114
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | 683,000 | $ 475,540 | $ 459,787 | $ (15,753 | ) | |||||||||||||
Philippine Peso, Expiring 09/16/15* | CitiBank | PHP | 79,000,000 | 1,744,677 | 1,744,700 | 23 | ||||||||||||||
Philippine Peso, Expiring 09/16/15* | Credit Suisse International | PHP | 79,000,000 | 1,744,676 | 1,744,700 | 24 | ||||||||||||||
Poland Zloty, Expiring 09/16/15 | CitiBank | PLN | 22,235,001 | 5,960,185 | 5,901,248 | (58,937 | ) | |||||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | 22,235,000 | 5,960,198 | 5,901,249 | (58,949 | ) | |||||||||||||
Swedish Krona, Expiring 09/16/15 | CitiBank | SEK | 250,189,500 | 30,598,375 | 30,229,253 | (369,122 | ) | |||||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | 250,189,500 | 30,594,303 | 30,229,253 | (365,050 | ) | |||||||||||||
Singapore Dollar, Expiring 09/16/15 | CitiBank | SGD | 21,119,500 | 15,645,011 | 15,663,422 | 18,411 | ||||||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | 21,119,500 | 15,645,057 | 15,663,423 | 18,366 | ||||||||||||||
Turkish Lira, Expiring 09/16/15 | CitiBank | TRY | 6,750,000 | 2,469,525 | 2,463,678 | (5,847 | ) | |||||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | 6,750,000 | 2,469,836 | 2,463,678 | (6,158 | ) | |||||||||||||
Taiwanese Dollar, Expiring 09/16/15* | CitiBank | TWD | 290,050,000 | 9,417,327 | 9,405,379 | (11,948 | ) | |||||||||||||
Taiwanese Dollar, Expiring 09/16/15* | Credit Suisse International | TWD | 290,050,000 | 9,417,329 | 9,405,379 | (11,950 | ) | |||||||||||||
South African Rand, Expiring 09/16/15 | CitiBank | ZAR | 40,015,000 | 3,214,744 | 3,244,791 | 30,047 | ||||||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | 40,015,000 | 3,214,570 | 3,244,791 | 30,221 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$780,094,076 | $779,818,947 | $(275,129 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | CitiBank | AUD | (26,217,500 | ) | $(20,078,924 | ) | $(20,142,939 | ) | $(64,015 | ) | ||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | (26,217,500 | ) | (20,081,463 | ) | (20,142,939 | ) | (61,476 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | (12,680,000 | ) | (3,834,569 | ) | (3,966,120 | ) | (131,551 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | (12,680,000 | ) | (3,834,569 | ) | (3,966,120 | ) | (131,551 | ) | ||||||||||
Canadian Dollar, Expiring 09/16/15 | CitiBank | CAD | (14,859,500 | ) | (11,906,085 | ) | (11,884,787 | ) | 21,298 | |||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | (14,859,500 | ) | (11,906,785 | ) | (11,884,787 | ) | 21,998 | |||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (560,000 | ) | (608,250 | ) | (600,780 | ) | 7,470 | |||||||||||
Chilean Peso, Expiring 09/16/15* | CitiBank | CLP | (704,500,000 | ) | (1,105,968 | ) | (1,094,073 | ) | 11,895 | |||||||||||
Chilean Peso, Expiring 09/16/15* | Credit Suisse International | CLP | (704,500,000 | ) | (1,105,992 | ) | (1,094,073 | ) | 11,919 | |||||||||||
Colombian Peso, Expiring 09/16/15* | CitiBank | COP | (986,500,000 | ) | (384,376 | ) | (375,470 | ) | 8,906 | |||||||||||
Colombian Peso, Expiring 09/16/15* | Credit Suisse International | COP | (986,500,000 | ) | (384,375 | ) | (375,470 | ) | 8,905 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
115
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Czech Republic Koruna, Expiring 09/16/15 | CitiBank | CZK | (69,000,000 | ) | $ (2,792,089 | ) | $ (2,823,938 | ) | $ (31,849 | ) | ||||||||||
Czech Republic Koruna, Expiring 09/16/15 | Credit Suisse International | CZK | (69,000,000 | ) | (2,792,433 | ) | (2,823,938 | ) | (31,505 | ) | ||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | (108,155,502 | ) | (120,995,363 | ) | (120,708,747 | ) | 286,616 | |||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (108,155,501 | ) | (120,996,375 | ) | (120,708,746 | ) | 287,629 | |||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | (9,554,500 | ) | (14,637,405 | ) | (15,004,129 | ) | (366,724 | ) | ||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | (9,554,500 | ) | (14,637,477 | ) | (15,004,129 | ) | (366,652 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | (2,176,000 | ) | (280,692 | ) | (280,695 | ) | (3 | ) | ||||||||||
Hungarian Forint, Expiring 09/16/15 | CitiBank | HUF | (1,675,000,000 | ) | (5,984,319 | ) | (5,912,486 | ) | 71,833 | |||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | (1,705,000,000 | ) | (6,092,860 | ) | (6,018,381 | ) | 74,479 | |||||||||||
Indonesian Rupiah, Expiring 09/16/15* | CitiBank | IDR | (29,105,000,000 | ) | (2,143,715 | ) | (2,146,263 | ) | (2,548 | ) | ||||||||||
Indonesian Rupiah, Expiring 09/16/15* | Credit Suisse International | IDR | (29,205,000,000 | ) | (2,151,054 | ) | (2,153,637 | ) | (2,583 | ) | ||||||||||
Israeli Shekel, Expiring 09/16/15 | CitiBank | ILS | (2,425,000 | ) | (630,178 | ) | (642,793 | ) | (12,615 | ) | ||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | (2,425,000 | ) | (630,194 | ) | (642,793 | ) | (12,599 | ) | ||||||||||
Indian Rupee, Expiring 09/16/15* | CitiBank | INR | (146,500,000 | ) | (2,252,929 | ) | (2,265,148 | ) | (12,219 | ) | ||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | (146,500,000 | ) | (2,252,851 | ) | (2,265,148 | ) | (12,297 | ) | ||||||||||
Japanese Yen, Expiring 09/16/15 | CitiBank | JPY | (14,205,436,498 | ) | (114,488,031 | ) | (116,190,015 | ) | (1,701,984 | ) | ||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | (14,205,436,498 | ) | (114,488,873 | ) | (116,190,015 | ) | (1,701,142 | ) | ||||||||||
Korean Won, Expiring 09/16/15* | CitiBank | KRW | (8,085,000,000 | ) | (7,234,342 | ) | (7,235,395 | ) | (1,053 | ) | ||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | (8,085,000,000 | ) | (7,234,346 | ) | (7,235,395 | ) | (1,049 | ) | ||||||||||
Mexican Peso, Expiring 09/17/15 | CitiBank | MXN | (180,675,000 | ) | (11,587,914 | ) | (11,431,792 | ) | 156,122 | |||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | (180,675,000 | ) | (11,588,929 | ) | (11,431,792 | ) | 157,137 | |||||||||||
Malaysian Ringgit, Expiring 09/17/15* | CitiBank | MYR | (11,600,000 | ) | (3,103,169 | ) | (3,056,178 | ) | 46,991 | |||||||||||
Malaysian Ringgit, Expiring 09/17/15* | Credit Suisse International | MYR | (11,600,000 | ) | (3,103,170 | ) | (3,056,178 | ) | 46,992 | |||||||||||
Norwegian Krone, Expiring 09/16/15 | CitiBank | NOK | (175,263,500 | ) | (22,360,760 | ) | (22,313,383 | ) | 47,377 | |||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | (175,263,500 | ) | (22,361,863 | ) | (22,313,383 | ) | 48,480 | |||||||||||
New Zealand Dollar, Expiring 09/16/15 | CitiBank | NZD | (54,150,500 | ) | (37,767,161 | ) | (36,453,444 | ) | 1,313,717 | |||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | (54,150,500 | ) | (37,775,561 | ) | (36,453,444 | ) | 1,322,117 | |||||||||||
Philippine Peso, Expiring 09/16/15* | CitiBank | PHP | (152,700,000 | ) | (3,369,840 | ) | (3,372,352 | ) | (2,512 | ) | ||||||||||
Philippine Peso, Expiring 09/16/15* | Credit Suisse International | PHP | (152,700,000 | ) | (3,369,840 | ) | (3,372,352 | ) | (2,512 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
116
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Poland Zloty, Expiring 09/16/15 | CitiBank | PLN | (31,000,000 | ) | $ (8,249,626 | ) | $ (8,227,512 | ) | $ 22,114 | |||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | (31,000,000 | ) | (8,249,949 | ) | (8,227,512 | ) | 22,437 | |||||||||||
Swedish Krona, Expiring 09/16/15 | CitiBank | SEK | (125,139,500 | ) | (14,847,173 | ) | (15,120,033 | ) | (272,860 | ) | ||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | (125,139,500 | ) | (14,848,116 | ) | (15,120,033 | ) | (271,917 | ) | ||||||||||
Singapore Dollar, Expiring 09/16/15 | CitiBank | SGD | (6,595,000 | ) | (4,881,834 | ) | (4,891,226 | ) | (9,392 | ) | ||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | (7,045,000 | ) | (5,214,665 | ) | (5,224,972 | ) | (10,307 | ) | ||||||||||
Turkish Lira, Expiring 09/16/15 | CitiBank | TRY | (15,316,000 | ) | (5,475,971 | ) | (5,590,172 | ) | (114,201 | ) | ||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | (15,316,000 | ) | (5,475,999 | ) | (5,590,171 | ) | (114,172 | ) | ||||||||||
Taiwanese Dollar, Expiring 09/16/15* | CitiBank | TWD | (142,500,000 | ) | (4,625,084 | ) | (4,620,811 | ) | 4,273 | |||||||||||
Taiwanese Dollar, Expiring 09/16/15* | Credit Suisse International | TWD | (142,500,000 | ) | (4,625,086 | ) | (4,620,811 | ) | 4,275 | |||||||||||
South African Rand, Expiring 09/16/15 | CitiBank | ZAR | (45,750,000 | ) | (3,631,132 | ) | (3,709,838 | ) | (78,706 | ) | ||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | (47,750,000 | ) | (3,793,258 | ) | (3,872,017 | ) | (78,759 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(858,252,982 | ) | (859,848,755 | ) | (1,595,773 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(78,158,906 | ) | $(80,029,808 | ) | $(1,870,902 | ) | |||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward. (See Note 4). |
AUD | - Australian Dollar |
BRL | - Brazilian Real |
CAD | - Canadian Dollar |
CHF | - Swiss Franc |
CLP | - Chilean Peso |
COP | - Colombian Peso |
CZK | - Czech Republic Koruna |
EUR | - Euro |
GBP | - British Pound |
HKD | - Hong Kong Dollar |
HUF | - Hungarian Forint |
IDR | - Indonesian Rupiah |
ILS | - Israeli Shekel |
INR | - Indian Rupee |
JPY | - Japanese Yen |
KRW | - Korean Won |
MXN | - Mexican Peso |
MYR | - Malaysian Ringgit |
NOK | - Norwegian Krone |
NZD | - New Zealand Dollar |
PHP | - Philippine Peso |
PLN | - Poland Zloty |
SEK | - Swedish Krona |
SGD | - Singapore Dollar |
TRY | - Turkish Lira |
TWD | - Taiwanese Dollar |
USD | - United States Dollar |
ZAR | - South African Rand |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
117
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Bank of America | ||||||||||||
Money Market Funds | $540,005 | $— | $540,005 | |||||||||
| ||||||||||||
Barclays Capital | ||||||||||||
Cash | — | 10,239,683 | 10,239,683 | |||||||||
| ||||||||||||
Citibank | ||||||||||||
Cash | 4,480,000 | — | 4,480,000 | |||||||||
| ||||||||||||
Credit Suisse International | ||||||||||||
Money Market Funds | 860,002 | — | 860,002 | |||||||||
| ||||||||||||
Goldman Sachs | ||||||||||||
Cash | — | (32,354 | ) | (32,354 | ) | |||||||
U.S. Treasury Bills | — | 795,906 | 795,906 | |||||||||
| ||||||||||||
J.P. Morgan | ||||||||||||
Cash | — | 2,546,711 | 2,546,711 | |||||||||
| ||||||||||||
Morgan Stanley and Co., International PLC | ||||||||||||
Cash | — | 661,602 | 661,602 | |||||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Citibank | ||||||||||||
Money Market Funds | $4,490,020 | $— | $4,490,020 | |||||||||
| ||||||||||||
Deutsche Bank | ||||||||||||
Money Market Funds | 50,007 | — | 50,007 | |||||||||
| ||||||||||||
Goldman Sachs | ||||||||||||
Cash | — | (328,451 | ) | (328,451 | ) | |||||||
U.S. Treasury Bills | — | 596,930 | 596,930 | |||||||||
| ||||||||||||
J.P. Morgan | ||||||||||||
Cash | — | 1,091,892 | 1,091,892 | |||||||||
| ||||||||||||
Morgan Stanley and Co., International PLC | ||||||||||||
Cash | — | 4,914,706 | 4,914,706 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
118
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
LONG INVESTMENTS - 95.5% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 2.0% | ||||||||
Canada - 0.1% | ||||||||
Mitel Networks Corp. (1)† | 147,821 | $ | 1,305,259 | |||||
|
| |||||||
Cayman Islands - 0.0% (a) | ||||||||
Herbalife Ltd. (1)†(b) | 3,466 | 190,942 | ||||||
|
| |||||||
China - 0.0% (a) | ||||||||
Sihuan Pharmaceutical Holdings Group Ltd. (3)(b)(c) | 816,000 | 464,238 | ||||||
|
| |||||||
France - 0.0% (a) | ||||||||
Lafarge SA (b) | 6,460 | 427,116 | ||||||
|
|
SHARES | VALUE (Note 5) | |||||||
Japan - 0.0% (a) | ||||||||
Tokyo Electron Ltd. | 5,040 | $ | 320,328 | |||||
|
| |||||||
United States - 1.9% | ||||||||
Advent Software, Inc. | 74,970 | 3,314,424 | ||||||
Dresser-Rand Group, Inc. (1)† | 129,872 | 11,062,497 | ||||||
Humana, Inc. (1) | 8,742 | 1,672,170 | ||||||
JetBlue Airways Corp. (1)† | 94,621 | 1,964,332 | ||||||
Sirius XM Holdings, Inc. (1)†(b) | 1,507,206 | 5,621,878 | ||||||
SunEdison, Inc. (1)† | 386,345 | 11,555,578 | ||||||
|
| |||||||
35,190,879 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 37,898,762 | |||||||
|
|
CONVERTIBLE PREFERRED STOCKS - 7.8% | SHARES | | VALUE (Note 5) | | ||||||||||||
Netherlands - 0.7% | ||||||||||||||||
Fiat Chrysler Automobiles NV, Series FCAU, 7.875%, 12/15/16 (1) | 10,765,000 | $ | 13,580,047 | |||||||||||||
|
| |||||||||||||||
United States - 7.1% | ||||||||||||||||
Allergan PLC, Series A, $1,000.00 par, 5.500% 03/01/18 (1)(b) | 25,125 | 26,194,822 | ||||||||||||||
American Tower Corp., Series A, $100.00 par, 5.250% 05/15/17 (1)(b) | 16,300 | 1,643,244 | ||||||||||||||
Anthem, Inc. (1)†(b) | 90,400 | 4,610,400 | ||||||||||||||
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875% 12/31/49 (1)(d) | 30,900 | 3,367,698 | ||||||||||||||
Chesapeake Energy Corp., Perpetual Preferred Stock 144A, $1,000.00 par, 5.750% 12/31/49 (d)(e) | 400 | 272,250 | ||||||||||||||
Crown Castle International Corp., Series A, $100.00 par, 4.500% 11/01/16 (1)(b) | 104,600 | 10,794,720 | ||||||||||||||
Dominion Resources, Inc., Series A, $49.00 par, 6.125% 04/01/16 (1) | 167,375 | 8,969,626 | ||||||||||||||
Dominion Resources, Inc., Series B, $49.00 par, 6.000% 07/01/16 (1) | 276,600 | 14,889,378 | ||||||||||||||
Health Care REIT, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500% 04/20/18 (1)(d) | 221,875 | 13,188,250 | ||||||||||||||
Omnicare Capital Trust II, Series B, $50.00 par, 4.000% 06/15/33 (1) | 4,950 | 571,230 | ||||||||||||||
Post Holdings, Inc., Perpetual Preferred Stock 144A, $100.00 par, 2.500% 02/15/19 (d)(e) | 22,177 | 2,324,427 | ||||||||||||||
Southwestern Energy Co., Series B, $50.00 par, 6.250% 01/15/18 (1) | 351,075 | 17,332,573 | ||||||||||||||
T-Mobile US, Inc., $50.00 par, 5.500% 12/15/17 (1)(b) | 217,150 | 14,657,625 | ||||||||||||||
Tyson Foods, Inc., $50.00 par, 4.750% 07/15/17 (1)(b) | 310,450 | 15,991,280 | ||||||||||||||
Weyerhaeuser Co., Series A, $50.00 par, 6.375% 07/01/16 (1) | 24,925 | 1,296,100 | ||||||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | 149,683,670 | |||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS - 0.2% | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | |||||||||||||
United States - 0.2% | ||||||||||||||||
Sabine Oil & Gas Corp. | 7.250% | 06/15/19 | $ | 3,950 | 869,000 | |||||||||||
United States Steel Corp. (b) | 2.750% | 04/01/19 | 2,250 | 2,479,219 | ||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS | 3,348,219 | |||||||||||||||
|
| |||||||||||||||
CONVERTIBLE BONDS - 22.3% | ||||||||||||||||
Bermuda - 0.3% | ||||||||||||||||
Ship Finance International Ltd. | 3.250% | 02/01/18 | 5,500 | 5,840,312 | ||||||||||||
|
| |||||||||||||||
Canada - 0.2% | ||||||||||||||||
Element Financial Corp. 144A (b)(e) | 5.125% | 06/30/19 | 2,856 | 2,789,688 | ||||||||||||
|
| |||||||||||||||
Cayman Islands - 0.1% | ||||||||||||||||
Herbalife Ltd. (b) | 2.000% | 08/15/19 | 3,000 | 2,653,125 | ||||||||||||
|
| |||||||||||||||
Mexico - 0.0% (a) | ||||||||||||||||
Cemex SAB de CV | 3.750% | 03/15/18 | 350 | 412,562 | ||||||||||||
|
| |||||||||||||||
Monaco - 0.1% | ||||||||||||||||
Scorpio Tankers, Inc. 144A (b)(e) | 2.375% | 07/01/19 | 2,300 | 2,455,250 | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
119
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||
Netherlands - 0.2% | ||||||||||||||||
NXP Semiconductors NV 144A (b)(e) | 1.000% | 12/01/19 | $ | 2,550 | $ | 2,972,344 | ||||||||||
|
| |||||||||||||||
United States - 21.4% | ||||||||||||||||
Acorda Therapeutics, Inc. (b) | 1.750% | 06/15/21 | 2,600 | 2,632,500 | ||||||||||||
Alpha Natural Resources, Inc. | 4.875% | 12/15/20 | 200 | 13,500 | ||||||||||||
Anthem, Inc. | 2.750% | 10/15/42 | 9,325 | 20,462,547 | ||||||||||||
Ares Capital Corp. 144A (3)(c)(e) | 5.750% | 02/01/16 | 417 | 425,340 | ||||||||||||
Cheniere Energy, Inc. (b) | 4.250% | 03/15/45 | 10,500 | 7,888,125 | ||||||||||||
Ciena Corp. (b) | 4.000% | 12/15/20 | 1,166 | 1,638,959 | ||||||||||||
Electronic Arts, Inc. | 0.750% | 07/15/16 | 450 | 940,500 | ||||||||||||
Equinix, Inc. | 4.750% | 06/15/16 | 4,450 | 14,089,812 | ||||||||||||
General Cable Corp. (b)(f) | 4.500% | 11/15/29 | 1,170 | 971,100 | ||||||||||||
Health Care REIT, Inc. | 3.000% | 12/01/29 | 4,550 | 5,858,125 | ||||||||||||
Hologic, Inc., Series 2010 (f) | 2.000% | 12/15/37 | 1,650 | 2,761,687 | ||||||||||||
Intel Corp. | 3.250% | 08/01/39 | 19,000 | 28,903,750 | ||||||||||||
Intel Corp. | 2.950% | 12/15/35 | 975 | 1,173,047 | ||||||||||||
Lennar Corp. 144A (e) | 3.250% | 11/15/21 | 3,325 | 7,258,891 | ||||||||||||
Lennar Corp. 144A (e) | 2.750% | 12/15/20 | 2,650 | 6,076,781 | ||||||||||||
Medicines Co./The 144A (e) | 2.500% | 01/15/22 | 5,275 | 5,769,531 | ||||||||||||
Meritor, Inc. | 7.875% | 03/01/26 | 1,600 | 2,528,000 | ||||||||||||
MGIC Investment Corp. (b) | 2.000% | 04/01/20 | 13,700 | 22,810,500 | ||||||||||||
MGIC Investment Corp. (b) | 5.000% | 05/01/17 | 4,625 | 5,286,953 | ||||||||||||
Microchip Technology, Inc. | 2.125% | 12/15/37 | 15,700 | 29,967,375 | ||||||||||||
Micron Technology, Inc., Series C | 2.375% | 05/01/32 | 7,775 | 15,564,578 | ||||||||||||
Micron Technology, Inc., Series F | 2.125% | 02/15/33 | 1,600 | 2,870,000 | ||||||||||||
NorthStar Realty Finance LP 144A (b)(e) | 5.375% | 06/15/33 | 100 | 177,938 | ||||||||||||
Novellus Systems, Inc. (b) | 2.625% | 05/15/41 | 13,650 | 32,461,406 | ||||||||||||
NRG Yield, Inc. 144A (e) | 3.500% | 02/01/19 | 4,200 | 4,538,625 | ||||||||||||
NRG Yield, Inc. 144A (b)(e) | 3.250% | 06/01/20 | 1,700 | 1,694,688 | ||||||||||||
ON Semiconductor Corp., Series B (b) | 2.625% | 12/15/26 | 889 | 1,100,138 | ||||||||||||
Palo Alto Networks, Inc. 144A (e) | 0.000% | 07/01/19 | 15,225 | 24,788,203 | ||||||||||||
Prospect Capital Corp. | 4.750% | 04/15/20 | 1,100 | 1,031,250 | ||||||||||||
Radian Group, Inc. | 2.250% | 03/01/19 | 2,775 | 4,923,891 | ||||||||||||
SanDisk Corp. (b) | 1.500% | 08/15/17 | 10,615 | 13,726,522 | ||||||||||||
SL Green Operating Partnership LP 144A (e) | 3.000% | 10/15/17 | 5,325 | 7,271,953 | ||||||||||||
Spirit Realty Capital, Inc. | 3.750% | 05/15/21 | 1,725 | 1,609,641 | ||||||||||||
Spirit Realty Capital, Inc. | 2.875% | 05/15/19 | 4,025 | 3,793,562 | ||||||||||||
Standard Pacific Corp. (b) | 1.250% | 08/01/32 | 3,575 | 4,348,094 | ||||||||||||
Starwood Property Trust, Inc. (b) | 3.750% | 10/15/17 | 1,650 | 1,661,344 | ||||||||||||
Starwood Property Trust, Inc. | 4.000% | 01/15/19 | 4,350 | 4,600,125 | ||||||||||||
Starwood Property Trust, Inc. (b) | 4.550% | 03/01/18 | 5,925 | 6,173,109 | ||||||||||||
Stillwater Mining Co. (b) | 1.750% | 10/15/32 | 2,100 | 2,245,688 | ||||||||||||
SunEdison, Inc. (b) | 2.750% | 01/01/21 | 4,925 | 10,422,531 | ||||||||||||
SunEdison, Inc. (b) | 2.000% | 10/01/18 | 5,950 | 12,435,500 | ||||||||||||
SunEdison, Inc. 144A (e) | 0.250% | 01/15/20 | 4,175 | 5,072,625 | ||||||||||||
Take-Two Interactive Software, Inc. (b) | 1.750% | 12/01/16 | 2,450 | 3,641,313 | ||||||||||||
Tesla Motors, Inc. | 1.500% | 06/01/18 | 8,500 | 18,508,750 | ||||||||||||
Trinity Industries, Inc. | 3.875% | 06/01/36 | 5,975 | 7,562,109 | ||||||||||||
TTM Technologies, Inc. | 1.750% | 12/15/20 | 1,350 | 1,571,906 | ||||||||||||
UTi Worldwide, Inc. (b) | 4.500% | 03/01/19 | 3,075 | 3,140,344 | ||||||||||||
VeriSign, Inc. | 4.136% | 08/15/37 | 21,619 | 39,833,008 | ||||||||||||
Vishay Intertechnology, Inc. | 2.250% | 11/15/40 | 1,275 | 1,201,688 | ||||||||||||
WebMD Health Corp. (b) | 1.500% | 12/01/20 | 1,675 | 1,798,531 | ||||||||||||
|
| |||||||||||||||
407,226,083 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE BONDS | 424,349,364 | |||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
120
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
MONEY MARKET FUNDS - 59.0% | SHARES | VALUE (Note 5) | ||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.010% (g)^ | 1,000,135 | $ | 1,000,135 | |||||
Dreyfus Treasury Cash Management, Class I, 0.010% (g)^ | 4,000,539 | 4,000,539 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (g)^ | 582,310,963 | 582,310,963 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (g)(h)^ | 534,026,218 | 534,026,218 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (g)^ | 5,001,007 | 5,001,007 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 1,126,338,862 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 4.2% | PRINCIPAL AMOUNT | |||||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (i)^ | $ | 26,638 | 26,635,123 | |||||
U.S. Treasury Bill, 0.085%, 11/27/2015 (i)(j)^ | 11,300 | 11,298,362 | ||||||
U.S. Treasury Bill, 0.072%, 7/30/2015 (i)^ | 25,758 | 25,757,588 | ||||||
U.S. Treasury Bill, 0.063%, 8/6/2015 (i)^ | 16,427 | 16,427,000 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 80,118,073 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE | 1,821,736,950 | |||||||
|
| |||||||
SECURITIES SOLD SHORT - (24.4)% | SHARES | |||||||
COMMON STOCKS - (24.4)% | ||||||||
Canada - (0.1)% | ||||||||
Element Financial Corp. (1)† | (109,904 | ) | (1,737,874 | ) | ||||
|
| |||||||
Mexico - 0.0% (a) | ||||||||
Cemex SAB de CV ADR (1)† | (26,416 | ) | (241,971 | ) | ||||
|
| |||||||
Monaco - 0.0% (a) | ||||||||
Scorpio Tankers, Inc. (1) | (133,102 | ) | (1,342,999 | ) | ||||
|
| |||||||
Netherlands - (0.7)% | ||||||||
Fiat Chrysler Automobiles NV (1)† | (763,348 | ) | (11,091,446 | ) | ||||
NXP Semiconductor NV (1)† | (17,853 | ) | (1,753,165 | ) | ||||
|
| |||||||
(12,844,611 | ) | |||||||
|
| |||||||
Norway - (0.2)% | ||||||||
Ship Finance International Ltd. (1) | (200,463 | ) | (3,271,556 | ) | ||||
|
|
SHARES | VALUE (Note 5) | |||||||
Switzerland - 0.0% (a) | ||||||||
Holcim Ltd. † | (5,811 | ) | $ | (428,768 | ) | |||
|
| |||||||
United States - (23.4)% | ||||||||
AbbVie, Inc. (1) | (64 | ) | (4,300 | ) | ||||
Acorda Therapeutics, Inc. (1)† | (40,931 | ) | (1,364,230 | ) | ||||
Allergan PLC (1)† | (65,429 | ) | (19,855,084 | ) | ||||
Alpha Natural Resources, Inc. (1)† | (5,569 | ) | (1,681 | ) | ||||
American Realty Capital Properties, Inc. REIT (1) | (2,310 | ) | (18,780 | ) | ||||
American Tower Corp. REIT (1) | (11,028 | ) | (1,028,802 | ) | ||||
Anthem, Inc. (1) | (132,429 | ) | (21,736,896 | ) | ||||
Ares Capital Corp. (1) | (1,526 | ) | (25,118 | ) | ||||
Bunge Ltd. (1) | (11,788 | ) | (1,034,986 | ) | ||||
Cheniere Energy, Inc. (1)† | (52,356 | ) | (3,626,177 | ) | ||||
Chesapeake Energy Corp. (1) | (9,199 | ) | (102,753 | ) | ||||
Ciena Corp. (1)† | (37,179 | ) | (880,399 | ) | ||||
Crown Castle International Corp. REIT (1) | (75,333 | ) | (6,049,240 | ) | ||||
Dominion Resources, Inc. (1) | (238,236 | ) | (15,930,841 | ) | ||||
Electronic Arts, Inc. (1)† | (14,037 | ) | (933,460 | ) | ||||
Equinix, Inc. REIT (1) | (55,263 | ) | (14,036,802 | ) | ||||
General Cable Corp. (1) | (29,790 | ) | (587,757 | ) | ||||
Health Care REIT, Inc. REIT (1) | (164,629 | ) | (10,804,601 | ) | ||||
Hologic, Inc. (1)† | (69,854 | ) | (2,658,643 | ) | ||||
Intel Corp. (1) | (698,683 | ) | (21,250,443 | ) | ||||
JetBlue Airways Corp. (1)† | (94,622 | ) | (1,964,353 | ) | ||||
Lam Research Corp. (1) | (376,802 | ) | (30,652,843 | ) | ||||
Lennar Corp., Class A (1) | (258,392 | ) | (13,188,328 | ) | ||||
Medicines Co./The (1)† | (117,407 | ) | (3,359,014 | ) | ||||
Meritor, Inc. (1)† | (108,998 | ) | (1,430,054 | ) | ||||
MGIC Investment Corp. (1)† | (1,919,165 | ) | (21,840,098 | ) | ||||
MGM Resorts International (1)† | (1 | ) | (18 | ) | ||||
Microchip Technology, Inc. (1) | (605,118 | ) | (28,697,720 | ) | ||||
Micron Technology, Inc. (1)† | (903,407 | ) | (17,020,188 | ) | ||||
NorthStar Realty Finance Corp. REIT (1) | (11,805 | ) | (187,700 | ) | ||||
NRG Yield, Inc., Class A (1) | (72,687 | ) | (1,598,387 | ) | ||||
NRG Yield, Inc., Class C (1) | (48,732 | ) | (1,066,743 | ) | ||||
Omnicare, Inc. (1) | (5,942 | ) | (560,034 | ) | ||||
ON Semiconductor Corp. (1)† | (59,267 | ) | (692,831 | ) | ||||
Palo Alto Networks, Inc. (1)† | (121,493 | ) | (21,224,827 | ) | ||||
Post Holdings, Inc. (1)† | (38,108 | ) | (2,055,164 | ) | ||||
Prospect Capital Corp. (1) | (1,331 | ) | (9,810 | ) | ||||
Radian Group, Inc. (1) | (246,549 | ) | (4,625,259 | ) | ||||
SanDisk Corp. (1) | (152,130 | ) | (8,857,009 | ) | ||||
Sirius XM Holdings, Inc. (1)† | (1,507,206 | ) | (5,621,878 | ) | ||||
SL Green Realty Corp. REIT (1) | (59,264 | ) | (6,512,521 | ) | ||||
Southwestern Energy Co. (1)† | (625,828 | ) | (14,225,070 | ) | ||||
Spirit Realty Capital, Inc. REIT (1) | (90,061 | ) | (870,890 | ) | ||||
Standard Pacific Corp. (1)† | (307,875 | ) | (2,743,166 | ) | ||||
Starwood Property Trust, Inc. REIT (1) | (270,531 | ) | (5,835,354 | ) | ||||
Stillwater Mining Co. (1)† | (107,484 | ) | (1,245,740 | ) | ||||
SunEdison, Inc. (1)† | (1,205,534 | ) | (36,057,522 | ) | ||||
Take-Two Interactive Software, Inc. (1)† | (114,203 | ) | (3,148,577 | ) | ||||
Tesla Motors, Inc. (1)† | (64,847 | ) | (17,395,856 | ) | ||||
T-Mobile US, Inc. (1)† | (323,409 | ) | (12,538,567 | ) | ||||
Trinity Industries, Inc. (1) | (165,402 | ) | (4,371,575 | ) | ||||
TTM Technologies, Inc. (1)† | (116,265 | ) | (1,161,487 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
121
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
United States - (23.4)% (continued) | ||||||||
Tyson Foods, Inc., Class A (1) | (279,251 | ) | $ | (11,904,470 | ) | |||
United States Steel Corp. (1) | (56,506 | ) | (1,165,154 | ) | ||||
UTi Worldwide, Inc. (1)† | (129,615 | ) | (1,294,854 | ) | ||||
VeriSign, Inc. (1)† | (584,004 | ) | (36,044,727 | ) | ||||
Vishay Intertechnology, Inc. (1) | (83,367 | ) | (973,727 | ) | ||||
WebMD Health Corp. (1)† | (23,395 | ) | (1,035,931 | ) | ||||
Weyerhaeuser Co. REIT (1) | (25,150 | ) | (792,225 | ) | ||||
|
| |||||||
(445,900,664 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT |
| (465,768,443 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT (proceeds $443,226,481) | (465,768,443 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS, NET OF |
| 1,355,968,507 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 28.9% (k) | 551,547,756 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,907,516,263 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 5,353,748 | 0.3 | % | ||||
Consumer Staples | 9,532,851 | 0.5 | ||||||
Energy | 23,163,271 | 1.2 | ||||||
Financials | 34,997,462 | 1.8 | ||||||
Health Care | 15,600,924 | 0.8 | ||||||
Industrials | 6,517,293 | 0.3 | ||||||
Information Technology | 38,247,666 | 2.1 | ||||||
Materials | 2,482,954 | 0.1 | ||||||
Telecommunication Services | 2,119,058 | 0.1 | ||||||
Utilities | 11,496,345 | 0.6 | ||||||
Money Market Funds | 1,126,338,862 | 59.0 | ||||||
Other Investments | 80,118,073 | 4.3 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 1,355,968,507 | 71.1 | ||||||
Other Assets in Excess of Liabilities (k) | 551,547,756 | 28.9 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,907,516,263 | 100.0 | % | ||||
|
|
|
|
† | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2015, the value of these securities was $178,504,803. In addition, $410,441,493 of cash collateral was pledged. |
(c) | Security fair valued as of June 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $889,578 or 0.0% of total 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 the close of the reporting period. |
(e) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(f) | Represents a step bond. The rate shown reflects the yield as of close of the reporting period. |
(g) | Represents annualized seven-day yield as of the close of the reporting period. |
(h) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(i) | The rate shown is the effective yield at the date of purchase. |
(j) | A portion of the security is pledged as collateral to the brokers for futures contracts. |
(k) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures, and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (Note 2). |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 5). |
(3) | Level 3 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
122
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Credit default swap contracts sell protection as of June 30, 2015:
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND | CURRENCY | CREDIT SPREAD | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||
CitiBank | Markit CDX North America High Yield Index Series 24 | 5.000% | USD | 3.557% | 60,475,000 | $4,005,137 | 06/20/2020 | $(208,930 | ) | |||||||||||||||||
|
|
|
|
Total return swap contracts outstanding as of June 30, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Morgan Stanley and Co., International PLC | Bovespa Index August Futures | 8/2015 | BRL | (43,903,037 | ) | $103,706 | ||||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | 186,488 | 9,650 | |||||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | (192,990 | ) | (3,149 | ) | |||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | (26,361,752 | ) | (4,590,260 | ) | |||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | 3,906,975 | 291,818 | |||||||||
CitiBank | Cotton No. 2 December Futures^ | 11/2015 | USD | 772,575 | 6,260 | |||||||||
CitiBank | Cotton No. 2 December Futures^ | 11/2015 | USD | (1,640,625 | ) | (57,054 | ) | |||||||
Merrill Lynch | Gas Oil August Futures^ | 8/2015 | USD | 1,361,025 | (36,218 | ) | ||||||||
Merrill Lynch | Gas Oil August Futures^ | 8/2015 | USD | (1,368,500 | ) | 43,692 | ||||||||
Merrill Lynch | Gas Oil July Futures^ | 7/2015 | USD | 1,361,600 | (41,973 | ) | ||||||||
Merrill Lynch | Gas Oil July Futures^ | 7/2015 | USD | (1,328,825 | ) | 9,200 | ||||||||
Merrill Lynch | Gold 100 OZ August Futures^ | 7/2015 | USD | (1,546,870 | ) | 24,469 | ||||||||
Merrill Lynch | Gold 100 OZ August Futures^ | 7/2015 | USD | 1,544,335 | (21,935 | ) | ||||||||
Bank of America | Hang Seng Index July Futures | 7/2015 | HKD | 46,347,785 | (232,305 | ) | ||||||||
Bank of America | H-SHARES Index July Futures | 7/2015 | HKD | 230,512,176 | (1,308,047 | ) | ||||||||
Goldman Sachs | H-SHARES Index July Futures | 7/2015 | HKD | 16,757,700 | (77,578 | ) | ||||||||
Morgan Stanley and Co., International PLC | H-SHARES Index July Futures | 7/2015 | HKD | 65,603,200 | (376,248 | ) | ||||||||
Deutsche Bank | Lean Hogs August Futures^ | 8/2015 | USD | (704,801 | ) | 20,551 | ||||||||
Deutsche Bank | Lean Hogs August Futures^ | 8/2015 | USD | 724,632 | (40,382 | ) | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | (764,170 | ) | 32,650 | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | 809,706 | (78,186 | ) | ||||||||
Merrill Lynch | Live Cattle August Futures^ | 8/2015 | USD | 4,034,030 | (65,620 | ) | ||||||||
CitiBank | LME Copper September Futures^ | 9/2015 | USD | 10,120,100 | (322,575 | ) | ||||||||
CitiBank | LME Copper September Futures^ | 9/2015 | USD | (2,315,975 | ) | 10,675 | ||||||||
Morgan Stanley and Co., International PLC | MSCI Taiwan Stock Index July Futures | 7/2015 | USD | 1,080,474 | (19,344 | ) | ||||||||
CitiBank | Natural Gas July Futures^ | 8/2015 | USD | (4,971,180 | ) | 43,492 | ||||||||
CitiBank | Natural Gas July Futures^ | 8/2015 | USD | 4,809,360 | 118,298 | |||||||||
CitiBank | Natural Gas June Futures^ | 7/2015 | USD | 4,915,500 | (90,479 | ) | ||||||||
CitiBank | Natural Gas June Futures^ | 7/2015 | USD | (5,129,520 | ) | 304,495 | ||||||||
Morgan Stanley and Co., International PLC | SGX S&P CNX Nifty Index July Futures | 7/2015 | USD | (9,417,598 | ) | (40,118 | ) | |||||||
Deutsche Bank | Soybean November Futures^ | 10/2015 | USD | 1,977,376 | 97,124 | |||||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | (6,558,639 | ) | (969,771 | ) | |||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | 4,789,872 | 252,627 | |||||||||
Merrill Lynch | Soybean November Futures^ | 11/2015 | USD | 12,217,925 | 1,214,463 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
123
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Morgan Stanley and Co., International PLC | Swiss Market Index September Futures | 9/2015 | CHF | (129,254,913 | ) | $ 1,534,691 | ||||||||
Morgan Stanley and Co., International PLC | Taiwan Stock Exchange July Futures | 7/2015 | TWD | (23,730,370 | ) | (7,162 | ) | |||||||
Bank of America | Tel Aviv 25 Index July Futures | 7/2015 | ILS | 12,283,595 | (109,499 | ) | ||||||||
Bank of America | U.S. Treasury 2-Year Note September Futures | 9/2015 | USD | (45,448,177 | ) | (90,823 | ) | |||||||
Bank of America | U.S. Treasury 5-Year Note September Futures | 9/2015 | USD | (6,541,977 | ) | (17,203 | ) | |||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | 2,251,587 | 180,559 | |||||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | (4,557,418 | ) | (953,194 | ) | |||||||
Goldman Sachs | WIG20 Index September Futures | 9/2015 | PLN | (14,409,889 | ) | 53,827 | ||||||||
|
| |||||||||||||
$(5,196,876 | ) | |||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
232 | Goldman Sachs | Cocoa Futures^ | 9/2015 | $7,824,354 | $7,862,912 | $38,558 | ||||||||||||||
112 | Morgan Stanley and Co., International PLC | Cocoa Futures^ | 9/2015 | 3,465,833 | 3,661,280 | 195,447 | ||||||||||||||
17 | Morgan Stanley and Co., International PLC | Live Cattle Futures^ | 8/2015 | 1,028,070 | 1,006,910 | (21,160 | ) | |||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 223,845 | 206,767 | (17,078 | ) | |||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 89,058 | 82,738 | (6,320 | ) | |||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 229,463 | 207,371 | (22,092 | ) | |||||||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 412,898 | 373,376 | (39,522 | ) | |||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 137,490 | 124,566 | (12,924 | ) | |||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 327,907 | 291,398 | (36,509 | ) | |||||||||||||
20 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 961,604 | 833,040 | (128,564 | ) | |||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 341,928 | 292,075 | (49,853 | ) | |||||||||||||
24 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 1,143,788 | 1,001,700 | (142,088 | ) | |||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 313,796 | 293,213 | (20,583 | ) | |||||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 492,076 | 460,729 | (31,347 | ) | |||||||||||||
19 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 844,240 | 795,743 | (48,497 | ) | |||||||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 389,277 | 377,087 | (12,190 | ) | |||||||||||||
19 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 835,781 | 796,280 | (39,501 | ) | |||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 217,950 | 209,768 | (8,182 | ) | |||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 306,267 | 293,828 | (12,439 | ) | |||||||||||||
22 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 952,866 | 923,703 | (29,163 | ) | |||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 260,565 | 252,185 | (8,380 | ) | |||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 176,610 | 168,167 | (8,443 | ) | |||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 176,710 | 168,211 | (8,499 | ) | |||||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 479,077 | 462,701 | (16,376 | ) | |||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 85,605 | 84,216 | (1,389 | ) | |||||||||||||
10 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 429,025 | 421,251 | (7,774 | ) | |||||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 469,526 | 463,501 | (6,025 | ) | |||||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 508,685 | 506,193 | (2,492 | ) | |||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 301,502 | 295,360 | (6,142 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
124
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | $ 126,382 | $ 126,825 | $ 443 | ||||||||||||||
18 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 2,721,079 | 2,589,638 | (131,441 | ) | |||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 754,395 | 719,486 | (34,909 | ) | |||||||||||||
14 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 2,121,209 | 2,014,638 | (106,571 | ) | |||||||||||||
7 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 1,055,458 | 1,007,360 | (48,098 | ) | |||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 453,551 | 431,743 | (21,808 | ) | |||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 455,034 | 431,794 | (23,240 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 148,126 | 143,931 | (4,195 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 303,376 | 287,817 | (15,559 | ) | |||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 760,479 | 719,579 | (40,900 | ) | |||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 448,447 | 431,754 | (16,693 | ) | |||||||||||||
23 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 3,392,568 | �� | 3,310,229 | (82,339 | ) | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 607,920 | 575,750 | (32,170 | ) | |||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 632,097 | 575,784 | (56,313 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 321,435 | 287,944 | (33,491 | ) | |||||||||||||
21 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 3,370,338 | 3,023,496 | (346,842 | ) | |||||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 959,302 | 864,132 | (95,170 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 314,092 | 288,050 | (26,042 | ) | |||||||||||||
20 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 3,044,429 | 2,880,996 | (163,433 | ) | |||||||||||||
10 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 1,506,905 | 1,440,710 | (66,195 | ) | |||||||||||||
16 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 2,408,839 | 2,305,304 | (103,535 | ) | |||||||||||||
15 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 2,229,662 | 2,161,305 | (68,357 | ) | |||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 741,762 | 720,541 | (21,221 | ) | |||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 749,387 | 720,567 | (28,820 | ) | |||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 755,512 | 720,594 | (34,918 | ) | |||||||||||||
11 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 1,621,152 | 1,585,205 | (35,947 | ) | |||||||||||||
73 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 10,735,520 | 10,517,931 | (217,589 | ) | |||||||||||||
16 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 2,330,039 | 2,305,452 | (24,587 | ) | |||||||||||||
13 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 1,874,469 | 1,872,893 | (1,576 | ) | |||||||||||||
11 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 1,583,889 | 1,584,618 | 729 | ||||||||||||||
15 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 2,126,482 | 2,161,189 | 34,707 | ||||||||||||||
7 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 1,004,495 | 1,008,595 | 4,100 | ||||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 578,686 | 576,363 | (2,323 | ) | |||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 719,742 | 720,482 | 740 | ||||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 289,281 | 288,239 | (1,042 | ) | |||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 229,507 | 214,833 | (14,674 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 76,683 | 71,614 | (5,069 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 76,202 | 71,617 | (4,585 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 76,721 | 71,620 | (5,101 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 75,827 | 71,630 | (4,197 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 74,273 | 71,633 | (2,640 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | 74,681 | 71,651 | (3,030 | ) | |||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 172,819 | 143,402 | (29,417 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 85,865 | 71,704 | (14,161 | ) | |||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 169,143 | 143,437 | (25,706 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 85,637 | 71,721 | (13,916 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 76,082 | 71,764 | (4,318 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 77,702 | 71,787 | (5,915 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 77,822 | 71,790 | (6,032 | ) | |||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 154,085 | 143,666 | (10,419 | ) | |||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 153,138 | 143,674 | (9,464 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 74,835 | 71,853 | (2,982 | ) | |||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 105,055 | 99,787 | (5,268 | ) | |||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 480,757 | 449,043 | (31,714 | ) | |||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 215,355 | 199,575 | (15,780 | ) | |||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 485,937 | 449,043 | (36,894 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
125
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | $ 496,604 | $ 448,875 | $ (47,729 | ) | |||||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 388,701 | 348,993 | (39,708 | ) | |||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 273,184 | 249,125 | (24,059 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 165,098 | 149,381 | (15,717 | ) | |||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 277,547 | 248,958 | (28,589 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 167,429 | 149,368 | (18,061 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 166,558 | 149,361 | (17,197 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 54,586 | 49,784 | (4,802 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 55,505 | 49,782 | (5,723 | ) | |||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 227,460 | 199,104 | (28,356 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 57,503 | 49,774 | (7,729 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 171,168 | 149,315 | (21,853 | ) | |||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 351,081 | 298,602 | (52,479 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 59,417 | 49,776 | (9,641 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 177,057 | 149,352 | (27,705 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 57,361 | 49,822 | (7,539 | ) | |||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 291,745 | 249,185 | (42,560 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 57,304 | 49,867 | (7,437 | ) | |||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 169,765 | 149,625 | (20,140 | ) | |||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 272,212 | 249,431 | (22,781 | ) | |||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 433,820 | 399,364 | (34,456 | ) | |||||||||||||
18 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 998,649 | 898,672 | (99,977 | ) | |||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 321,915 | 299,796 | (22,119 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 53,352 | 49,988 | (3,364 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 54,396 | 49,994 | (4,402 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 53,703 | 50,000 | (3,703 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 53,052 | 49,990 | (3,062 | ) | |||||||||||||
35 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 1,861,262 | 1,748,687 | (112,575 | ) | |||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 212,010 | 199,888 | (12,122 | ) | |||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 312,768 | 299,784 | (12,984 | ) | |||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 312,315 | 299,792 | (12,523 | ) | |||||||||||||
10 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 508,650 | 499,708 | (8,942 | ) | |||||||||||||
10 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 508,525 | 499,723 | (8,802 | ) | |||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 411,324 | 399,788 | (11,536 | ) | |||||||||||||
12 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 609,179 | 599,700 | (9,479 | ) | |||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 301,743 | 299,970 | (1,773 | ) | |||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 397,420 | 400,000 | 2,580 | ||||||||||||||
84 | Morgan Stanley and Co., International PLC | Soybean Futures^ | 11/2015 | 4,020,616 | 4,356,450 | 335,834 | ||||||||||||||
19 | Morgan Stanley and Co., International PLC | Soybean Oil Futures^ | 12/2015 | 378,502 | 388,398 | 9,896 | ||||||||||||||
178 | Barclays Capital | Amsterdam Index Futures | 7/2015 | 18,750,872 | 18,735,032 | (15,840 | ) | |||||||||||||
261 | J.P. Morgan | BIST 30 Futures | 8/2015 | 1,013,626 | 992,104 | (21,522 | ) | |||||||||||||
117 | Barclays Capital | CAC40 Index Futures | 7/2015 | 6,538,635 | 6,243,389 | (295,246 | ) | |||||||||||||
178 | Barclays Capital | DAX Index Futures | 9/2015 | 54,044,100 | 54,579,348 | 535,248 | ||||||||||||||
130 | Barclays Capital | E-Mini DJIA CBOT Futures | 9/2015 | 11,632,962 | 11,389,950 | (243,012 | ) | |||||||||||||
204 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | 8,108,069 | 7,814,474 | (293,595 | ) | |||||||||||||
612 | Barclays Capital | FTSE 100 Index Futures | 9/2015 | 63,908,550 | 62,446,628 | (1,461,922 | ) | |||||||||||||
54 | Barclays Capital | Hang Seng Index Futures | 7/2015 | 9,454,766 | 9,127,310 | (327,456 | ) | |||||||||||||
182 | Barclays Capital | H-SHARES Index Futures | 7/2015 | 15,633,628 | 15,173,417 | (460,211 | ) | |||||||||||||
192 | Barclays Capital | MSCI Emerging Markets E-Mini Futures | 9/2015 | 9,162,089 | 9,210,240 | 48,151 | ||||||||||||||
136 | Barclays Capital | MSCI Singapore Index Futures | 7/2015 | 7,575,990 | 7,508,602 | (67,388 | ) | |||||||||||||
200 | Barclays Capital | NASDAQ 100 E-Mini Futures | 9/2015 | 17,886,197 | 17,561,000 | (325,197 | ) | |||||||||||||
111 | J.P. Morgan | Nikkei 225 Futures | 9/2015 | 18,532,646 | 18,348,082 | (184,564 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
126
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
4 | J.P. Morgan | OMXS30 Index Futures | 7/2015 | $ 77,364 | $ 74,392 | $ (2,972 | ) | |||||||||||||
761 | Barclays Capital | S&P 500 E-Mini Futures | 9/2015 | 79,055,606 | 78,169,920 | (885,686 | ) | |||||||||||||
92 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2015 | 14,050,276 | 13,782,520 | (267,756 | ) | |||||||||||||
3 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2015 | 413,454 | 405,396 | (8,058 | ) | |||||||||||||
82 | J.P. Morgan | SGX FTSE China A50 Index Futures | 7/2015 | 1,072,138 | 1,017,620 | (54,518 | ) | |||||||||||||
1,215 | Barclays Capital | TOPIX Index Futures | 9/2015 | 164,161,424 | 161,870,940 | (2,290,484 | ) | |||||||||||||
850 | J.P. Morgan | 90-Day EURODollar Futures | 12/2015 | 211,257,520 | 211,363,126 | 105,606 | ||||||||||||||
559 | J.P. Morgan | 90-Day EURODollar Futures | 3/2016 | 138,691,639 | 138,743,800 | 52,161 | ||||||||||||||
380 | J.P. Morgan | 90-Day EURODollar Futures | 6/2016 | 94,064,150 | 94,121,250 | 57,100 | ||||||||||||||
441 | J.P. Morgan | 90-Day EURODollar Futures | 9/2016 | 108,940,209 | 108,982,125 | 41,916 | ||||||||||||||
327 | J.P. Morgan | 90-Day EURODollar Futures | 12/2016 | 80,607,923 | 80,630,025 | 22,102 | ||||||||||||||
246 | J.P. Morgan | 90-Day EURODollar Futures | 3/2017 | 60,535,644 | 60,543,675 | 8,031 | ||||||||||||||
165 | J.P. Morgan | 90-Day EURODollar Futures | 6/2017 | 40,520,199 | 40,534,312 | 14,113 | ||||||||||||||
1,813 | J.P. Morgan | 90-Day Sterling Futures | 12/2015 | 353,363,208 | 353,485,108 | 121,900 | ||||||||||||||
2,033 | J.P. Morgan | 90-Day Sterling Futures | 3/2016 | 395,962,278 | 395,860,011 | (102,267 | ) | |||||||||||||
2,410 | J.P. Morgan | 90-Day Sterling Futures | 6/2016 | 468,749,443 | 468,510,996 | (238,447 | ) | |||||||||||||
337 | Goldman Sachs | Euro—Bund Futures | 9/2015 | 56,627,232 | 57,107,075 | 479,843 | ||||||||||||||
40 | Goldman Sachs | Euro—OAT Futures | 9/2015 | 6,508,473 | 6,531,684 | 23,211 | ||||||||||||||
60 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 12/2015 | 16,186,771 | 16,202,470 | 15,699 | ||||||||||||||
76 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 3/2016 | 20,500,535 | 20,523,130 | 22,595 | ||||||||||||||
72 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 6/2016 | 19,415,767 | 19,437,189 | 21,422 | ||||||||||||||
45 | Goldman Sachs | Euro-Buxl 30-Year Bond Futures | 9/2015 | 7,370,398 | 7,457,009 | 86,611 | ||||||||||||||
1,292 | Goldman Sachs | Long Gilt Futures | 9/2015 | 237,098,120 | 234,938,261 | (2,159,859 | ) | |||||||||||||
977 | Morgan Stanley and Co., International PLC | U.S. Treasury 10-Year Note Futures | 9/2015 | 123,515,050 | 123,269,922 | (245,128 | ) | |||||||||||||
1,440 | Morgan Stanley and Co., International PLC | U.S. Treasury 2-Year Note Futures | 9/2015 | 314,871,134 | 315,270,000 | 398,866 | ||||||||||||||
296 | Morgan Stanley and Co, International PLC | U.S. Treasury 5-Year Note Futures | 9/2015 | 35,297,113 | 35,300,312 | 3,199 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
3,386,665,145 | 3,375,703,063 | (10,962,082 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
235 | Goldman Sachs | Brent Crude Futures^ | 7/2015 | $(14,821,032 | ) | $(14,943,650 | ) | $(122,618 | ) | |||||||||||
52 | Goldman Sachs | Brent Crude Futures^ | 8/2015 | (3,314,318 | ) | (3,335,280 | ) | (20,962 | ) | |||||||||||
166 | Morgan Stanley and Co., International PLC | Coffee ‘C’ Futures^ | 9/2015 | (8,321,637 | ) | (8,241,900 | ) | 79,737 | ||||||||||||
265 | Morgan Stanley and Co., International PLC | Corn Futures^ | 9/2015 | (4,752,476 | ) | (5,591,500 | ) | (839,024 | ) | |||||||||||
104 | Goldman Sachs | Gas Oil Futures^ | 8/2015 | (6,113,335 | ) | (5,990,400 | ) | 122,935 | ||||||||||||
11 | Morgan Stanley and Co., International PLC | Gasoline RBOB Futures^ | 7/2015 | (954,310 | ) | (946,823 | ) | 7,487 | ||||||||||||
224 | Morgan Stanley and Co., International PLC | Gold 100 OZ Futures^ | 8/2015 | (26,270,699 | ) | (26,248,320 | ) | 22,379 | ||||||||||||
107 | Morgan Stanley and Co., International PLC | Hard Red Winter Wheat Futures^ | 9/2015 | (2,835,126 | ) | (3,264,838 | ) | (429,712 | ) | |||||||||||
39 | Morgan Stanley and Co., International PLC | Heating Oil ULSD Futures^ | 7/2015 | (3,138,056 | ) | (3,095,656 | ) | 42,400 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
127
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
43 | Morgan Stanley and Co., International PLC | Lean Hogs Futures^ | 8/2015 | $ (1,282,826 | ) | $ (1,279,250 | ) | $ 3,576 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (223,613 | ) | (206,766 | ) | 16,847 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (88,994 | ) | (82,737 | ) | 6,257 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (229,613 | ) | (207,371 | ) | 22,242 | ||||||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (413,298 | ) | (373,376 | ) | 39,922 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (137,618 | ) | (124,566 | ) | 13,052 | ||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (328,720 | ) | (291,397 | ) | 37,323 | ||||||||||||
20 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (957,201 | ) | (833,040 | ) | 124,161 | ||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (340,139 | ) | (292,075 | ) | 48,064 | ||||||||||||
24 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (1,140,754 | ) | (1,001,700 | ) | 139,054 | ||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (316,004 | ) | (293,212 | ) | 22,792 | ||||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (492,567 | ) | (460,730 | ) | 31,837 | ||||||||||||
19 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (842,724 | ) | (795,743 | ) | 46,981 | ||||||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (391,744 | ) | (377,087 | ) | 14,657 | ||||||||||||
19 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (835,756 | ) | (796,280 | ) | 39,476 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (217,847 | ) | (209,768 | ) | 8,079 | ||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (306,112 | ) | (293,829 | ) | 12,283 | ||||||||||||
22 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (955,619 | ) | (923,703 | ) | 31,916 | ||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (261,175 | ) | (252,184 | ) | 8,991 | ||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (175,361 | ) | (168,167 | ) | 7,194 | ||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (176,597 | ) | (168,211 | ) | 8,386 | ||||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (478,819 | ) | (462,701 | ) | 16,118 | ||||||||||||
141 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (6,125,009 | ) | (5,938,744 | ) | 186,265 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (85,765 | ) | (84,216 | ) | 1,549 | ||||||||||||
10 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (427,999 | ) | (421,250 | ) | 6,749 | ||||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (472,496 | ) | (463,501 | ) | 8,995 | ||||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (509,418 | ) | (506,193 | ) | 3,225 | ||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (300,693 | ) | (295,359 | ) | 5,334 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (126,380 | ) | (126,825 | ) | (445 | ) | |||||||||||
18 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (2,699,956 | ) | (2,589,638 | ) | 110,318 | ||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (751,675 | ) | (719,486 | ) | 32,189 | ||||||||||||
14 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (2,109,107 | ) | (2,014,639 | ) | 94,468 | ||||||||||||
7 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (1,052,608 | ) | (1,007,360 | ) | 45,248 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (453,743 | ) | (431,743 | ) | 22,000 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (451,118 | ) | (431,794 | ) | 19,324 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (148,353 | ) | (143,931 | ) | 4,422 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (304,745 | ) | (287,817 | ) | 16,928 | ||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (760,613 | ) | (719,579 | ) | 41,034 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (449,993 | ) | (431,755 | ) | 18,238 | ||||||||||||
23 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (3,389,865 | ) | (3,310,229 | ) | 79,636 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (609,190 | ) | (575,750 | ) | 33,440 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (633,590 | ) | (575,784 | ) | 57,806 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (319,995 | ) | (287,943 | ) | 32,052 | ||||||||||||
21 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (3,362,178 | ) | (3,023,496 | ) | 338,682 | ||||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (962,279 | ) | (864,132 | ) | 98,147 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (316,303 | ) | (288,050 | ) | 28,253 | ||||||||||||
20 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (3,057,496 | ) | (2,880,995 | ) | 176,501 | ||||||||||||
10 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (1,506,864 | ) | (1,440,709 | ) | 66,155 | ||||||||||||
16 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (2,405,999 | ) | (2,305,304 | ) | 100,695 | ||||||||||||
15 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (2,226,222 | ) | (2,161,305 | ) | 64,917 | ||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (741,739 | ) | (720,541 | ) | 21,198 | ||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (744,358 | ) | (720,568 | ) | 23,790 | ||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (748,188 | ) | (720,594 | ) | 27,594 | ||||||||||||
11 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (1,615,073 | ) | (1,585,204 | ) | 29,869 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
128
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
145 | J.P. Morgan | LME Copper Futures^ | 9/2015 | $ (21,195,147 | ) | $ (20,891,781 | ) | $ 303,366 | ||||||||||||
16 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (2,327,299 | ) | (2,305,452 | ) | 21,847 | ||||||||||||
13 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (1,873,883 | ) | (1,872,893 | ) | 990 | ||||||||||||
11 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (1,589,884 | ) | (1,584,619 | ) | 5,265 | ||||||||||||
15 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (2,127,655 | ) | (2,161,188 | ) | (33,533 | ) | |||||||||||
7 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (1,007,633 | ) | (1,008,595 | ) | (962 | ) | |||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (580,915 | ) | (576,363 | ) | 4,552 | ||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (717,238 | ) | (720,481 | ) | (3,243 | ) | |||||||||||
243 | Morgan Stanley and Co., International PLC | LME Copper Futures^ | 9/2015 | (15,808,728 | ) | (15,886,125 | ) | (77,397 | ) | |||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (289,083 | ) | (288,239 | ) | 844 | ||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (232,947 | ) | (214,833 | ) | 18,114 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (76,015 | ) | (71,614 | ) | 4,401 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (75,399 | ) | (71,618 | ) | 3,781 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (76,280 | ) | (71,621 | ) | 4,659 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (76,567 | ) | (71,631 | ) | 4,936 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (74,650 | ) | (71,633 | ) | 3,017 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2015 | (75,225 | ) | (71,652 | ) | 3,573 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (172,915 | ) | (143,402 | ) | 29,513 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (85,618 | ) | (71,704 | ) | 13,914 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (168,313 | ) | (143,437 | ) | 24,876 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (84,538 | ) | (71,722 | ) | 12,816 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (76,463 | ) | (71,764 | ) | 4,699 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (77,742 | ) | (71,787 | ) | 5,955 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (76,880 | ) | (71,790 | ) | 5,090 | ||||||||||||
35 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (2,793,429 | ) | (2,514,015 | ) | 279,414 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (152,871 | ) | (143,666 | ) | 9,205 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (154,009 | ) | (143,674 | ) | 10,335 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (75,877 | ) | (71,853 | ) | 4,024 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (105,745 | ) | (99,787 | ) | 5,958 | ||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (481,028 | ) | (449,044 | ) | 31,984 | ||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (215,290 | ) | (199,575 | ) | 15,715 | ||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (488,678 | ) | (449,044 | ) | 39,634 | ||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (497,003 | ) | (448,875 | ) | 48,128 | ||||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (387,608 | ) | (348,994 | ) | 38,614 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (272,613 | ) | (249,125 | ) | 23,488 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (164,018 | ) | (149,382 | ) | 14,636 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (278,110 | ) | (248,957 | ) | 29,153 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (167,768 | ) | (149,368 | ) | 18,400 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (167,318 | ) | (149,361 | ) | 17,957 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (54,548 | ) | (49,785 | ) | 4,763 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (55,698 | ) | (49,783 | ) | 5,915 | ||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (227,890 | ) | (199,104 | ) | 28,786 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (57,498 | ) | (49,774 | ) | 7,724 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (170,730 | ) | (149,314 | ) | 21,416 | ||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (348,735 | ) | (298,602 | ) | 50,133 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (59,498 | ) | (49,777 | ) | 9,721 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (177,443 | ) | (149,352 | ) | 28,091 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (57,198 | ) | (49,822 | ) | 7,376 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (288,836 | ) | (249,185 | ) | 39,651 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (57,247 | ) | (49,867 | ) | 7,380 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (168,743 | ) | (149,625 | ) | 19,118 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (273,926 | ) | (249,431 | ) | 24,495 | ||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (434,678 | ) | (399,364 | ) | 35,314 | ||||||||||||
18 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (996,897 | ) | (898,673 | ) | 98,224 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
129
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | $ (321,202 | ) | $ (299,796 | ) | $ 21,406 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (53,286 | ) | (49,989 | ) | 3,297 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (53,779 | ) | (49,994 | ) | 3,785 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (54,321 | ) | (50,000 | ) | 4,321 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (52,835 | ) | (49,991 | ) | 2,844 | ||||||||||||
87 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (4,474,441 | ) | (4,346,738 | ) | 127,703 | ||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (209,992 | ) | (199,888 | ) | 10,104 | ||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (313,059 | ) | (299,784 | ) | 13,275 | ||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (313,749 | ) | (299,792 | ) | 13,957 | ||||||||||||
10 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (509,528 | ) | (499,708 | ) | 9,820 | ||||||||||||
10 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (508,023 | ) | (499,722 | ) | 8,301 | ||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (411,674 | ) | (399,788 | ) | 11,886 | ||||||||||||
12 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (609,403 | ) | (599,700 | ) | 9,703 | ||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (301,548 | ) | (299,970 | ) | 1,578 | ||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (394,792 | ) | (400,000 | ) | (5,208 | ) | |||||||||||
869 | Morgan Stanley and Co., International PLC | Natural Gas Futures^ | 8/2015 | (24,747,506 | ) | (24,610,080 | ) | 137,426 | ||||||||||||
82 | Morgan Stanley and Co., International PLC | Nymex Palladium Futures^ | 9/2015 | (6,077,683 | ) | (5,515,730 | ) | 561,953 | ||||||||||||
129 | Morgan Stanley and Co., International PLC | Platinum Futures^ | 10/2015 | (6,903,863 | ) | (6,962,775 | ) | (58,912 | ) | |||||||||||
93 | Morgan Stanley and Co., International PLC | Silver Futures^ | 9/2015 | (7,351,653 | ) | (7,245,165 | ) | 106,488 | ||||||||||||
868 | Morgan Stanley and Co., International PLC | Sugar #11 (World Markets) Futures^ | 9/2015 | (11,813,129 | ) | (12,122,835 | ) | (309,706 | ) | |||||||||||
37 | Morgan Stanley and Co., International PLC | WTI Crude Futures^ | 8/2015 | (2,198,076 | ) | (2,200,390 | ) | (2,314 | ) | |||||||||||
4 | J.P. Morgan | E-Mini MSCI EAFE Index Futures | 9/2015 | (368,211 | ) | (366,800 | ) | 1,411 | ||||||||||||
984 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2015 | (123,967,598 | ) | (123,039,360 | ) | 928,238 | ||||||||||||
333 | Barclays Capital | FTSE Bursa Malaysia KLCI Index Futures | 7/2015 | (7,483,758 | ) | (7,499,781 | ) | (16,023 | ) | |||||||||||
762 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2015 | (28,927,974 | ) | (28,961,762 | ) | (33,788 | ) | |||||||||||
188 | Barclays Capital | FTSE/MIB Index Futures | 9/2015 | (23,252,621 | ) | (23,655,578 | ) | (402,957 | ) | |||||||||||
200 | Barclays Capital | IBEX 35 Index Futures | 7/2015 | (23,889,890 | ) | (24,024,794 | ) | (134,904 | ) | |||||||||||
215 | Barclays Capital | KOSPI Index 200 Futures | 9/2015 | (24,413,838 | ) | (24,310,256 | ) | 103,582 | ||||||||||||
143 | J.P. Morgan | Mexican Stock Exchange Price and Quotation Index Futures | 9/2015 | (4,080,359 | ) | (4,101,896 | ) | (21,537 | ) | |||||||||||
274 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2015 | (9,493,933 | ) | (9,379,019 | ) | 114,914 | ||||||||||||
1,802 | Barclays Capital | SET50 Index Futures | 9/2015 | (10,508,044 | ) | (10,378,086 | ) | 129,958 | ||||||||||||
24 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2015 | (402,007 | ) | (402,456 | ) | (449 | ) | |||||||||||
583 | Barclays Capital | SPI 200 Index Futures | 9/2015 | (61,631,247 | ) | (60,691,104 | ) | 940,143 | ||||||||||||
295 | Goldman Sachs | 10-Year Japanese Government Bond Futures | 9/2015 | (353,454,699 | ) | (354,260,325 | ) | (805,626 | ) | |||||||||||
1,255 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2015 | (349,699,058 | ) | (349,714,225 | ) | (15,167 | ) | |||||||||||
1,581 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2016 | (440,535,893 | ) | (440,534,339 | ) | 1,554 | ||||||||||||
1,435 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2016 | (399,762,166 | ) | (399,812,448 | ) | (50,282 | ) | |||||||||||
148 | J.P. Morgan | 3-Month Euro Euribor Futures | 9/2016 | (41,205,039 | ) | (41,226,766 | ) | (21,727 | ) | |||||||||||
168 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2016 | (46,750,455 | ) | (46,779,222 | ) | (28,767 | ) | |||||||||||
233 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2017 | (64,803,341 | ) | (64,849,102 | ) | (45,761 | ) | |||||||||||
310 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2017 | (86,165,060 | ) | (86,232,400 | ) | (67,340 | ) | |||||||||||
26 | J.P. Morgan | 90-Day Sterling Futures | 9/2016 | (5,044,226 | ) | (5,045,284 | ) | (1,058 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
130
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
74 | J.P. Morgan | 90-Day Sterling Futures | 12/2016 | $ (14,329,811 | ) | $ (14,334,946 | ) | $ (5,135 | ) | |||||||||||
65 | J.P. Morgan | 90-Day Sterling Futures | 3/2017 | (12,563,502 | ) | (12,572,357 | ) | (8,855 | ) | |||||||||||
63 | J.P. Morgan | 90-Day Sterling Futures | 6/2017 | (12,159,317 | ) | (12,169,431 | ) | (10,114 | ) | |||||||||||
2,233 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2015 | (214,796,599 | ) | (215,809,313 | ) | (1,012,714 | ) | |||||||||||
127 | J.P. Morgan | Australia 3-Year Bond Futures | 9/2015 | (10,926,480 | ) | (10,910,201 | ) | 16,279 | ||||||||||||
1,027 | Goldman Sachs | Canadian 10-Year Bond Futures | 9/2015 | (114,294,371 | ) | (115,116,092 | ) | (821,721 | ) | |||||||||||
322 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 12/2015 | (63,823,142 | ) | (63,932,726 | ) | (109,584 | ) | |||||||||||
159 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 3/2016 | (31,551,284 | ) | (31,569,265 | ) | (17,981 | ) | |||||||||||
546 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 6/2016 | (108,248,650 | ) | (108,374,880 | ) | (126,230 | ) | |||||||||||
17 | Morgan Stanley and Co., International PLC | CME Ultra Long Term U.S. Treasury Bond Futures | 9/2015 | (2,599,484 | ) | (2,619,062 | ) | (19,578 | ) | |||||||||||
275 | Goldman Sachs | Euro - Bobl Futures | 9/2015 | (39,589,492 | ) | (39,727,121 | ) | (137,629 | ) | |||||||||||
410 | Goldman Sachs | Euro - SCHATZ Futures | 9/2015 | (50,835,335 | ) | (50,862,522 | ) | (27,187 | ) | |||||||||||
28 | Goldman Sachs | Euro-BTP Italian Government Bond Futures | 9/2015 | (4,116,884 | ) | (4,064,609 | ) | 52,275 | ||||||||||||
23 | Morgan Stanley and Co., International PLC | U.S. Treasury Long Bond Futures | 9/2015 | (3,444,472 | ) | (3,469,407 | ) | (24,935 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(3,036,552,829 | ) | (3,034,867,586 | ) | 1,685,243 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$350,112,316 | $340,835,477 | $(9,276,839 | ) | |||||||||||||||||
|
|
|
|
|
|
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | CitiBank | AUD | 130,797,500 | $100,130,656 | $100,491,888 | $361,232 | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | 130,797,500 | 100,129,649 | 100,491,888 | 362,239 | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | 111,164,500 | 34,687,714 | 34,770,643 | 82,929 | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | 111,164,500 | 34,687,715 | 34,770,643 | 82,928 | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | CitiBank | CAD | 66,508,000 | 53,313,886 | 53,193,804 | (120,082 | ) | |||||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | 66,508,000 | 53,313,774 | 53,193,806 | (119,968 | ) | |||||||||||||
Swiss Franc, Expiring 09/16/15 | CitiBank | CHF | 19,564,500 | 20,930,060 | 20,989,213 | 59,153 | ||||||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | 19,564,500 | 20,924,762 | 20,989,213 | 64,451 | ||||||||||||||
Colombian Peso, Expiring 09/16/15* | CitiBank | COP | 1,450,000,000 | 567,017 | 551,882 | (15,135 | ) | |||||||||||||
Colombian Peso, Expiring 09/16/15* | Credit Suisse International | COP | 1,550,000,000 | 605,567 | 589,943 | (15,624 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
131
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Czech Republic Koruna, Expiring 09/16/15 | CitiBank | CZK | 349,027,000 | $ 14,340,069 | $ 14,284,498 | $ (55,571 | ) | |||||||||||||
Czech Republic Koruna, Expiring 09/16/15 | Credit Suisse International | CZK | 349,027,000 | 14,340,135 | 14,284,498 | (55,637 | ) | |||||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | 159,703,000 | 178,697,006 | 178,239,192 | (457,814 | ) | |||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 159,703,000 | 178,691,700 | 178,239,192 | (452,508 | ) | |||||||||||||
Euro, Expiring 04/05/16 | Credit Suisse International | EUR | 3,562 | 3,886 | 3,992 | 106 | ||||||||||||||
Euro, Expiring 04/05/17 | Credit Suisse International | EUR | 3,562 | 3,963 | 4,051 | 88 | ||||||||||||||
Euro, Expiring 04/05/16 | The Royal Bank of Scotland | EUR | 3,562 | 4,730 | 3,993 | (737 | ) | |||||||||||||
Euro, Expiring 04/05/17 | The Royal Bank of Scotland | EUR | 3,562 | 4,751 | 4,051 | (700 | ) | |||||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | 37,206,501 | 58,172,600 | 58,428,084 | 255,484 | ||||||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | 37,206,501 | 58,172,332 | 58,428,085 | 255,753 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | CitiBank | HKD | 17,950,000 | 2,315,691 | 2,315,475 | (216 | ) | |||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | 17,950,000 | 2,315,591 | 2,315,475 | (116 | ) | |||||||||||||
Hungarian Forint, Expiring 09/16/15 | CitiBank | HUF | 150,000,000 | 536,389 | 529,476 | (6,913 | ) | |||||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | 150,000,000 | 536,675 | 529,476 | (7,199 | ) | |||||||||||||
Indonesian Rupiah, Expiring 09/16/15* | CitiBank | IDR | 12,000,000,000 | 884,878 | 884,904 | 26 | ||||||||||||||
Indonesian Rupiah, Expiring 09/16/15* | Credit Suisse International | IDR | 12,000,000,000 | 884,878 | 884,904 | 26 | ||||||||||||||
Israeli Shekel, Expiring 09/16/15 | CitiBank | ILS | 4,000,000 | 1,040,638 | 1,060,274 | 19,636 | ||||||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | 4,000,000 | 1,040,581 | 1,060,274 | 19,693 | ||||||||||||||
Indian Rupee, Expiring 09/16/15* | CitiBank | INR | 411,100,000 | 6,335,254 | 6,356,333 | 21,079 | ||||||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | 411,100,000 | 6,335,253 | 6,356,332 | 21,079 | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | CitiBank | JPY | 7,152,927,735 | 58,034,855 | 58,505,683 | 470,828 | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | 7,375,120,664 | 59,808,679 | 60,323,057 | 514,378 | ||||||||||||||
Korean Won, Expiring 09/16/15* | CitiBank | KRW | 27,896,500,000 | 25,114,867 | 24,965,024 | (149,843 | ) | |||||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | 27,896,499,999 | 25,114,865 | 24,965,024 | (149,841 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | CitiBank | MXN | 95,500,000 | 6,158,613 | 6,042,541 | (116,072 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | 95,500,000 | 6,158,183 | 6,042,542 | (115,641 | ) | |||||||||||||
Malaysian Ringgit, Expiring 09/17/15* | CitiBank | MYR | 4,290,000 | 1,148,425 | 1,130,260 | (18,165 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
132
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Malaysian Ringgit, Expiring 09/17/15* | Credit Suisse International | MYR | 4,290,000 | $ 1,148,427 | $ 1,130,260 | $ (18,167 | ) | |||||||||||||
Norwegian Krone, Expiring 09/16/15 | CitiBank | NOK | 119,669,500 | 15,386,581 | 15,235,526 | (151,055 | ) | |||||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | 119,669,500 | 15,385,218 | 15,235,526 | (149,692 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/16/15 | CitiBank | NZD | 39,971,000 | 28,152,930 | 26,907,980 | (1,244,950 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | 39,970,998 | 28,153,083 | 26,907,978 | (1,245,105 | ) | |||||||||||||
Philippine Peso, Expiring 09/16/15* | CitiBank | PHP | 90,000,000 | 1,988,024 | 1,987,632 | (392 | ) | |||||||||||||
Philippine Peso, Expiring 09/16/15* | Credit Suisse International | PHP | 90,000,000 | 1,988,022 | 1,987,632 | (390 | ) | |||||||||||||
Poland Zloty, Expiring 09/16/15 | CitiBank | PLN | 84,295,000 | 22,617,760 | 22,372,199 | (245,561 | ) | |||||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | 84,295,000 | 22,617,547 | 22,372,199 | (245,348 | ) | |||||||||||||
Swedish Krona, Expiring 09/16/15 | CitiBank | SEK | 315,808,000 | 38,610,205 | 38,157,633 | (452,572 | ) | |||||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | 315,808,000 | 38,604,873 | 38,157,633 | (447,240 | ) | |||||||||||||
Singapore Dollar, Expiring 09/16/15 | CitiBank | SGD | 49,366,000 | 36,495,354 | 36,612,636 | 117,282 | ||||||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | 49,566,000 | 36,641,323 | 36,760,966 | 119,643 | ||||||||||||||
Turkish Lira, Expiring 09/16/15 | CitiBank | TRY | 143,691,000 | 52,119,587 | 52,445,667 | 326,080 | ||||||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | 143,691,000 | 52,121,440 | 52,445,667 | 324,227 | ||||||||||||||
Taiwanese Dollar, Expiring 09/16/15* | CitiBank | TWD | 737,299,999 | 23,950,882 | 23,908,245 | (42,637 | ) | |||||||||||||
Taiwanese Dollar, Expiring 09/16/15* | Credit Suisse International | TWD | 737,299,998 | 23,950,886 | 23,908,244 | (42,642 | ) | |||||||||||||
South African Rand, Expiring 09/16/15 | CitiBank | ZAR | 147,940,000 | 11,813,505 | 11,996,359 | 182,854 | ||||||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | 147,939,998 | 11,813,317 | 11,996,358 | 183,041 | ||||||||||||||
|
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|
|
|
| |||||||||||||||
$1,589,045,251 | $1,586,745,953 | $(2,299,298 | ) | |||||||||||||||||
|
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|
|
|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | CitiBank | AUD | (60,183,000 | ) | $(46,143,040 | ) | $(46,238,677 | ) | $(95,637 | ) | ||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | (60,183,000 | ) | (46,147,615 | ) | (46,238,677 | ) | (91,062 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | (7,500,000 | ) | (2,277,537 | ) | (2,345,892 | ) | (68,355 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | (7,500,000 | ) | (2,277,537 | ) | (2,345,892 | ) | (68,355 | ) | ||||||||||
Canadian Dollar, Expiring 09/16/15 | CitiBank | CAD | (48,630,000 | ) | (39,022,938 | ) | (38,894,793 | ) | 128,145 | |||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | (48,630,000 | ) | (39,025,032 | ) | (38,894,792 | ) | 130,240 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
133
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swiss Franc, Expiring 09/16/15 | CitiBank | CHF | (29,066,500 | ) | $ (31,215,809 | ) | $ (31,183,161 | ) | $ 32,648 | |||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (29,393,500 | ) | (31,562,581 | ) | (31,533,974 | ) | 28,607 | |||||||||||
Chilean Peso, Expiring 09/16/15* | CitiBank | CLP | (5,554,500,000 | ) | (8,819,091 | ) | (8,626,017 | ) | 193,074 | |||||||||||
Chilean Peso, Expiring 09/16/15* | Credit Suisse International | CLP | (5,554,500,000 | ) | (8,819,287 | ) | (8,626,017 | ) | 193,270 | |||||||||||
Colombian Peso, Expiring 09/16/15* | CitiBank | COP | (1,057,000,000 | ) | (411,845 | ) | (402,303 | ) | 9,542 | |||||||||||
Colombian Peso, Expiring 09/16/15* | Credit Suisse International | COP | (1,057,000,000 | ) | (411,844 | ) | (402,303 | ) | 9,541 | |||||||||||
Czech Republic Koruna, Expiring 09/16/15 | CitiBank | CZK | (152,000,000 | ) | (6,225,450 | ) | (6,220,847 | ) | 4,603 | |||||||||||
Czech Republic Koruna, Expiring 09/16/15 | Credit Suisse International | CZK | (152,000,000 | ) | (6,225,569 | ) | (6,220,845 | ) | 4,724 | |||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | (154,385,503 | ) | (172,531,155 | ) | (172,304,510 | ) | 226,645 | |||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (154,385,502 | ) | (172,532,787 | ) | (172,304,508 | ) | 228,279 | |||||||||||
Euro, Expiring 04/05/16 | Credit Suisse International | EUR | (3,562 | ) | (4,730 | ) | (3,992 | ) | 738 | |||||||||||
Euro, Expiring 04/05/17 | Credit Suisse International | EUR | (3,562 | ) | (4,751 | ) | (4,051 | ) | 700 | |||||||||||
Euro, Expiring 04/05/16 | The Royal Bank of Scotland | EUR | (3,562 | ) | (4,730 | ) | (3,993 | ) | 737 | |||||||||||
Euro, Expiring 04/05/17 | The Royal Bank of Scotland | EUR | (3,562 | ) | (4,751 | ) | (4,051 | ) | 700 | |||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | (21,615,002 | ) | (33,002,754 | ) | (33,943,615 | ) | (940,861 | ) | ||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | (21,615,002 | ) | (33,002,890 | ) | (33,943,616 | ) | (940,726 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/16/15 | CitiBank | HKD | (430,000 | ) | (55,443 | ) | (55,468 | ) | (25 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | (20,040,000 | ) | (2,584,888 | ) | (2,585,075 | ) | (187 | ) | ||||||||||
Hungarian Forint, Expiring 09/16/15 | CitiBank | HUF | (4,264,750,000 | ) | (15,303,245 | ) | (15,053,891 | ) | 249,354 | |||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | (4,364,750,000 | ) | (15,664,372 | ) | (15,406,874 | ) | 257,498 | |||||||||||
Indonesian Rupiah, Expiring 09/16/15* | CitiBank | IDR | (31,050,000,000 | ) | (2,286,928 | ) | (2,289,690 | ) | (2,762 | ) | ||||||||||
Indonesian Rupiah, Expiring 09/16/15* | Credit Suisse International | IDR | (31,050,000,000 | ) | (2,286,928 | ) | (2,289,690 | ) | (2,762 | ) | ||||||||||
Israeli Shekel, Expiring 09/16/15 | CitiBank | ILS | (62,712,501 | ) | (16,329,719 | ) | (16,623,122 | ) | (293,403 | ) | ||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | (62,712,500 | ) | (16,329,722 | ) | (16,623,122 | ) | (293,400 | ) | ||||||||||
Indian Rupee, Expiring 09/16/15* | CitiBank | INR | (145,000,000 | ) | (2,229,678 | ) | (2,241,956 | ) | (12,278 | ) | ||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | (145,000,000 | ) | (2,229,596 | ) | (2,241,956 | ) | (12,360 | ) | ||||||||||
Japanese Yen, Expiring 09/16/15 | CitiBank | JPY | (14,062,718,543 | ) | (113,308,404 | ) | (115,022,689 | ) | (1,714,285 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
134
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | (14,242,944,838 | ) | $ (114,760,262 | ) | $ (116,496,806 | ) | $ (1,736,544 | ) | ||||||||||
Korean Won, Expiring 09/16/15* | CitiBank | KRW | (25,650,000,000 | ) | (22,913,140 | ) | (22,954,595 | ) | (41,455 | ) | ||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | (25,650,000,000 | ) | (22,913,365 | ) | (22,954,595 | ) | (41,230 | ) | ||||||||||
Mexican Peso, Expiring 09/17/15 | CitiBank | MXN | (1,405,345,001 | ) | (90,581,024 | ) | (88,919,948 | ) | 1,661,076 | |||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | (1,405,345,001 | ) | (90,582,262 | ) | (88,919,948 | ) | 1,662,314 | |||||||||||
Malaysian Ringgit, Expiring 09/17/15* | CitiBank | MYR | (50,000,000 | ) | (13,265,492 | ) | (13,173,183 | ) | 92,309 | |||||||||||
Malaysian Ringgit, Expiring 09/17/15* | Credit Suisse International | MYR | (50,000,000 | ) | (13,265,326 | ) | (13,173,183 | ) | 92,143 | |||||||||||
Norwegian Krone, Expiring 09/16/15 | CitiBank | NOK | (685,947,999 | ) | (87,511,639 | ) | (87,330,339 | ) | 181,300 | |||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | (685,947,999 | ) | (87,513,690 | ) | (87,330,339 | ) | 183,351 | |||||||||||
New Zealand Dollar, Expiring 09/16/15 | CitiBank | NZD | (79,605,500 | ) | (55,790,795 | ) | (53,589,431 | ) | 2,201,364 | |||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | (79,605,500 | ) | (55,806,005 | ) | (53,589,431 | ) | 2,216,574 | |||||||||||
Philippine Peso, Expiring 09/16/15* | CitiBank | PHP | (170,000,000 | ) | (3,751,748 | ) | (3,754,416 | ) | (2,668 | ) | ||||||||||
Philippine Peso, Expiring 09/16/15* | Credit Suisse International | PHP | (170,000,000 | ) | (3,751,747 | ) | (3,754,416 | ) | (2,669 | ) | ||||||||||
Poland Zloty, Expiring 09/16/15 | CitiBank | PLN | (54,500,000 | ) | (14,526,202 | ) | (14,464,497 | ) | 61,705 | |||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | (54,500,000 | ) | (14,526,775 | ) | (14,464,497 | ) | 62,278 | |||||||||||
Swedish Krona, Expiring 09/16/15 | CitiBank | SEK | (175,976,999 | ) | (20,951,192 | ) | (21,262,495 | ) | (311,303 | ) | ||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | (175,976,999 | ) | (20,952,594 | ) | (21,262,494 | ) | (309,900 | ) | ||||||||||
Singapore Dollar, Expiring 09/16/15 | CitiBank | SGD | (4,950,000 | ) | (3,660,851 | ) | (3,671,202 | ) | (10,351 | ) | ||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | (4,950,000 | ) | (3,660,535 | ) | (3,671,201 | ) | (10,666 | ) | ||||||||||
Turkish Lira, Expiring 09/16/15 | CitiBank | TRY | (49,000,000 | ) | (17,447,371 | ) | (17,884,473 | ) | (437,102 | ) | ||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | (49,000,000 | ) | (17,445,364 | ) | (17,884,473 | ) | (439,109 | ) | ||||||||||
Taiwanese Dollar, Expiring 09/16/15* | CitiBank | TWD | (145,000,000 | ) | (4,706,036 | ) | (4,701,882 | ) | 4,154 | |||||||||||
Taiwanese Dollar, Expiring 09/16/15* | Credit Suisse International | TWD | (145,000,000 | ) | (4,706,037 | ) | (4,701,882 | ) | 4,155 | |||||||||||
South African Rand, Expiring 09/16/15 | CitiBank | ZAR | (103,500,000 | ) | (8,244,421 | ) | (8,392,750 | ) | (148,329 | ) | ||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | (104,500,000 | ) | (8,326,567 | ) | (8,473,839 | ) | (147,272 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(1,669,843,086 | ) | (1,667,896,374 | ) | 1,946,712 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(80,797,835 | ) | $(81,150,421 | ) | $(352,586 | ) | |||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
135
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
* | Non-deliverable forward. (See Note 4). |
AUD | - Australian Dollar |
BRL | - Brazilian Real |
CAD | - Canadian Dollar |
CHF | - Swiss Franc |
CLP | - Chilean Peso |
COP | - Colombian Peso |
CZK | - Czech Republic Koruna |
EUR | - Euro |
GBP | - British Pound |
HKD | - Hong Kong Dollar |
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
Total Return Basket Swaps* Outstanding at June 30, 2015
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Bank of America | The Fund receives the total return on a portfolio of long and short positions and pays the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 66-67 months maturity 08/12/2019 | $(329,341 | ) | ||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swaps
The following table represents the individual short positions and related values within the total return basket swaps as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Cayman Islands | ||||||||||||
Herbalife Ltd. | (22,591 | ) | $ | (1,209,748 | ) | $ | (34,790 | ) | ||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (294,551 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (329,341 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
136
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 37 months maturity 12/21/2015 | $13,600,587 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
BHP Billiton PLC | 152,710 | $ | 3,231,799 | $ | (229,263 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
DCC PLC | 67,349 | 3,740,304 | 1,548,628 | |||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Royal Dutch Shell PLC | 249,726 | 8,070,270 | (1,009,476 | ) | ||||||||
|
| |||||||||||
South Africa | ||||||||||||
Investec PLC | 599,855 | 4,601,644 | 788,043 | |||||||||
Mondi PLC | 109,534 | 1,893,075 | 465,112 | |||||||||
|
| |||||||||||
1,253,155 | ||||||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Wolseley PLC | 61,196 | 3,770,102 | 132,634 | |||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
3i Group PLC | 401,143 | 3,262,590 | (7,640 | ) | ||||||||
Amlin PLC | 15,089 | 115,831 | (2,934 | ) | ||||||||
Associated British Foods PLC | 36,862 | 1,705,994 | (44,911 | ) | ||||||||
AstraZeneca PLC | 242,157 | 17,559,637 | (2,233,459 | ) | ||||||||
Aviva PLC | 552,901 | 4,293,243 | (10,813 | ) | ||||||||
Babcock International Group PLC | 23,803 | 448,206 | (44,925 | ) | ||||||||
BAE Systems PLC | 429,458 | 3,045,780 | (2,887 | ) | ||||||||
Barratt Developments PLC | 1,015,835 | 6,313,329 | 3,484,733 | |||||||||
Berkeley Group Holdings PLC | 86,680 | 3,430,633 | 1,124,307 | |||||||||
Booker Group PLC | 201,383 | 542,848 | (10,372 | ) | ||||||||
BP PLC | 1,073,192 | 7,721,595 | (599,163 | ) | ||||||||
British American Tobacco PLC | 3,130 | 178,883 | (10,356 | ) | ||||||||
Britvic PLC | 68,721 | 790,739 | (16,480 | ) | ||||||||
BT Group PLC | 2,316,997 | 15,760,895 | 646,558 | |||||||||
Close Brothers Group PLC | 69,413 | 1,706,885 | (41,397 | ) | ||||||||
Cobham PLC | 45,698 | 229,596 | (40,863 | ) | ||||||||
Compass Group PLC | 62,033 | 1,004,820 | 21,153 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United Kingdom (continued) | ||||||||||||
Direct Line Insurance Group PLC | 853,802 | $ | 4,415,886 | $ | 90,955 | |||||||
Dixons Carphone PLC | 170,868 | 1,152,786 | 62,239 | |||||||||
DS Smith PLC | 602,253 | 3,029,542 | 622,632 | |||||||||
G4S PLC | 282,222 | 1,230,940 | (40,942 | ) | ||||||||
GKN PLC | 970,458 | 5,052,918 | 45,696 | |||||||||
Greene King PLC | 9,412 | 124,482 | 445 | |||||||||
Halma PLC | 26,181 | 287,606 | 25,671 | |||||||||
Hays PLC | 1,322,653 | 2,956,543 | 435,531 | |||||||||
Hikma Pharmaceuticals PLC | 48,927 | 1,553,027 | (66,835 | ) | ||||||||
Howden Joinery Group PLC | 211,763 | 1,553,586 | 165,247 | |||||||||
HSBC Holdings PLC | 59,684 | 557,219 | (22,784 | ) | ||||||||
Imperial Tobacco Group PLC | 225,653 | 10,923,114 | (55,164 | ) | ||||||||
Inchcape PLC | 576,262 | 5,610,105 | 1,725,426 | |||||||||
Informa PLC | 18,241 | 165,185 | (8,522 | ) | ||||||||
Inmarsat PLC | 46,606 | 604,082 | 65,902 | |||||||||
Intermediate Capital Group PLC | 465,925 | 3,527,063 | 497,942 | |||||||||
ITV PLC | 549,858 | 1,739,357 | 535,646 | |||||||||
KAZ Minerals PLC | 93,185 | 360,562 | (63,081 | ) | ||||||||
Kingfisher PLC | 780,944 | 4,311,709 | (52,055 | ) | ||||||||
Legal & General Group PLC | 553,937 | 2,088,918 | 77,011 | |||||||||
Lonmin PLC | 128,221 | 296,704 | (70,976 | ) | ||||||||
Man Group PLC | 344,198 | 885,169 | (36,835 | ) | ||||||||
Merlin Entertainments PLC | 105,052 | 730,779 | (26,210 | ) | ||||||||
National Grid PLC | 149,011 | 2,128,012 | (210,117 | ) | ||||||||
Next PLC | 6,180 | 635,438 | 87,882 | |||||||||
Persimmon PLC | 104,091 | 2,588,802 | 640,722 | |||||||||
Playtech PLC | 68,191 | 841,723 | 35,144 | |||||||||
Premier Oil PLC | 1,069,854 | 2,796,602 | (291,151 | ) | ||||||||
Provident Financial PLC | 41,963 | 1,466,947 | 462,340 | |||||||||
Prudential PLC | 15,641 | 427,784 | (50,843 | ) | ||||||||
Reckitt Benckiser Group PLC | 30,633 | 2,544,148 | 97,468 | |||||||||
Rentokil Initial PLC | 1,024,085 | 2,009,638 | 368,742 | |||||||||
Rio Tinto PLC | 74,434 | 3,335,024 | (273,331 | ) | ||||||||
SABMiller PLC | 219,457 | 12,083,362 | (704,426 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
137
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United Kingdom (continued) | ||||||||||||
Sage Group PLC/The | 261,713 | $ | 2,033,518 | $ | 73,148 | |||||||
Severn Trent PLC | 6,279 | 210,334 | (5,159 | ) | ||||||||
Shire PLC | 73,560 | 6,283,381 | (372,867 | ) | ||||||||
Smith & Nephew PLC | 33,771 | 622,028 | (50,714 | ) | ||||||||
Spectris PLC | 10,981 | 389,011 | (25,195 | ) | ||||||||
SSE PLC | 33,014 | 833,363 | (36,867 | ) | ||||||||
TalkTalk Telecom Group PLC | 12,766 | 79,235 | (2,575 | ) | ||||||||
Taylor Wimpey PLC | 2,381,616 | 5,706,006 | 1,239,448 | |||||||||
Travis Perkins PLC | 152,155 | 4,284,754 | 754,585 | |||||||||
UBM PLC | 44,119 | 378,961 | (8,259 | ) | ||||||||
United Utilities Group PLC | 36,167 | 552,416 | (45,848 | ) | ||||||||
Vodafone Group PLC | 1,633,776 | 5,993,968 | (34,123 | ) | ||||||||
WPP PLC | 166,824 | 3,376,274 | 368,288 | |||||||||
|
| |||||||||||
8,133,782 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 9,829,460 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
Henderson Group PLC | (225,384 | ) | (936,528 | ) | 11,834 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Coca-Cola HBC AG | (24,764 | ) | (465,733 | ) | (65,731 | ) | ||||||
Glencore PLC | (1,340,378 | ) | (6,355,598 | ) | 980,409 | |||||||
|
| |||||||||||
914,678 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aberdeen Asset Management PLC | (1,106,525 | ) | (7,424,828 | ) | 406,097 | |||||||
Admiral Group PLC | (516,817 | ) | (11,279,684 | ) | 18,082 | |||||||
Aggreko PLC | (249,963 | ) | (6,432,260 | ) | 786,271 | |||||||
Amec Foster Wheeler PLC | (106,558 | ) | (1,464,397 | ) | 95,852 | |||||||
Anglo American PLC | (371,167 | ) | (6,025,435 | ) | 663,394 | |||||||
Antofagasta PLC | (451,186 | ) | (5,121,599 | ) | 238,035 | |||||||
Ashtead Group PLC | (49,925 | ) | (839,603 | ) | (20,844 | ) | ||||||
ASOS PLC | (47,598 | ) | (1,706,696 | ) | (1,195,219 | ) | ||||||
Balfour Beatty PLC | (108,908 | ) | (407,921 | ) | (5,831 | ) | ||||||
Barclays PLC | (5,099 | ) | (20,322 | ) | (577 | ) | ||||||
BTG PLC | (51,210 | ) | (523,456 | ) | 18,488 | |||||||
Bunzl PLC | (3,114 | ) | (83,822 | ) | (1,126 | ) | ||||||
Burberry Group PLC | (418,652 | ) | (10,148,150 | ) | (180,152 | ) | ||||||
Capita PLC | (70,646 | ) | (1,231,311 | ) | (141,385 | ) | ||||||
Centrica PLC | (2,645,843 | ) | (10,755,444 | ) | (223,436 | ) | ||||||
Croda International PLC | (89,306 | ) | (3,316,586 | ) | (544,926 | ) | ||||||
Daily Mail & General Trust PLC | (44,366 | ) | (637,154 | ) | (10,228 | ) | ||||||
Diageo PLC | (221,534 | ) | (6,380,575 | ) | (35,003 | ) | ||||||
Drax Group PLC | (695,279 | ) | (4,169,835 | ) | 367,091 | |||||||
easyJet PLC | (71,416 | ) | (2,024,531 | ) | 288,512 | |||||||
Essentra PLC | (14,475 | ) | (227,016 | ) | 1,279 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United Kingdom (continued) | ||||||||||||
Eurasian Natural Resources Corp. Ltd. | (2,433 | ) | $ | (8,499 | ) | $ | 263 | |||||
Experian PLC | (198,265 | ) | (3,464,386 | ) | (141,736 | ) | ||||||
GlaxoSmithKline PLC | (37,508 | ) | (956,281 | ) | 176,417 | |||||||
Hargreaves Lansdown PLC | (626,180 | ) | (10,325,399 | ) | (1,019,745 | ) | ||||||
ICAP PLC | (224,886 | ) | (1,440,003 | ) | (430,595 | ) | ||||||
IMI PLC | (133,916 | ) | (2,889,514 | ) | 522,215 | |||||||
International Consolidated Airlines Group SA | (54,619 | ) | (498,795 | ) | 74,345 | |||||||
Intertek Group PLC | (148,336 | ) | (6,367,576 | ) | 664,058 | |||||||
J Sainsbury PLC | (1,600,220 | ) | (6,747,955 | ) | 86,674 | |||||||
John Wood Group PLC | (38,309 | ) | (362,728 | ) | (24,988 | ) | ||||||
Johnson Matthey PLC | (46,625 | ) | (2,308,218 | ) | 84,758 | |||||||
Ladbrokes PLC | (1,110,842 | ) | (1,943,716 | ) | (321,491 | ) | ||||||
Lloyds Banking Group PLC | (2,992,180 | ) | (3,759,859 | ) | (256,243 | ) | ||||||
Marks & Spencer Group PLC | (1,016,025 | ) | (7,317,041 | ) | (1,254,079 | ) | ||||||
Meggitt PLC | (183,608 | ) | (1,376,573 | ) | 32,062 | |||||||
Melrose Industries PLC | (61,835 | ) | (276,068 | ) | 35,731 | |||||||
Ocado Group PLC | (285,183 | ) | (1,723,210 | ) | (273,267 | ) | ||||||
Old Mutual PLC | (827,294 | ) | (2,681,436 | ) | 62,758 | |||||||
Pearson PLC | (68,149 | ) | (1,270,380 | ) | (19,985 | ) | ||||||
Pennon Group PLC | (308 | ) | (3,719 | ) | (205 | ) | ||||||
Petrofac Ltd. | (726,678 | ) | (11,615,675 | ) | 1,041,993 | |||||||
Rolls-Royce Holdings PLC | (49,924 | ) | (679,134 | ) | (2,790 | ) | ||||||
Rolls-Royce Holdings PLC | (7,039,284 | ) | (460 | ) | (10,601 | ) | ||||||
Rolls-Royce Holdings PLC | (483,481 | ) | (26 | ) | (734 | ) | ||||||
Rotork PLC | (160,357 | ) | (623,824 | ) | 37,627 | |||||||
Royal Bank of Scotland Group PLC | (378,225 | ) | (2,081,893 | ) | (9,507 | ) | ||||||
Royal Mail PLC | (254,153 | ) | (2,063,128 | ) | 8,424 | |||||||
RSA Insurance Group PLC | (742,183 | ) | (5,154,096 | ) | 525,994 | |||||||
Serco Group PLC | (587,599 | ) | (1,253,996 | ) | 164,361 | |||||||
Sky PLC | (128,665 | ) | (1,800,231 | ) | (295,418 | ) | ||||||
Smiths Group PLC | (43,839 | ) | (746,795 | ) | (30,280 | ) | ||||||
Spirax-Sarco Engineering PLC | (12,021 | ) | (557,185 | ) | (83,959 | ) | ||||||
Sports Direct International PLC | (835,731 | ) | (8,970,370 | ) | (452,406 | ) | ||||||
St James’s Place PLC | (141,444 | ) | (1,965,469 | ) | (45,803 | ) | ||||||
Standard Chartered PLC | (574,027 | ) | (9,457,582 | ) | 264,879 | |||||||
Standard Life PLC | (563,591 | ) | (4,250,198 | ) | 320,256 | |||||||
Tate & Lyle PLC | (35,454 | ) | (297,310 | ) | 7,853 | |||||||
Telecity Group PLC | (16,552 | ) | (193,457 | ) | (73,920 | ) | ||||||
Tesco PLC | (2,117,163 | ) | (7,612,404 | ) | 558,478 | |||||||
Thomas Cook Group PLC | (78,770 | ) | (174,684 | ) | 5,368 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
138
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United Kingdom (continued) | ||||||||||||
Vedanta Resources PLC | (109,329 | ) | $ | (771,604 | ) | $ | (121,263 | ) | ||||
Weir Group PLC/The | (227,659 | ) | (6,968,705 | ) | 901,088 | |||||||
Whitbread PLC | (537 | ) | (42,777 | ) | 1,057 | |||||||
William Hill PLC | (213,939 | ) | (1,286,641 | ) | (68,539 | ) | ||||||
WM Morrison Supermarkets PLC | (1,544,510 | ) | (4,300,121 | ) | (84,397 | ) | ||||||
|
| |||||||||||
1,079,082 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 2,005,594 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 11,835,054 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 1,765,533 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 13,600,587 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the EUR/USD 1 Week Forward FX Swap rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 12-37 months maturity ranging from 12/21/2015 -12/28/2015 | $7,017,556 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Aeroports de Paris | 11,111 | $ | 1,149,430 | $ | 105,678 | |||||||
Air France-KLM | 15,867 | 135,903 | (23,958 | ) | ||||||||
Airbus Group SE | 21,391 | 1,143,757 | 249,596 | |||||||||
Atos SE | 62,333 | 4,189,016 | 468,713 | |||||||||
BNP Paribas SA | 6,641 | 414,055 | (11,061 | ) | ||||||||
Bouygues SA | 52,526 | 2,080,879 | (106,204 | ) | ||||||||
Cap Gemini SA | 34,479 | 1,884,037 | 1,174,821 | |||||||||
Cie Generale des Etablissements Michelin | 73,392 | 5,847,667 | 1,874,924 | |||||||||
CNP Assurances | 68,210 | 1,178,387 | (36,773 | ) | ||||||||
Credit Agricole SA | 111,103 | 1,419,709 | 239,054 | |||||||||
Dassault Systemes | 9,316 | 726,998 | (50,710 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Eiffage SA | 26,290 | $ | 1,428,793 | $ | 35,101 | |||||||
Etablissements Maurel et Prom | 57,907 | 515,584 | (84,543 | ) | ||||||||
GDF Suez | 127,788 | 2,912,971 | (533,769 | ) | ||||||||
Groupe Eurotunnel SE | 55,735 | 641,442 | 166,672 | |||||||||
Havas SA | 95,780 | 786,276 | 13,092 | |||||||||
Hermes International | 2,421 | 924,423 | (20,471 | ) | ||||||||
Iliad SA | 31,580 | 6,749,933 | 271,645 | |||||||||
Imerys SA | 11,524 | 753,580 | 130,462 | |||||||||
Ingenico Group | 9,456 | 959,975 | 152,513 | |||||||||
Lagardere SCA | 241,777 | 6,780,450 | 294,150 | |||||||||
Natixis SA | 27,132 | 161,918 | 33,903 | |||||||||
Neopost SA | 2,571 | 113,217 | (2,577 | ) | ||||||||
Numericable-SFR SAS | 4,201 | 234,770 | (11,291 | ) | ||||||||
Orange SA | 382,118 | 5,700,197 | 205,192 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
139
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Orpea | 3,396 | $ | 241,209 | $ | (3,391 | ) | ||||||
Peugeot SA | 307,050 | 5,645,823 | 686,114 | |||||||||
Plastic Omnium SA | 4,461 | 117,499 | (3,378 | ) | ||||||||
Rexel SA | 177,307 | 3,341,211 | (480,073 | ) | ||||||||
Safran SA | 641 | 35,976 | 7,586 | |||||||||
Sanofi | 19,943 | 1,683,804 | 289,156 | |||||||||
SCOR SE | 59,074 | 1,835,297 | 253,646 | |||||||||
SEB SA | 3,880 | 364,500 | (2,045 | ) | ||||||||
SES SA | 131,430 | 4,175,261 | 243,152 | |||||||||
Societe BIC SA | 17,669 | 1,665,458 | 1,152,886 | |||||||||
Societe Television Francaise 1 | 46,834 | 827,437 | (21,704 | ) | ||||||||
Sodexo SA | 3,342 | 314,182 | 3,969 | |||||||||
Suez Environnement Co. | 262,573 | 3,630,072 | 1,271,907 | |||||||||
Teleperformance | 4,945 | 365,944 | (16,348 | ) | ||||||||
Thales SA | 20,342 | 982,063 | 247,021 | |||||||||
Total SA | 18,302 | 998,762 | (101,031 | ) | ||||||||
Valeo SA | 54,460 | 2,678,255 | 5,936,395 | |||||||||
Vivendi SA | 330,982 | 7,848,546 | 544,034 | |||||||||
|
| |||||||||||
14,542,055 | ||||||||||||
|
| |||||||||||
Portugal | ||||||||||||
Galp Energia SGPS SA | 33,449 | 407,169 | (13,432 | ) | ||||||||
NOS SGPS SA | 40,120 | 301,461 | 20,110 | |||||||||
Sonae SGPS SA | 14 | 19 | — | |||||||||
|
| |||||||||||
6,678 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 14,548,733 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Accor SA | (42,800 | ) | (1,422,325 | ) | (743,790 | ) | ||||||
Air Liquide SA | (338 | ) | (38,819 | ) | (4,070 | ) | ||||||
Alcatel-Lucent | (1,388,586 | ) | (1,617,607 | ) | (3,446,891 | ) | ||||||
Arkema SA | (24,892 | ) | (1,798,663 | ) | (719 | ) | ||||||
AXA SA | (39,955 | ) | (1,061,844 | ) | 48,911 | |||||||
Bollore SA | (276,902 | ) | (1,560,974 | ) | 79,707 | |||||||
Bureau Veritas SA | (47,432 | ) | (1,058,930 | ) | (34,471 | ) | ||||||
Carrefour SA | (88,343 | ) | (2,796,022 | ) | (42,750 | ) | ||||||
Casino Guichard Perrachon SA | (28,015 | ) | (2,410,796 | ) | 284,387 | |||||||
Christian Dior SE | (1,370 | ) | (218,862 | ) | (49,342 | ) | ||||||
Cie de Saint-Gobain | (102,103 | ) | (3,847,822 | ) | (761,250 | ) | ||||||
Danone SA | (187 | ) | (13,307 | ) | 1,194 | |||||||
Edenred | (105,986 | ) | (2,704,024 | ) | 85,241 | |||||||
Electricite de France SA | (124,139 | ) | (3,159,955 | ) | 383,135 | |||||||
Essilor International SA | (31,683 | ) | (3,169,772 | ) | (625,869 | ) | ||||||
Eutelsat Communications SA | (22,931 | ) | (483,261 | ) | (257,485 | ) | ||||||
Faurecia | (48,478 | ) | (1,732,441 | ) | (271,694 | ) | ||||||
JCDecaux SA | (22,124 | ) | (761,937 | ) | (163,251 | ) | ||||||
Kering | (16,600 | ) | (3,015,979 | ) | 48,112 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Legrand SA | (29,436 | ) | $ | (1,361,534 | ) | $ | (295,180 | ) | ||||
LVMH Moet Hennessy Louis Vuitton SE | (28,936 | ) | (4,214,211 | ) | (873,040 | ) | ||||||
Pernod Ricard SA | (20,476 | ) | (1,896,270 | ) | (470,807 | ) | ||||||
Publicis Groupe SA | (22,154 | ) | (1,642,446 | ) | 325 | |||||||
Remy Cointreau SA | (40,155 | ) | (2,801,630 | ) | (99,403 | ) | ||||||
Renault SA | (99,350 | ) | (8,857,855 | ) | (1,558,738 | ) | ||||||
Schneider Electric SE | (39,042 | ) | (2,858,122 | ) | 154,892 | |||||||
Societe Generale SA | (19,739 | ) | (827,431 | ) | (98,798 | ) | ||||||
Technip SA | (102,121 | ) | (6,661,393 | ) | 332,529 | |||||||
Vallourec SA | (202,922 | ) | (6,147,627 | ) | 2,002,004 | |||||||
Veolia Environnement SA | (255,934 | ) | (2,146,682 | ) | (3,093,438 | ) | ||||||
Vinci SA | (14,980 | ) | (776,894 | ) | (92,512 | ) | ||||||
Zodiac Aerospace | (84,485 | ) | (2,680,850 | ) | (71,145 | ) | ||||||
|
| |||||||||||
(9,634,206 | ) | |||||||||||
|
| |||||||||||
Portugal | ||||||||||||
EDP - Energias de Portugal SA | (191,588 | ) | (743,987 | ) | 14,037 | |||||||
Jeronimo Martins SGPS SA | (196,059 | ) | (2,620,984 | ) | 93,010 | |||||||
|
| |||||||||||
107,047 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | (9,527,159 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 5,021,574 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 1,995,982 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 7,017,556 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
140
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 24 months maturity 10/16/2015 | $111,860 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
iiNET Ltd. | 90,733 | $ | 593,600 | $ | 71,555 | |||||||
Recall Holdings Ltd. | 176,282 | 970,982 | (30,095 | ) | ||||||||
|
| |||||||||||
41,460 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 41,460 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
Federation Centres | (7 | ) | (17 | ) | 1 | |||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 41,461 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 70,399 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 111,860 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
141
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 37 months maturity 12/21/2015 | $(419,589 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
United Arab Emirates | ||||||||||||
Dragon Oil PLC Common | 120,068 | $ | 1,367,887 | $ | 2,830 | |||||||
|
| |||||||||||
United Kingdom | ||||||||||||
BG Group PLC | 718,469 | 13,240,840 | (1,274,874 | ) | ||||||||
CSR PLC | 581,566 | 7,945,297 | 37,159 | |||||||||
Greene King PLC | 1,006 | 11,655 | 1,698 | |||||||||
Pace Pld Ord | 807,826 | 5,152,616 | (429,927 | ) | ||||||||
Rexam PLC | 403,113 | 3,548,667 | (52,449 | ) | ||||||||
Synergy Health PLC | 132,351 | 3,847,272 | (269,246 | ) | ||||||||
Telecity Group PLC | 78,189 | 1,342,273 | (79,230 | ) | ||||||||
TSB Banking Group PLC | 1,131,722 | 5,912,696 | 121,027 | |||||||||
|
| |||||||||||
(1,945,842 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (1,943,012 | ) | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Netherlands | ||||||||||||
Royal Dutch Shell PLC | (324,062 | ) | $ | (10,436,308 | ) | $ | 1,210,093 | |||||
|
| |||||||||||
Total of Long and Short Equity Positions | (732,919 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 313,330 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (419,589 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
142
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 12 months maturity ranging from 11/20/2015 - 01/27/2016 | $262,314 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
United States | ||||||||||||
Eurasia Drilling Co., Ltd. | 47,459 | $ | 909,768 | $ | (128,728 | ) | ||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
United States | ||||||||||||
ARRIS Group, Inc. | (118,546 | ) | (3,935,564 | ) | 308,056 | |||||||
Ball Corp. | (24,873 | ) | (1,790,834 | ) | 45,992 | |||||||
Equinix, Inc. | (2,440 | ) | (649,689 | ) | 29,929 | |||||||
Iron Mountain, Inc. | (2,823 | ) | (89,851 | ) | 2,338 | |||||||
STERIS Corp. | (5,017 | ) | (333,586 | ) | 10,291 | |||||||
|
| |||||||||||
396,606 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 396,606 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 267,878 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (5,564 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 262,314 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
143
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of short position and pays the HKD/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | 12 months maturity 01/22/2016 | $(38,975 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Hong Kong | ||||||||||||
Cheung Kong Property Holdings Ltd. | (1,230 | ) | $ | (1 | ) | $ | (10,202 | ) | ||||
CK Hutchison Holdings Ltd. | (1,230 | ) | (27,281 | ) | 9,198 | |||||||
|
| |||||||||||
(1,004 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (1,004 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (37,971 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (38,975 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
144
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Deutsche Bank | The Fund receives the total return on a portfolio of long and short positions and pays the EUR/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 12 months maturity ranging from 04/26/2016 -06/27/2016 | $19,767 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Alcatel-Lucent | 580,747 | $ | 2,371,703 | $ | (253,583 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
Aer Lingus Group PLC | 1,830 | 4,943 | (25 | ) | ||||||||
|
| |||||||||||
Total of Long Equity Positions | (253,608 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Finland | ||||||||||||
Nokia OYJ | (319,280 | ) | (2,487,700 | ) | 311,179 | |||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 57,571 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (37,804 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 19,767 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
145
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of short position and pays the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | 11 -12 months maturity ranging from 04/25/2016 - 07/04/2016 | $3,824,218 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
China | ||||||||||||
Agricultural Bank of China Ltd. | 3,177,000 | $ | 1,826,855 | $ | (120,126 | ) | ||||||
ANTA Sports Products Ltd. | 1,197,000 | 2,727,887 | 173,993 | |||||||||
Beijing Capital International Airport Co., Ltd. | 1,690,000 | 1,860,288 | 85,607 | |||||||||
China Everbright Bank Co., Ltd. | 91,000 | 57,082 | (2,578 | ) | ||||||||
China International | 164,300 | 419,779 | 2,439 | |||||||||
China Life Insurance Co., Ltd. | 108,000 | 539,810 | (71,064 | ) | ||||||||
China Medical System | 288,000 | 512,636 | (109,437 | ) | ||||||||
China Railway Group Ltd. | 74,000 | 77,285 | 2,493 | |||||||||
China Shenhua Energy Co., Ltd. | 233,500 | 570,349 | (38,569 | ) | ||||||||
Datang International Power Generation Co., Ltd. | 154,000 | 88,055 | (9,173 | ) | ||||||||
Dongfeng Motor Group Co., Ltd. | 1,318,000 | 2,182,317 | (416,612 | ) | ||||||||
Geely Automobile Holdings Ltd. | 170,000 | 84,881 | 5,749 | |||||||||
Great Wall Motor Co., Ltd. | 128,500 | 973,108 | (343,169 | ) | ||||||||
Haitian International Holdings Ltd. | 6,000 | 13,365 | 720 | |||||||||
People’s Insurance Co. Group of China Ltd./The | 2,458,000 | 1,647,739 | (76,340 | ) | ||||||||
Ping An Insurance Group Co. of China Ltd. | 20,500 | 290,982 | (14,324 | ) | ||||||||
Shandong Weigao Group Medical Polymer Co., Ltd. | 76,000 | 67,420 | (10,710 | ) | ||||||||
Sinopec Shanghai Petrochemical Co., Ltd. | 4,281,000 | 2,167,356 | 147,938 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
China (continued) | ||||||||||||
Sinopharm Group Co., Ltd. | 20,400 | $ | 86,163 | $ | 4,427 | |||||||
Sinotrans Ltd. | 358,000 | 280,657 | (42,289 | ) | ||||||||
Weichai Power Co., Ltd. | 33,000 | 124,308 | (14,462 | ) | ||||||||
Zhuzhou CSR Times Electric Co., Ltd. | 302,000 | 2,353,739 | (96,276 | ) | ||||||||
|
| |||||||||||
(941,763 | ) | |||||||||||
|
| |||||||||||
Hong Kong | ||||||||||||
Air China Ltd. | 2,154,000 | 2,670,450 | (236,222 | ) | ||||||||
China Resources Cement Holdings Ltd. | 548,000 | 342,192 | (36,752 | ) | ||||||||
CITIC Ltd. | 441,000 | 810,745 | (19,882 | ) | ||||||||
CSPC Pharmaceutical Group Ltd. | 608,000 | 615,663 | (15,329 | ) | ||||||||
Far East Horizon Ltd. | 452,000 | 458,327 | (28,748 | ) | ||||||||
Guangdong Investment Ltd. | 1,342,000 | 1,930,876 | (52,956 | ) | ||||||||
Sino Biopharmaceutical Ltd. | 2,712,000 | 3,282,129 | (137,913 | ) | ||||||||
|
| |||||||||||
(527,802 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (1,469,565 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
China | ||||||||||||
AAC Technologies Holdings, Inc. | (65,000 | ) | (363,510 | ) | (3,045 | ) | ||||||
Anhui Conch Cement Co., Ltd. | (331,500 | ) | (1,324,856 | ) | 163,367 | |||||||
BBMG Corp. | (310,500 | ) | (348,639 | ) | 34,669 | |||||||
Byd Co., Ltd. | (618,000 | ) | (3,894,990 | ) | 192,238 | |||||||
Cgn Power Co., Ltd. | (3,653,000 | ) | (2,318,274 | ) | 409,094 | |||||||
China Cinda Asset Management Co., Ltd. | (3,133,000 | ) | (1,860,553 | ) | 118,100 | |||||||
China COSCO Holdings Co., Ltd. | (301,000 | ) | (231,363 | ) | 37,282 | |||||||
China Huishan Dairy | (3,908,000 | ) | (865,616 | ) | (26,012 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
146
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
China (continued) | ||||||||||||
China Merchants Bank Co., Ltd. | (389,500 | ) | $ | (1,276,838 | ) | $ | 145,473 | |||||
China Oilfield Services Ltd. | (2,304,000 | ) | (4,613,924 | ) | 949,928 | |||||||
China Pacific Insurance Group Co., Ltd. | (419,600 | ) | (2,230,090 | ) | 219,922 | |||||||
China Shipping Container Lines Co., Ltd. | (6,029,000 | ) | (2,871,544 | ) | 519,796 | |||||||
ENN Energy Holdings Ltd. | (400,000 | ) | (2,979,998 | ) | 574,661 | |||||||
Huaneng Power International, Inc. | (56,000 | ) | (76,716 | ) | (1,222 | ) | ||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd. | (661,000 | ) | (2,527,188 | ) | 78,376 | |||||||
Tingyi Cayman Islands Holding Corp. | (274,000 | ) | (582,248 | ) | 23,223 | |||||||
Uni-President China | (174,000 | ) | (137,351 | ) | (23,030 | ) | ||||||
Yanzhou Coal Mining Co. | (1,282,000 | ) | (1,180,841 | ) | 178,842 | |||||||
Zijin Mining Group Co., Ltd. | (1,542,000 | ) | (582,815 | ) | 40,028 | |||||||
|
| |||||||||||
3,631,690 | ||||||||||||
|
| |||||||||||
Hong Kong | ||||||||||||
Aluminum Corp of China Ltd. | (1,436,000 | ) | (956,990 | ) | 238,791 | |||||||
Beijing Enterprises Holdings Ltd. | (116,500 | ) | (1,080,680 | ) | 205,247 | |||||||
Beijing Enterprises Water Group Ltd. | (4,108,000 | ) | (3,624,983 | ) | 260,253 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Hong Kong (continued) | ||||||||||||
Brilliance China | (48,000 | ) | $ | (70,578 | ) | $ | (4,230 | ) | ||||
China Agri-Industries Holdings Ltd. | (3,307,000 | ) | (1,884,698 | ) | 2,593 | |||||||
China Gas Holdings Ltd. | (1,866,000 | ) | (3,304,429 | ) | 318,742 | |||||||
China Resources | (518,000 | ) | (1,604,841 | ) | (63,582 | ) | ||||||
China Resources Gas Group Ltd. | (456,000 | ) | (1,588,206 | ) | 237,876 | |||||||
Lee & Man Paper | (205,000 | ) | (111,248 | ) | (19,390 | ) | ||||||
Lenovo Group Ltd. | (866,000 | ) | (1,494,686 | ) | 297,385 | |||||||
Want Want China Holdings Ltd. | (3,543,000 | ) | (3,888,301 | ) | 147,491 | |||||||
|
| |||||||||||
1,621,176 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 5,252,866 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 3,783,301 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 40,917 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 3,824,218 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
147
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR plus or minus a specified spread, which is denominated in PLN based on the local currencies of the positions within the swaps. | 12 months maturity 04/25/2016 - 07/01/2016 | $(163,330 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Poland | ||||||||||||
Energa SA | 140,529 | $ | 955,231 | $ | (104,904 | ) | ||||||
Orange Polska SA | 5,604 | 15,333 | (3,196 | ) | ||||||||
PGE Polska Grupa Energetyczna SA | 659,263 | 3,726,629 | (493,560 | ) | ||||||||
Polski Koncern Naftowy Orlen SA | 6,579 | 126,656 | 2,563 | |||||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 616,834 | 981,634 | 101,379 | |||||||||
|
| |||||||||||
(497,718) | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | (497,718 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Poland | ||||||||||||
Bank Pekao SA | (11,136 | ) | (569,583 | ) | 36,694 | |||||||
Bank Zachodni WBK SA | (142 | ) | (13,973 | ) | 1,094 | |||||||
Eurocash SA | (89,336 | ) | (869,658 | ) | (17,292 | ) | ||||||
Mbank SA | (4,347 | ) | (534,396 | ) | 57,830 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Poland (continued) | ||||||||||||
Powszechna Kasa Oszczednosci Bank Polski SA | (207,740 | ) | $ | (1,986,484 | ) | $ | 268,896 | |||||
|
| |||||||||||
347,222 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 347,222 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (150,496 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (12,834 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (163,330 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
148
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | 12 months maturity 04/25/2016 - 07/05/2016 | $218,331 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Brazil | ||||||||||||
BRF SA | 156,961 | $ | 3,292,740 | $ | (10,686 | ) | ||||||
Cia Brasileira de Distribuicao | 32,214 | 1,031,170 | (268,665 | ) | ||||||||
Cia Energetica de Minas Gerais | 177,982 | 799,963 | (121,852 | ) | ||||||||
Cia Energetica de Sao Paulo | 236,100 | 1,707,883 | (218,732 | ) | ||||||||
EDP - Energias do Brasil SA | 127,700 | 464,127 | 8,623 | |||||||||
Fibria Celulose SA | 26,100 | 370,359 | (15,138 | ) | ||||||||
JBS SA | 495,693 | 2,566,681 | 41,643 | |||||||||
Porto Seguro SA | 25,000 | 297,373 | 35,521 | |||||||||
Qualicorp SA | 8,000 | 64,522 | (13,806 | ) | ||||||||
Suzano Papel e Celulose SA | 22,400 | 118,166 | 999 | |||||||||
|
| |||||||||||
(562,093 | ) | |||||||||||
|
| |||||||||||
Chile | ||||||||||||
Enersis SA | 27,300 | 481,845 | (49,686 | ) | ||||||||
|
| |||||||||||
China | ||||||||||||
CNOOC Ltd. | 6,376 | 909,792 | (4,910 | ) | ||||||||
|
| |||||||||||
Hong Kong | ||||||||||||
Bank of China Ltd. | 4,804,000 | 3,387,773 | (270,066 | ) | ||||||||
Bank of Communications Co., Ltd. | 1,485,000 | 1,487,141 | 58,564 | |||||||||
China CITIC Bank Corp Ltd. | 249,000 | 227,049 | (28,795 | ) | ||||||||
China Communications Construction Co., Ltd. | 1,882,000 | 3,529,418 | (719,276 | ) | ||||||||
China Construction Bank Corp | 3,414,000 | 3,421,736 | (307,635 | ) | ||||||||
China Mobile Ltd. | 58,041 | 4,226,553 | (506,681 | ) | ||||||||
China Telecom Corp. Ltd. | 3,894,000 | 2,876,604 | (595,888 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Hong Kong (continued) | ||||||||||||
GOME Electrical Appliances Holding Ltd. | 10,731,000 | $ | 2,470,690 | $ | (105,919 | ) | ||||||
PICC Property & Casualty Co., Ltd. | 1,094,000 | 2,463,477 | 26,903 | |||||||||
Zhejiang Expressway Co., Ltd. | 1,116,000 | 1,768,452 | (220,735 | ) | ||||||||
|
| |||||||||||
(2,669,528 | ) | |||||||||||
|
| |||||||||||
Indonesia | ||||||||||||
Adaro Energy Tbk PT | 350,200 | 26,422 | (6,520 | ) | ||||||||
Astra Agro Lestari Tbk PT | 84,600 | 152,816 | (7,501 | ) | ||||||||
Bank Negara Indonesia Persero Tbk PT | 1,384,000 | 768,188 | (219,485 | ) | ||||||||
Indofood Sukses Makmur Tbk PT | 1,202,600 | 690,727 | (98,958 | ) | ||||||||
Telekomunikasi Indonesia Persero Tbk PT | 12,301 | 535,463 | (1,722 | ) | ||||||||
United Tractors Tbk PT | 170,800 | 295,133 | (34,642 | ) | ||||||||
|
| |||||||||||
(368,828 | ) | |||||||||||
|
| |||||||||||
Korea, Republic of | ||||||||||||
Samsung Electronics Co., Ltd. | 5,701 | 3,808,268 | (558,792 | ) | ||||||||
|
| |||||||||||
Malaysia | ||||||||||||
Tenaga Nasional Bhd | 58,000 | 231,445 | (37,152 | ) | ||||||||
|
| |||||||||||
Mexico | ||||||||||||
America Movil SAB de CV | 157,344 | 3,450,554 | (97,553 | ) | ||||||||
|
| |||||||||||
Poland | ||||||||||||
Powszechny Zaklad Ubezpieczen SA | 806 | 106,036 | (13,293 | ) | ||||||||
Tauron Polska Energia SA | 111,484 | 145,079 | (15,269 | ) | ||||||||
|
| |||||||||||
(28,562 | ) | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
149
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
South Africa | ||||||||||||
Harmony Gold Mining Co. | 316,791 | $ | 622,285 | $ | (197,785 | ) | ||||||
Sasol Ltd. | 37,375 | 1,413,522 | (28,405 | ) | ||||||||
|
| |||||||||||
(226,190 | ) | |||||||||||
|
| |||||||||||
South Korea | ||||||||||||
Amorepacific Corp. | 6,180 | 2,216,576 | 94,503 | |||||||||
AMOREPACIFIC Group | 17,940 | 2,717,055 | 285,190 | |||||||||
CJ CheilJedang Corp. | 839 | 302,877 | 28,556 | |||||||||
Coway Co., Ltd. | 228 | 17,862 | 805 | |||||||||
Daewoo Securities Co., Ltd. | 52,210 | 723,888 | (12,179 | ) | ||||||||
Dongbu Insurance Co., Ltd. | 24,024 | 1,146,968 | 67,870 | |||||||||
Hanssem Co., Ltd. | 191 | 41,039 | 7,053 | |||||||||
Hanwha Corp. | 80,031 | 3,145,877 | 237,490 | |||||||||
Hanwha Life Insurance Co., Ltd. | 92,919 | 636,516 | 24,154 | |||||||||
Hyosung Corp. | 12,775 | 1,332,867 | 312,138 | |||||||||
Hyundai Department Store Co., Ltd. | 1,969 | 279,890 | (20,743 | ) | ||||||||
Hyundai Development Co-Engineering & Construction | 21,180 | 1,179,393 | 75,315 | |||||||||
Hyundai Engineering & Construction Co., Ltd. | 15,971 | 842,138 | (255,407 | ) | ||||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 9,835 | 225,430 | 34,365 | |||||||||
Hyundai Mobis Co., Ltd. | 9,446 | 2,057,262 | (263,962 | ) | ||||||||
Hyundai Steel Co. | 3,834 | 282,554 | (49,952 | ) | ||||||||
Kia Motors Corp. | 1,034 | 46,297 | (4,347 | ) | ||||||||
Korea Electric Power Corp. | 42,037 | 1,721,303 | (3,037 | ) | ||||||||
Korean Air Lines Co., Ltd. | 66,792 | 2,979,102 | (556,167 | ) | ||||||||
LG Chem Ltd. | 7,616 | 1,955,102 | (55,777 | ) | ||||||||
LG Display Co., Ltd. | 103,900 | 1,472,263 | (268,062 | ) | ||||||||
Lotte Chemical Corp. | 9,298 | 2,169,180 | 236,331 | |||||||||
Lotte Shopping Co. | 1,891 | 468,628 | (71,519 | ) | ||||||||
LS Corp | 1,087 | 56,514 | (14,227 | ) | ||||||||
Mirae Asset Securities Co., Ltd. | 11,149 | 613,936 | (110,669 | ) | ||||||||
NCSoft Corp. | 9,597 | 1,756,818 | (51,458 | ) | ||||||||
Samsung Card Co., Ltd. | 22,176 | 858,049 | (123,565 | ) | ||||||||
Samsung Life Insurance Co., Ltd. | 274 | 26,546 | (145 | ) | ||||||||
SK Hynix, Inc. | 86,445 | 3,627,365 | (350,968 | ) | ||||||||
SK Networks Co., Ltd. | 97,401 | 735,925 | 47,406 | |||||||||
SK Telecom Co., Ltd. | 46,426 | 1,279,856 | (128,956 | ) | ||||||||
|
| |||||||||||
(889,964 | ) | |||||||||||
|
| |||||||||||
Taiwan | ||||||||||||
Chicony Electronics Co., Ltd. | 108,087 | 295,702 | (5,587 | ) | ||||||||
China Airlines Ltd. | 1,946,000 | 1,019,611 | (190,627 | ) | ||||||||
Compal Electronics, Inc. | 103,000 | 84,466 | (6,120 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Taiwan (continued) | ||||||||||||
Eva Airways Corp. | 529,000 | $ | 401,339 | $ | (40,126 | ) | ||||||
Far EasTone Telecommunications Co., Ltd. | 12,000 | 27,709 | 1,298 | |||||||||
Foxconn Technology Co., Ltd. | 40,000 | 136,808 | 8,321 | |||||||||
Fubon Financial Holding Co., Ltd. | 1,714,297 | 3,179,825 | 227,147 | |||||||||
Inotera Memories, Inc. | 1,656,000 | 2,126,848 | (808,086 | ) | ||||||||
Kinsus Interconnect Technology Corp. | 61,000 | 190,803 | (23,652 | ) | ||||||||
Largan Precision Co., Ltd. | 18,000 | 1,773,563 | 281,152 | |||||||||
Pegatron Corp. | 725,000 | 2,047,960 | 73,351 | |||||||||
Powertech Technology, Inc. | 191,000 | 343,853 | 69,439 | |||||||||
President Chain Store Corp. | 87,000 | 623,687 | (12,038 | ) | ||||||||
Wan Hai Lines Ltd. | 754,000 | 674,963 | (76,229 | ) | ||||||||
|
| |||||||||||
(501,757 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (5,995,015 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Brazil | ||||||||||||
Cia de Saneamento Basico do Estado de Sao Paulo | (375,513 | ) | (2,213,394 | ) | 268,237 | |||||||
Petroleo Brasileiro SA | (136,280 | ) | (1,176,614 | ) | 64,569 | |||||||
Tim Participacoes SA | (174,318 | ) | (2,704,352 | ) | (147,490 | ) | ||||||
Vale SA | (35,019 | ) | (195,241 | ) | 18,395 | |||||||
|
| |||||||||||
203,711 | ||||||||||||
|
| |||||||||||
Chile | ||||||||||||
Banco Santander Chile | (65,667 | ) | (1,428,655 | ) | 98,898 | |||||||
Sociedad Quimica y Minera de Chile SA | (76,231 | ) | (1,441,898 | ) | 220,677 | |||||||
|
| |||||||||||
319,575 | ||||||||||||
|
| |||||||||||
Hong Kong | ||||||||||||
Semiconductor Manufacturing International Corp. | (17,277,874 | ) | (1,913,918 | ) | 30,524 | |||||||
|
| |||||||||||
Mexico | ||||||||||||
Alfa SAB de CV | (373,500 | ) | (760,682 | ) | 47,070 | |||||||
Grupo Aeroportuario del Pacifico SAB de CV | (1,728 | ) | (126,920 | ) | 8,569 | |||||||
Grupo Aeroportuario del Sureste SAB de CV | (836 | ) | (127,183 | ) | 8,580 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
150
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Mexico (continued) | ||||||||||||
Grupo Financiero Santander Mexico SAB de CV | (366,268 | ) | $ | (3,630,496 | ) | $ | 279,144 | |||||
|
| |||||||||||
343,363 | ||||||||||||
|
| |||||||||||
Singapore | ||||||||||||
Hyundai Merchant Marine | (37,200 | ) | (334,266 | ) | 104,179 | |||||||
|
| |||||||||||
South Africa | ||||||||||||
Anglogold Ashanti Ltd. | (118,915 | ) | (1,169,739 | ) | 105,450 | |||||||
|
| |||||||||||
South Korea | ||||||||||||
Daelim Industrial Co. | (16,093 | ) | (1,229,755 | ) | 48,420 | |||||||
Daewoo Engineering & Construction | (308,817 | ) | (2,086,258 | ) | 378,843 | |||||||
Doosan Corp. | (4,601 | ) | (478,655 | ) | 29,316 | |||||||
GS Engineering & Construction | (30,078 | ) | (771,686 | ) | 51,112 | |||||||
GS Hldgs | (14,789 | ) | (686,534 | ) | 28,451 | |||||||
Hanwha Chemical Corp. | (161,574 | ) | (2,666,122 | ) | (38,029 | ) | ||||||
Hotel Shilla Co., Ltd. | (32,451 | ) | (3,473,235 | ) | 229,110 | |||||||
Hyundai Glovis Co., Ltd. | (9,244 | ) | (2,026,939 | ) | 355,565 | |||||||
Hyundai Heavy Industries Co., Ltd. | (33,387 | ) | (4,196,581 | ) | 882,468 | |||||||
Hyundai Motor Co. | (7,828 | ) | (967,223 | ) | 14,269 | |||||||
Kumho Petrochemical Co. | (11,017 | ) | (883,231 | ) | 184,912 | |||||||
LG Household & Health Care Ltd. | (772 | ) | (606,736 | ) | 71,590 | |||||||
NAVER Corp. | (4,822 | ) | (3,022,163 | ) | 285,019 | |||||||
Oci Co., Ltd. | (12,382 | ) | (1,005,050 | ) | 7,454 | |||||||
Orion Corp./Republic of Korea | (42 | ) | (48,795 | ) | 9,410 | |||||||
POSCO | (3,480 | ) | (829,404 | ) | 132,570 | |||||||
Samsung Heavy Industries | (205,218 | ) | (3,585,608 | ) | 456,144 | |||||||
Samsung SDI | (36,336 | ) | (4,084,811 | ) | 481,007 | |||||||
Samsung SDS Co., Ltd. | (12,106 | ) | (2,935,423 | ) | 123,791 | |||||||
Samsung Securities Co., Ltd. | (30,151 | ) | (1,849,837 | ) | 377,512 | |||||||
|
| |||||||||||
4,108,934 | ||||||||||||
|
| |||||||||||
Taiwan | ||||||||||||
Advanced Semiconductor Engineering, Inc. | (34,000 | ) | (47,322 | ) | 1,255 | |||||||
Chang Hwa Commercial Bank Ltd. | (859,000 | ) | (526,469 | ) | 33,796 | |||||||
China Steel Corp. | (317,000 | ) | (268,474 | ) | 15,235 | |||||||
E.Sun Financial Holding Co., Ltd. | (1,972,000 | ) | (1,380,491 | ) | 64,380 | |||||||
Epistar Corp. | (448,000 | ) | (677,334 | ) | 78,575 | |||||||
Formosa Chemical & Fibre | (837,000 | ) | (2,176,062 | ) | 162,770 | |||||||
Formosa Petrochemical | (218,000 | ) | (580,517 | ) | 20,846 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Taiwan (continued) | ||||||||||||
Formosa Plastic TW | (103,000 | ) | $ | (270,055 | ) | $ | 27,524 | |||||
Hotai Motor Co., Ltd. | (41,000 | ) | (681,109 | ) | 100,125 | |||||||
Hua Nan Financial Hldgs | (60,000 | ) | (36,950 | ) | 2,436 | |||||||
MediaTek, Inc. | (164,000 | ) | (2,152,203 | ) | (89,610 | ) | ||||||
Mega Financial Holding Co., Ltd. | (639,000 | ) | (577,651 | ) | 2,085 | |||||||
Quanta Computer, Inc. | (1,431,000 | ) | (3,618,176 | ) | 234,313 | |||||||
SinoPac Financial Holdings Co., Ltd. | (885,000 | ) | (403,329 | ) | 11,887 | |||||||
Taishin Financial Holding Co., Ltd. | (1,756,000 | ) | (809,595 | ) | 77,994 | |||||||
|
| |||||||||||
743,611 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 5,959,347 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (35,668 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 253,999 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 218,331 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
151
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR plus or minus a specified spread, which is denominated in ZAR based on the local currencies of the positions within the swaps. | 12-13 months maturity 04/29/2016 -07/06/2016 | $(79,165 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
South Africa | ||||||||||||
FirstRand Ltd. | 149,990 | $ | 706,138 | $ | (49,000 | ) | ||||||
Foschini Group Ltd./The | 204,277 | 3,057,729 | (387,381 | ) | ||||||||
MMI Holdings Ltd./South Africa | 27,958 | 78,294 | (8,976 | ) | ||||||||
Netcare Ltd. | 68,618 | 242,864 | (26,982 | ) | ||||||||
RMB Holdings Ltd. | 174,306 | 1,037,533 | (85,664 | ) | ||||||||
Telkom SA SOC Ltd. | 181,127 | 991,698 | (37,212 | ) | ||||||||
|
| |||||||||||
(595,215 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (595,215 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
South Africa | ||||||||||||
African Rainbow Minerals Ltd. | (20,476 | ) | (179,075 | ) | 39,809 | |||||||
Barloworld Ltd. | (7,068 | ) | (56,144 | ) | 55 | |||||||
Discovery Ltd. | (35,646 | ) | (362,870 | ) | (7,333 | ) | ||||||
Impala Platinum Holdings Ltd. | (393,855 | ) | (2,181,542 | ) | 424,041 | |||||||
Imperial Holdings Ltd. | (27,329 | ) | (443,389 | ) | 27,236 | |||||||
Kumba Iron Ore Ltd. | (14,067 | ) | (189,311 | ) | 14,825 |
REFERENCE | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
South Africa (continued) | ||||||||||||
Massmart | (23,491 | ) | $ | (294,810 | ) | $ | 5,778 | |||||
MTN Group Ltd. | (153,536 | ) | (3,021,668 | ) | 137,621 | |||||||
PPC Ltd. | (710,784 | ) | (1,003,045 | ) | (27,138 | ) | ||||||
Woolworths Holdings Ltd./South Africa | (118,538 | ) | (902,508 | ) | (58,016 | ) | ||||||
|
| |||||||||||
556,878 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 556,878 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (38,337 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (40,828 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (79,165 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
152
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR plus or minus a specified spread, which is denominated in MXN based on the local currencies of the positions within the swaps. | 12 months maturity 04/26/2016 - 06/09/2016 | $(100,798 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Mexico | ||||||||||||
Arca Continental SAB de CV | 164,400 | $ | 1,016,692 | $ | (82,643 | ) | ||||||
Genomma Lab Internacional SAB de CV | 1,224,500 | 1,368,021 | (148,780 | ) | ||||||||
Gruma SAB de CV | 167,600 | 2,115,695 | 37,966 | |||||||||
Grupo Bimbo Sab De Cv | 60,244 | 163,819 | (7,972 | ) | ||||||||
Grupo Mexico SAB de CV | 66,800 | 201,452 | (85 | ) | ||||||||
|
| |||||||||||
(201,514 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (201,514 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Mexico | ||||||||||||
Grupo Carso Sab De Cv | (29,300 | ) | (119,100 | ) | (3,003 | ) | ||||||
Grupo Financiero Banorte SAB de CV | (380,500 | ) | (2,113,839 | ) | 26,082 | |||||||
Grupo Financiero Inbursa SAB de CV | (536,500 | ) | (1,278,271 | ) | 62,420 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Mexico (continued) | ||||||||||||
Industrias Penoles Sab De | (19,245 | ) | $ | (336,579 | ) | $ | 23,186 | |||||
Kimberly-Clark de Mexico SAB de CV | (20,500 | ) | (44,085 | ) | (156 | ) | ||||||
Mexichem SAB de CV | (190,100 | ) | (543,875 | ) | (5,108 | ) | ||||||
|
| |||||||||||
103,421 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 103,421 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (98,093 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (2,705 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (100,798 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
153
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
J.P. Morgan | The Fund receives the total return on a portfolio of long and short positions and pays the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 6-21 months maturity ranging from 12/21/2015 -08/02/2016 | $228,598 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Belgium | ||||||||||||
Ageas | 2,285 | $ | 88,114 | $ | 49 | |||||||
bpost SA | 121,409 | 3,132,430 | 206,329 | |||||||||
Delhaize Group | 18,995 | 1,589,297 | (44,295 | ) | ||||||||
Proximus | 132,123 | 4,641,512 | 33,917 | |||||||||
Telenet Group Holding NV | 7,496 | 408,914 | (1,076 | ) | ||||||||
Umicore SA | 30,723 | 1,299,966 | 158,963 | |||||||||
|
| |||||||||||
353,887 | ||||||||||||
|
| |||||||||||
Finland | ||||||||||||
Fortum OYJ | 35,712 | 741,674 | (107,251 | ) | ||||||||
Kesko OYJ | 86,914 | 3,202,171 | (175,629 | ) | ||||||||
Metso OYJ | 27,989 | 744,616 | 24,634 | |||||||||
Neste Oyj | 17,678 | 495,371 | (44,404 | ) | ||||||||
Nokia OYJ | 27,313 | 213,938 | (27,746 | ) | ||||||||
Orion Oyj | 57,917 | 1,853,716 | 175,023 | |||||||||
Sampo Oyj | 40,827 | 1,710,531 | 213,523 | |||||||||
Stora Enso OYJ | 225,925 | 1,985,934 | 342,280 | |||||||||
UPM-Kymmene OYJ | 207,337 | 2,959,491 | 709,526 | |||||||||
Wartsila OYJ Abp | 34,862 | 1,446,050 | 187,481 | |||||||||
|
| |||||||||||
1,297,437 | ||||||||||||
|
| |||||||||||
Germany | ||||||||||||
Aurubis AG | 90,936 | 4,707,371 | 634,903 | |||||||||
Axel Springer SE | 6,483 | 393,957 | (53,472 | ) | ||||||||
Brenntag AG | 53,251 | 2,563,204 | 492,415 | |||||||||
Continental AG | 7,650 | 1,327,631 | 483,716 | |||||||||
Deutsche Lufthansa AG | 187,358 | 2,808,691 | (391,391 | ) | ||||||||
Deutsche Post AG | 316,411 | 8,551,521 | 693,791 | |||||||||
E.ON SE | 271,554 | 3,947,025 | (325,996 | ) | ||||||||
Evonik Industries AG | 2 | 76 | 1 | |||||||||
Freenet AG | 53,469 | 1,851,544 | (50,508 | ) | ||||||||
GEA Group AG | 53,526 | 2,343,759 | 44,195 | |||||||||
Hannover Rueck SE | 20,819 | 1,980,375 | 34,627 | |||||||||
HeidelbergCement AG | 97,327 | 6,264,360 | 1,449,474 | |||||||||
HOCHTIEF AG | 24,154 | 1,629,625 | 242,796 | |||||||||
HUGO BOSS AG | 8,649 | 1,007,166 | (40,241 | ) | ||||||||
KION Group AG | 32,548 | 1,479,002 | 82,429 | |||||||||
LANXESS AG | 13,027 | 606,394 | 162,227 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Germany (continued) | ||||||||||||
Linde AG | 1,136 | $ | 185,810 | $ | 29,478 | |||||||
Merck KGaA | 53,407 | 4,625,610 | 698,548 | |||||||||
MTU Aero Engines AG | 10,853 | 1,071,772 | (50,330 | ) | ||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 30,397 | 5,438,309 | (49,090 | ) | ||||||||
OSRAM Licht AG | 66,525 | 3,202,060 | (19,454 | ) | ||||||||
Porsche Automobil Holding SE | 61,942 | 4,547,422 | 675,316 | |||||||||
ProSiebenSat.1 Media AG | 127,310 | 4,763,676 | 1,524,692 | |||||||||
Rheinmetall AG | 2,762 | 140,631 | (535 | ) | ||||||||
RHOEN-KLINIKUM AG | 85,111 | 2,224,745 | 57,304 | |||||||||
Salzgitter AG | 14,199 | 543,916 | (36,306 | ) | ||||||||
Symrise AG | 20,537 | 1,231,125 | 44,328 | |||||||||
Talanx AG | 13,762 | 427,462 | (5,060 | ) | ||||||||
TUI AG | 140,184 | 2,437,520 | (172,285 | ) | ||||||||
United Internet AG | 56,791 | 2,378,904 | 145,175 | |||||||||
Zalando SE | 34,225 | 1,078,920 | 64,685 | |||||||||
|
| |||||||||||
6,365,432 | ||||||||||||
|
| |||||||||||
Italy | ||||||||||||
Atlantia SpA | 155,175 | 3,621,196 | 212,850 | |||||||||
Autogrill SpA | 170,436 | 1,663,017 | (235,257 | ) | ||||||||
Banca Generali SpA | 9,802 | 312,923 | 32,238 | |||||||||
Banca Popolare di Milano Scarl | 9,304,444 | 9,688,624 | 124,124 | |||||||||
Banco Popolare SC | 139,793 | 2,314,568 | (12,793 | ) | ||||||||
Enel SpA | 711,560 | 2,922,055 | 302,946 | |||||||||
Eni SpA | 352,210 | 5,744,461 | 511,360 | |||||||||
FinecoBank Banca Fineco SpA | 54,605 | 414,131 | (9,679 | ) | ||||||||
Finmeccanica SpA | 473,929 | 5,644,842 | 316,757 | |||||||||
Hera SpA | 975,927 | 2,418,156 | 23,319 | |||||||||
Luxottica Group SpA | 2,813 | 152,532 | 34,583 | |||||||||
Mediobanca SpA | 650,970 | 5,212,928 | 1,169,613 | |||||||||
Moncler SpA | 35,524 | 680,445 | (22,186 | ) | ||||||||
Pirelli & C. SpA | 289,721 | 3,874,465 | 1,015,199 | |||||||||
Prysmian SpA | 132,818 | 2,158,142 | 712,901 | |||||||||
Snam SpA | 717,072 | 3,279,858 | 132,705 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
154
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Italy (continued) | ||||||||||||
Terna Rete Elettrica Nazionale SpA | 232,511 | $ | 994,613 | $ | 33,491 | |||||||
UniCredit SpA | 362,730 | 2,079,514 | 358,351 | |||||||||
Unione di Banche Italiane SCpA | 637,470 | 4,586,719 | 528,450 | |||||||||
Unipol Gruppo Finanziario SpA | 15,387 | 84,784 | (6,560 | ) | ||||||||
Unipolsai SpA | 313,973 | — | — | |||||||||
Unipolsai SpA | 313,973 | — | — | |||||||||
UnipolSai SpA | 324,579 | 954,421 | (150,320 | ) | ||||||||
|
| |||||||||||
5,072,092 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Aalberts Industries NV | 925 | 30,006 | (2,501 | ) | ||||||||
Aegon NV | 247,447 | 1,829,059 | (3,347 | ) | ||||||||
Akzo Nobel NV | 15,784 | 977,863 | 174,512 | |||||||||
Boskalis Westminster NV | 80,429 | 3,920,847 | 27,225 | |||||||||
Delta Lloyd NV | 207,385 | 4,211,434 | (808,345 | ) | ||||||||
Heineken NV | 2,067 | 168,047 | (10,898 | ) | ||||||||
Koninklijke Ahold NV | 351,838 | 5,497,945 | 1,106,990 | |||||||||
Koninklijke DSM NV | 49,271 | 2,509,811 | 350,875 | |||||||||
Koninklijke Philips NV | 92,174 | 2,323,703 | 28,807 | |||||||||
NN Group NV | 3,244 | 91,235 | 124 | |||||||||
Randstad Holding NV | 32,019 | 1,982,434 | 100,962 | |||||||||
Wolters Kluwer NV | 157,406 | 4,415,194 | 269,804 | |||||||||
|
| |||||||||||
1,234,208 | ||||||||||||
|
| |||||||||||
Spain | ||||||||||||
Abengoa SA | 437,071 | 1,516,089 | (137,802 | ) | ||||||||
Acciona SA | 3,475 | 273,245 | (10,099 | ) | ||||||||
Acerinox SA | 78,001 | 1,023,026 | 56,674 | |||||||||
ACS Actividades de Construccion y Servicios SA | 183,699 | 5,813,351 | 112,037 | |||||||||
Applus Services SA | 3,099 | 36,445 | 156 | |||||||||
Banco Santander SA | 833,469 | 6,229,029 | (366,392 | ) | ||||||||
Bankinter SA | 32,086 | 244,010 | (6,031 | ) | ||||||||
CaixaBank SA | 79,032 | 386,742 | (18,982 | ) | ||||||||
Ebro Foods SA | 46,095 | 771,686 | 121,373 | |||||||||
Enagas SA | 209,395 | 6,154,815 | (454,567 | ) | ||||||||
Endesa SA | 398,633 | 6,932,198 | 702,289 | |||||||||
Ferrovial SA | 177,541 | 3,285,055 | 572,279 | |||||||||
Gas Natural SDG SA | 41,659 | 1,050,112 | (104,150 | ) | ||||||||
Iberdrola SA | 140,900 | 893,818 | 57,476 | |||||||||
Mapfre SA | 184,968 | 641,157 | (1,889 | ) | ||||||||
Prosegur Cia de Seguridad SA | 11,949 | 61,383 | 4,335 | |||||||||
Red Electrica Corp. SA | 37,054 | 2,923,763 | 51,668 | |||||||||
Repsol SA | 312,754 | 5,927,917 | (415,428 | ) | ||||||||
Telefonica SA | 180,477 | 2,525,002 | 45,965 | |||||||||
|
| |||||||||||
208,912 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United Kingdom | ||||||||||||
Fiat Chrysler Automobiles NV | 191,413 | $ | 3,053,583 | $ | (245,523 | ) | ||||||
Reed Elsevier NV | 164,786 | 4,298,874 | (379,324 | ) | ||||||||
|
| |||||||||||
(624,847 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | 13,907,121 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Belgium | ||||||||||||
Anheuser-Busch InBev NV | (10,111 | ) | (1,253,332 | ) | 36,569 | |||||||
Colruyt SA | (4,210 | ) | (195,670 | ) | 6,818 | |||||||
KBC Groep NV | (31,263 | ) | (1,612,549 | ) | (483,266 | ) | ||||||
Solvay SA | (661 | ) | (85,241 | ) | (5,822 | ) | ||||||
UCB SA | (20,472 | ) | (1,501,456 | ) | 29,411 | |||||||
|
| |||||||||||
(416,290 | ) | |||||||||||
|
| |||||||||||
Finland | ||||||||||||
Cargotec Oyj | (79,698 | ) | (2,322,056 | ) | (704,574 | ) | ||||||
Elisa OYJ | (37,008 | ) | (946,448 | ) | (226,080 | ) | ||||||
Kone OYJ | (97,785 | ) | (3,884,719 | ) | (84,379 | ) | ||||||
Nokian Renkaat OYJ | (255,850 | ) | (6,830,112 | ) | (1,185,774 | ) | ||||||
Outokumpu OYJ | (308,246 | ) | (2,463,968 | ) | 910,988 | |||||||
YIT OYJ | (38,220 | ) | (245,512 | ) | (27,725 | ) | ||||||
|
| |||||||||||
(1,317,544 | ) | |||||||||||
|
| |||||||||||
Germany | ||||||||||||
adidas AG | (62,036 | ) | (4,473,556 | ) | (273,090 | ) | ||||||
Allianz SE | (10,816 | ) | (1,604,385 | ) | (82,382 | ) | ||||||
BASF SE | (51,489 | ) | (4,090,797 | ) | (439,872 | ) | ||||||
Bayer AG | (53,350 | ) | (8,194,062 | ) | 722,920 | |||||||
Bayerische Motoren Werke AG | (10,640 | ) | (998,164 | ) | (167,070 | ) | ||||||
Beiersdorf AG | (6,324 | ) | (534,207 | ) | 4,317 | |||||||
Bilfinger SE | (47,748 | ) | (2,562,228 | ) | 754,945 | |||||||
Commerzbank AG | (6,053 | ) | (78,563 | ) | 1,183 | |||||||
Daimler AG | (20,899 | ) | (1,440,849 | ) | (462,958 | ) | ||||||
Deutsche Bank AG | (74,968 | ) | (2,219,620 | ) | (34,421 | ) | ||||||
Deutsche Telekom AG | (320,766 | ) | (5,174,808 | ) | (355,293 | ) | ||||||
Fraport AG Frankfurt Airport Services Worldwide | (21,505 | ) | (1,169,154 | ) | (181,624 | ) | ||||||
Fresenius Medical Care AG & Co. KGaA | (8,542 | ) | (737,581 | ) | 30,420 | |||||||
FUCHS PETROLUB SE | (33,623 | ) | (1,218,205 | ) | (203,471 | ) | ||||||
Henkel AG & Co. KGaA | (1,726 | ) | (195,575 | ) | 1,890 | |||||||
K+S AG | (190,722 | ) | (5,210,442 | ) | (2,831,890 | ) | ||||||
MAN SE | (16,025 | ) | (1,629,467 | ) | (21,519 | ) | ||||||
METRO AG | (30,896 | ) | (930,100 | ) | (45,724 | ) | ||||||
RWE AG | (96,552 | ) | (2,521,814 | ) | 445,137 | |||||||
SAP SE | (188,087 | ) | (11,574,891 | ) | (1,605,551 | ) | ||||||
Siemens AG | (8,107 | ) | (823,346 | ) | 3,149 | |||||||
Software AG | (163 | ) | (3,937 | ) | (529 | ) | ||||||
STADA Arzneimittel AG | (23,968 | ) | (766,466 | ) | (42,024 | ) | ||||||
Suedzucker AG | (11,756 | ) | (152,208 | ) | (43,599 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
155
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Germany (continued) | ||||||||||||
Telefonica Deutschland Holding AG | (410,999 | ) | $ | (2,437,383 | ) | $ | 69,716 | |||||
ThyssenKrupp AG | (242,485 | ) | (5,462,212 | ) | (845,900 | ) | ||||||
Volkswagen AG | (4,677 | ) | (1,208,609 | ) | 123,176 | |||||||
Wacker Chemie AG | (27,776 | ) | (2,991,082 | ) | 121,180 | |||||||
Wirecard AG | (26,577 | ) | (1,076,526 | ) | 59,325 | |||||||
|
| |||||||||||
(5,299,559 | ) | |||||||||||
|
| |||||||||||
Italy | ||||||||||||
A2A SpA | (51,280 | ) | (48,309 | ) | (12,894 | ) | ||||||
Assicurazioni Generali SpA | (127,299 | ) | (2,396,323 | ) | 101,913 | |||||||
Azimut Holding SpA | (105,568 | ) | (3,122,461 | ) | 32,291 | |||||||
Banca Popolare dell’Emilia Romagna SC | (812,797 | ) | (6,745,391 | ) | (506,633 | ) | ||||||
Buzzi Unicem SpA | (73,780 | ) | (973,843 | ) | (77,228 | ) | ||||||
Davide Campari-Milano SpA | (131,830 | ) | (918,802 | ) | (84,766 | ) | ||||||
Enel Green Power SpA | (1,835,160 | ) | (3,559,993 | ) | (27,391 | ) | ||||||
Intesa Sanpaolo SpA | (1,090,388 | ) | (4,046,184 | ) | 86,456 | |||||||
Mediaset SpA | (938,005 | ) | (3,390,169 | ) | (1,125,594 | ) | ||||||
Mediolanum SpA | (183,170 | ) | (1,523,993 | ) | 12,112 | |||||||
Saipem SpA | (201,910 | ) | (2,479,413 | ) | 345,810 | |||||||
Salvatore Ferragamo SpA | (299,441 | ) | (7,883,407 | ) | (1,111,800 | ) | ||||||
Telecom Italia SpA | (4,876,054 | ) | (4,900,926 | ) | (1,295,621 | ) | ||||||
Tod’s SpA | (27,542 | ) | (2,562,734 | ) | (52,404 | ) | ||||||
World Duty Free SpA | (21,849 | ) | (212,556 | ) | (32,441 | ) | ||||||
|
| |||||||||||
(3,748,190 | ) | |||||||||||
|
| |||||||||||
Luxembourg | ||||||||||||
Altice SA | (97,759 | ) | (10,088,725 | ) | (3,398,061 | ) | ||||||
ArcelorMittal | (1,421,627 | ) | (14,698,142 | ) | 891,852 | |||||||
Tenaris SA | (512,307 | ) | (7,821,283 | ) | 911,149 | |||||||
|
| |||||||||||
(1,595,060 | ) | |||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Fugro NV | (174,382 | ) | (4,547,929 | ) | 708,345 | |||||||
Gemalto NV | (13,387 | ) | (957,545 | ) | (239,090 | ) | ||||||
Koninklijke KPN NV | (131,913 | ) | (500,778 | ) | (4,955 | ) | ||||||
Koninklijke Vopak NV | (111,948 | ) | (5,491,732 | ) | (170,294 | ) | ||||||
OCI NV | (51,076 | ) | (1,557,469 | ) | 109,893 | |||||||
QIAGEN NV | (64,141 | ) | (1,383,905 | ) | (192,471 | ) | ||||||
SBM Offshore NV | (422,404 | ) | (4,907,157 | ) | (127,827 | ) | ||||||
|
| |||||||||||
83,601 | ||||||||||||
|
| |||||||||||
Spain | ||||||||||||
Abertis Infraestructuras SA | (42,131 | ) | (771,198 | ) | 79,317 | |||||||
Aena SA | (37,539 | ) | (3,911,133 | ) | (4,841 | ) | ||||||
Amadeus IT Holding SA | (46,792 | ) | (1,724,308 | ) | (143,639 | ) | ||||||
Atresmedia Corp. de Medios de Comunicacion SA | (101,926 | ) | (1,622,675 | ) | 38,503 | |||||||
Banco Bilbao Vizcaya Argentaria SA | (194,267 | ) | (1,976,679 | ) | 62,380 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Spain (continued) | ||||||||||||
Banco de Sabadell SA | (1,742,158 | ) | $ | (4,138,499 | ) | $ | (81,333 | ) | ||||
Banco Popular Espanol SA | (1,939,111 | ) | (9,059,492 | ) | (375,489 | ) | ||||||
Bankia SA | (5,113,432 | ) | (7,076,235 | ) | 566,173 | |||||||
Distribuidora Internacional de Alimentacion SA | (166,182 | ) | (1,320,541 | ) | 46,992 | |||||||
Inditex SA | (35,468 | ) | (881,896 | ) | (274,975 | ) | ||||||
Indra Sistemas SA | (209,720 | ) | (1,993,460 | ) | (163,310 | ) | ||||||
Mediaset Espana Comunicacion SA | (10,967 | ) | (127,998 | ) | (15,984 | ) | ||||||
Obrascon Huarte Lain SA | (188,836 | ) | (4,179,865 | ) | 954,846 | |||||||
Tecnicas Reunidas SA | (3,483 | ) | (179,880 | ) | 430 | |||||||
Zardoya Otis SA | (72,469 | ) | (732,028 | ) | (58,907 | ) | ||||||
|
| |||||||||||
630,163 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
CNH Industrial NV | (669,940 | ) | (5,082,671 | ) | (1,030,494 | ) | ||||||
|
| |||||||||||
Total of Short Equity Positions | (12,693,373 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 1,213,748 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (985,150 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 228,598 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
156
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
J.P. Morgan | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR, plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | 6-20 months maturity ranging from 12/28/2015 -06/29/2016 | $(2,180,347 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Liechtenstein | ||||||||||||
Georg Fischer AG | 452 | $ | 346,851 | $ | (36,119 | ) | ||||||
|
| |||||||||||
Switzerland | ||||||||||||
Adecco SA | 23,881 | 1,798,413 | 139,710 | |||||||||
Aryzta AG | 42,187 | 3,465,035 | (1,389,293 | ) | ||||||||
Baloise Holding AG | 20,765 | 2,781,583 | (249,688 | ) | ||||||||
Bucher Industries AG | 2,129 | 556,582 | (26,932 | ) | ||||||||
Chocoladefabriken Lindt & Sprungli AG | 20 | 105,149 | 638 | |||||||||
Clariant AG | 27,395 | 605,038 | (43,547 | ) | ||||||||
Flughafen Zuerich AG | 2,690 | 1,992,214 | 90,133 | |||||||||
GAM Holding AG | 51,940 | 1,018,696 | 72,482 | |||||||||
Geberit AG | 2,269 | 867,144 | (110,671 | ) | ||||||||
Givaudan SA | 1,764 | 3,156,164 | (102,140 | ) | ||||||||
Helvetia Holding AG | 1,455 | 750,109 | 81,561 | |||||||||
Lonza Group AG | 68,926 | 8,284,385 | 928,623 | |||||||||
Nestle SA | 28,087 | 2,147,066 | (120,571 | ) | ||||||||
Novartis AG | 7,969 | 734,829 | 49,006 | |||||||||
OC Oerlikon Corp. AG | 329,458 | 4,287,016 | (253,512 | ) | ||||||||
Partners Group Holding AG | 7,604 | 2,382,290 | (109,548 | ) | ||||||||
Schindler Holding AG | 4,094 | 644,863 | 24,715 | |||||||||
Sika AG | 544 | 2,062,682 | (144,056 | ) | ||||||||
Straumann Holding AG | 7,151 | 1,949,271 | 13,549 | |||||||||
Sulzer AG | 6,516 | 697,616 | (27,368 | ) | ||||||||
Swiss Life Holding AG | 46,136 | 11,020,796 | (456,538 | ) | ||||||||
Swiss Re AG | 71,002 | 6,311,798 | (26,505 | ) | ||||||||
Swisscom AG | 3,016 | 1,826,657 | (136,349 | ) | ||||||||
Zurich Insurance Group AG | 4,197 | 1,459,116 | (181,425 | ) | ||||||||
|
| |||||||||||
(1,977,726 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (2,013,845 | ) | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Liechtenstein | ||||||||||||
Dufry AG | (3,007 | ) | $ | — | $ | — | ||||||
|
| |||||||||||
Switzerland | ||||||||||||
Barry Callebaut AG | (1,645 | ) | (1,761,179 | ) | (113,863 | ) | ||||||
Cie Financiere Richemont SA | (72,447 | ) | (6,137,719 | ) | 249,381 | |||||||
Credit Suisse Group AG | (437,067 | ) | (11,060,225 | ) | (997,357 | ) | ||||||
DKSH Holding AG | (3,097 | ) | (242,942 | ) | 19,095 | |||||||
Dufry AG | (4,574 | ) | (670,800 | ) | 33,447 | |||||||
EMS-Chemie Holding AG | (618 | ) | (238,939 | ) | (22,162 | ) | ||||||
Galenica AG | (3,529 | ) | (3,472,347 | ) | (208,365 | ) | ||||||
Holcim Ltd. | (93,216 | ) | (6,487,954 | ) | (390,040 | ) | ||||||
Julius Baer Group Ltd. | (122,750 | ) | (5,816,661 | ) | (1,071,328 | ) | ||||||
Kuehne + Nagel International AG | (18,762 | ) | (2,597,815 | ) | 106,538 | |||||||
Roche Holding AG | (5,159 | ) | (1,525,810 | ) | 79,271 | |||||||
SGS SA | (805 | ) | (1,491,211 | ) | 23,217 | |||||||
Sonova Holding AG | (19,824 | ) | (3,079,869 | ) | 399,174 | |||||||
Swatch Group AG/The | (39,215 | ) | (18,409,613 | ) | 3,128,388 | |||||||
|
| |||||||||||
1,235,396 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 1,235,396 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (778,449 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (1,401,898 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (2,180,347 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
157
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
J.P. Morgan | The Fund receives the total return on a portfolio of long and short positions and pays the Copenhagen Interbank Rate plus or minus a specified spread, which is denominated in DKK based on the local currencies of the positions within the swap. | 6-13 months maturity 12/28/2015 -05/24/2016 | $ | (1,490,688 | ) | |||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Denmark | ||||||||||||
AP Moeller - Maersk A/S | 2,342 | $ | 4,243,611 | $ | (9,177 | ) | ||||||
Coloplast A/S | 23,881 | 1,828,575 | (262,383 | ) | ||||||||
Danske Bank A/S | 42,758 | 1,031,073 | 225,884 | |||||||||
DSV A/S | 89,081 | 2,512,324 | 372,202 | |||||||||
GN Store Nord A/S | 45,535 | 867,059 | 72,612 | |||||||||
ISS A/S | 26,921 | 927,092 | (40,436 | ) | ||||||||
Jyske Bank A/S | 18,192 | 858,594 | 54,947 | |||||||||
Novo Nordisk A/S | 94,275 | 4,372,363 | 800,966 | |||||||||
Pandora A/S | 65,290 | 6,098,286 | 907,606 | |||||||||
TDC A/S | 494,208 | 3,565,177 | 57,540 | |||||||||
Tryg A/S | 6,448 | 138,461 | (4,020 | ) | ||||||||
|
| |||||||||||
2,175,741 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 2,175,741 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Denmark | ||||||||||||
Carlsberg A/S | (43,005 | ) | (3,632,448 | ) | (264,049 | ) | ||||||
Chr Hansen Holding A/S | (29,913 | ) | (1,192,925 | ) | (265,695 | ) | ||||||
FLSmidth & Co. A/S | (77,003 | ) | (2,858,015 | ) | (842,218 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Denmark (continued) | ||||||||||||
Novozymes A/S | (27,597 | ) | $ | (1,172,032 | ) | $ | (139,119 | ) | ||||
Vestas Wind Systems A/S | (101,965 | ) | (3,458,308 | ) | (1,623,986 | ) | ||||||
William Demant Holding A/S | (16,749 | ) | (1,141,983 | ) | (134,669 | ) | ||||||
|
| |||||||||||
(3,269,736 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (3,269,736 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (1,093,995 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (396,693 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (1,490,688 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
158
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
J.P. Morgan | The Fund receives the total return on a portfolio of long and short positions and pays the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap | 6-21 months maturity 12/25/2015 -08/02/2016 | $12,021,318 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
Air Water, Inc. | 5,000 | $ | 77,725 | $ | 13,686 | |||||||
Ajinomoto Co., Inc. | 196,000 | 3,702,157 | 536,395 | |||||||||
Alfresa Holdings Corp. | 192,900 | 2,375,298 | 626,448 | |||||||||
Amada Holdings Co., Ltd. | 112,300 | 1,054,118 | 131,220 | |||||||||
ANA Holdings, Inc. | 351,000 | 877,060 | 74,617 | |||||||||
Asahi Group Holdings Ltd. | 17,400 | 517,774 | 34,819 | |||||||||
Asahi Kasei Corp. | 741,000 | 6,170,835 | (92,721 | ) | ||||||||
Astellas Pharma, Inc. | 308,600 | 4,464,974 | (68,706 | ) | ||||||||
Bandai Namco Holdings, Inc. | 344,900 | 7,113,631 | (448,591 | ) | ||||||||
Bank of Kyoto Ltd./The | 75,000 | 722,661 | 140,074 | |||||||||
Bank of Yokohama Ltd./The | 491,000 | 2,711,852 | 295,020 | |||||||||
Benesse Holdings, Inc. | 34,900 | 1,046,441 | (171,518 | ) | ||||||||
Bridgestone Corp. | 24,600 | 858,291 | 50,989 | |||||||||
Brother Industries Ltd. | 80,300 | 1,337,245 | (201,277 | ) | ||||||||
Calbee, Inc. | 99,900 | 3,626,276 | 582,315 | |||||||||
Canon, Inc. | 11,100 | 335,608 | 24,458 | |||||||||
Central Japan Railway Co. | 15,500 | 2,227,151 | 569,895 | |||||||||
Chiba Bank Ltd./The | 400,000 | 2,764,752 | 281,168 | |||||||||
Chubu Electric Power Co., Inc. | 178,600 | 2,198,063 | 463,818 | |||||||||
Chugai Pharmaceutical Co., Ltd. | 78,000 | 2,069,870 | 620,614 | |||||||||
Chugoku Bank Ltd./The | 57,900 | 830,200 | 82,410 | |||||||||
Citizen Holdings Co., Ltd. | 181,200 | 1,325,872 | (61,684 | ) | ||||||||
Dai Nippon Printing Co., Ltd. | 304,000 | 2,595,762 | 541,169 | |||||||||
Daicel Corp. | 316,300 | 3,707,129 | 351,693 | |||||||||
Dai-ichi Life Insurance Co., Ltd./The | 1,100 | 19,707 | 1,894 | |||||||||
Dentsu, Inc. | 11,100 | 417,787 | 156,445 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Don Quijote Holdings Co., Ltd. | 107,400 | $ | 3,692,506 | $ | 877,255 | |||||||
East Japan Railway Co. | 25,900 | 1,942,087 | 386,303 | |||||||||
Eisai Co., Ltd. | 16,400 | 1,060,061 | 39,471 | |||||||||
FamilyMart Co., Ltd. | 22,800 | 828,429 | 220,032 | |||||||||
Fuji Electric Co., Ltd. | 806,000 | 3,365,435 | 101,129 | |||||||||
Fuji Heavy Industries Ltd. | 99,900 | 3,475,503 | 197,898 | |||||||||
FUJIFILM Holdings Corp. | 102,700 | 3,373,466 | 291,694 | |||||||||
Fujitsu Ltd. | 1,591,000 | 8,700,664 | 188,807 | |||||||||
Fukuoka Financial Group, Inc. | 1,109,000 | 5,831,623 | (83,554 | ) | ||||||||
Gree, Inc. | 275,800 | 1,717,360 | (106,770 | ) | ||||||||
GungHo Online Entertainment, Inc. | 361,800 | 1,338,404 | 69,568 | |||||||||
Gunma Bank Ltd./The | 27,000 | 200,162 | (947 | ) | ||||||||
Hachijuni Bank Ltd./The | 79,000 | 606,904 | (11,240 | ) | ||||||||
Hakuhodo DY Holdings, Inc. | 133,300 | 1,245,822 | 179,745 | |||||||||
Hamamatsu Photonics KK | 900 | 26,778 | (240 | ) | ||||||||
Hikari Tsushin, Inc. | 13,500 | 869,437 | 40,436 | |||||||||
Hisamitsu Pharmaceutical Co., Inc. | 4,700 | 168,730 | 13,726 | |||||||||
Hitachi Chemical Co., Ltd. | 2,700 | 54,505 | (5,876 | ) | ||||||||
Hitachi High-Technologies Corp. | 125,800 | 3,567,982 | (31,518 | ) | ||||||||
Hokuhoku Financial Group, Inc. | 217,000 | 515,255 | (3,299 | ) | ||||||||
Hokuriku Electric Power Co. | 36,200 | 478,797 | 60,428 | |||||||||
Hoshizaki Electric Co., Ltd. | 34,000 | 2,066,603 | (66,741 | ) | ||||||||
Hoya Corp. | 278,200 | 10,076,380 | 1,065,456 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
159
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Ibiden Co., Ltd. | 13,500 | $ | 233,729 | $ | (5,425 | ) | ||||||
Idemitsu Kosan Co., Ltd. | 7,600 | 118,152 | 30,944 | |||||||||
Isetan Mitsukoshi Holdings Ltd. | 117,700 | 1,732,412 | 370,380 | |||||||||
Isuzu Motors Ltd. | 135,700 | 1,842,238 | (61,913 | ) | ||||||||
ITOCHU Corp. | 159,700 | 1,709,157 | 400,035 | |||||||||
Itochu Techno-Solutions Corp. | 12,800 | 308,203 | 10,564 | |||||||||
J Front Retailing Co., Ltd. | 319,000 | 4,095,017 | 1,908,972 | |||||||||
Japan Airlines Co., Ltd. | 389,100 | 12,455,929 | 1,103,980 | |||||||||
Japan Petroleum Exploration Co., Ltd. | 37,300 | 1,158,114 | 28,027 | |||||||||
JGC Corp. | 74,000 | 1,506,101 | (109,191 | ) | ||||||||
Joyo Bank Ltd./The | 85,000 | 461,469 | 14,482 | |||||||||
JSR Corp. | 43,000 | 722,000 | 37,092 | |||||||||
JTEKT Corp. | 350,200 | 5,380,288 | 1,242,144 | |||||||||
Kajima Corp. | 1,065,000 | 4,361,659 | 640,410 | |||||||||
Kamigumi Co., Ltd. | 86,000 | 800,183 | 7,087 | |||||||||
Kaneka Corp. | 59,000 | 345,317 | 85,557 | |||||||||
Kansai Electric Power Co., Inc./The | 19,000 | 189,024 | 21,316 | |||||||||
Kao Corp. | 75,800 | 2,779,665 | 745,565 | |||||||||
Kawasaki Heavy Industries Ltd. | 670,000 | 3,084,149 | 38,849 | |||||||||
KDDI Corp. | 57,900 | 1,224,101 | 173,139 | |||||||||
Keihan Electric Railway Co., Ltd. | 5,000 | 29,209 | (92 | ) | ||||||||
Keio Corp. | 39,000 | 278,128 | 832 | |||||||||
Keisei Electric Railway Co., Ltd. | 122,000 | 1,358,106 | 92,403 | |||||||||
Keyence Corp. | 4,900 | 2,673,976 | (32,989 | ) | ||||||||
Kobayashi Pharmaceutical Co., Ltd. | 2,100 | 117,832 | 24,787 | |||||||||
Kobe Steel Ltd. | 3,498,000 | 6,158,601 | (273,522 | ) | ||||||||
Koito Manufacturing Co., Ltd. | 39,300 | 1,370,654 | 159,577 | |||||||||
Konami Corp. | 10,300 | 188,971 | 2,485 | |||||||||
Konica Minolta, Inc. | 863,900 | 9,712,043 | 356,848 | |||||||||
Kurita Water Industries Ltd. | 103,000 | 2,242,415 | 156,857 | |||||||||
Kyowa Hakko Kirin Co., Ltd. | 13,000 | 137,226 | 32,656 | |||||||||
Mabuchi Motor Co., Ltd. | 41,300 | 1,689,503 | 922,822 | |||||||||
Marubeni Corp. | 142,800 | 786,664 | 32,816 | |||||||||
Medipal Holdings Corp. | 200,700 | 2,373,456 | 895,467 | |||||||||
MEIJI Holdings Co., Ltd. | 43,100 | 4,309,300 | 1,251,897 | |||||||||
Miraca Holdings, Inc. | 39,200 | 1,501,941 | 456,655 | |||||||||
Mitsubishi Chemical Holdings Corp. | 712,400 | 3,703,527 | 775,068 | |||||||||
Mitsubishi Electric Corp. | 507,000 | 5,797,604 | 749,137 | |||||||||
Mitsubishi Gas Chemical Co., Inc. | 16,000 | 94,495 | (4,907 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Mitsubishi Heavy Industries Ltd. | 322,000 | $ | 1,780,597 | $ | 176,827 | |||||||
Mitsubishi Motors Corp. | 5,000 | 43,431 | (911 | ) | ||||||||
Mitsubishi Tanabe Pharma Corp. | 107,400 | 1,616,090 | (7,042 | ) | ||||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 156,500 | 730,345 | 125,468 | |||||||||
Mitsui & Co., Ltd. | 114,100 | 1,509,625 | 40,552 | |||||||||
Mixi, Inc. | 62,800 | 2,700,241 | 415,450 | |||||||||
Nagoya Railroad Co., Ltd. | 157,000 | 614,853 | (27,822 | ) | ||||||||
Nankai Electric Railway Co., Ltd. | 109,000 | 474,747 | 14,515 | |||||||||
Nexon Co., Ltd. | 64,000 | 765,460 | 115,660 | |||||||||
NHK Spring Co., Ltd. | 323,900 | 2,881,099 | 685,159 | |||||||||
Nintendo Co., Ltd. | 26,900 | 4,610,784 | (123,123 | ) | ||||||||
Nippon Express Co., Ltd. | 425,000 | 2,033,325 | 54,881 | |||||||||
Nippon Shokubai Co., Ltd. | 123,000 | 1,658,652 | 23,871 | |||||||||
Nisshin Seifun Group, Inc. | 9,695 | 94,150 | 34,709 | |||||||||
Nitto Denko Corp. | 20,100 | 1,468,565 | 182,095 | |||||||||
NOK Corp. | 92,800 | 2,721,634 | 153,663 | |||||||||
NSK Ltd. | 145,100 | 1,683,395 | 553,934 | |||||||||
NTT Data Corp. | 200 | 7,293 | 1,441 | |||||||||
Obayashi Corp. | 225,000 | 1,471,057 | 169,677 | |||||||||
Obic Co., Ltd. | 25,500 | 1,049,560 | 87,300 | |||||||||
Omron Corp. | 122,300 | 5,341,211 | (28,709 | ) | ||||||||
Oracle Corp. Japan | 5,000 | 184,092 | 24,936 | |||||||||
Oriental Land Co., Ltd./Japan | 34,100 | 2,549,948 | (374,737 | ) | ||||||||
ORIX Corp. | 368,900 | 5,224,881 | 253,093 | |||||||||
Osaka Gas Co., Ltd. | 951,000 | 3,490,789 | 262,618 | |||||||||
Otsuka Corp. | 79,200 | 2,771,970 | 925,215 | |||||||||
Otsuka Holdings Co., Ltd. | 71,600 | 2,314,628 | (33,223 | ) | ||||||||
Panasonic Corp. | 634,200 | 7,483,462 | 1,202,676 | |||||||||
Resona Holdings, Inc. | 1,399,900 | 7,276,718 | 358,517 | |||||||||
Rohm Co., Ltd. | 133,100 | 8,150,221 | 767,360 | |||||||||
Sankyo Co., Ltd. | 60,300 | 1,969,583 | 165,267 | |||||||||
Sanrio Co., Ltd. | 21,900 | 596,322 | (1,289 | ) | ||||||||
Santen Pharmaceutical Co., Ltd. | 400,500 | 5,239,330 | 427,235 | |||||||||
Secom Co., Ltd. | 34,700 | 1,865,127 | 389,178 | |||||||||
Sega Sammy Holdings, Inc. | 136,600 | 1,853,062 | (66,976 | ) | ||||||||
Seiko Epson Corp. | 230,000 | 4,321,236 | (245,538 | ) | ||||||||
Sekisui Chemical Co., Ltd. | 424,000 | 4,918,605 | 286,434 | |||||||||
Seven & i Holdings Co., Ltd. | 138,400 | 4,939,833 | 1,001,074 | |||||||||
Seven Bank Ltd. | 170,600 | 761,684 | 28,060 | |||||||||
Shimadzu Corp. | 18,000 | 246,393 | (2,094 | ) | ||||||||
Shimamura Co., Ltd. | 41,400 | 3,734,386 | 612,167 | |||||||||
Shimizu Corp. | 391,000 | 2,759,708 | 530,771 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
160
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Shin-Etsu Chemical Co., Ltd. | 60,100 | $ | 3,812,789 | $ | (85,933 | ) | ||||||
Shionogi & Co., Ltd. | 117,100 | 2,928,505 | 1,609,500 | |||||||||
Shizuoka Bank Ltd./The | 48,000 | 499,678 | 1,380 | |||||||||
Showa Shell Sekiyu KK | 69,800 | 573,647 | 36,234 | |||||||||
Sojitz Corp. | 1,567,100 | 3,854,827 | (48,883 | ) | ||||||||
Sompo Japan Nipponkoa Holdings, Inc. | 2,100 | 77,328 | (433 | ) | ||||||||
Sony Corp. | 55,100 | 1,659,362 | (94,695 | ) | ||||||||
Sumitomo Chemical Co., Ltd. | 434,000 | 2,469,677 | 137,971 | |||||||||
Sumitomo Corp. | 7,100 | 70,921 | 11,719 | |||||||||
Sumitomo Electric Industries Ltd. | 126,600 | 1,553,293 | 406,139 | |||||||||
Sumitomo Heavy Industries Ltd. | 1,724,000 | 9,597,181 | 443,992 | |||||||||
Sumitomo Rubber Industries Ltd. | 128,700 | 2,022,246 | (28,643 | ) | ||||||||
Suzuken Co., Ltd./Aichi Japan | 23,920 | 553,681 | 211,592 | |||||||||
Suzuki Motor Corp. | 88,700 | 2,669,172 | 324,406 | |||||||||
T&D Holdings, Inc. | 1,400 | 15,217 | 5,654 | |||||||||
Taiheiyo Cement Corp. | 269,923 | 820,169 | (30,810 | ) | ||||||||
Taisei Corp. | 949,000 | 4,893,485 | 554,721 | |||||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 3,200 | 202,794 | 13,373 | |||||||||
Takashimaya Co., Ltd. | 424,000 | 3,517,042 | 326,262 | |||||||||
Takeda Pharmaceutical Co., Ltd. | 7,400 | 367,393 | (10,205 | ) | ||||||||
TDK Corp. | 56,300 | 3,974,096 | 336,936 | |||||||||
Teijin Ltd. | 563,000 | 1,958,119 | 226,580 | |||||||||
THK Co., Ltd. | 129,700 | 2,943,844 | (144,890 | ) | ||||||||
Tobu Railway Co., Ltd. | 46,000 | 211,946 | (14,354 | ) | ||||||||
Toho Co., Ltd./Tokyo | 37,600 | 835,577 | 99,353 | |||||||||
Toho Gas Co., Ltd. | 42,000 | 230,658 | 17,987 | |||||||||
Tohoku Electric Power Co., Inc. | 240,000 | 2,884,635 | 364,843 | |||||||||
Tokyo Electric Power Co., Inc. | 582,700 | 2,183,114 | 991,378 | |||||||||
Tokyo Gas Co., Ltd. | 784,000 | 4,131,204 | 30,802 | |||||||||
Tokyu Corp. | 125,000 | 804,201 | 32,380 | |||||||||
Toppan Printing Co., Ltd. | 329,000 | 2,063,889 | 686,533 | |||||||||
Toyo Seikan Group Holdings Ltd. | 201,000 | 2,343,048 | 881,678 | |||||||||
Toyo Suisan Kaisha Ltd. | 46,000 | 1,595,000 | 81,095 | |||||||||
Toyoda Gosei Co., Ltd. | 24,800 | 564,702 | 33,084 | |||||||||
Toyota Boshoku Corp. | 47,700 | 640,020 | 163,816 | |||||||||
Trend Micro, Inc./Japan | 10,500 | 366,933 | (7,763 | ) | ||||||||
USS Co., Ltd. | 225,200 | 3,495,325 | 566,182 | |||||||||
West Japan Railway Co. | 65,500 | 3,131,231 | 1,059,401 | |||||||||
Yamaguchi Financial Group, Inc. | 84,000 | 1,040,422 | 5,568 | |||||||||
Yamaha Corp. | 136,400 | 1,883,129 | 865,959 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Yamaha Motor Co., Ltd. | 33,000 | $ | 733,033 | $ | (11,993 | ) | ||||||
Yamazaki Baking Co., Ltd. | 151,000 | 2,411,930 | 102,375 | |||||||||
|
| |||||||||||
39,545,854 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 39,545,854 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
ABC-Mart, Inc. | (33,449 | ) | (1,566,294 | ) | (480,866 | ) | ||||||
Acom Co., Ltd. | (1,366,030 | ) | (4,081,585 | ) | (1,154,942 | ) | ||||||
Advantest Corp. | (387,696 | ) | (4,394,129 | ) | 363,028 | |||||||
Aeon Co., Ltd. | (316,300 | ) | (3,007,864 | ) | (1,480,461 | ) | ||||||
AEON Financial Service Co., Ltd. | (361,300 | ) | (7,273,735 | ) | (2,750,365 | ) | ||||||
Aisin Seiki Co., Ltd. | (3,800 | ) | (177,676 | ) | 16,103 | |||||||
Aozora Bank Ltd. | (261,000 | ) | (873,850 | ) | (110,907 | ) | ||||||
Asahi Glass Co., Ltd. | (202,000 | ) | (949,185 | ) | (263,530 | ) | ||||||
Asics Corp. | (181,800 | ) | (4,482,819 | ) | (213,657 | ) | ||||||
Casio Computer Co., Ltd. | (61,200 | ) | (875,470 | ) | (331,683 | ) | ||||||
Chiyoda Corp. | (213,000 | ) | (1,796,662 | ) | (88,580 | ) | ||||||
Chugoku Electric Power Co., Inc./The | (61,400 | ) | (789,444 | ) | (106,226 | ) | ||||||
COLOPL, Inc. | (39,200 | ) | (827,508 | ) | 35,412 | |||||||
Credit Saison Co., Ltd. | (147,013 | ) | (2,599,884 | ) | (547,764 | ) | ||||||
Daido Steel Co., Ltd. | (208,000 | ) | (735,481 | ) | (130,939 | ) | ||||||
Daihatsu Motor Co., Ltd. | (91,000 | ) | (1,288,369 | ) | (6,851 | ) | ||||||
Daiichi Sankyo Co., Ltd. | (204,900 | ) | (3,092,062 | ) | (694,605 | ) | ||||||
Daikin Industries Ltd. | (154,600 | ) | (9,129,997 | ) | (1,983,946 | ) | ||||||
DeNA Co., Ltd. | (79,500 | ) | (1,411,614 | ) | (150,779 | ) | ||||||
Denso Corp. | (38,800 | ) | (2,047,414 | ) | 116,994 | |||||||
Disco Corp. | (15,000 | ) | (1,152,634 | ) | (87,398 | ) | ||||||
Electric Power Development Co., Ltd. | (2,000 | ) | (73,158 | ) | 2,506 | |||||||
FANUC Corp. | (13,200 | ) | (2,119,228 | ) | (581,698 | ) | ||||||
Fast Retailing Co., Ltd. | (29,800 | ) | (10,673,637 | ) | (2,839,801 | ) | ||||||
GS Yuasa Corp. | (984,853 | ) | (4,421,258 | ) | 553,995 | |||||||
Hino Motors Ltd. | (7,800 | ) | (96,591 | ) | 166 | |||||||
Hirose Electric Co., Ltd. | (1,300 | ) | (187,543 | ) | 1,281 | |||||||
Hitachi Capital Corp. | (46,900 | ) | (1,005,655 | ) | (234,406 | ) | ||||||
Hitachi Construction Machinery Co., Ltd. | (137,595 | ) | (2,772,371 | ) | 363,705 | |||||||
Hitachi Ltd. | (1,220,000 | ) | (8,684,773 | ) | 647,962 | |||||||
Hitachi Metals Ltd. | (16,000 | ) | (257,275 | ) | 11,300 | |||||||
Hokkaido Electric Power Co., Inc. | (206,495 | ) | (1,607,134 | ) | (735,390 | ) | ||||||
Honda Motor Co., Ltd. | (166,300 | ) | (5,296,931 | ) | (77,860 | ) | ||||||
IHI Corp. | (573,000 | ) | (2,667,727 | ) | (261 | ) | ||||||
Inpex Corp. | (312,200 | ) | (3,773,675 | ) | 229,908 | |||||||
Japan Display, Inc. | (1,061,400 | ) | (3,470,896 | ) | (535,456 | ) | ||||||
Japan Steel Works Ltd./The | (102,000 | ) | (342,657 | ) | (78,850 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
161
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Japan Tobacco, Inc. | (13,000 | ) | $ | (489,790 | ) | $ | 27,649 | |||||
JFE Holdings, Inc. | (97,500 | ) | (2,232,226 | ) | 72,026 | |||||||
JX Holdings, Inc. | (530,400 | ) | (2,035,516 | ) | (251,225 | ) | ||||||
Kakaku.com, Inc. | (377,600 | ) | (5,373,087 | ) | (90,285 | ) | ||||||
Kansai Paint Co., Ltd. | (177,000 | ) | (2,611,194 | ) | (131,104 | ) | ||||||
Keikyu Corp. | (137,000 | ) | (1,030,951 | ) | (2,491 | ) | ||||||
Kikkoman Corp. | (103,000 | ) | (2,710,331 | ) | (505,701 | ) | ||||||
Kintetsu Group Holdings Co., Ltd. | (366,000 | ) | (1,226,530 | ) | (19,843 | ) | ||||||
Kirin Holdings Co., Ltd. | (59,200 | ) | (821,599 | ) | 6,168 | |||||||
Komatsu Ltd. | (114,500 | ) | (2,539,403 | ) | 242,153 | |||||||
Kubota Corp. | (727,000 | ) | (10,773,068 | ) | (754,522 | ) | ||||||
Kuraray Co., Ltd. | (147,500 | ) | (1,709,887 | ) | (91,878 | ) | ||||||
Kyocera Corp. | (118,100 | ) | (6,056,844 | ) | (83,465 | ) | ||||||
Kyushu Electric Power Co., Inc. | (649,400 | ) | (6,954,014 | ) | (575,077 | ) | ||||||
Lawson, Inc. | (1,800 | ) | (127,720 | ) | 4,544 | |||||||
LIXIL Group Corp. | (231,000 | ) | (4,629,034 | ) | 47,000 | |||||||
M3, Inc. | (338,400 | ) | (5,827,667 | ) | (974,659 | ) | ||||||
Makita Corp. | (76,500 | ) | (3,806,508 | ) | (336,642 | ) | ||||||
Marui Group Co., Ltd. | (175,300 | ) | (2,209,375 | ) | (159,027 | ) | ||||||
Maruichi Steel Tube Ltd. | (19,000 | ) | (483,289 | ) | 11,703 | |||||||
Mazda Motor Corp. | (428,000 | ) | (9,568,000 | ) | 1,192,552 | |||||||
Minebea Co., Ltd. | (390,000 | ) | (6,301,554 | ) | (136,707 | ) | ||||||
Mitsubishi Logistics Corp. | (112,000 | ) | (1,660,276 | ) | 190,326 | |||||||
Mitsubishi Materials Corp. | (416,000 | ) | (1,470,122 | ) | (127,201 | ) | ||||||
Mitsubishi UFJ Financial Group, Inc. | (249,100 | ) | (1,844,187 | ) | 52,045 | |||||||
Mitsui Chemicals, Inc. | (1,583,025 | ) | (4,244,628 | ) | (1,636,747 | ) | ||||||
Mitsui OSK Lines Ltd. | (2,397,000 | ) | (7,630,874 | ) | (41,900 | ) | ||||||
Mizuho Financial Group, Inc. | (2,660,000 | ) | (5,586,322 | ) | (169,206 | ) | ||||||
MS&AD Insurance Group Holdings, Inc. | (1,700 | ) | (48,227 | ) | (4,691 | ) | ||||||
Murata Manufacturing Co., Ltd. | (200 | ) | (35,034 | ) | 131 | |||||||
Nabtesco Corp. | (73,603 | ) | (1,709,625 | ) | (136,613 | ) | ||||||
NGK Insulators Ltd. | (250,000 | ) | (5,311,561 | ) | (1,121,206 | ) | ||||||
NGK Spark Plug Co., Ltd. | (108,400 | ) | (3,107,286 | ) | 105,237 | |||||||
NH Foods Ltd. | (5,000 | ) | (110,229 | ) | (3,795 | ) | ||||||
Nidec Corp. | (173,400 | ) | (10,674,608 | ) | (2,302,269 | ) | ||||||
Nikon Corp. | (440,595 | ) | (5,959,495 | ) | 867,673 | |||||||
Nippon Electric Glass Co., Ltd. | (235,000 | ) | (1,171,279 | ) | (17,113 | ) | ||||||
Nippon Paint Holdings Co., Ltd. | (113,700 | ) | (3,268,133 | ) | 63,998 | |||||||
Nippon Steel & Sumitomo Metal Corp. | (597,000 | ) | (1,529,008 | ) | (18,926 | ) | ||||||
Nissan Motor Co., Ltd. | (660,000 | ) | (6,159,891 | ) | (735,099 | ) | ||||||
Nissin Foods Holdings Co., Ltd. | (3,700 | ) | (160,408 | ) | (1,701 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Nitori Holdings Co., Ltd. | (2,900 | ) | $ | (160,568 | ) | $ | (75,865 | ) | ||||
Nomura Holdings, Inc. | (45,900 | ) | (282,918 | ) | (26,992 | ) | ||||||
Nomura Research Institute Ltd. | (4,700 | ) | (139,614 | ) | (44,174 | ) | ||||||
NTT DOCOMO, Inc. | (13,500 | ) | (246,140 | ) | (13,040 | ) | ||||||
Odakyu Electric Railway Co., Ltd. | (48,000 | ) | (456,062 | ) | 8,210 | |||||||
Oji Holdings Corp. | (228,000 | ) | (1,036,086 | ) | 45,237 | |||||||
Olympus Corp. | (42,100 | ) | (1,437,179 | ) | (16,324 | ) | ||||||
Ono Pharmaceutical Co., Ltd. | (58,645 | ) | (5,219,663 | ) | (1,181,143 | ) | ||||||
Park24 Co., Ltd. | (4,900 | ) | (94,077 | ) | 10,191 | |||||||
Rakuten, Inc. | (578,068 | ) | (7,598,951 | ) | (1,733,455 | ) | ||||||
Recruit Holdings Co., Ltd. | (35,800 | ) | (1,179,077 | ) | 87,383 | |||||||
Ricoh Co., Ltd. | (806,000 | ) | (8,436,908 | ) | 87,583 | |||||||
Rinnai Corp. | (22,500 | ) | (1,648,867 | ) | (122,898 | ) | ||||||
Seibu Holdings, Inc. | (7,200 | ) | (167,785 | ) | 1,052 | |||||||
Sharp Corp./Japan | (1,075,000 | ) | (2,290,141 | ) | 983,891 | |||||||
Shikoku Electric Power Co., Inc. | (321,273 | ) | (3,998,078 | ) | (811,336 | ) | ||||||
Shimano, Inc. | (10,400 | ) | (1,302,128 | ) | (117,061 | ) | ||||||
Shinsei Bank Ltd. | (2,192,000 | ) | (3,974,673 | ) | (442,782 | ) | ||||||
Shiseido Co., Ltd. | (51,400 | ) | (1,051,289 | ) | (114,530 | ) | ||||||
SMC Corp./Japan | (11,800 | ) | (3,067,433 | ) | (483,413 | ) | ||||||
SoftBank Corp. | (115,400 | ) | (6,877,467 | ) | 80,062 | |||||||
Sony Financial Holdings, Inc. | (6,200 | ) | (95,142 | ) | (13,413 | ) | ||||||
Stanley Electric Co., Ltd. | (50,400 | ) | (1,152,602 | ) | 102,930 | |||||||
Sumco Corp. | (276,700 | ) | (3,546,020 | ) | 85,329 | |||||||
Sumitomo Dainippon Pharma Co., Ltd. | (42,600 | ) | (455,140 | ) | (14,325 | ) | ||||||
Sumitomo Metal Mining Co., Ltd. | (315,000 | ) | (4,854,113 | ) | 63,286 | |||||||
Sumitomo Mitsui Financial Group, Inc. | (158,900 | ) | (6,601,205 | ) | (472,896 | ) | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | (1,646,000 | ) | (6,597,899 | ) | (931,896 | ) | ||||||
Suruga Bank Ltd. | (20,300 | ) | (373,591 | ) | (61,258 | ) | ||||||
Sysmex Corp. | (41,000 | ) | (1,673,552 | ) | (768,306 | ) | ||||||
Taiyo Nippon Sanso Corp. | (330,916 | ) | (3,751,732 | ) | (252,927 | ) | ||||||
Terumo Corp. | (261,300 | ) | (5,866,642 | ) | (399,387 | ) | ||||||
TonenGeneral Sekiyu KK | (13,000 | ) | (106,450 | ) | (14,476 | ) | ||||||
Toray Industries, Inc. | (97,000 | ) | (825,107 | ) | 5,196 | |||||||
Toshiba Corp. | (731,000 | ) | (2,936,368 | ) | 429,552 | |||||||
TOTO Ltd. | (10,000 | ) | (183,170 | ) | 2,932 | |||||||
Toyota Industries Corp. | (24,300 | ) | (1,149,081 | ) | (234,717 | ) | ||||||
Toyota Motor Corp. | (9,800 | ) | (569,897 | ) | (85,892 | ) | ||||||
Tsumura & Co. | (52,800 | ) | (1,158,273 | ) | 22,403 | |||||||
Ube Industries Ltd. | (33,000 | ) | (52,327 | ) | (9,923 | ) | ||||||
Unicharm Corp. | (139,600 | ) | (3,153,998 | ) | (162,135 | ) | ||||||
Yahoo Japan Corp. | (3,630,100 | ) | (13,135,427 | ) | (1,515,830 | ) | ||||||
Yakult Honsha Co., Ltd. | (37,068 | ) | (2,031,262 | ) | (164,261 | ) | ||||||
Yamada Denki Co., Ltd. | (1,451,570 | ) | (4,701,916 | ) | (1,104,771 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
162
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Yamato Holdings Co., Ltd. | (70,700 | ) | $ | (1,542,952 | ) | $ | 175,922 | |||||
Yaskawa Electric Corp. | (918,100 | ) | (11,246,302 | ) | (496,615 | ) | ||||||
Yokogawa Electric Corp. | (165,500 | ) | (1,870,105 | ) | (261,404 | ) | ||||||
Yokohama Rubber Co., Ltd./The | (66,500 | ) | (1,390,715 | ) | 56,350 | |||||||
|
| |||||||||||
(30,770,685 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (30,770,685 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 8,775,169 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 3,246,149 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 12,021,318 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
163
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
J.P. Morgan | The Fund receives the total return on a portfolio of long and short positions and pays the Norway Interbank Offered Rate plus or minus a specified spread, which is denominated in NOK based on the local currencies of the positions within the swap. | 6-18 months maturity ranging from 12/28/2015 -07/29/2016 | $3,232,818 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Norway | ||||||||||||
DNB ASA | 265,148 | $ | 4,021,419 | $ | 394,254 | |||||||
Gjensidige Forsikring ASA | 29,229 | 466,664 | 3,975 | |||||||||
Marine Harvest ASA | 18,844 | 211,434 | 4,378 | |||||||||
Norsk Hydro ASA | 875,968 | 4,179,692 | (503,315 | ) | ||||||||
Orkla ASA | 216,691 | 1,531,697 | 168,484 | |||||||||
Telenor ASA | 45,285 | 917,241 | 75,626 | |||||||||
Yara International ASA | 57,301 | 2,354,766 | 631,082 | |||||||||
|
| |||||||||||
774,484 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Subsea 7 SA | 168,320 | 1,765,971 | (119,581 | ) | ||||||||
|
| |||||||||||
Total of Long Equity Positions | 654,903 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Norway | ||||||||||||
Aker Solutions ASA | (17,285 | ) | (96,496 | ) | (437 | ) | ||||||
DNO ASA | (133,052 | ) | (193,648 | ) | 18,081 | |||||||
Petroleum Geo-Services ASA | (9,834 | ) | (53,439 | ) | 539 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Norway (continued) | ||||||||||||
Schibsted ASA | (76,777 | ) | $ | (2,310,475 | ) | $ | (68,111 | ) | ||||
Schibsted ASA | (55,596 | ) | (1,647,518 | ) | (33,029 | ) | ||||||
Seadrill Ltd. | (723,196 | ) | (9,355,222 | ) | 1,844,426 | |||||||
Statoil ASA | (48,684 | ) | (879,048 | ) | 8,431 | |||||||
TGS Nopec Geophysical Co. ASA | (146,158 | ) | (3,372,655 | ) | (41,741 | ) | ||||||
|
| |||||||||||
1,728,159 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 1,728,159 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 2,383,062 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 849,756 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 3,232,818 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
164
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
J.P. Morgan | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 13 months maturity 05/16/2016 | $(449,410 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swaps as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
United Kingdom | ||||||||||||
International Game Technology PLC | 77,280 | $ | 1,495,878 | $ | (123,385 | ) | ||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (326,025 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (449,410 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
J.P. Morgan | The Fund receives the total return on a portfolio of long and short positions and pays the Stockholm Interbank Offered Rate plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap. | 6-21 months maturity 12/21/2015 -08/01/2016 | $1,223,678 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Sweden | ||||||||||||
BillerudKorsnas AB | 27,365 | $ | 465,097 | $ | (35,157 | ) | ||||||
Boliden AB | 503,290 | 8,110,622 | 1,064,707 | |||||||||
Electrolux AB | 388,028 | 10,767,227 | 1,390,907 | |||||||||
Hennes & Mauritz AB | 4,013 | 168,365 | (13,910 | ) | ||||||||
Hexpol AB | 30,971 | 328,425 | (9,158 | ) | ||||||||
Holmen AB | 9,229 | 313,644 | (44,314 | ) | ||||||||
Husqvarna AB | 506,948 | 3,838,706 | (20,046 | ) | ||||||||
Meda AB | 151,451 | 1,915,031 | 192,555 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Sweden (continued) | ||||||||||||
NCC AB | 5,524 | $ | 193,477 | $ | (24,766 | ) | ||||||
Nordea Bank AB | 41,368 | 447,299 | 68,632 | |||||||||
Securitas AB | 218,295 | 2,405,237 | 477,769 | |||||||||
Skandinaviska Enskilda Banken AB | 356,598 | 4,045,805 | 515,562 | |||||||||
Skanska AB | 188,115 | 3,676,303 | 135,668 | |||||||||
SKF AB | 2,503 | 62,416 | (5,302 | ) | ||||||||
Svenska Cellulosa AB SCA | 99,497 | 2,215,483 | 314,545 | |||||||||
Swedbank AB | 77,556 | 1,772,691 | 35,481 | |||||||||
Swedish Match AB | 71,568 | 2,092,546 | (57,823 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
165
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Sweden (continued) | ||||||||||||
Tele2 AB | 146,409 | $ | 1,726,951 | $ | (21,964 | ) | ||||||
Telefonaktiebolaget LM Ericsson | 771,604 | 8,545,662 | (509,301 | ) | ||||||||
TeliaSonera AB | 56,533 | 337,972 | (4,781 | ) | ||||||||
Trelleborg AB | 58,081 | 852,974 | 221,102 | |||||||||
|
| |||||||||||
3,670,406 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 3,670,406 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Luxembourg | ||||||||||||
Millicom International Cellular SA | (12,665 | ) | (946,041 | ) | 11,745 | |||||||
|
| |||||||||||
Sweden | ||||||||||||
Alfa Laval AB | (143,270 | ) | (2,511,263 | ) | (10,429 | ) | ||||||
Assa Abloy AB | (60,786 | ) | (990,444 | ) | (153,902 | ) | ||||||
Atlas Copco AB | (253,718 | ) | (6,540,437 | ) | (558,165 | ) | ||||||
Elekta AB | (553,011 | ) | (5,162,384 | ) | 1,694,569 | |||||||
Getinge AB | (102,520 | ) | (2,244,428 | ) | (223,846 | ) | ||||||
Hexagon AB | (100,103 | ) | (2,985,408 | ) | (640,376 | ) | ||||||
Modern Times Group MTG AB | (66,155 | ) | (1,923,055 | ) | 147,572 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Sweden (continued) | ||||||||||||
Sandvik AB | (757,521 | ) | $ | (7,179,809 | ) | $ | (1,194,806 | ) | ||||
SSAB AB | (240,718 | ) | (1,466,942 | ) | 209,733 | |||||||
Svenska Handelsbanken AB | (48,626 | ) | (685,475 | ) | (24,380 | ) | ||||||
Volvo AB | (630,278 | ) | (6,324,265 | ) | (1,502,227 | ) | ||||||
|
| |||||||||||
(2,256,257 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (2,244,512 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 1,425,894 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (202,216 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 1,223,678 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
166
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays the Effective Overnight Index Average plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 10-24 months maturity 04/05/2016 | $(20,583 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Belgium | ||||||||||||
Delhaize Group | 20,701 | $ | 1,851,206 | $ | (167,443 | ) | ||||||
|
| |||||||||||
France | ||||||||||||
Alcatel-Lucent | 20,082 | 74,860 | (1,617 | ) | ||||||||
Lafarge SA | 114,302 | 7,603,387 | (46,071 | ) | ||||||||
|
| |||||||||||
(47,688 | ) | |||||||||||
|
| |||||||||||
Italy | ||||||||||||
Ansaldo STS SpA | 433,387 | 4,550,051 | (39,637 | ) | ||||||||
Pirelli & C. SpA | 11,364 | 196,448 | (4,656 | ) | ||||||||
Sorin SpA | 148,498 | 483,893 | (68,187 | ) | ||||||||
World Duty Free SpA | 512,609 | 5,761,007 | (13,014 | ) | ||||||||
|
| |||||||||||
(125,494 | ) | |||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
TNT Express NV | 1,807,753 | 15,404,274 | (51,468 | ) | ||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Jazztel PLC | 1,197,458 | 17,063,051 | 231,864 | |||||||||
|
| |||||||||||
Total of Long Equity Positions | (160,229 | ) | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
European Union | ||||||||||||
Koninklijke Ahold NV | (104,358 | ) | $ | (2,090,163 | ) | $ | 131,086 | |||||
|
| |||||||||||
Finland | ||||||||||||
Nokia OYJ | (11,045 | ) | (77,312 | ) | 2,018 | |||||||
|
| |||||||||||
Total of Short Equity Positions | 133,104 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (27,125 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 6,542 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (20,583 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
167
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 1-25 months maturity 07/23/2015 -11/02/2016 | $6,793,876 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Alcatel-Lucent | 534,818 | $ | 2,134,202 | $ | (198,161 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
Perrigo Co. PLC | 6,100 | 1,149,953 | (22,490 | ) | ||||||||
|
| |||||||||||
United States | ||||||||||||
Advent Software, Inc. | 373,312 | 16,380,003 | 124,121 | |||||||||
Alexion Pharmaceuticals, Inc. | 476 | 69,966 | 16,080 | |||||||||
Altera Corp. | 211,535 | 10,924,172 | (93,580 | ) | ||||||||
ANN, Inc. | 239,318 | 11,374,194 | 182,472 | |||||||||
Associated Estates Realty Corp. | 421,521 | 12,009,218 | 58,928 | |||||||||
Axis Capital Holdings Ltd. | 25,938 | 1,428,750 | (44,439 | ) | ||||||||
Baker Hughes, Inc. | 363,341 | 22,934,776 | (516,636 | ) | ||||||||
Broadcom Corp. | 407,767 | 22,338,124 | (1,342,202 | ) | ||||||||
Catamaran Corp. | 387,331 | 23,171,162 | 487,016 | |||||||||
Cigna Corp. | 10,301 | 1,707,785 | (39,023 | ) | ||||||||
City National Corp./CA | 128,969 | 11,703,311 | (45,803 | ) | ||||||||
Cleco Corp. | 255,999 | 13,805,510 | (19,964 | ) | ||||||||
Dealertrack Technologies, Inc. | 107,599 | 6,761,538 | (5,397 | ) | ||||||||
DIRECTV | 287,122 | 24,345,298 | 2,296,753 | |||||||||
Dresser-Rand Group, Inc. | 242,133 | 19,703,935 | 920,954 | |||||||||
Excel Trust, Inc. | 436,444 | 6,905,650 | (22,928 | ) | ||||||||
Family Dollar Stores, Inc. | 398,045 | 31,314,140 | 55,786 | |||||||||
Freescale Semiconductor Ltd. | 628,660 | 26,197,660 | (1,070,120 | ) | ||||||||
GrafTech International Ltd. | 226,132 | 1,121,506 | 108 | |||||||||
Hawaiian Electric Industries, Inc. | 399,159 | 13,231,902 | (1,364,904 | ) | ||||||||
HCC Insurance Holdings, Inc. | 93,085 | 7,180,480 | (27,829 | ) | ||||||||
Home Loan Servicing Solutions Ltd. | 183,051 | 3,368,373 | (3,242,068 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Home Properties, Inc. | 58,656 | $ | 4,313,873 | $ | (29,052 | ) | ||||||
Hospira, Inc. | 266,242 | 23,313,042 | 305,286 | |||||||||
Hudson City Bancorp, Inc. | 2,544,317 | 23,713,034 | 1,424,818 | |||||||||
Hudson Valley Holding Corp. | 135,367 | 3,472,925 | 345,778 | |||||||||
IGATE Corp. | 169,322 | 8,030,233 | 44,733 | |||||||||
Informatica Corp. | 210,569 | 10,080,109 | 126,170 | |||||||||
Integrated Silicon Solution, Inc. | 268,790 | 4,965,696 | 985,315 | |||||||||
KYTHERA Biopharmaceuticals, Inc. | 65,234 | 4,837,676 | 75,096 | |||||||||
MeadWestvaco Corp. | 141,527 | 7,169,629 | (490,970 | ) | ||||||||
Micrel, Inc. | 195,765 | 2,721,239 | (105 | ) | ||||||||
Montpelier Re Holdings Ltd. | 100,998 | 4,011,073 | (21,652 | ) | ||||||||
Mylan NV | 23,345 | 1,716,369 | (132,177 | ) | ||||||||
Office Depot, Inc. | 1,337,231 | 12,356,759 | (776,339 | ) | ||||||||
Omnicare, Inc. | 121,712 | 11,593,370 | (122,014 | ) | ||||||||
Orbitz Worldwide, Inc. | 938,463 | 10,939,176 | (221,928 | ) | ||||||||
Pall Corp. | 90,079 | 11,197,692 | 12,640 | |||||||||
PartnerRe Ltd. | 15,548 | 2,034,265 | (36,347 | ) | ||||||||
Pepco Holdings, Inc. | 839,233 | 22,823,478 | (214,541 | ) | ||||||||
Polypore International, Inc. | 256,324 | 15,217,728 | 130,953 | |||||||||
Reynolds American, Inc. | 763 | 34,245 | 22,721 | |||||||||
Rosetta Resources, Inc. | 445,545 | 10,648,999 | (339,087 | ) | ||||||||
RTI International Metals, Inc. | 151,711 | 5,636,688 | (854,757 | ) | ||||||||
Sigma-Aldrich Corp. | 208,481 | 28,378,347 | 673,480 | |||||||||
Square 1 Financial, Inc. | 80,253 | 2,080,034 | 114,885 | |||||||||
Standard Pacific Corp. | 120,947 | 1,085,022 | (7,384 | ) | ||||||||
Susquehanna Bancshares, Inc. | 1,176,290 | 15,563,271 | 1,045,943 | |||||||||
Time Warner Cable, Inc. | 56,249 | 8,657,174 | 1,364,711 | |||||||||
Tornier NV | 4,584 | 114,983 | (429 | ) | ||||||||
UIL Holdings Corp. | 12,814 | 649,563 | (62,426 | ) | ||||||||
|
| |||||||||||
(329,354 | ) | |||||||||||
|
| |||||||||||
Total Common Stocks | (550,005 | ) | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
168
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Rights | ||||||||||||
United States | ||||||||||||
Furiex Pharmaceuticals, Inc. | 44,784 | $ | 447,840 | $ | (7,928 | ) | ||||||
|
| |||||||||||
Total of Long Equity Positions and Rights | (557,933 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Mitel Networks Corp. | (142,407 | ) | (1,382,244 | ) | 124,790 | |||||||
|
| |||||||||||
Finland | ||||||||||||
Nokia OYJ | (294,483 | ) | (2,272,898 | ) | 255,690 | |||||||
|
| |||||||||||
Israel | ||||||||||||
Teva Pharmaceutical Industries Ltd. | (15,122 | ) | (919,439 | ) | 25,729 | |||||||
|
| |||||||||||
Singapore | ||||||||||||
Avago Technologies Ltd. | (80,522 | ) | (11,378,568 | ) | 674,779 | |||||||
|
| |||||||||||
United States | ||||||||||||
Alcoa, Inc. | (432,699 | ) | (5,763,919 | ) | 939,325 | |||||||
Ascena Retail Group, Inc. | (172,764 | ) | (2,728,136 | ) | (149,248 | ) | ||||||
AT&T, Inc. | (447,075 | ) | (15,163,562 | ) | (716,542 | ) | ||||||
BB&T Corp. | (297,160 | ) | (11,174,577 | ) | (803,943 | ) | ||||||
Charter Communications, Inc. | (28,143 | ) | (4,947,843 | ) | 128,355 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Cyberonics, Inc. | (7,009 | ) | $ | (475,705 | ) | $ | 58,949 | |||||
Dollar Tree, Inc. | (98,195 | ) | (7,560,233 | ) | (196,190 | ) | ||||||
Endurance Specialty Holdings Ltd. | (48,297 | ) | (3,080,326 | ) | (92,787 | ) | ||||||
Halliburton Co. | (404,692 | ) | (18,587,904 | ) | 1,157,820 | |||||||
Iron Mountain, Inc. | (19,116 | ) | (604,884 | ) | 12,288 | |||||||
M&T Bank Corp. | (213,609 | ) | (25,308,394 | ) | (1,377,778 | ) | ||||||
Monsanto Co. | (1,399 | ) | (159,083 | ) | 9,964 | |||||||
NextEra Energy, Inc. | (98,344 | ) | (10,381,034 | ) | 740,372 | |||||||
Noble Energy, Inc. | (236,715 | ) | (10,535,560 | ) | 432,564 | |||||||
NXP Semiconductors NV | (216,288 | ) | (22,226,792 | ) | 987,311 | |||||||
PacWest Bancorp | (48,128 | ) | (2,170,494 | ) | (79,972 | ) | ||||||
Rock-Tenn Co. | (109,153 | ) | (7,153,831 | ) | 582,821 | |||||||
Ryland Group, Inc./The | (23,953 | ) | (1,112,511 | ) | 1,810 | |||||||
Staples, Inc. | (292,586 | ) | (4,802,486 | ) | 322,994 | |||||||
STERIS Corp. | (52,129 | ) | (3,145,985 | ) | (213,208 | ) | ||||||
Sterling Bancorp/DE | (264,094 | ) | (3,592,190 | ) | (289,992 | ) | ||||||
Wright Medical Group, Inc. | (4,460 | ) | (116,980 | ) | (139 | ) | ||||||
|
| |||||||||||
1,454,774 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 2,535,762 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions and Rights | $ | 1,977,829 | ||||||||||
|
|
Written Options
Call Options Written
NUMBER OF CONTRACTS | ISSUER | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2015 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
(1,600) | Perrigo Co. PLC (Exercise price $180) | August 21, 2015 | $(28,960 | ) | $(20,480 | ) | $8,480 | |||||||||
(1,600) | Perrigo Co. PLC (Exercise price $185) | August 21, 2015 | (24,800 | ) | (17,440 | ) | 7,360 | |||||||||
(1,600) | Perrigo Co. PLC (Exercise price $175) | August 21, 2015 | (33,760 | ) | (24,800 | ) | 8,960 | |||||||||
|
| |||||||||||||||
Total of Written Options | 24,800 | |||||||||||||||
|
| |||||||||||||||
Total of Long and Short Equity Positions, Rights and Written Options | 2,002,629 | |||||||||||||||
|
| |||||||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 4,791,247 | |||||||||||||||
|
| |||||||||||||||
Swaps, at Value | $6,793,876 | |||||||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
169
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays the CAD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | 19-24 months maturity ranging from 12/01/2016 -01/12/2017 | $(366,746 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Alamos Gold, Inc. | 51,622 | $ | 335,089 | $ | (42,881 | ) | ||||||
|
| |||||||||||
Colombia | ||||||||||||
Pacific Rubiales Energy Corp. | 755,343 | 3,603,475 | (755,064 | ) | ||||||||
|
| |||||||||||
Total of Long Equity Positions | (797,945 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
AuRico Gold, Inc. | (103,131 | ) | (348,866 | ) | 54,088 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Canada (continued) | ||||||||||||
Royal Bank of Canada | (96,585 | ) | $ | (5,971,250 | ) | $ | 64,795 | |||||
|
| |||||||||||
118,883 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 118,883 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (679,062 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 312,316 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (366,746 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
170
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | 1-3 months maturity 07/14/2015 | $689,993 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Switzerland | ||||||||||||
Syngenta AG | 622 | $ | 274,949 | $ | (21,159 | ) | ||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Switzerland | ||||||||||||
Holcim Ltd. | (102,825 | ) | (8,306,789 | ) | 719,790 | |||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 698,631 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (8,638 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 689,993 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
171
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 25 months maturity 10/14/2015 | $1,969,143 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
Tokyo Electron Ltd. | 43,555 | $ | 2,311,307 | $ | 456,922 | |||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 1,512,221 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 1,969,143 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Morgan Stanley Capital Services, Inc. | The Fund receives the total return on a portfolio of long and short positions and pays Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 4-25 months maturity ranging from 07/23/2015 -07/24/2015 | $9,603,157 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
Allegion PLC | 6,702 | $ | 410,689 | $ | (7,631 | ) | ||||||
Medtronic PLC | 98,136 | 7,448,151 | (176,273 | ) | ||||||||
|
| |||||||||||
(183,904 | ) | |||||||||||
|
| |||||||||||
Puerto Rico | ||||||||||||
Popular, Inc. | 64,462 | 2,051,393 | (191,019 | ) | ||||||||
|
| |||||||||||
Singapore | ||||||||||||
Avago Technologies Ltd. | 18,189 | 2,381,421 | 36,442 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Singapore (continued) | ||||||||||||
Flextronics International Ltd. | 1,309,285 | $ | 14,912,213 | $ | (104,200 | ) | ||||||
|
| |||||||||||
(67,758 | ) | |||||||||||
|
| |||||||||||
Sweden | ||||||||||||
Autoliv, Inc. | 17,044 | 1,696,730 | 293,157 | |||||||||
|
| |||||||||||
Switzerland | ||||||||||||
ACE Ltd. | 3,153 | 335,132 | (14,535 | ) | ||||||||
Allied World Assurance Co. Holdings AG | 66,378 | 2,575,488 | 293,370 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
172
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Switzerland (continued) | ||||||||||||
TE Connectivity Ltd. | 128,995 | $ | 8,355,458 | $ | (61,080 | ) | ||||||
Transocean Ltd. | 251,627 | 3,927,857 | 128,371 | |||||||||
Weatherford International PLC | 387,353 | 4,828,796 | (75,975 | ) | ||||||||
|
| |||||||||||
270,151 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aon PLC | 49,798 | 4,727,420 | 236,444 | |||||||||
Delphi Automotive PLC | 157,460 | 11,915,490 | 1,482,782 | |||||||||
International Game Technology PLC | 148,493 | 2,839,968 | (202,732 | ) | ||||||||
Michael Kors Holdings Ltd. | 18,136 | 794,045 | (30,701 | ) | ||||||||
Willis Group Holdings PLC | 26,612 | 1,199,107 | 48,996 | |||||||||
|
| |||||||||||
1,534,789 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
3M Co. | 6,649 | 1,034,613 | (8,672 | ) | ||||||||
Abbott Laboratories | 186,547 | 8,835,572 | 320,155 | |||||||||
AbbVie, Inc. | 53,732 | 3,361,858 | 248,395 | |||||||||
Activision Blizzard, Inc. | 256,567 | 6,193,469 | 18,018 | |||||||||
Acuity Brands, Inc. | 7,423 | 1,266,169 | 69,823 | |||||||||
Acxiom Corp. | 45,165 | 876,906 | (82,905 | ) | ||||||||
Adobe Systems, Inc. | 56,764 | 4,308,172 | 290,280 | |||||||||
Advanced Micro Devices, Inc. | 321,055 | 865,257 | (94,725 | ) | ||||||||
AECOM | 56,715 | 1,742,241 | 133,891 | |||||||||
Aetna, Inc. | 128,878 | 12,688,651 | 3,738,139 | |||||||||
Aflac, Inc. | 17,824 | 1,112,354 | (3,702 | ) | ||||||||
Agilent Technologies, Inc. | 135,687 | 5,565,830 | (331,025 | ) | ||||||||
AGL Resources, Inc. | 5,154 | 251,274 | (11,304 | ) | ||||||||
Air Lease Corp. | 11,915 | 424,866 | (20,947 | ) | ||||||||
Air Products & Chemicals, Inc. | 11,021 | 1,567,096 | (59,092 | ) | ||||||||
Akamai Technologies, Inc. | 47,364 | 3,269,442 | 37,513 | |||||||||
Alaska Air Group, Inc. | 66,056 | 3,849,456 | 406,532 | |||||||||
Alcoa, Inc. | 108,674 | 1,519,734 | (308,019 | ) | ||||||||
Alere, Inc. | 27,337 | 1,107,729 | 334,298 | |||||||||
Alleghany Corp. | 944 | 453,196 | (10,687 | ) | ||||||||
Alliant Energy Corp. | 26,727 | 1,610,194 | (67,512 | ) | ||||||||
Allison Transmission Holdings, Inc. | 8,126 | 254,236 | (16,469 | ) | ||||||||
Allstate Corp./The | 137,003 | 9,208,825 | (321,441 | ) | ||||||||
Alnylam Pharmaceuticals, Inc. | 8,470 | 780,418 | 234,881 | |||||||||
Amdocs Ltd. | 127,356 | 6,538,755 | 413,609 | |||||||||
AMERCO | 6,525 | 1,938,969 | 194,119 | |||||||||
Ameren Corp. | 44,402 | 1,822,764 | (149,696 | ) | ||||||||
American Electric Power Co., Inc. | 170,381 | 9,538,241 | (513,159 | ) | ||||||||
American Financial Group, Inc./OH | 57,633 | 3,514,331 | 234,120 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
American International Group, Inc. | 27,693 | $ | 1,540,226 | $ | 171,755 | |||||||
Ameriprise Financial, Inc. | 28,923 | 3,774,994 | (161,644 | ) | ||||||||
AmerisourceBergen Corp. | 111,575 | 12,065,781 | (200,896 | ) | ||||||||
Amgen, Inc. | 94,160 | 14,893,548 | (438,105 | ) | ||||||||
Anadarko Petroleum Corp. | 141,172 | 11,998,358 | (978,472 | ) | ||||||||
ANN, Inc. | 21,183 | 850,852 | 172,075 | |||||||||
Anthem, Inc. | 71,384 | 9,750,445 | 1,966,525 | |||||||||
AO Smith Corp. | 52,661 | 2,907,748 | 882,791 | |||||||||
Apache Corp. | 11,073 | 710,387 | (72,250 | ) | ||||||||
Apollo Education Group, Inc. | 99,367 | 2,359,638 | (1,079,791 | ) | ||||||||
Applied Materials, Inc. | 200,330 | 3,874,703 | (24,360 | ) | ||||||||
Aramark | 1,508 | 47,433 | (731 | ) | ||||||||
Archer-Daniels-Midland Co. | 316,834 | 16,216,356 | (938,620 | ) | ||||||||
Arrow Electronics, Inc. | 43,354 | 2,522,822 | (103,669 | ) | ||||||||
Arthur J Gallagher & Co. | 34,100 | 1,635,777 | (22,847 | ) | ||||||||
Artisan Partners Asset Management, Inc. | 9,083 | 415,392 | 6,604 | |||||||||
Ashland, Inc. | 47,431 | 5,960,798 | (178,959 | ) | ||||||||
Aspen Insurance Holdings Ltd. | 26,193 | 1,215,967 | 38,678 | |||||||||
Associated Banc-Corp. | 5,741 | 110,488 | 5,882 | |||||||||
Assurant, Inc. | 114,335 | 7,772,205 | (111,760 | ) | ||||||||
Atmel Corp. | 397,614 | 3,174,937 | 743,549 | |||||||||
Atmos Energy Corp. | 10,700 | 575,827 | (27,131 | ) | ||||||||
Autodesk, Inc. | 74,681 | 4,534,041 | (794,390 | ) | ||||||||
Automatic Data Processing, Inc. | 16,222 | 1,354,898 | (53,407 | ) | ||||||||
AutoNation, Inc. | 9,740 | 612,433 | 992 | |||||||||
Avery Dennison Corp. | 20,761 | 1,285,347 | (20,172 | ) | ||||||||
Avnet, Inc. | 74,144 | 3,246,687 | (198,627 | ) | ||||||||
Ball Corp. | 9,604 | 624,069 | 49,652 | |||||||||
Bank of America Corp. | 298,444 | 4,919,423 | 160,094 | |||||||||
Becton Dickinson and Co. | 6,359 | 923,757 | (23,005 | ) | ||||||||
Bemis Co., Inc. | 9,724 | 445,670 | (7,993 | ) | ||||||||
Best Buy Co., Inc. | 149,644 | 5,470,638 | (590,747 | ) | ||||||||
Big Lots, Inc. | 101,210 | 4,689,705 | (136,267 | ) | ||||||||
Biogen, Inc. | 17,078 | 5,736,805 | 1,161,682 | |||||||||
Booz Allen Hamilton Holding Corp. | 100,647 | 2,740,627 | (200,296 | ) | ||||||||
Boston Scientific Corp. | 599,166 | 10,464,813 | 140,425 | |||||||||
Bristol-Myers Squibb Co. | 40,809 | 2,779,459 | (64,028 | ) | ||||||||
Broadridge Financial Solutions, Inc. | 60,187 | 2,841,527 | 168,425 | |||||||||
Brocade Communications Systems, Inc. | 1,361,136 | 15,952,211 | 218,085 | |||||||||
Brown & Brown, Inc. | 10,400 | 335,712 | 6,032 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
173
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Bunge Ltd. | 89,181 | $ | 7,689,788 | $ | 140,303 | |||||||
CA, Inc. | 201,425 | 6,261,092 | (361,354 | ) | ||||||||
Cabot Corp. | 42,408 | 1,893,212 | (311,818 | ) | ||||||||
California Resources Corp. | 310,484 | 2,293,001 | (417,678 | ) | ||||||||
Cameron International Corp. | 115,955 | 5,366,306 | 706,257 | |||||||||
Capital One Financial Corp. | 87,401 | 7,144,487 | 544,179 | |||||||||
Cardinal Health, Inc. | 78,339 | 6,375,732 | 177,325 | |||||||||
Career Education Corp. | 18,486 | 107,034 | (46,030 | ) | ||||||||
Carlisle Cos., Inc. | 27,483 | 2,569,089 | 182,509 | |||||||||
Carnival Corp. | 214,726 | 10,114,361 | 490,956 | |||||||||
Carter’s, Inc. | 31,459 | 3,213,703 | 130,389 | |||||||||
CBOE Holdings, Inc. | 21,181 | 1,270,108 | (58,131 | ) | ||||||||
CBS Corp. | 45,541 | 2,720,830 | (193,305 | ) | ||||||||
CDW Corp. | 51,126 | 1,819,645 | (67,046 | ) | ||||||||
CEB, Inc. | 12,767 | 1,074,506 | 36,989 | |||||||||
Celgene Corp. | 1,611 | 185,495 | 954 | |||||||||
Centene Corp. | 12,419 | 785,968 | 212,519 | |||||||||
CenterPoint Energy, Inc. | 71,442 | 1,465,669 | (106,127 | ) | ||||||||
CenturyLink, Inc. | 50,469 | 1,562,469 | (79,690 | ) | ||||||||
CF Industries Holdings, Inc. | 145,096 | 8,146,211 | 1,180,559 | |||||||||
Charles River Laboratories International, Inc. | 52,413 | 3,491,959 | 194,772 | |||||||||
Charter Communications, Inc. | 30,262 | 5,424,398 | (242,030 | ) | ||||||||
Chico’s FAS, Inc. | 231,487 | 3,774,479 | 75,150 | |||||||||
Cinemark Holdings, Inc. | 52,143 | 1,969,499 | 125,086 | |||||||||
Cintas Corp. | 42,070 | 3,146,103 | 412,598 | |||||||||
Cisco Systems, Inc. | 431,716 | 12,034,692 | (179,771 | ) | ||||||||
Citigroup, Inc. | 137,100 | 7,458,664 | 114,740 | |||||||||
Citrix Systems, Inc. | 117,763 | 7,571,480 | 690,772 | |||||||||
Cleco Corp. | 16,623 | 890,870 | 4,279 | |||||||||
Cliffs Natural Resources, Inc. | 460,043 | 2,284,725 | (292,739 | ) | ||||||||
Coca-Cola Enterprises, Inc. | 80,001 | 3,528,237 | (52,994 | ) | ||||||||
Commercial Metals Co. | 158,100 | 2,676,267 | (134,019 | ) | ||||||||
Computer Sciences Corp. | 168,133 | 10,780,926 | 255,324 | |||||||||
ConAgra Foods, Inc. | 23,490 | 936,521 | 90,461 | |||||||||
ConocoPhillips | 79,331 | 5,629,390 | (757,673 | ) | ||||||||
Consolidated Edison, Inc. | 98,699 | 6,010,482 | (297,784 | ) | ||||||||
Convergys Corp. | 21,239 | 448,143 | 93,239 | |||||||||
Con-way, Inc. | 11,254 | 541,584 | (109,768 | ) | ||||||||
Copart, Inc. | 19,547 | 682,201 | 11,327 | |||||||||
CoreLogic, Inc. | 52,700 | 1,764,923 | 326,740 | |||||||||
Corning, Inc. | 340,591 | 7,266,920 | (547,060 | ) | ||||||||
Costco Wholesale Corp. | 14,575 | 2,034,018 | (65,518 | ) | ||||||||
CR Bard, Inc. | 32,821 | 5,619,466 | (16,921 | ) | ||||||||
Crane Co. | 56,555 | 3,476,620 | (155,144 | ) | ||||||||
Crown Holdings, Inc. | 74,703 | 3,705,703 | 246,832 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
CSX Corp. | 473,205 | $ | 16,293,290 | $ | (843,147 | ) | ||||||
Cummins, Inc. | 15,326 | 2,202,343 | (191,725 | ) | ||||||||
CVS Health Corp. | 91,669 | 8,662,991 | 951,254 | |||||||||
Cytec Industries, Inc. | 38,442 | 1,887,476 | 439,418 | |||||||||
Deckers Outdoor Corp. | 35,034 | 2,524,771 | (3,374 | ) | ||||||||
Delta Air Lines, Inc. | 62,926 | 2,650,499 | (65,499 | ) | ||||||||
Deluxe Corp. | 6,783 | 434,319 | (13,773 | ) | ||||||||
Devon Energy Corp. | 155,053 | 9,451,610 | (227,507 | ) | ||||||||
Dick’s Sporting Goods, Inc. | 91,720 | 5,018,080 | (269,735 | ) | ||||||||
Dillard’s, Inc. | 57,620 | 6,943,886 | (882,838 | ) | ||||||||
Discover Financial Services | 130,481 | 8,022,239 | (503,924 | ) | ||||||||
DISH Network Corp. | 157,460 | 11,688,973 | (1,027,356 | ) | ||||||||
Dollar General Corp. | 71,389 | 4,789,372 | 760,409 | |||||||||
Dollar Tree, Inc. | 68,053 | 5,085,014 | 290,493 | |||||||||
Domino’s Pizza, Inc. | 54,443 | 5,090,328 | 1,083,508 | |||||||||
Dow Chemical Co./The | 307,397 | 15,501,708 | 227,797 | |||||||||
DR Horton, Inc. | 148,663 | 3,726,807 | 340,613 | |||||||||
Dr Pepper Snapple Group, Inc. | 61,314 | 4,521,951 | (52,160 | ) | ||||||||
DST Systems, Inc. | 51,074 | 5,463,624 | 970,678 | |||||||||
DTE Energy Co. | 73,434 | 5,770,811 | (289,697 | ) | ||||||||
East West Bancorp, Inc. | 8,793 | 325,957 | 68,146 | |||||||||
eBay, Inc. | 128,721 | 7,081,327 | 672,826 | |||||||||
EchoStar Corp. | 18,688 | 962,621 | (52,889 | ) | ||||||||
Edison International | 125,890 | 7,594,774 | (597,808 | ) | ||||||||
Edwards Lifesciences Corp. | 117,183 | 15,967,200 | 723,175 | |||||||||
EI du Pont de Nemours & Co. | 6,345 | 407,465 | (1,702 | ) | ||||||||
Electronic Arts, Inc. | 218,413 | 11,044,017 | 3,480,448 | |||||||||
EMC Corp./MA | 48,079 | 1,368,815 | (100,010 | ) | ||||||||
Emerson Electric Co. | 29,385 | 1,798,700 | (169,889 | ) | ||||||||
Endurance Specialty Holdings Ltd. | 8,833 | 555,044 | 25,284 | |||||||||
Energen Corp. | 37,146 | 2,473,380 | 63,692 | |||||||||
Energizer Holdings, Inc. | 14,789 | 1,889,199 | 56,294 | |||||||||
Entergy Corp. | 98,757 | 7,876,137 | (913,769 | ) | ||||||||
EOG Resources, Inc. | 6,355 | 632,704 | (76,324 | ) | ||||||||
EP Energy Corp. | 136,078 | 1,664,257 | 68,016 | |||||||||
Equifax, Inc. | 15,587 | 1,315,066 | 198,276 | |||||||||
Estee Lauder Cos., Inc./The | 6,400 | 476,969 | 77,655 | |||||||||
Everest Re Group Ltd. | 28,656 | 5,052,650 | 163,029 | |||||||||
Expedia, Inc. | 54,400 | 4,631,384 | 1,317,256 | |||||||||
Fair Isaac Corp. | 14,081 | 1,119,297 | 158,976 | |||||||||
Fairchild Semiconductor International, Inc. | 107,731 | 1,906,021 | (33,656 | ) | ||||||||
FedEx Corp. | 22,000 | 3,861,660 | (112,860 | ) | ||||||||
Fidelity National Information Services, Inc. | 68,760 | 4,177,139 | 72,229 | |||||||||
Fifth Third Bancorp | 46,730 | 950,956 | 21,963 | |||||||||
FireEye, Inc. | 103,614 | 4,781,288 | 286,473 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
174
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
First Solar, Inc. | 66,625 | $ | 3,431,528 | $ | (301,486 | ) | ||||||
FirstEnergy Corp. | 156,034 | 5,391,280 | (312,373 | ) | ||||||||
Fiserv, Inc. | 39,295 | 2,781,817 | 472,987 | |||||||||
FleetCor Technologies, Inc. | 19,013 | 2,966,979 | 190 | |||||||||
Fluor Corp. | 15,558 | 904,882 | (80,152 | ) | ||||||||
Foot Locker, Inc. | 90,477 | 5,115,190 | 947,674 | |||||||||
Fortinet, Inc. | 58,960 | 1,769,537 | 667,280 | |||||||||
Fulton Financial Corp. | 40,899 | 500,686 | 33,455 | |||||||||
GameStop Corp. | 92,674 | 3,655,279 | 325,996 | |||||||||
Gannett Co., Inc. | 49,188 | – | 688,140 | |||||||||
Gap, Inc./The | 125,062 | 5,026,028 | (252,411 | ) | ||||||||
Gartner, Inc. | 23,100 | 1,960,959 | 20,559 | |||||||||
General Dynamics Corp. | 153,607 | 21,430,564 | 334,012 | |||||||||
General Electric Co. | 92,214 | 2,453,336 | (3,210 | ) | ||||||||
General Motors Co. | 109,422 | 3,780,308 | (133,272 | ) | ||||||||
Genpact Ltd. | 56,694 | 1,212,994 | (3,711 | ) | ||||||||
Genworth Financial, Inc. | 6,050 | 43,793 | 2,006 | |||||||||
Gilead Sciences, Inc. | 61,367 | 6,133,871 | 1,050,977 | |||||||||
GNC Holdings, Inc. | 20,298 | 909,797 | (6,942 | ) | ||||||||
Goldman Sachs Group, Inc./The | 89,178 | 17,622,471 | 997,003 | |||||||||
Goodyear Tire & Rubber Co./The | 105,727 | 2,983,442 | 204,227 | |||||||||
Google, Inc. | 2,906 | 1,602,562 | (33,205 | ) | ||||||||
Graham Holdings Co. | 5,835 | 5,450,629 | 822,287 | |||||||||
Great Plains Energy, Inc. | 16,294 | 410,252 | (16,589 | ) | ||||||||
Groupon, Inc. | 542,155 | 3,833,893 | (1,106,853 | ) | ||||||||
Guess?, Inc. | 62,671 | 1,285,429 | (84,026 | ) | ||||||||
H&R Block, Inc. | 90,835 | 2,986,726 | (293,469 | ) | ||||||||
Hanover Insurance Group, Inc./The | 31,632 | 2,258,902 | 82,815 | |||||||||
Harman International Industries, Inc. | 91,596 | 11,536,584 | (642,156 | ) | ||||||||
Harsco Corp. | 64,518 | 1,255,481 | (190,934 | ) | ||||||||
Hartford Financial Services Group, Inc./The | 47,299 | 1,960,288 | 5,931 | |||||||||
Hasbro, Inc. | 23,871 | 1,768,345 | 16,967 | |||||||||
HCA Holdings, Inc. | 127,580 | 9,088,821 | 2,485,236 | |||||||||
HCC Insurance Holdings, Inc. | 15,508 | 838,462 | 353,172 | |||||||||
HD Supply Holdings, Inc. | 153,494 | 4,705,455 | 694,464 | |||||||||
Health Net, Inc./CA | 214,609 | 11,504,620 | 2,256,109 | |||||||||
Helix Energy Solutions Group, Inc. | 203,932 | 3,804,639 | (1,228,978 | ) | ||||||||
Hess Corp. | 78,185 | 6,055,519 | (826,506 | ) | ||||||||
Hewlett-Packard Co. | 872,127 | 30,151,160 | (3,978,629 | ) | ||||||||
Hill-Rom Holdings, Inc. | 34,876 | 1,616,983 | 277,830 | |||||||||
Hilton Worldwide Holdings, Inc. | 168,395 | 4,800,573 | (161,290 | ) | ||||||||
HNI Corp. | 2,141 | 113,923 | (4,411 | ) | ||||||||
Home Depot, Inc./The | 60,633 | 6,166,134 | 572,011 | |||||||||
Honeywell International, Inc. | 8,683 | 855,719 | 29,687 | |||||||||
Hormel Foods Corp. | 17,941 | 1,019,958 | (8,623 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Hubbell, Inc. | 11,510 | $ | 1,267,677 | $ | (21,374 | ) | ||||||
Humana, Inc. | 74,055 | 10,548,452 | 3,616,789 | |||||||||
Huntington Bancshares, Inc./OH | 138,641 | 1,560,748 | 7,282 | |||||||||
Huntington Ingalls Industries, Inc. | 67,976 | 8,068,985 | (415,567 | ) | ||||||||
Hyatt Hotels Corp. | 11,782 | 690,217 | (22,295 | ) | ||||||||
IAC/InterActiveCorp. | 108,652 | 7,309,519 | 1,345,699 | |||||||||
IDACORP, Inc. | 1,031 | 58,788 | (907 | ) | ||||||||
IDEX Corp. | 2,611 | 202,849 | 2,324 | |||||||||
IHS, Inc. | 670 | 82,885 | 3,298 | |||||||||
Illinois Tool Works, Inc. | 10,313 | 951,917 | (5,287 | ) | ||||||||
Informatica Corp. | 7,237 | 350,738 | 40 | |||||||||
Ingersoll-Rand PLC | 82,811 | 5,284,774 | 298,343 | |||||||||
Ingram Micro, Inc. | 160,150 | 4,332,596 | (324,041 | ) | ||||||||
Ingredion, Inc. | 23,822 | 1,948,620 | (47,386 | ) | ||||||||
Integrated Device Technology, Inc. | 354,701 | 6,844,509 | 852,503 | |||||||||
Intel Corp. | 209,424 | 7,116,558 | (746,927 | ) | ||||||||
Intercontinental Exchange, Inc. | 1,790 | 420,543 | (20,281 | ) | ||||||||
Interpublic Group of Cos., Inc./The | 231,333 | 4,723,962 | (266,175 | ) | ||||||||
Intersil Corp. | 125,569 | 1,660,058 | (89,190 | ) | ||||||||
Intuit, Inc. | 26,049 | 2,477,178 | 147,779 | |||||||||
Invesco Ltd. | 134,315 | 5,324,678 | (289,209 | ) | ||||||||
Itron, Inc. | 2,743 | 105,263 | (10,794 | ) | ||||||||
ITT Corp. | 148,151 | 6,442,248 | (243,610 | ) | ||||||||
Jabil Circuit, Inc. | 546,617 | 11,700,807 | (63,331 | ) | ||||||||
Jack Henry & Associates, Inc. | 1,628 | 100,317 | 5,014 | |||||||||
JC Penney Co., Inc. | 15,144 | 132,200 | (3,930 | ) | ||||||||
JDS Uniphase Corp. | 8,417 | 110,126 | (12,657 | ) | ||||||||
John Wiley & Sons, Inc. | 22,503 | 1,305,780 | (82,292 | ) | ||||||||
Johnson & Johnson | 13,896 | 1,485,204 | (130,900 | ) | ||||||||
Johnson Controls, Inc. | 127,247 | 6,407,721 | (105,177 | ) | ||||||||
JPMorgan Chase & Co. | 144,196 | 9,028,543 | 742,178 | |||||||||
Juniper Networks, Inc. | 115,084 | 2,660,629 | 328,102 | |||||||||
KAR Auction Services, Inc. | 10,147 | 368,328 | 11,169 | |||||||||
Kate Spade & Co. | 25,789 | 669,961 | (114,466 | ) | ||||||||
KBR, Inc. | 378,535 | 6,608,931 | 764,930 | |||||||||
Kemper Corp. | 3,503 | 126,254 | 8,787 | |||||||||
KeyCorp | 284,962 | 3,991,854 | 288,275 | |||||||||
Keysight Technologies, Inc. | 41,186 | 1,376,852 | (92,260 | ) | ||||||||
Kimberly-Clark Corp. | 48,681 | 5,381,195 | (222,470 | ) | ||||||||
Kosmos Energy Ltd. | 17,113 | 144,776 | (513 | ) | ||||||||
Kroger Co./The | 138,475 | 10,437,673 | (396,851 | ) | ||||||||
L Brands, Inc. | 49,131 | 4,480,740 | (268,740 | ) | ||||||||
L-3 Communications Holdings, Inc. | 63,731 | 7,804,870 | (579,049 | ) | ||||||||
Lear Corp. | 73,120 | 7,181,601 | 1,026,850 | |||||||||
Leidos Holdings, Inc. | 50,098 | 2,137,696 | (115,240 | ) | ||||||||
Lennox International, Inc. | 2,300 | 217,005 | 30,682 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
175
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Lexmark International, Inc. | 13,239 | $ | 585,053 | $ | 111 | |||||||
Liberty Broadband Corp. | 6,305 | 339,473 | (16,909 | ) | ||||||||
Liberty Interactive Corp. QVC Group | 54,017 | 1,572,610 | (73,639 | ) | ||||||||
Liberty TripAdvisor Holdings, Inc. | 19,584 | 614,615 | 16,382 | |||||||||
Lincoln Electric Holdings, Inc. | 18,801 | 1,249,660 | (104,867 | ) | ||||||||
Live Nation Entertainment, Inc. | 106,464 | 2,820,553 | 106,142 | |||||||||
Lockheed Martin Corp. | 53,099 | 10,106,106 | (235,002 | ) | ||||||||
Loews Corp. | 18,478 | 782,297 | (70,709 | ) | ||||||||
Lowe’s Cos., Inc. | 168,281 | 11,001,624 | 268,155 | |||||||||
LyondellBasell Industries NV | 152,925 | 13,701,721 | 2,129,075 | |||||||||
Macy’s, Inc. | 101,755 | 6,642,036 | 223,374 | |||||||||
Madison Square Garden Co./The | 8,600 | 636,389 | 81,625 | |||||||||
Mallinckrodt PLC | 39,436 | 4,888,919 | (246,513 | ) | ||||||||
ManpowerGroup, Inc. | 85,115 | 6,101,833 | 1,505,745 | |||||||||
Marathon Oil Corp. | 310,523 | 9,220,869 | (979,589 | ) | ||||||||
Marathon Petroleum Corp. | 405,327 | 20,109,246 | 1,093,409 | |||||||||
Marvell Technology Group Ltd. | 774,591 | 10,995,928 | (782,946 | ) | ||||||||
Masco Corp. | 328,572 | 8,606,992 | 156,023 | |||||||||
Maxim Integrated Products, Inc. | 86,372 | 2,914,813 | 71,499 | |||||||||
McDonald’s Corp. | 34,429 | 3,332,810 | (59,645 | ) | ||||||||
McGraw Hill Financial, Inc. | 29,200 | 2,699,248 | 233,892 | |||||||||
McKesson Corp. | 64,030 | 13,924,331 | 470,253 | |||||||||
Mead Johnson Nutrition Co. | 22,120 | 2,039,125 | (43,459 | ) | ||||||||
Medivation, Inc. | 75,530 | 8,729,255 | (103,729 | ) | ||||||||
Merck & Co., Inc. | 323,860 | 18,862,026 | (424,676 | ) | ||||||||
MetLife, Inc. | 66,196 | 3,440,661 | 265,653 | |||||||||
Michaels Cos., Inc./The | 9,970 | 278,209 | (9,916 | ) | ||||||||
Micron Technology, Inc. | 170,704 | 4,989,096 | (1,773,032 | ) | ||||||||
Microsoft Corp. | 331,188 | 14,563,481 | 58,469 | |||||||||
Mohawk Industries, Inc. | 31,048 | 5,551,291 | 375,772 | |||||||||
Molson Coors Brewing Co. | 10,100 | 752,437 | (47,356 | ) | ||||||||
Mondelez International, Inc. | 239,213 | 9,057,011 | 784,212 | |||||||||
Monster Beverage Corp. | 70,495 | 8,219,542 | 1,228,198 | |||||||||
Mosaic Co./The | 81,809 | 3,784,386 | 48,365 | |||||||||
Motorola Solutions, Inc. | 54,000 | 3,254,863 | (158,503 | ) | ||||||||
MSCI, Inc. | 2,684 | 161,463 | 3,738 | |||||||||
Murphy USA, Inc. | 77,034 | 4,950,675 | (650,637 | ) | ||||||||
Myriad Genetics, Inc. | 8,400 | 285,138 | 378 | |||||||||
Nabors Industries Ltd. | 607,353 | 8,651,459 | 112,644 | |||||||||
NASDAQ OMX Group, Inc./The | 4,810 | 242,853 | (8,077 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Navient Corp. | 366,526 | $ | 7,612,761 | $ | (938,323 | ) | ||||||
NetApp, Inc. | 242,475 | 9,346,107 | (1,693,596 | ) | ||||||||
New York Times Co./The | 18,086 | 230,932 | 15,942 | |||||||||
Newell Rubbermaid, Inc. | 62,911 | 2,263,981 | 322,291 | |||||||||
Newfield Exploration Co. | 310,515 | 9,105,119 | 2,110,683 | |||||||||
News Corp. | 185,552 | 2,863,308 | (156,105 | ) | ||||||||
NIKE, Inc. | 73,503 | 7,194,429 | 745,365 | |||||||||
NiSource, Inc. | 7,400 | 306,138 | 31,228 | |||||||||
Norfolk Southern Corp. | 33,518 | 3,589,952 | (661,820 | ) | ||||||||
Northrop Grumman Corp. | 104,409 | 15,425,533 | 1,136,866 | |||||||||
NorthStar Asset Management Group, Inc. | 103,291 | 2,165,213 | (255,363 | ) | ||||||||
Norwegian Cruise Line Holdings Ltd. | 17,767 | 990,878 | 4,785 | |||||||||
NVR, Inc. | 217 | 270,953 | 19,827 | |||||||||
Occidental Petroleum Corp. | 52,320 | 3,996,621 | 72,305 | |||||||||
Ocwen Financial Corp. | 42,609 | 354,909 | 79,703 | |||||||||
Oil States International, Inc. | 98,181 | 4,664,174 | (1,008,895 | ) | ||||||||
Old Dominion Freight Line, Inc. | 29,300 | 2,327,669 | (317,543 | ) | ||||||||
Omnicom Group, Inc. | 34,616 | 2,560,510 | (155,044 | ) | ||||||||
ON Semiconductor Corp. | 224,594 | 2,054,539 | 570,965 | |||||||||
Oracle Corp. | 147,090 | 6,174,302 | (246,575 | ) | ||||||||
Orbital ATK, Inc. | 68,540 | 5,133,769 | (105,675 | ) | ||||||||
Owens-Illinois, Inc. | 164,814 | 4,277,263 | (496,430 | ) | ||||||||
PACCAR, Inc. | 15,801 | 1,042,789 | (34,527 | ) | ||||||||
Packaging Corp. of America | 52,886 | 3,713,845 | (408,999 | ) | ||||||||
Parker-Hannifin Corp. | 10,877 | 1,442,617 | (177,295 | ) | ||||||||
PepsiCo, Inc. | 53,582 | 5,102,127 | (100,783 | ) | ||||||||
Pfizer, Inc. | 411,841 | 13,121,292 | 687,736 | |||||||||
PG&E Corp. | 107,390 | 5,638,631 | (365,782 | ) | ||||||||
Phillips 66 | 124,349 | 9,802,716 | 214,839 | |||||||||
Pilgrim’s Pride Corp. | 251,903 | 7,271,847 | (1,485,635 | ) | ||||||||
Pinnacle Foods, Inc. | 27,275 | 1,160,236 | 81,868 | |||||||||
Pinnacle West Capital Corp. | 44,556 | 2,661,421 | (126,630 | ) | ||||||||
PNC Financial Services Group, Inc./The | 83,285 | 7,565,202 | 401,009 | |||||||||
PNM Resources, Inc. | 34,000 | 973,080 | (136,680 | ) | ||||||||
Polycom, Inc. | 317,835 | 4,149,222 | (513,190 | ) | ||||||||
PPG Industries, Inc. | 90,953 | 10,033,163 | 400,965 | |||||||||
ProAssurance Corp. | 10,100 | 463,590 | 3,131 | |||||||||
Procter & Gamble Co./The | 143,607 | 11,494,716 | (258,904 | ) | ||||||||
Prudential Financial, Inc. | 56,445 | 4,880,204 | 59,862 | |||||||||
PTC, Inc. | 63,185 | 2,394,565 | 197,284 | |||||||||
Public Service Enterprise Group, Inc. | 181,871 | 7,498,030 | (354,137 | ) | ||||||||
PulteGroup, Inc. | 339,096 | 7,301,138 | (468,353 | ) | ||||||||
PVH Corp. | 15,999 | 1,909,555 | (66,470 | ) | ||||||||
Quanta Services, Inc. | 23,678 | 699,904 | (17,504 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
176
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Quintiles Transnational Holdings, Inc. | 5,716 | $ | 400,762 | $ | 14,276 | |||||||
Rackspace Hosting, Inc. | 59,554 | 2,736,103 | (521,290 | ) | ||||||||
Ralph Lauren Corp. | 13,227 | 1,789,162 | (38,436 | ) | ||||||||
Rayonier Advanced Materials, Inc. | 4,409 | 68,702 | 2,989 | |||||||||
Raytheon Co. | 65,321 | 6,888,688 | (638,775 | ) | ||||||||
Red Hat, Inc. | 4,988 | 379,035 | (296 | ) | ||||||||
Regal Beloit Corp. | 10,434 | 797,662 | (40,258 | ) | ||||||||
Regions Financial Corp. | 126,057 | 1,283,260 | 22,690 | |||||||||
Reinsurance Group of America, Inc. | 36,984 | 3,222,988 | 285,684 | |||||||||
Reliance Steel & Aluminum Co. | 58,900 | 3,793,794 | (231,522 | ) | ||||||||
Republic Services, Inc. | 42,271 | 1,688,564 | (32,809 | ) | ||||||||
Rite Aid Corp. | 167,408 | 942,507 | 455,350 | |||||||||
Robert Half International, Inc. | 5,683 | 326,090 | (10,684 | ) | ||||||||
Rock-Tenn Co. | 38,250 | 2,392,176 | (89,526 | ) | ||||||||
Rockwell Automation, Inc. | 6,912 | 824,678 | 36,834 | |||||||||
Ross Stores, Inc. | 165,849 | 8,015,792 | 46,128 | |||||||||
Rovi Corp. | 43,274 | 952,291 | (262,071 | ) | ||||||||
Royal Caribbean Cruises Ltd. | 65,550 | 5,261,606 | (103,477 | ) | ||||||||
RPM International, Inc. | 21,600 | 1,030,752 | 27,000 | |||||||||
Ryder System, Inc. | 44,700 | 4,161,123 | (255,684 | ) | ||||||||
SandRidge Energy, Inc. | 1,263,054 | 1,498,302 | (390,604 | ) | ||||||||
Santander Consumer USA Holdings, Inc. | 234 | 6,021 | (37 | ) | ||||||||
SeaWorld Entertainment, Inc. | 80,776 | 1,457,263 | 32,247 | |||||||||
SEI Investments Co. | 88,095 | 3,597,234 | 722,064 | |||||||||
Sempra Energy | 38,537 | 4,103,113 | (290,262 | ) | ||||||||
Sensient Technologies Corp. | 3,434 | 234,911 | (232 | ) | ||||||||
Signature Bank | 1,471 | 215,483 | (143 | ) | ||||||||
Signet Jewelers Ltd. | 3,407 | 433,443 | 3,470 | |||||||||
Skyworks Solutions, Inc. | 66,666 | 4,929,044 | 2,010,886 | |||||||||
SM Energy Co. | 103,562 | 4,357,577 | 418,702 | |||||||||
Snap-on, Inc. | 13,400 | 1,829,100 | 304,850 | |||||||||
Sonoco Products Co. | 8,114 | 364,734 | (16,968 | ) | ||||||||
Southwest Airlines Co. | 273,803 | 10,501,490 | (1,441,348 | ) | ||||||||
Spirit AeroSystems Holdings, Inc. | 141,503 | 6,935,647 | 862,583 | |||||||||
SPX Corp. | 33,233 | 2,643,548 | (237,811 | ) | ||||||||
St Jude Medical, Inc. | 14,290 | 1,053,013 | (8,843 | ) | ||||||||
StanCorp Financial Group, Inc. | 460 | 35,258 | (477 | ) | ||||||||
Staples, Inc. | 443,075 | 7,191,976 | (408,498 | ) | ||||||||
Starbucks Corp. | 47,665 | 2,024,606 | 530,953 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 82,146 | 6,787,058 | (125,839 | ) | ||||||||
State Street Corp. | 3,367 | 258,761 | 498 | |||||||||
Steel Dynamics, Inc. | 241,086 | 5,228,539 | (234,443 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Stifel Financial Corp. | 1,053 | $ | 56,275 | $ | 4,525 | |||||||
Stryker Corp. | 10,369 | 977,210 | 13,755 | |||||||||
SunTrust Banks, Inc. | 96,679 | 3,933,797 | 225,333 | |||||||||
Superior Energy Services, Inc. | 523,134 | 11,842,101 | (835,361 | ) | ||||||||
SUPERVALU, Inc. | 401,371 | 3,852,004 | (604,912 | ) | ||||||||
Symantec Corp. | 255,033 | 6,381,565 | (452,047 | ) | ||||||||
Synopsys, Inc. | 60,461 | 2,744,822 | 317,528 | |||||||||
Tableau Software, Inc. | 11,745 | 1,343,525 | 10,673 | |||||||||
Target Corp. | 43,088 | 3,496,382 | 20,891 | |||||||||
Tech Data Corp. | 45,320 | 2,827,789 | (219,170 | ) | ||||||||
TEGNA, Inc. | 98,376 | 3,501,456 | (346,538 | ) | ||||||||
Teleflex, Inc. | 11,928 | 1,441,835 | 173,812 | |||||||||
Telephone & Data Systems, Inc. | 65,745 | 1,721,500 | 211,403 | |||||||||
Teradyne, Inc. | 50,801 | 985,550 | (5,598 | ) | ||||||||
Terex Corp. | 74,745 | 1,904,796 | (166,974 | ) | ||||||||
Textron, Inc. | 96,494 | 4,344,435 | (37,908 | ) | ||||||||
Thermo Fisher Scientific, Inc. | 39,159 | 5,080,171 | 1,101 | |||||||||
Thomson Reuters Corp. | 20,514 | 791,671 | (10,703 | ) | ||||||||
Time Warner, Inc. | 83,300 | 6,798,782 | 482,471 | |||||||||
Time, Inc. | 26,550 | 594,712 | 16,203 | |||||||||
Timken Co./The | 131,163 | 5,573,480 | (776,849 | ) | ||||||||
TJX Cos., Inc./The | 131,315 | 8,750,137 | (61,023 | ) | ||||||||
Toll Brothers, Inc. | 85,499 | 3,162,971 | 102,236 | |||||||||
Torchmark Corp. | 18,299 | 1,018,631 | 46,737 | |||||||||
Toro Co./The | 7,742 | 514,248 | 10,504 | |||||||||
Total System Services, Inc. | 30,948 | 1,022,095 | 270,603 | |||||||||
Towers Watson & Co. | 12,414 | 1,419,203 | 142,478 | |||||||||
Travelers Cos., Inc./The | 79,212 | 8,147,669 | (491,037 | ) | ||||||||
Twitter, Inc. | 58,511 | 2,987,039 | (867,771 | ) | ||||||||
Tyco International PLC | 221,876 | 9,214,807 | (677,019 | ) | ||||||||
Tyler Technologies, Inc. | 10,302 | 1,296,900 | 35,973 | |||||||||
UGI Corp. | 50,798 | 1,877,872 | (127,881 | ) | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc. | 7,947 | 1,206,119 | 21,295 | |||||||||
Union Pacific Corp. | 115,487 | 12,775,344 | (1,761,349 | ) | ||||||||
Unit Corp. | 27,300 | 1,202,823 | (462,448 | ) | ||||||||
United Continental Holdings, Inc. | 231,873 | 14,130,836 | (1,839,248 | ) | ||||||||
United States Steel Corp. | 268,162 | 8,250,505 | (2,721,004 | ) | ||||||||
United Therapeutics Corp. | 22,834 | 3,363,869 | 608,105 | |||||||||
UnitedHealth Group, Inc. | 51,891 | 6,218,774 | 111,928 | |||||||||
Universal Health Services, Inc. | 57,152 | 6,518,087 | 1,603,212 | |||||||||
Unum Group | 166,610 | 5,705,200 | 251,107 | |||||||||
US Bancorp/MN | 143,957 | 6,311,600 | (63,866 | ) | ||||||||
Valero Energy Corp. | 379,127 | 21,078,981 | 2,654,370 | |||||||||
Validus Holdings Ltd. | 15,500 | 663,310 | 18,535 | |||||||||
Valmont Industries, Inc. | 3,343 | 429,621 | (32,239 | ) | ||||||||
Vectren Corp. | 15,350 | 649,211 | (58,543 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
177
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Verizon Communications, Inc. | 80,189 | $ | 3,980,455 | $ | (242,846 | ) | ||||||
Vertex Pharmaceuticals, Inc. | 104,273 | 11,898,551 | 977,079 | |||||||||
VF Corp. | 60,031 | 4,286,331 | (99,769 | ) | ||||||||
Viacom, Inc. | 38,647 | 2,778,443 | (280,301 | ) | ||||||||
Vishay Intertechnology, Inc. | 7,647 | 98,142 | (8,825 | ) | ||||||||
Vista Outdoor, Inc. | 3,234 | 96,981 | 48,226 | |||||||||
Visteon Corp. | 11,205 | 1,149,301 | 27,000 | |||||||||
Voya Financial, Inc. | 37,105 | 1,604,561 | 119,708 | |||||||||
WABCO Holdings, Inc. | 35,471 | 3,762,997 | 625,475 | |||||||||
Walgreens Boots Alliance, Inc. | 42,365 | 3,341,922 | 235,378 | |||||||||
Wal-Mart Stores, Inc. | 22,350 | 1,622,093 | (36,807 | ) | ||||||||
Washington Federal, Inc. | 4,978 | 117,798 | (1,562 | ) | ||||||||
Waste Management, Inc. | 95,190 | 4,824,034 | (411,977 | ) | ||||||||
Wells Fargo & Co. | 251,922 | 13,902,303 | 265,791 | |||||||||
Western Digital Corp. | 137,014 | 13,700,755 | (2,956,117 | ) | ||||||||
Western Refining, Inc. | 84,105 | 3,822,897 | (154,237 | ) | ||||||||
Westlake Chemical Corp. | 37,709 | 2,430,949 | 155,512 | |||||||||
Whirlpool Corp. | 70,696 | 13,370,999 | (1,137,056 | ) | ||||||||
WhiteWave Foods Co./The | 48,471 | 2,261,926 | 107,337 | |||||||||
Whiting Petroleum Corp. | 64,732 | 2,067,957 | 107,038 | |||||||||
Williams-Sonoma, Inc. | 15,277 | 1,114,937 | 141,902 | |||||||||
Worthington Industries, Inc. | 72,664 | 2,557,697 | (373,418 | ) | ||||||||
WPX Energy, Inc. | 584,616 | 7,829,533 | (650,448 | ) | ||||||||
Wyndham Worldwide Corp. | 28,965 | 2,411,799 | (39,275 | ) | ||||||||
Xcel Energy, Inc. | 8,265 | 267,762 | (1,794 | ) | ||||||||
Xerox Corp. | 788,996 | 9,956,193 | (1,561,275 | ) | ||||||||
Xilinx, Inc. | 15,937 | 704,868 | (1,090 | ) | ||||||||
Yahoo!, Inc. | 273,691 | 12,400,771 | (1,647,452 | ) | ||||||||
Yum! Brands, Inc. | 41,309 | 3,503,105 | 218,009 | |||||||||
Zimmer Biomet Holdings, Inc. | 11,300 | 1,243,904 | (9,605 | ) | ||||||||
Zoetis, Inc. | 197,486 | 9,106,008 | 416,767 | |||||||||
zulily, Inc. | 32,825 | 433,654 | (5,616 | ) | ||||||||
Zynga, Inc. | 69,903 | 203,103 | (3,181 | ) | ||||||||
|
| |||||||||||
9,645,374 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 11,300,790 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
lululemon athletica, Inc. | (141,121 | ) | (8,215,208 | ) | (999,994 | ) | ||||||
Restaurant Brands International, Inc. | (107,273 | ) | (4,149,316 | ) | 50,415 | |||||||
|
| |||||||||||
(949,579 | ) | |||||||||||
|
| |||||||||||
Ireland | ||||||||||||
Accenture PLC | (21,570 | ) | (2,005,653 | ) | (81,891 | ) | ||||||
Alkermes PLC | (33,580 | ) | (2,280,495 | ) | 119,958 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Ireland (continued) | ||||||||||||
Endo International PLC | (121,568 | ) | $ | (8,999,711 | ) | $ | (683,180 | ) | ||||
Seagate Technology PLC | (148,369 | ) | (8,608,678 | ) | 1,561,150 | |||||||
|
| |||||||||||
916,037 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Chicago Bridge & Iron Co. NV | (53,813 | ) | (2,133,175 | ) | (559,628 | ) | ||||||
Core Laboratories NV | (114,478 | ) | (13,055,080 | ) | 9 | |||||||
Frank’s International NV | (33,544 | ) | (617,329 | ) | (14,640 | ) | ||||||
QIAGEN NV | (14,688 | ) | (376,678 | ) | 12,563 | |||||||
Sensata Technologies Holding NV | (197,476 | ) | (10,179,284 | ) | (235,600 | ) | ||||||
|
| |||||||||||
(797,296 | ) | |||||||||||
|
| |||||||||||
Norway | ||||||||||||
Golar LNG Ltd. | (173,966 | ) | (6,699,834 | ) | (1,441,775 | ) | ||||||
Seadrill Ltd. | (438,742 | ) | (6,213,223 | ) | 1,676,631 | |||||||
|
| |||||||||||
234,856 | ||||||||||||
|
| |||||||||||
Panama | ||||||||||||
Copa Holdings SA | (56,500 | ) | (5,881,903 | ) | 1,215,568 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Garmin Ltd. | (29,264 | ) | (1,567,714 | ) | 282,147 | |||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Ensco PLC | (129,007 | ) | (4,730,518 | ) | 1,857,532 | |||||||
Liberty Global PLC | (8,874 | ) | (418,054 | ) | (61,763 | ) | ||||||
Noble Corp. PLC | (9,866 | ) | (135,608 | ) | (16,230 | ) | ||||||
Pentair PLC | (10,781 | ) | (694,352 | ) | (46,841 | ) | ||||||
|
| |||||||||||
1,732,698 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
Aaron’s, Inc. | (20,615 | ) | (692,642 | ) | (53,827 | ) | ||||||
Abercrombie & Fitch Co. | (103,071 | ) | (2,661,763 | ) | 444,706 | |||||||
ACI Worldwide, Inc. | (134,871 | ) | (2,689,586 | ) | (624,194 | ) | ||||||
ADT Corp./The | (336,078 | ) | (12,167,292 | ) | 885,153 | |||||||
ADTRAN, Inc. | (183,214 | ) | (3,798,035 | ) | 820,807 | |||||||
Advance Auto Parts, Inc. | (14,657 | ) | (2,225,385 | ) | (109,329 | ) | ||||||
AGCO Corp. | (50,053 | ) | (2,378,848 | ) | (463,161 | ) | ||||||
Airgas, Inc. | (6,793 | ) | (714,317 | ) | (4,246 | ) | ||||||
Akorn, Inc. | (181,118 | ) | (8,739,576 | ) | 831,964 | |||||||
Albemarle Corp. | (86,539 | ) | (5,160,702 | ) | 377,692 | |||||||
Alexion Pharmaceuticals, Inc. | (46,728 | ) | (8,403,839 | ) | (43,181 | ) | ||||||
Align Technology, Inc. | (85,719 | ) | (4,895,640 | ) | (479,798 | ) | ||||||
Allegheny Technologies, Inc. | (246,954 | ) | (7,892,817 | ) | 434,806 | |||||||
Allergan PLC | (44,012 | ) | (13,621,257 | ) | 265,376 | |||||||
Alliance Data Systems Corp. | (57,940 | ) | (16,425,084 | ) | (489,920 | ) | ||||||
Allscripts Healthcare Solutions, Inc. | (131,970 | ) | (1,616,298 | ) | (189,052 | ) | ||||||
Ally Financial, Inc. | (49,317 | ) | (1,093,701 | ) | (12,479 | ) | ||||||
Altera Corp. | (79,427 | ) | (2,906,255 | ) | (1,160,408 | ) | ||||||
Amazon.com, Inc. | (3,468 | ) | (1,076,229 | ) | (429,195 | ) | ||||||
AMC Networks, Inc. | (72,400 | ) | (4,498,466 | ) | (1,427,474 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
178
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
American Airlines Group, Inc. | (66,250 | ) | $ | (2,674,937 | ) | $ | 29,243 | |||||
American Eagle Outfitters, Inc. | (49,521 | ) | (692,115 | ) | (160,637 | ) | ||||||
American Express Co. | (80,716 | ) | (6,450,497 | ) | 177,250 | |||||||
AMETEK, Inc. | (46,909 | ) | (2,434,937 | ) | (134,738 | ) | ||||||
Amphenol Corp. | (91,566 | ) | (4,983,218 | ) | (324,863 | ) | ||||||
Analog Devices, Inc. | (33,915 | ) | (1,967,638 | ) | (209,196 | ) | ||||||
ANSYS, Inc. | (10,500 | ) | (853,361 | ) | (104,659 | ) | ||||||
Antero Resources Corp. | (83,804 | ) | (3,242,396 | ) | 364,566 | |||||||
Apple, Inc. | (13,909 | ) | (1,832,173 | ) | 87,636 | |||||||
AptarGroup, Inc. | (5,391 | ) | (342,490 | ) | (1,294 | ) | ||||||
Arch Capital Group Ltd. | (31,119 | ) | (1,797,319 | ) | (286,409 | ) | ||||||
Armstrong World Industries, Inc. | (7,690 | ) | (415,968 | ) | 6,245 | |||||||
ARRIS Group, Inc. | (45,991 | ) | (1,458,937 | ) | 51,612 | |||||||
Ascena Retail Group, Inc. | (86,242 | ) | (1,122,791 | ) | (313,569 | ) | ||||||
Assured Guaranty Ltd. | (133,500 | ) | (3,378,676 | ) | 176,011 | |||||||
AT&T, Inc. | (173,195 | ) | (6,043,570 | ) | (108,316 | ) | ||||||
athenahealth, Inc. | (48,983 | ) | (6,309,594 | ) | 697,122 | |||||||
Atwood Oceanics, Inc. | (193,704 | ) | (6,150,570 | ) | 1,029,036 | |||||||
AutoZone, Inc. | (6,354 | ) | (4,281,214 | ) | 43,731 | |||||||
Avis Budget Group, Inc. | (86,195 | ) | (5,066,149 | ) | 1,266,673 | |||||||
Avon Products, Inc. | (49,262 | ) | (369,891 | ) | 61,511 | |||||||
Axis Capital Holdings Ltd. | (3,393 | ) | (186,381 | ) | 5,296 | |||||||
B/E Aerospace, Inc. | (155,466 | ) | (8,947,203 | ) | 412,119 | |||||||
Babcock & Wilcox Co./The | (24,706 | ) | (734,285 | ) | (76,072 | ) | ||||||
BancorpSouth, Inc. | (75,428 | ) | (1,756,956 | ) | (186,070 | ) | ||||||
Bank of Hawaii Corp. | (13,100 | ) | (761,810 | ) | (111,698 | ) | ||||||
BankUnited, Inc. | (32,220 | ) | (977,033 | ) | (180,632 | ) | ||||||
Baxter International, Inc. | (111,317 | ) | (7,688,838 | ) | (95,560 | ) | ||||||
BB&T Corp. | (67,589 | ) | (2,705,844 | ) | (18,669 | ) | ||||||
Bed Bath & Beyond, Inc. | (54,077 | ) | (3,911,733 | ) | 181,502 | |||||||
Belden, Inc. | (26,150 | ) | (2,244,453 | ) | 120,288 | |||||||
BioMarin Pharmaceutical, Inc. | (41,700 | ) | (3,667,098 | ) | (2,036,628 | ) | ||||||
Bio-Rad Laboratories, Inc. | (367 | ) | (49,782 | ) | (5,492 | ) | ||||||
Bio-Techne Corp. | (27,048 | ) | (2,600,524 | ) | (62,893 | ) | ||||||
Black Hills Corp. | (22,076 | ) | (1,177,249 | ) | 213,631 | |||||||
Boeing Co./The | (21,893 | ) | (3,059,397 | ) | 22,400 | |||||||
BOK Financial Corp. | (2,479 | ) | (156,268 | ) | (16,220 | ) | ||||||
BorgWarner, Inc. | (140,053 | ) | (8,354,285 | ) | 393,673 | |||||||
Boston Beer Co., Inc./The | (8,229 | ) | (2,127,242 | ) | 218,196 | |||||||
Brinker International, Inc. | (3,423 | ) | (198,031 | ) | 695 | |||||||
Brookdale Senior Living, Inc. | (294,229 | ) | (10,669,188 | ) | 459,442 | |||||||
Brown-Forman Corp. | (38,945 | ) | (3,664,436 | ) | (237,074 | ) | ||||||
Bruker Corp. | (67,499 | ) | (1,321,952 | ) | (55,703 | ) | ||||||
Brunswick Corp./DE | (27,459 | ) | (1,345,282 | ) | (51,283 | ) | ||||||
Cabela’s, Inc. | (198,372 | ) | (10,685,545 | ) | 770,913 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Cablevision Systems Corp. | (98,601 | ) | $ | (2,182,630 | ) | $ | (177,878 | ) | ||||
Cabot Oil & Gas Corp. | (290,663 | ) | (9,688,286 | ) | 520,775 | |||||||
Cadence Design Systems, Inc. | (429,998 | ) | (8,112,071 | ) | (341,689 | ) | ||||||
Campbell Soup Co. | (102,369 | ) | (4,677,111 | ) | (200,771 | ) | ||||||
CarMax, Inc. | (239,793 | ) | (14,203,593 | ) | (1,673,102 | ) | ||||||
Carpenter Technology Corp. | (86,045 | ) | (3,900,829 | ) | 572,609 | |||||||
Caterpillar, Inc. | (14,656 | ) | (1,261,079 | ) | 17,957 | |||||||
Cathay General Bancorp | (10,320 | ) | (311,048 | ) | (23,836 | ) | ||||||
CDK Global, Inc. | (3,718 | ) | (204,339 | ) | 3,642 | |||||||
Celanese Corp. | (4,695 | ) | (337,825 | ) | 349 | |||||||
Cerner Corp. | (10,580 | ) | (690,535 | ) | (40,120 | ) | ||||||
CH Robinson Worldwide, Inc. | (122,148 | ) | (8,379,146 | ) | 758,332 | |||||||
Charles Schwab Corp./The | (422,100 | ) | (12,496,715 | ) | (1,284,850 | ) | ||||||
Cheesecake Factory, Inc./The | (19,662 | ) | (965,078 | ) | (107,189 | ) | ||||||
Cheniere Energy, Inc. | (175,410 | ) | (12,358,075 | ) | 209,178 | |||||||
Chesapeake Energy Corp. | (411,100 | ) | (7,398,008 | ) | 2,806,021 | |||||||
Chevron Corp. | (17,741 | ) | (1,726,389 | ) | 14,915 | |||||||
Chipotle Mexican Grill, Inc. | (6,915 | ) | (4,203,227 | ) | 19,722 | |||||||
Chubb Corp./The | (21,684 | ) | (2,129,675 | ) | 66,659 | |||||||
Church & Dwight Co., Inc. | (15,873 | ) | (1,279,042 | ) | (8,734 | ) | ||||||
Ciena Corp. | (679,684 | ) | (11,437,384 | ) | (4,657,533 | ) | ||||||
Cimarex Energy Co. | (14,291 | ) | (1,608,995 | ) | 32,555 | |||||||
Cincinnati Financial Corp. | (47,671 | ) | (2,430,482 | ) | 38,351 | |||||||
CIT Group, Inc. | (63,074 | ) | (2,952,366 | ) | 20,056 | |||||||
CLARCOR, Inc. | (16,000 | ) | (1,058,902 | ) | 63,062 | |||||||
Clean Harbors, Inc. | (59,618 | ) | (3,016,614 | ) | (187,257 | ) | ||||||
Clorox Co./The | (22,923 | ) | (2,351,883 | ) | (32,567 | ) | ||||||
CME Group, Inc./IL | (63,161 | ) | (6,036,111 | ) | 158,349 | |||||||
CMS Energy Corp. | (43,989 | ) | (1,475,006 | ) | 74,396 | |||||||
Coach, Inc. | (293,070 | ) | (10,923,504 | ) | 780,352 | |||||||
Cobalt International Energy, Inc. | (166,475 | ) | (1,627,349 | ) | 10,876 | |||||||
Coca-Cola Co./The | (143,058 | ) | (5,924,194 | ) | 312,029 | |||||||
Cognex Corp. | (35,000 | ) | (1,711,450 | ) | 27,950 | |||||||
Cognizant Technology Solutions Corp. | (31,859 | ) | (2,015,473 | ) | 69,206 | |||||||
Colfax Corp. | (178,369 | ) | (8,478,936 | ) | 247,207 | |||||||
Colgate-Palmolive Co. | (50,400 | ) | (3,379,478 | ) | 82,814 | |||||||
Comcast Corp. | (534 | ) | (31,511 | ) | (604 | ) | ||||||
Comerica, Inc. | (31,052 | ) | (1,442,670 | ) | (150,919 | ) | ||||||
Commerce Bancshares, Inc./MO | (20,197 | ) | (861,456 | ) | (83,157 | ) | ||||||
Community Health Systems, Inc. | (67,124 | ) | (3,255,583 | ) | (971,215 | ) | ||||||
CommVault Systems, Inc. | (44,032 | ) | (2,060,924 | ) | 193,527 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
179
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Compass Minerals International, Inc. | (11,992 | ) | $ | (1,080,359 | ) | $ | 95,336 | |||||
Concho Resources, Inc. | (105,534 | ) | (12,029,118 | ) | 13,017 | |||||||
CONSOL Energy, Inc. | (467,762 | ) | (15,647,288 | ) | 5,478,142 | |||||||
Constellation Brands, Inc. | (17,661 | ) | (2,078,544 | ) | 29,514 | |||||||
Cooper Cos., Inc./The | (13,224 | ) | (2,389,658 | ) | 36,182 | |||||||
CoStar Group, Inc. | (28,400 | ) | (5,157,736 | ) | (558,048 | ) | ||||||
Coty, Inc. | (30,292 | ) | (616,578 | ) | (351,858 | ) | ||||||
Covanta Holding Corp. | (67,427 | ) | (1,641,495 | ) | 212,717 | |||||||
Cree, Inc. | (279,767 | ) | (9,824,495 | ) | 2,542,160 | |||||||
CST Brands, Inc. | (2,940 | ) | (118,698 | ) | 3,862 | |||||||
Cullen/Frost Bankers, Inc. | (47,849 | ) | (3,449,209 | ) | (310,765 | ) | ||||||
CVR Energy, Inc. | (28,410 | ) | (1,308,341 | ) | 238,989 | |||||||
Cypress Semiconductor Corp | (388,473 | ) | (5,012,955 | ) | 444,513 | |||||||
Dana Holding Corp. | (51,257 | ) | (1,088,143 | ) | 33,274 | |||||||
Danaher Corp. | (25,180 | ) | (2,190,884 | ) | 35,727 | |||||||
Darden Restaurants, Inc. | (36,608 | ) | (2,063,227 | ) | (538,870 | ) | ||||||
DaVita HealthCare Partners, Inc. | (31,990 | ) | (2,633,747 | ) | 91,502 | |||||||
Dean Foods Co. | (173,444 | ) | (3,034,227 | ) | 229,637 | |||||||
Deere & Co. | (13,304 | ) | (1,189,549 | ) | (101,604 | ) | ||||||
Denbury Resources, Inc. | (117,164 | ) | (809,058 | ) | 63,895 | |||||||
DENTSPLY International, Inc. | (14,679 | ) | (799,712 | ) | 43,009 | |||||||
DeVry Education Group, Inc. | (2,186 | ) | (93,649 | ) | 28,113 | |||||||
Diamond Offshore Drilling, Inc. | (6,800 | ) | (187,647 | ) | �� | 12,139 | ||||||
Diebold, Inc. | (109,357 | ) | (3,825,651 | ) | (1,844 | ) | ||||||
Discovery Communications, Inc. | (401,863 | ) | (13,346,753 | ) | (19,211 | ) | ||||||
Dolby Laboratories, Inc. | (15,190 | ) | (590,973 | ) | (11,766 | ) | ||||||
Dominion Resources, Inc./VA | (135,262 | ) | (9,432,526 | ) | 387,556 | |||||||
Donaldson Co., Inc. | (37,560 | ) | (1,390,695 | ) | 46,047 | |||||||
Dover Corp. | (18,050 | ) | (1,340,016 | ) | 73,267 | |||||||
DreamWorks Animation SKG, Inc. | (171,783 | ) | (3,913,804 | ) | (617,831 | ) | ||||||
Dril-Quip, Inc. | (40,727 | ) | (2,979,430 | ) | (85,277 | ) | ||||||
DSW, Inc. | (29,502 | ) | (1,075,101 | ) | 90,619 | |||||||
Dun & Bradstreet Corp./The | (9,528 | ) | (1,197,478 | ) | 35,062 | |||||||
Dunkin’ Brands Group, Inc. | (140,381 | ) | (7,112,849 | ) | (608,106 | ) | ||||||
E*TRADE Financial Corp. | (227,707 | ) | (5,974,860 | ) | (844,964 | ) | ||||||
Eastman Chemical Co. | (14,794 | ) | (1,102,420 | ) | (108,025 | ) | ||||||
Ecolab, Inc. | (94,703 | ) | (10,865,602 | ) | 157,534 | |||||||
Eli Lilly & Co. | (28,205 | ) | (2,220,979 | ) | (133,856 | ) | ||||||
Envision Healthcare Holdings Inc | (106,121 | ) | (4,101,058 | ) | (88,599 | ) | ||||||
EQT Corp. | (23,366 | ) | (2,023,118 | ) | 122,527 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Esterline Technologies Corp. | (2,598 | ) | $ | (288,456 | ) | $ | 40,763 | |||||
Eversource Energy | (48,022 | ) | (2,343,495 | ) | 162,816 | |||||||
Exelon Corp. | (152,379 | ) | (5,115,108 | ) | 327,359 | |||||||
Expeditors International of Washington, Inc. | (60,971 | ) | (2,845,203 | ) | 34,135 | |||||||
Express Scripts Holding Co. | (99,271 | ) | (8,854,103 | ) | 24,940 | |||||||
Exxon Mobil Corp. | (128,753 | ) | (10,888,495 | ) | 176,245 | |||||||
F5 Networks, Inc. | (48,400 | ) | (6,120,240 | ) | 295,300 | |||||||
Facebook, Inc. | (47,623 | ) | (3,985,039 | ) | (99,347 | ) | ||||||
FactSet Research Systems, Inc. | (14,600 | ) | (2,025,174 | ) | (347,472 | ) | ||||||
Fastenal Co. | (229,700 | ) | (10,230,651 | ) | 541,905 | |||||||
Federated Investors, Inc. | (87,312 | ) | (2,836,295 | ) | (87,784 | ) | ||||||
FEI Co. | (50,389 | ) | (4,091,387 | ) | (87,372 | ) | ||||||
First American Financial Corp. | (57,497 | ) | (1,932,807 | ) | (206,657 | ) | ||||||
First Horizon National Corp. | (513,207 | ) | (6,814,240 | ) | (1,227,714 | ) | ||||||
First Niagara Financial Group, Inc. | (206,700 | ) | (1,653,902 | ) | (297,346 | ) | ||||||
First Republic Bank | (61,232 | ) | (3,302,022 | ) | (557,431 | ) | ||||||
FirstMerit Corp. | (144,459 | ) | (2,719,849 | ) | (289,232 | ) | ||||||
FLIR Systems, Inc. | (18,000 | ) | (578,588 | ) | 23,828 | |||||||
Flowers Foods, Inc. | (124,950 | ) | (2,436,184 | ) | (206,508 | ) | ||||||
Flowserve Corp. | (73,565 | ) | (4,066,866 | ) | 192,933 | |||||||
FMC Corp. | (144,665 | ) | (8,204,305 | ) | 602,159 | |||||||
FMC Technologies, Inc. | (93,554 | ) | (3,815,897 | ) | (65,659 | ) | ||||||
FNF Group | (28,058 | ) | (1,042,803 | ) | 4,937 | |||||||
Ford Motor Co. | (138,167 | ) | (2,147,037 | ) | 73,150 | |||||||
Forest City Enterprises, Inc. | (226,692 | ) | (4,864,810 | ) | (145,083 | ) | ||||||
Fortune Brands Home & Security, Inc. | (69,105 | ) | (3,163,173 | ) | (3,218 | ) | ||||||
Fossil Group, Inc. | (78,405 | ) | (6,254,904 | ) | 816,733 | |||||||
Franklin Resources, Inc. | (89,572 | ) | (4,629,384 | ) | 237,669 | |||||||
Freeport-McMoRan, Inc. | (613,727 | ) | (11,541,549 | ) | 113,952 | |||||||
Freescale Semiconductor Ltd. | (11,443 | ) | (274,758 | ) | (182,619 | ) | ||||||
Frontier Communications Corp. | (65,024 | ) | (323,117 | ) | 1,248 | |||||||
FTI Consulting, Inc. | (95,408 | ) | (3,796,723 | ) | (137,903 | ) | ||||||
GATX Corp. | (50,503 | ) | (3,173,014 | ) | 488,779 | |||||||
General Mills, Inc. | (51,117 | ) | (2,765,752 | ) | (82,487 | ) | ||||||
Genesee & Wyoming, Inc. | (54,473 | ) | (5,092,636 | ) | 942,882 | |||||||
Gentex Corp./MI | (258,570 | ) | (4,614,551 | ) | 368,832 | |||||||
Global Payments, Inc. | (30,498 | ) | (2,829,144 | ) | (325,874 | ) | ||||||
Graco, Inc. | (23,613 | ) | (1,799,437 | ) | 122,206 | |||||||
Hain Celestial Group, Inc./The | (99,265 | ) | (5,880,024 | ) | (657,569 | ) | ||||||
Halliburton Co. | (28,700 | ) | (1,231,925 | ) | (4,184 | ) | ||||||
Halyard Health, Inc. | (17,549 | ) | (850,049 | ) | 139,315 | |||||||
Hancock Holding Co. | (81,296 | ) | (2,551,753 | ) | (42,403 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
180
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Hanesbrands, Inc. | (340 | ) | $ | (11,471 | ) | $ | 142 | |||||
Harley-Davidson, Inc. | (24,235 | ) | (1,417,672 | ) | 52,030 | |||||||
Harris Corp. | (19,740 | ) | (1,591,173 | ) | 72,970 | |||||||
Helmerich & Payne, Inc. | (85,793 | ) | (6,070,933 | ) | 29,390 | |||||||
Henry Schein, Inc. | (15,460 | ) | (2,198,976 | ) | 1,801 | |||||||
Herman Miller, Inc. | (3,864 | ) | (115,803 | ) | 4,017 | |||||||
Hershey Co./The | (54,383 | ) | (5,184,593 | ) | 353,751 | |||||||
Hertz Global Holdings, Inc. | (161,015 | ) | (3,283,425 | ) | 365,833 | |||||||
Hexcel Corp. | (108,356 | ) | (4,924,866 | ) | (464,762 | ) | ||||||
HMS Holdings Corp. | (187,212 | ) | (3,801,537 | ) | 587,107 | |||||||
HollyFrontier Corp. | (3,983 | ) | (165,449 | ) | (4,585 | ) | ||||||
Hologic, Inc. | (139,241 | ) | (3,709,380 | ) | (1,590,132 | ) | ||||||
HomeAway, Inc. | (138,930 | ) | (4,074,192 | ) | (249,309 | ) | ||||||
HSN, Inc. | (4,800 | ) | (339,521 | ) | 2,609 | |||||||
Huntsman Corp. | (214,493 | ) | (4,863,467 | ) | 129,607 | |||||||
IDEXX Laboratories, Inc. | (80,484 | ) | (5,608,690 | ) | 446,446 | |||||||
Illumina, Inc. | (71,584 | ) | (14,985,750 | ) | (645,332 | ) | ||||||
Incyte Corp. | (64,910 | ) | (4,974,471 | ) | (1,789,800 | ) | ||||||
InterDigital, Inc./PA | (105,964 | ) | (5,406,798 | ) | (621,493 | ) | ||||||
International Business Machines Corp. | (25,721 | ) | (4,033,005 | ) | (150,773 | ) | ||||||
International Flavors & Fragrances, Inc. | (3,355 | ) | (382,179 | ) | 15,511 | |||||||
Intuitive Surgical, Inc. | (18,565 | ) | (9,474,234 | ) | 479,492 | |||||||
IPG Photonics Corp. | (96,443 | ) | (7,567,243 | ) | (647,290 | ) | ||||||
ITC Holdings Corp. | (62,350 | ) | (2,272,346 | ) | 265,923 | |||||||
Jacobs Engineering Group, Inc. | (30,264 | ) | (1,297,636 | ) | 68,313 | |||||||
Janus Capital Group, Inc. | (238,923 | ) | (3,704,893 | ) | (385,468 | ) | ||||||
Jarden Corp. | (23,911 | ) | (1,273,385 | ) | 35,990 | |||||||
Jazz Pharmaceuticals PLC | (78,347 | ) | (13,239,440 | ) | (555,116 | ) | ||||||
JB Hunt Transport Services, Inc. | (115,249 | ) | (9,699,757 | ) | 238,967 | |||||||
JetBlue Airways Corp. | (150,577 | ) | (2,452,752 | ) | (673,227 | ) | ||||||
JM Smucker Co./The | (37,063 | ) | (4,128,967 | ) | 110,967 | |||||||
Joy Global, Inc. | (196,600 | ) | (7,797,383 | ) | 680,463 | |||||||
Kansas City Southern | (73,794 | ) | (7,621,561 | ) | 891,548 | |||||||
KB Home | (212,011 | ) | (3,329,966 | ) | (189,417 | ) | ||||||
Kellogg Co. | (7,423 | ) | (468,437 | ) | 3,015 | |||||||
Kennametal, Inc. | (110,938 | ) | (4,016,551 | ) | 231,347 | |||||||
Keurig Green Mountain, Inc. | (175,854 | ) | (16,972,166 | ) | 3,496,473 | |||||||
Kinder Morgan, Inc. | (396,562 | ) | (15,772,019 | ) | 548,004 | |||||||
KLA-Tencor Corp. | (9,696 | ) | (573,296 | ) | 28,284 | |||||||
KLX, Inc. | (32,643 | ) | (1,441,102 | ) | 566 | |||||||
Knowles Corp. | (35,442 | ) | (712,920 | ) | 71,420 | |||||||
Kohl’s Corp. | (92,590 | ) | (6,405,487 | ) | 608,427 | |||||||
Laboratory Corp. of America Holdings | (69,170 | ) | (7,669,670 | ) | (715,118 | ) | ||||||
Lam Research Corp. | (10,517 | ) | (851,419 | ) | (4,139 | ) | ||||||
Lancaster Colony Corp. | (395 | ) | (36,844 | ) | 958 | |||||||
Landstar System, Inc. | (28,325 | ) | (1,883,815 | ) | (10,278 | ) | ||||||
Laredo Petroleum, Inc. | (519,300 | ) | (6,911,689 | ) | 378,895 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Las Vegas Sands Corp. | (138,181 | ) | $ | (7,349,572 | ) | $ | 85,397 | |||||
Legg Mason, Inc. | (50,066 | ) | (2,827,334 | ) | 247,434 | |||||||
Leggett & Platt, Inc. | (27,229 | ) | (1,197,407 | ) | (128,101 | ) | ||||||
Lennar Corp. | (234,216 | ) | (11,547,325 | ) | (407,060 | ) | ||||||
Leucadia National Corp. | (3,955 | ) | (95,841 | ) | (187 | ) | ||||||
Level 3 Communications, Inc. | (19,718 | ) | (1,090,132 | ) | 51,585 | |||||||
LifePoint Health, Inc. | (17 | ) | (1,292 | ) | (186 | ) | ||||||
Lincoln National Corp. | (12 | ) | (698 | ) | (12 | ) | ||||||
Linear Technology Corp. | (89,790 | ) | (4,097,108 | ) | 125,696 | |||||||
LinkedIn Corp. | (15,382 | ) | (3,370,255 | ) | 191,872 | |||||||
Lions Gate Entertainment Corp. | (214,534 | ) | (7,042,131 | ) | (906,354 | ) | ||||||
LKQ Corp. | (8,718 | ) | (227,266 | ) | (36,410 | ) | ||||||
LPL Financial Holdings, Inc. | (27,608 | ) | (1,243,551 | ) | (39,945 | ) | ||||||
M&T Bank Corp. | (4,315 | ) | (535,882 | ) | (3,191 | ) | ||||||
Manitowoc Co., Inc./The | (135,459 | ) | (2,736,864 | ) | 81,867 | |||||||
Markel Corp. | (2,652 | ) | (1,951,332 | ) | (172,071 | ) | ||||||
Marriott International, Inc./MD | (39,400 | ) | (3,108,550 | ) | 177,584 | |||||||
Marsh & McLennan Cos., Inc. | (56,941 | ) | (3,305,416 | ) | 76,861 | |||||||
MasterCard, Inc. | (104,336 | ) | (9,366,683 | ) | (386,646 | ) | ||||||
Mattel, Inc. | (289,396 | ) | (7,988,590 | ) | 554,007 | |||||||
McCormick & Co., Inc./MD | (32,810 | ) | (2,431,765 | ) | (224,204 | ) | ||||||
MDC Holdings, Inc. | (110,408 | ) | (2,972,017 | ) | (336,911 | ) | ||||||
MDU Resources Group, Inc. | (20,186 | ) | (442,508 | ) | 48,276 | |||||||
MEDNAX, Inc. | (152,189 | ) | (10,172,800 | ) | (1,105,927 | ) | ||||||
Mentor Graphics Corp. | (58,575 | ) | (1,368,287 | ) | (179,850 | ) | ||||||
Mercury General Corp. | (8,475 | ) | (481,271 | ) | 9,638 | |||||||
Meredith Corp. | (16,300 | ) | (860,746 | ) | 10,701 | |||||||
Mettler-Toledo International, Inc. | (10,300 | ) | (3,057,625 | ) | (459,413 | ) | ||||||
MGM Resorts International | (55,207 | ) | (1,100,770 | ) | 93,242 | |||||||
Microchip Technology, Inc. | (99,040 | ) | (4,661,681 | ) | (35,291 | ) | ||||||
Middleby Corp./The | (14,817 | ) | (1,542,363 | ) | (120,549 | ) | ||||||
Minerals Technologies, Inc. | (2,116 | ) | (141,408 | ) | (2,755 | ) | ||||||
Monsanto Co. | (17,087 | ) | (2,026,588 | ) | 205,285 | |||||||
Monster Worldwide, Inc. | (58,830 | ) | (265,912 | ) | (118,837 | ) | ||||||
Moody’s Corp. | (14,799 | ) | (1,601,556 | ) | 3,856 | |||||||
MRC Global, Inc. | (16,653 | ) | (256,914 | ) | (208 | ) | ||||||
MSC Industrial Direct Co., Inc. | (69,144 | ) | (5,320,611 | ) | 496,434 | |||||||
Murphy Oil Corp. | (19,111 | ) | (796,865 | ) | 2,421 | |||||||
National Fuel Gas Co. | (29,785 | ) | (1,843,474 | ) | 89,435 | |||||||
National Instruments Corp. | (15,200 | ) | (495,572 | ) | 47,780 | |||||||
National Oilwell Varco, Inc. | (42,265 | ) | (2,253,513 | ) | 212,959 | |||||||
Nationstar Mortgage Holdings, Inc. | (407 | ) | (10,448 | ) | 3,611 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
181
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Navistar International Corp. | (241,782 | ) | $ | (8,585,200 | ) | $ | 3,113,673 | |||||
NCR Corp. | (66,050 | ) | (1,864,078 | ) | (124,027 | ) | ||||||
Netflix, Inc. | (17,127 | ) | (6,612,786 | ) | (4,638,626 | ) | ||||||
NetSuite, Inc. | (118,937 | ) | (12,071,027 | ) | 1,158,558 | |||||||
NeuStar, Inc. | (42,228 | ) | (1,150,080 | ) | (83,399 | ) | ||||||
New York Community Bancorp, Inc. | (18,653 | ) | (285,689 | ) | (57,153 | ) | ||||||
NewMarket Corp. | (2,796 | ) | (1,222,993 | ) | (18,123 | ) | ||||||
NextEra Energy, Inc. | (23,443 | ) | (2,359,007 | ) | 60,889 | |||||||
Nielsen NV | (116,204 | ) | (5,255,229 | ) | 52,776 | |||||||
Noble Energy, Inc. | (109,768 | ) | (4,854,174 | ) | 169,276 | |||||||
Nordson Corp. | (24,167 | ) | (1,907,640 | ) | 25,273 | |||||||
Nordstrom, Inc. | (5,301 | ) | (397,659 | ) | 2,734 | |||||||
Northern Trust Corp. | (5,000 | ) | (327,353 | ) | (54,947 | ) | ||||||
Nu Skin Enterprises, Inc. | (73,853 | ) | (3,051,952 | ) | (428,740 | ) | ||||||
Nuance Communications, Inc. | (459,600 | ) | (7,023,689 | ) | (1,023,907 | ) | ||||||
Nucor Corp. | (62,780 | ) | (3,059,589 | ) | 292,875 | |||||||
NVIDIA Corp. | (212,190 | ) | (4,431,493 | ) | 164,352 | |||||||
Oasis Petroleum, Inc. | (482,283 | ) | (8,904,476 | ) | 1,260,291 | |||||||
Oceaneering International, Inc. | (23,897 | ) | (1,249,642 | ) | 136,281 | |||||||
OGE Energy Corp. | (3,293 | ) | (103,245 | ) | 9,164 | |||||||
Old Republic International Corp. | (32,536 | ) | (485,808 | ) | (22,730 | ) | ||||||
Olin Corp. | (71,993 | ) | (1,932,419 | ) | (7,793 | ) | ||||||
ONE Gas, Inc. | (14,164 | ) | (587,066 | ) | (15,754 | ) | ||||||
ONEOK, Inc. | (115,372 | ) | (5,365,342 | ) | 810,456 | |||||||
O’Reilly Automotive, Inc. | (8,875 | ) | (2,021,258 | ) | 15,686 | |||||||
Oshkosh Corp. | (18,509 | ) | (847,913 | ) | 63,501 | |||||||
Owens & Minor, Inc. | (59,034 | ) | (2,008,251 | ) | 1,095 | |||||||
Owens Corning | (60,271 | ) | (2,235,331 | ) | (250,848 | ) | ||||||
PacWest Bancorp | (35,802 | ) | (1,626,813 | ) | (47,288 | ) | ||||||
Palo Alto Networks, Inc. | (82,260 | ) | (11,574,101 | ) | (2,796,721 | ) | ||||||
Pandora Media, Inc. | (226,175 | ) | (3,802,284 | ) | 287,525 | |||||||
Panera Bread Co. | (38,260 | ) | (6,518,764 | ) | (167,936 | ) | ||||||
Patterson Cos., Inc. | (29,100 | ) | (1,398,890 | ) | (16,825 | ) | ||||||
Patterson-UTI Energy, Inc. | (14,921 | ) | (282,660 | ) | 1,922 | |||||||
Paychex, Inc. | (25,510 | ) | (1,284,873 | ) | 88,965 | |||||||
PBF Energy, Inc. | (62,019 | ) | (1,485,882 | ) | (276,698 | ) | ||||||
Peabody Energy Corp. | (374,559 | ) | (3,224,629 | ) | 2,404,345 | |||||||
Penske Automotive Group, Inc. | (8,368 | ) | (401,867 | ) | (34,189 | ) | ||||||
People’s United Financial, Inc. | (44,035 | ) | (632,543 | ) | (81,265 | ) | ||||||
PerkinElmer, Inc. | (30,807 | ) | (1,633,439 | ) | 11,758 | |||||||
Pitney Bowes, Inc. | (9,714 | ) | (239,256 | ) | 37,107 | |||||||
Plantronics, Inc. | (24,668 | ) | (1,288,886 | ) | (100,169 | ) | ||||||
Platform Specialty Products Corp. | (12,867 | ) | (329,267 | ) | 129 | |||||||
Polaris Industries, Inc. | (6,278 | ) | (928,016 | ) | (1,818 | ) | ||||||
PolyOne Corp. | (10,700 | ) | (407,771 | ) | (11,348 | ) | ||||||
Post Holdings, Inc. | (266,113 | ) | (11,067,214 | ) | (3,284,260 | ) | ||||||
PPL Corp. | (48,718 | ) | (1,550,381 | ) | 114,662 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Praxair, Inc. | (31,008 | ) | $ | (3,791,938 | ) | $ | 84,932 | |||||
Precision Castparts Corp. | (89,378 | ) | (18,819,937 | ) | 955,956 | |||||||
Priceline Group, Inc./The | (5,270 | ) | (6,253,705 | ) | 185,985 | |||||||
Primerica, Inc. | (5,275 | ) | (253,075 | ) | 12,060 | |||||||
Principal Financial Group, Inc. | (92,955 | ) | (4,932,201 | ) | 164,539 | |||||||
Progressive Corp./The | (261,520 | ) | (7,192,412 | ) | (85,690 | ) | ||||||
Prosperity Bancshares, Inc. | (32,100 | ) | (1,753,461 | ) | (99,993 | ) | ||||||
QEP Resources, Inc. | (8,365 | ) | (164,496 | ) | 9,660 | |||||||
Qorvo, Inc. | (11,520 | ) | (911,200 | ) | (13,511 | ) | ||||||
QUALCOMM, Inc. | (398,573 | ) | (26,413,644 | ) | 1,451,017 | |||||||
Quest Diagnostics, Inc. | (148,790 | ) | (9,943,467 | ) | (846,784 | ) | ||||||
Questar Corp. | (12,290 | ) | (284,923 | ) | 27,939 | |||||||
Range Resources Corp. | (302,979 | ) | (17,956,436 | ) | 2,995,333 | |||||||
Regal Entertainment Group | (44,026 | ) | (996,217 | ) | 75,634 | |||||||
Regeneron Pharmaceuticals, Inc. | (55,868 | ) | (24,411,346 | ) | (4,088,597 | ) | ||||||
RenaissanceRe Holdings Ltd. | (13,226 | ) | (1,347,070 | ) | 4,499 | |||||||
Rent-A-Center, Inc./TX | (153,225 | ) | (4,946,239 | ) | 602,311 | |||||||
Rice Energy, Inc. | (177,111 | ) | (3,758,145 | ) | 68,923 | |||||||
Rockwell Collins, Inc. | (73,667 | ) | (6,496,138 | ) | (307,009 | ) | ||||||
Roper Technologies, Inc. | (14,451 | ) | (2,427,362 | ) | (64,858 | ) | ||||||
Rosetta Resources, Inc. | (102,538 | ) | (1,960,596 | ) | (412,133 | ) | ||||||
Rowan Cos. PLC | (102,039 | ) | (2,356,591 | ) | 202,547 | |||||||
RPC, Inc. | (134,400 | ) | (1,716,481 | ) | (142,271 | ) | ||||||
RR Donnelley & Sons Co. | (103,864 | ) | (1,904,394 | ) | 94,044 | |||||||
Salesforce.com, Inc. | (202,168 | ) | (12,050,476 | ) | (2,026,481 | ) | ||||||
Sally Beauty Holdings, Inc. | (86,022 | ) | (2,683,026 | ) | (33,549 | ) | ||||||
SanDisk Corp. | (3,726 | ) | (255,034 | ) | 38,107 | |||||||
SBA Communications Corp. | (53,919 | ) | (6,336,784 | ) | 137,716 | |||||||
SCANA Corp. | (67,106 | ) | (3,653,087 | ) | 254,168 | |||||||
Schlumberger Ltd. | (130,710 | ) | (11,569,507 | ) | 303,612 | |||||||
Scotts Miracle-Gro Co./The | (4,624 | ) | (278,735 | ) | 4,948 | |||||||
Scripps Networks Interactive, Inc. | (105,221 | ) | (7,522,676 | ) | 644,379 | |||||||
Sealed Air Corp. | (100,984 | ) | (4,224,731 | ) | (963,827 | ) | ||||||
Seattle Genetics, Inc. | (145,314 | ) | (5,230,722 | ) | (1,802,476 | ) | ||||||
Semtech Corp. | (36,563 | ) | (879,763 | ) | 153,988 | |||||||
Service Corp. International/US | (18,000 | ) | (403,723 | ) | (126,017 | ) | ||||||
ServiceNow, Inc. | (49,486 | ) | (3,285,862 | ) | (391,442 | ) | ||||||
Sherwin-Williams Co./The | (1,127 | ) | (325,040 | ) | 15,092 | |||||||
Silgan Holdings, Inc. | (10,950 | ) | (595,762 | ) | 18,040 | |||||||
Silicon Laboratories, Inc. | (24,819 | ) | (1,175,598 | ) | (164,877 | ) | ||||||
Sirius XM Holdings, Inc. | (1,838,752 | ) | (6,917,051 | ) | 58,506 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
182
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Sirona Dental Systems, Inc. | (26,357 | ) | $ | (2,387,503 | ) | $ | (259,267 | ) | ||||
Six Flags Entertainment Corp. | (85,744 | ) | (3,702,473 | ) | (143,145 | ) | ||||||
SLM Corp. | (204,638 | ) | (2,006,271 | ) | (13,506 | ) | ||||||
SolarCity Corp. | (25,531 | ) | (1,389,524 | ) | 22,339 | |||||||
SolarWinds, Inc. | (28,786 | ) | (1,478,737 | ) | 150,839 | |||||||
Solera Holdings, Inc. | (57,476 | ) | (2,892,526 | ) | 331,395 | |||||||
Sotheby’s | (248,763 | ) | (10,491,168 | ) | (762,870 | ) | ||||||
Southern Co./The | (189,692 | ) | (8,229,592 | ) | 281,497 | |||||||
Southwestern Energy Co. | (584,775 | ) | (14,665,581 | ) | 1,373,646 | |||||||
Spectra Energy Corp. | (298,674 | ) | (10,312,114 | ) | 575,342 | |||||||
Spectrum Brands Holdings, Inc. | (10,169 | ) | (993,296 | ) | (43,841 | ) | ||||||
Spirit Airlines, Inc. | (16,283 | ) | (1,009,292 | ) | (1,882 | ) | ||||||
Splunk, Inc. | (170,117 | ) | (10,949,694 | ) | (893,852 | ) | ||||||
Sprint Corp. | (505,860 | ) | (2,394,332 | ) | 87,611 | |||||||
Sprouts Farmers Market, Inc. | (183,299 | ) | (5,637,735 | ) | 692,327 | |||||||
Stanley Black & Decker, Inc. | (5,623 | ) | (535,647 | ) | (56,118 | ) | ||||||
Stericycle, Inc. | (40,924 | ) | (5,445,842 | ) | (34,291 | ) | ||||||
STERIS Corp. | (36,042 | ) | (2,417,015 | ) | 94,469 | |||||||
SunEdison, Inc. | (492,244 | ) | (11,426,355 | ) | (3,296,663 | ) | ||||||
SunPower Corp. | (56,900 | ) | (1,387,893 | ) | (228,636 | ) | ||||||
SVB Financial Group | (10,989 | ) | (1,243,111 | ) | (339,086 | ) | ||||||
Synchrony Financial | (4,063 | ) | (131,546 | ) | (2,249 | ) | ||||||
Synovus Financial Corp. | (199,112 | ) | (5,216,734 | ) | (919,897 | ) | ||||||
Sysco Corp. | (18,849 | ) | (744,112 | ) | 63,663 | |||||||
T Rowe Price Group, Inc. | (48,110 | ) | (3,923,980 | ) | 184,390 | |||||||
Targa Resources Corp. | (25,331 | ) | (2,329,035 | ) | 69,003 | |||||||
Taylor Morrison Home Corp. | (21,513 | ) | (407,748 | ) | (30,256 | ) | ||||||
TCF Financial Corp. | (66,488 | ) | (1,052,249 | ) | (52,117 | ) | ||||||
TECO Energy, Inc. | (96,785 | ) | (1,858,153 | ) | 148,930 | |||||||
Teekay Corp. | (5,794 | ) | (255,042 | ) | 6,943 | |||||||
Tempur Sealy International, Inc. | (23,978 | ) | (1,356,196 | ) | (223,955 | ) | ||||||
Tenet Healthcare Corp. | (207,768 | ) | (10,260,800 | ) | (1,764,812 | ) | ||||||
Teradata Corp. | (86,141 | ) | (3,518,477 | ) | 331,260 | |||||||
Tesla Motors, Inc. | (30,000 | ) | (6,358,864 | ) | (1,688,936 | ) | ||||||
Tesoro Corp. | (384 | ) | (28,401 | ) | (4,012 | ) | ||||||
Texas Instruments, Inc. | (4,002 | ) | (221,914 | ) | 15,771 | |||||||
Thor Industries, Inc. | (20,740 | ) | (1,202,236 | ) | 34,989 | |||||||
Thoratec Corp. | (103,534 | ) | (3,791,023 | ) | (823,487 | ) | ||||||
Tidewater, Inc. | (125,975 | ) | (3,856,009 | ) | 992,597 | |||||||
Tiffany & Co. | (59,047 | ) | �� | (5,566,407 | ) | 145,892 | ||||||
TimkenSteel Corp. | (28,902 | ) | (810,812 | ) | 30,747 | |||||||
T-Mobile US, Inc. | (311,844 | ) | (9,207,642 | ) | (2,882,550 | ) | ||||||
Tractor Supply Co. | (34,817 | ) | (3,005,507 | ) | (125,934 | ) | ||||||
TransDigm Group, Inc. | (36,756 | ) | (7,750,860 | ) | (507,110 | ) | ||||||
TreeHouse Foods, Inc. | (39,932 | ) | (3,141,633 | ) | (94,057 | ) | ||||||
Trimble Navigation Ltd. | (194,370 | ) | (5,290,426 | ) | 730,506 | |||||||
Trinity Industries, Inc. | (10,201 | ) | (299,905 | ) | 30,292 | |||||||
TripAdvisor, Inc. | (152,155 | ) | (11,692,426 | ) | (1,566,361 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Triumph Group, Inc. | (93,313 | ) | $ | (6,306,941 | ) | $ | 149,216 | |||||
Trustmark Corp. | (15,696 | ) | (385,882 | ) | (6,204 | ) | ||||||
Tupperware Brands Corp. | (24,417 | ) | (1,635,526 | ) | 59,653 | |||||||
Twenty-First Century Fox, Inc. | (27,178 | ) | (975,083 | ) | 90,575 | |||||||
Tyson Foods, Inc. | (13,267 | ) | (573,587 | ) | 8,015 | |||||||
Ultimate Software Group, Inc./The | (17,075 | ) | (2,916,636 | ) | 110,530 | |||||||
Umpqua Holdings Corp. | (134,675 | ) | (2,287,984 | ) | (134,819 | ) | ||||||
Under Armour, Inc. | (154,584 | ) | (11,532,584 | ) | (1,365,905 | ) | ||||||
United Natural Foods, Inc. | (89,228 | ) | (6,492,331 | ) | 810,292 | |||||||
United Parcel Service, Inc. | (54,485 | ) | (5,433,895 | ) | 153,753 | |||||||
United Rentals, Inc. | (88,459 | ) | (9,038,448 | ) | 1,287,670 | |||||||
United Technologies Corp. | (53,822 | ) | (6,291,242 | ) | 320,767 | |||||||
Urban Outfitters, Inc. | (121,114 | ) | (4,383,508 | ) | 144,518 | |||||||
USG Corp. | (324,564 | ) | (9,193,420 | ) | 173,786 | |||||||
Valley National Bancorp | (227,235 | ) | (2,228,692 | ) | (114,101 | ) | ||||||
Valspar Corp./The | (20,340 | ) | (1,693,641 | ) | 29,422 | |||||||
Vantiv, Inc. | (85,055 | ) | (2,876,710 | ) | (371,541 | ) | ||||||
Varian Medical Systems, Inc. | (62,670 | ) | (5,516,275 | ) | 231,314 | |||||||
VCA, Inc. | (31,895 | ) | (1,489,815 | ) | (245,432 | ) | ||||||
Veeva Systems, Inc. | (62,495 | ) | (1,718,287 | ) | (33,448 | ) | ||||||
VeriSign, Inc. | (45,453 | ) | (2,733,948 | ) | (71,412 | ) | ||||||
Verisk Analytics, Inc. | (23,878 | ) | (1,740,465 | ) | 3,101 | |||||||
Visa, Inc. | (87,607 | ) | (5,983,413 | ) | 100,603 | |||||||
VMware, Inc. | (79,157 | ) | (6,565,888 | ) | (221,033 | ) | ||||||
Wabtec Corp./DE | (888 | ) | (83,689 | ) | 4 | |||||||
Waddell & Reed Financial, Inc. | (3,206 | ) | (151,809 | ) | 133 | |||||||
Walt Disney Co./The | (4,274 | ) | (487,126 | ) | (708 | ) | ||||||
Waste Connections, Inc. | (17,285 | ) | (790,365 | ) | (24,104 | ) | ||||||
Waters Corp. | (29,206 | ) | (3,411,576 | ) | (337,890 | ) | ||||||
Watsco, Inc. | (16,900 | ) | (1,733,602 | ) | (357,604 | ) | ||||||
Webster Financial Corp. | (55,295 | ) | (1,911,615 | ) | (275,302 | ) | ||||||
WEC Energy Group, Inc. | (10,573 | ) | (498,770 | ) | 23,302 | |||||||
WellCare Health Plans, Inc. | (58,095 | ) | (4,576,606 | ) | (351,593 | ) | ||||||
Wendy’s Co./The | (40,347 | ) | (371,196 | ) | (83,918 | ) | ||||||
Werner Enterprises, Inc. | (18,072 | ) | (542,222 | ) | 67,832 | |||||||
WESCO International, Inc. | (28,692 | ) | (2,304,663 | ) | 335,244 | |||||||
Westar Energy, Inc. | (62,798 | ) | (2,415,066 | ) | 266,119 | |||||||
Western Union Co./The | (501,772 | ) | (9,189,509 | ) | (1,011,516 | ) | ||||||
WEX, Inc. | (13,839 | ) | (1,508,515 | ) | (68,716 | ) | ||||||
WGL Holdings, Inc. | (367 | ) | (17,601 | ) | (2,323 | ) | ||||||
Whole Foods Market, Inc. | (7,174 | ) | (385,242 | ) | 102,299 | |||||||
Williams Cos., Inc./The | (25,529 | ) | (1,326,747 | ) | (138,362 | ) | ||||||
Woodward, Inc. | (42,648 | ) | (2,272,087 | ) | (73,127 | ) | ||||||
Workday, Inc. | (120,457 | ) | (10,166,234 | ) | 964,523 | |||||||
World Fuel Services Corp. | (30,010 | ) | (1,463,674 | ) | 24,694 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
183
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
WR Berkley Corp. | (22,258 | ) | $ | (1,151,165 | ) | $ | (4,693 | ) | ||||
WR Grace & Co. | (21,507 | ) | (2,108,407 | ) | (48,745 | ) | ||||||
WW Grainger, Inc. | (6,746 | ) | (1,633,208 | ) | 36,767 | |||||||
Wynn Resorts Ltd. | (115,831 | ) | (12,793,013 | ) | 1,363,968 | |||||||
Xylem, Inc. | (34,341 | ) | (1,293,471 | ) | 20,450 | |||||||
Yelp, Inc. | (193,047 | ) | (9,883,897 | ) | 1,577,084 | |||||||
Zebra Technologies Corp. | (24,035 | ) | (2,519,720 | ) | (149,367 | ) | ||||||
Zillow Group, Inc. | (85,062 | ) | (8,332,693 | ) | 954,415 | |||||||
Zions Bancorporation | (306,301 | ) | (8,985,384 | ) | (735,078 | ) | ||||||
|
| |||||||||||
(9,205,561 | ) | |||||||||||
|
| |||||||||||
Total Common Stocks | (6,571,130 | ) | ||||||||||
|
| |||||||||||
Rights | ||||||||||||
United States | ||||||||||||
Leap Wireless International, Inc. | (110,787 | ) | (279,183 | ) | (135,250 | ) | ||||||
|
| |||||||||||
Total of Short Equity Positions and Rights | (6,706,380 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions and Rights | 4,594,410 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 5,008,747 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 9,603,157 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
184
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Bank of America | ||||||||||
Money Market Funds | $3,730,201 | $— | $3,730,201 | |||||||
| ||||||||||
Barclays Capital | ||||||||||
Cash | — | 49,588,780 | 49,588,780 | |||||||
| ||||||||||
Citibank | ||||||||||
Cash | — | (53,785) | (53,785 | ) | ||||||
Money Market Funds | 439 | 6,640,180 | 6,640,619 | |||||||
| ||||||||||
Credit Suisse International | ||||||||||
Money Market Funds | 690,060 | — | 690,060 | |||||||
| ||||||||||
Deutsche Bank | ||||||||||
Money Market Funds | 33,093,659 | — | 33,093,659 | |||||||
| ||||||||||
Goldman Sachs | ||||||||||
Cash | — | 13,764,610 | 13,764,610 | |||||||
Money Market Funds | 21,770,000 | — | 21,770,000 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | 13,726,101 | 13,726,101 | |||||||
Money Market Funds | 124,000,000 | — | 124,000,000 | |||||||
| ||||||||||
Morgan Stanley Capital Services, Inc. | ||||||||||
Cash | — | 2,300,613 | 2,300,613 | |||||||
Money Market Funds | 335,961,585 | — | 335,961,585 | |||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Citibank | ||||||||||
Money Market Funds | $6,540,003 | $— | $6,540,003 | |||||||
| ||||||||||
Deutsche Bank | ||||||||||
Money Market Funds | 150,042 | — | 150,042 | |||||||
| ||||||||||
Merrill Lynch | ||||||||||
Money Market Funds | 1,450,049 | — | 1,450,049 | |||||||
| ||||||||||
Goldman Sachs | ||||||||||
Cash | — | (959,617) | (959,617 | ) | ||||||
U.S. Treasury Bills | — | 2,288,216 | 2,288,216 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | 1,615,238 | 1,615,238 | |||||||
| ||||||||||
Morgan Stanley Capital Services, Inc. | ||||||||||
Cash | — | 10,531,622 | 10,531,622 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
185
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
MONEY MARKET FUNDS - 53.3% | SHARES | VALUE (Note 5) | ||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.010% (a)^ | 2,244,836 | $ | 2,244,836 | |||||
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^ | 8,979,345 | 8,979,345 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^ | 18,285,808 | 18,285,808 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | 3,690,126 | 3,690,126 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^ | 11,224,181 | 11,224,181 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 44,424,296 | |||||||
|
|
SHORT-TERM INVESTMENTS - 39.2% | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | ||||||
U.S. Treasury Bill, 0.071%, 12/3/2015 (c)^ | $ | 352 | $ | 351,935 | ||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (c)^ | 32,322 | 32,318,509 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 32,670,444 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, | 77,094,740 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.5% (d) | 6,283,406 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 83,378,146 | ||||||
|
|
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | A portion of the security is pledged as collateral to the brokers for swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | Includes appreciation/(depreciation) on futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Total return swap contracts outstanding as of June 30, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
CitiBank | Brent Crude August Futures^ | 9/2015 | USD | (2,573,968 | ) | $8,366 | ||||||||
CitiBank | Brent Crude August Futures^ | 9/2015 | USD | 2,608,948 | (43,335 | ) | ||||||||
CitiBank | Brent Crude July Futures^ | 8/2015 | USD | 4,881,061 | (302,546 | ) | ||||||||
CitiBank | Brent Crude July Futures^ | 8/2015 | USD | (4,639,800 | ) | 61,312 | ||||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | 579,534 | 41,565 | |||||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | (611,875 | ) | (9,233 | ) | |||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | (1,994,522 | ) | (41,115 | ) | |||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | 2,129,053 | (93,374 | ) | ||||||||
CitiBank | Corn December Futures^ | 11/2015 | USD | 1,727,415 | 257,138 | |||||||||
CitiBank | Corn December Futures^ | 11/2015 | USD | (260,892 | ) | (41,103 | ) | |||||||
Deutsche Bank | Corn December Futures^ | 11/2015 | USD | 2,136,238 | 280,162 | |||||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | 4,294,684 | 494,834 | |||||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | (4,212,582 | ) | (576,906 | ) | |||||||
Deutsche Bank | Corn September Futures^ | 8/2015 | USD | (888,725 | ) | (145,175 | ) | |||||||
Deutsche Bank | Corn September Futures^ | 8/2015 | USD | 904,663 | 129,238 | |||||||||
CitiBank | Cotton No. 2 December Futures^ | 11/2015 | USD | 820,313 | 28,527 | |||||||||
CitiBank | Cotton No. 2 December Futures^ | 11/2015 | USD | (193,950 | ) | (9,768 | ) | |||||||
Deutsche Bank | Cotton No. 2 December Futures^ | 11/2015 | USD | 162,963 | 6,812 | |||||||||
CitiBank | Gas Oil August Futures^ | 8/2015 | USD | 1,943,100 | 36,033 | |||||||||
CitiBank | Gas Oil August Futures^ | 8/2015 | USD | (2,013,650 | ) | 34,497 | ||||||||
CitiBank | Gas Oil July Futures^ | 7/2015 | USD | 2,857,309 | (16,038 | ) | ||||||||
CitiBank | Gas Oil July Futures^ | 7/2015 | USD | (2,789,746 | ) | (51,520 | ) | |||||||
CitiBank | Gas Oil September Futures^ | 9/2015 | USD | 2,027,250 | (36,485 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
186
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
CitiBank | Gas Oil September Futures^ | 9/2015 | USD | (2,020,675 | ) | $ 29,913 | ||||||||
Deutsche Bank | Gasoline RBOB July Futures^ | 7/2015 | USD | (3,625,606 | ) | (75,610 | ) | |||||||
Deutsche Bank | Gasoline RBOB July Futures^ | 7/2015 | USD | 3,605,414 | 95,802 | |||||||||
CitiBank | Gold 100 OZ August Futures^ | 7/2015 | USD | 18,289,040 | (284,687 | ) | ||||||||
CitiBank | Gold 100 OZ August Futures^ | 7/2015 | USD | (18,322,689 | ) | 318,395 | ||||||||
Deutsche Bank | Heating Oil ULSD August Futures^ | 8/2015 | USD | (245,763 | ) | 5,821 | ||||||||
Deutsche Bank | Heating Oil ULSD August Futures^ | 8/2015 | USD | 246,559 | (6,617 | ) | ||||||||
CitiBank | Heating Oil ULSD August Futures^ | 9/2015 | USD | (322,963 | ) | 3,039 | ||||||||
CitiBank | Heating Oil ULSD August Futures^ | 9/2015 | USD | 311,338 | 8,581 | |||||||||
Deutsche Bank | Heating Oil ULSD July Futures^ | 7/2015 | USD | 1,185,312 | (74,050 | ) | ||||||||
Deutsche Bank | Heating Oil ULSD July Futures^ | 7/2015 | USD | (1,134,897 | ) | 23,636 | ||||||||
Deutsche Bank | Lean Hogs August Futures^ | 8/2015 | USD | (910,906 | ) | 48,156 | ||||||||
Deutsche Bank | Lean Hogs August Futures^ | 8/2015 | USD | 30,390 | (640 | ) | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | (1,147,051 | ) | 110,731 | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | 1,086,925 | (50,605 | ) | ||||||||
Deutsche Bank | Live Cattle August Futures^ | 8/2015 | USD | (1,690,260 | ) | 31,820 | ||||||||
Deutsche Bank | Live Cattle August Futures^ | 8/2015 | USD | 7,639,651 | (235,901 | ) | ||||||||
CitiBank | LME Aluminum December Futures^ | 12/2015 | USD | (1,826,125 | ) | 30,100 | ||||||||
CitiBank | LME Aluminum December Futures^ | 12/2015 | USD | 6,552,700 | (223,850 | ) | ||||||||
CitiBank | LME Aluminum September Futures^ | 9/2015 | USD | 10,707,275 | (893,606 | ) | ||||||||
CitiBank | LME Aluminum September Futures^ | 9/2015 | USD | (10,254,238 | ) | 440,569 | ||||||||
CitiBank | LME Copper December Futures^ | 12/2015 | USD | 10,266,337 | (301,875 | ) | ||||||||
CitiBank | LME Copper December Futures^ | 12/2015 | USD | (4,047,325 | ) | 3,775 | ||||||||
CitiBank | LME Copper September Futures^ | 9/2015 | USD | 18,165,287 | (731,456 | ) | ||||||||
CitiBank | LME Copper September Futures^ | 9/2015 | USD | (18,077,100 | ) | 643,269 | ||||||||
CitiBank | LME Lead December Futures^ | 12/2015 | USD | 918,650 | (80,156 | ) | ||||||||
CitiBank | LME Lead December Futures^ | 12/2015 | USD | (452,700 | ) | 11,387 | ||||||||
CitiBank | LME Lead September Futures^ | 9/2015 | USD | 1,965,700 | (119,538 | ) | ||||||||
CitiBank | LME Lead September Futures^ | 9/2015 | USD | (1,988,519 | ) | 142,356 | ||||||||
CitiBank | LME Nickel December Futures^ | 12/2015 | USD | (634,500 | ) | 57,636 | ||||||||
CitiBank | LME Nickel December Futures^ | 12/2015 | USD | 230,280 | (13,956 | ) | ||||||||
CitiBank | LME Nickel September Futures^ | 9/2015 | USD | 2,570,928 | (344,229 | ) | ||||||||
CitiBank | LME Nickel September Futures^ | 9/2015 | USD | (2,496,150 | ) | 269,451 | ||||||||
CitiBank | LME Zinc December Futures^ | 12/2015 | USD | (838,350 | ) | 35,950 | ||||||||
CitiBank | LME Zinc December Futures^ | 12/2015 | USD | 2,847,000 | (239,200 | ) | ||||||||
CitiBank | LME Zinc September Futures^ | 9/2015 | USD | 4,954,588 | (308,075 | ) | ||||||||
CitiBank | LME Zinc September Futures^ | 9/2015 | USD | (5,015,075 | ) | 368,562 | ||||||||
CitiBank | Natural Gas August Futures^ | 9/2015 | USD | (767,310 | ) | (30 | ) | |||||||
CitiBank | Natural Gas August Futures^ | 9/2015 | USD | 775,710 | (8,366 | ) | ||||||||
CitiBank | Natural Gas July Futures^ | 8/2015 | USD | (1,710,600 | ) | 39,713 | ||||||||
CitiBank | Natural Gas July Futures^ | 8/2015 | USD | 1,753,100 | (82,204 | ) | ||||||||
CitiBank | Natural Gas June Futures^ | 7/2015 | USD | 2,503,390 | 130,958 | |||||||||
CitiBank | Natural Gas June Futures^ | 7/2015 | USD | (2,736,990 | ) | 102,638 | ||||||||
CitiBank | Soybean January Futures^ | 12/2015 | USD | 6,690,420 | 812,337 | |||||||||
Deutsche Bank | Soybean January Futures^ | 12/2015 | USD | 278,306 | 34,369 | |||||||||
CitiBank | Soybean January Futures^ | 12/2015 | USD | (1,884,570 | ) | (199,576 | ) | |||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | (243,904 | ) | (32,372 | ) | |||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | 1,353,738 | 200,292 | |||||||||
Deutsche Bank | Soybean Meal December Futures^ | 11/2015 | USD | 927,760 | 142,980 | |||||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | 11,846,281 | 1,170,025 | |||||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | (11,507,409 | ) | (1,508,555 | ) | |||||||
Deutsche Bank | Soybean November Futures^ | 10/2015 | USD | (276,056 | ) | (35,119 | ) | |||||||
Deutsche Bank | Soybean November Futures^ | 10/2015 | USD | 275,550 | 35,625 | |||||||||
CitiBank | Wheat December Futures^ | 11/2015 | USD | 1,929,690 | 309,093 | |||||||||
CitiBank | Wheat December Futures^ | 11/2015 | USD | (897,181 | ) | (191,061 | ) | |||||||
Deutsche Bank | Wheat December Futures^ | 11/2015 | USD | 871,819 | 154,481 | |||||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | (3,593,408 | ) | (778,131 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
187
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | 3,597,021 | $ 774,519 | |||||||||
Deutsche Bank | Wheat September Futures^ | 8/2015 | USD | 51,725 | 9,850 | |||||||||
Deutsche Bank | Wheat September Futures^ | 8/2015 | USD | (51,944 | ) | (9,631 | ) | |||||||
CitiBank | WTI Crude July Futures^ | 8/2015 | USD | (4,364,950 | ) | (95,287 | ) | |||||||
CitiBank | WTI Crude July Futures^ | 8/2015 | USD | 4,569,730 | (109,465 | ) | ||||||||
|
| |||||||||||||
$(426,133 | ) | |||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
14 | Goldman Sachs | Brent Crude Futures^ | 8/2015 | $900,226 | $897,961 | $(2,265 | ) | |||||||||||||
3 | Goldman Sachs | Brent Crude Futures^ | 9/2015 | 192,863 | 194,010 | 1,147 | ||||||||||||||
15 | Morgan Stanley and Co., International PLC | Cocoa Futures^ | 9/2015 | 477,045 | 490,350 | 13,305 | ||||||||||||||
36 | Morgan Stanley and Co., International PLC | Coffee ‘C’ Futures^ | 9/2015 | 1,759,986 | 1,787,400 | 27,414 | ||||||||||||||
29 | Goldman Sachs | Gas Oil Futures^ | 9/2015 | 1,715,247 | 1,680,550 | (34,697 | ) | |||||||||||||
111 | Morgan Stanley and Co., International PLC | Gold 100 OZ Futures^ | 8/2015 | 13,217,911 | 13,006,980 | (210,931 | ) | |||||||||||||
50 | Morgan Stanley and Co., International PLC | Lean Hogs Futures^ | 8/2015 | 1,569,180 | 1,487,500 | (81,680 | ) | |||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 132,457 | 124,153 | (8,304 | ) | |||||||||||||
26 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 1,193,209 | 1,078,330 | (114,879 | ) | |||||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 374,750 | 333,026 | (41,724 | ) | |||||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 568,529 | 500,850 | (67,679 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 47,078 | 41,825 | (5,253 | ) | |||||||||||||
27 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 1,207,304 | 1,130,882 | (76,422 | ) | |||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 259,518 | 251,391 | (8,127 | ) | |||||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 484,302 | 461,005 | (23,297 | ) | |||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 261,610 | 251,919 | (9,691 | ) | |||||||||||||
14 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 609,281 | 588,893 | (20,388 | ) | |||||||||||||
159 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 7,209,944 | 6,696,882 | (513,062 | ) | |||||||||||||
29 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 1,238,371 | 1,221,625 | (16,746 | ) | |||||||||||||
80 | J.P. Morgan | LME Aluminum Futures^ | 12/2015 | 3,555,698 | 3,421,001 | (134,697 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 150,780 | 143,909 | (6,871 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 152,027 | 143,906 | (8,121 | ) | |||||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 948,146 | 863,676 | (84,470 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 155,752 | 144,018 | (11,734 | ) | |||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 611,012 | 576,178 | (34,834 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 152,452 | 144,049 | (8,403 | ) | |||||||||||||
7 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 1,105,261 | 1,008,569 | (96,692 | ) | |||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2015 | 50,301 | 43,734 | (6,567 | ) | |||||||||||||
2 | J.P. Morgan | LME Lead Futures^ | 7/2015 | 103,780 | 87,553 | (16,227 | ) | |||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 8/2015 | 51,728 | 43,805 | (7,923 | ) | |||||||||||||
2 | J.P. Morgan | LME Lead Futures^ | 8/2015 | 100,606 | 87,656 | (12,950 | ) | |||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 8/2015 | 48,152 | 43,847 | (4,305 | ) | |||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 8/2015 | 48,628 | 43,876 | (4,752 | ) | |||||||||||||
4 | J.P. Morgan | LME Lead Futures^ | 9/2015 | 207,667 | 175,825 | (31,842 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
188
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | $ 513,503 | $ 447,943 | $ (65,560 | ) | |||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 108,781 | 99,841 | (8,940 | ) | |||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 222,010 | 199,705 | (22,305 | ) | |||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 106,006 | 99,982 | (6,024 | ) | |||||||||||||
42 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 2,211,472 | 2,098,425 | (113,047 | ) | |||||||||||||
14 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 726,284 | 699,496 | (26,788 | ) | |||||||||||||
36 | J.P. Morgan | LME Zinc Futures^ | 12/2015 | 1,943,121 | 1,805,400 | (137,721 | ) | |||||||||||||
13 | Morgan Stanley and Co., International PLC | Natural Gas Futures^ | 8/2015 | 360,914 | 369,460 | 8,546 | ||||||||||||||
51 | Morgan Stanley and Co., International PLC | Silver Futures^ | 9/2015 | 4,078,160 | 3,973,155 | (105,005 | ) | |||||||||||||
11 | Morgan Stanley and Co., International PLC | Soybean Meal Futures^ | 12/2015 | 329,220 | 379,940 | 50,720 | ||||||||||||||
119 | Morgan Stanley and Co., International PLC | Soybean Oil Futures^ | 12/2015 | 2,368,905 | 2,432,598 | 63,693 | ||||||||||||||
311 | Morgan Stanley and Co., International PLC | Sugar #11 (World Markets) Futures^ | 9/2015 | 4,204,918 | 4,343,551 | 138,633 | ||||||||||||||
119 | Morgan Stanley and Co., International PLC | WTI Crude Futures^ | 8/2015 | 7,261,968 | 7,119,770 | (142,198 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
65,296,063 | 63,266,400 | (2,029,663 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
19 | Morgan Stanley and Co., International PLC | Gasoline RBOB Futures^ | 8/2015 | $(1,575,057 | ) | $(1,595,761 | ) | $(20,704 | ) | |||||||||||
11 | Morgan Stanley and Co., International PLC | Heating Oil ULSD Futures^ | 8/2015 | (880,111 | ) | (879,787 | ) | 324 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (132,554 | ) | (124,154 | ) | 8,400 | ||||||||||||
26 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (1,195,286 | ) | (1,078,330 | ) | 116,956 | ||||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (375,980 | ) | (333,026 | ) | 42,954 | ||||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (572,595 | ) | (500,850 | ) | 71,745 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (47,331 | ) | (41,825 | ) | 5,506 | ||||||||||||
27 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (1,209,028 | ) | (1,130,882 | ) | 78,146 | ||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (261,162 | ) | (251,390 | ) | 9,772 | ||||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (483,304 | ) | (461,005 | ) | 22,299 | ||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (260,982 | ) | (251,919 | ) | 9,063 | ||||||||||||
14 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (610,716 | ) | (588,893 | ) | 21,823 | ||||||||||||
159 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (7,083,904 | ) | (6,696,881 | ) | 387,023 | ||||||||||||
29 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (1,241,196 | ) | (1,221,625 | ) | 19,571 | ||||||||||||
29 | J.P. Morgan | LME Aluminum Futures^ | 12/2015 | (1,257,804 | ) | (1,240,113 | ) | 17,691 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (150,373 | ) | (143,909 | ) | 6,464 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (149,485 | ) | (143,906 | ) | 5,579 | ||||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (955,185 | ) | (863,676 | ) | 91,509 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (155,285 | ) | (144,019 | ) | 11,266 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (613,630 | ) | (576,178 | ) | 37,452 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (152,715 | ) | (144,049 | ) | 8,666 | ||||||||||||
7 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (1,071,462 | ) | (1,008,569 | ) | 62,893 | ||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2015 | (50,898 | ) | (43,735 | ) | 7,163 | ||||||||||||
2 | J.P. Morgan | LME Lead Futures^ | 7/2015 | (104,245 | ) | (87,552 | ) | 16,693 | ||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 8/2015 | (52,123 | ) | (43,806 | ) | 8,317 | ||||||||||||
2 | J.P. Morgan | LME Lead Futures^ | 8/2015 | (101,902 | ) | (87,655 | ) | 14,247 | ||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 8/2015 | (48,276 | ) | (43,848 | ) | 4,428 | ||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 8/2015 | (48,535 | ) | (43,876 | ) | 4,659 | ||||||||||||
4 | J.P. Morgan | LME Lead Futures^ | 9/2015 | (197,614 | ) | (175,825 | ) | 21,789 | ||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (512,528 | ) | (447,944 | ) | 64,584 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (108,669 | ) | (99,841 | ) | 8,828 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
189
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | $ (220,840 | ) | $ (199,705 | ) | $ 21,135 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (105,669 | ) | (99,981 | ) | 5,688 | ||||||||||||
42 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (2,265,333 | ) | (2,098,425 | ) | 166,908 | ||||||||||||
14 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (730,471 | ) | (699,496 | ) | 30,975 | ||||||||||||
16 | J.P. Morgan | LME Zinc Futures^ | 12/2015 | (835,972 | ) | (802,400 | ) | 33,572 | ||||||||||||
34 | Morgan Stanley and Co., International PLC | Soybean Futures^ | 1/2016 | (1,596,608 | ) | (1,771,825 | ) | (175,217 | ) | |||||||||||
3 | Morgan Stanley and Co., International PLC | Wheat Futures^ | 12/2015 | (77,186 | ) | (93,300 | ) | (16,114 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(27,492,014 | ) | (26,259,961 | ) | 1,232,053 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$37,804,049 | $37,006,439 | $(797,610 | ) | |||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Citibank | ||||||||||
Money Market Funds | $3,100,102 | $— | $3,100,102 | |||||||
| ||||||||||
Deutsche Bank | ||||||||||
Money Market Funds | 590,024 | — | 590,024 | |||||||
| ||||||||||
Goldman Sachs | ||||||||||
Cash | — | 253,333 | 253,333 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | 558,222 | 558,222 | |||||||
| ||||||||||
Morgan Stanley and Co., International PLC | ||||||||||
Cash | — | 2,542,493 | 2,542,493 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
190
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
GOVERNMENT RELATED OBLIGATIONS - 17.9% | INTEREST RATE | MATURITY DATE | CURRENCY | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||
Sovereign Debt - 17.9% | ||||||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.100% | 04/15/23 | EUR | 17,538 | $ | 20,841,278 | ||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.750% | 04/15/18 | EUR | 14,912 | 17,307,382 | |||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 8,235 | 10,336,180 | |||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/18 | EUR | 6,775 | 7,852,970 | |||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/24 | EUR | 2,749 | 3,249,089 | |||||||||||||
France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 6,740 | 8,417,068 | |||||||||||||
France Government Bond OAT (France) | 1.300% | 07/25/19 | EUR | 14,760 | 18,005,349 | |||||||||||||
France Government Bond OAT (France) | 2.100% | 07/25/23 | EUR | 2,865 | 3,869,984 | |||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125% | 03/22/24 | GBP | 3,299 | 5,603,046 | |||||||||||||
United Kingdom Treasury Gilt (United Kingdom) | 1.875% | 11/22/22 | GBP | 10,663 | 20,350,337 | |||||||||||||
|
| |||||||||||||||||
TOTAL GOVERNMENT RELATED OBLIGATIONS | 115,832,683 | |||||||||||||||||
|
| |||||||||||||||||
U.S. TREASURY OBLIGATIONS - 24.4% | ||||||||||||||||||
U.S. Treasury Inflation Protected Securities - 24.4% | ||||||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/18 | USD | 42,900 | 44,598,947 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/19 | USD | 40,300 | 41,219,855 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 07/15/24 | USD | 14,000 | 13,604,534 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 0.250% | 01/15/25 | USD | 20,900 | 20,477,813 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 0.375% | 07/15/23 | USD | 15,300 | 15,611,109 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 0.625% | 01/15/24 | USD | 13,100 | 13,509,763 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 2.125% | 01/15/19 | USD | 7,600 | 9,119,152 | |||||||||||||
|
| |||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 158,141,173 | |||||||||||||||||
|
| |||||||||||||||||
MONEY MARKET FUNDS - 34.5% | SHARES | |||||||||||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.010% (a)^ | 14,616,967 | 14,616,967 | ||||||||||||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^ | 58,467,867 | 58,467,867 | ||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^ | 60,549,605 | 60,549,605 | ||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | 17,244,372 | 17,244,372 | ||||||||||||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^ | 73,085,678 | 73,085,678 | ||||||||||||||||
|
| |||||||||||||||||
TOTAL MONEY MARKET FUNDS | 223,964,489 | |||||||||||||||||
|
| |||||||||||||||||
SHORT-TERM INVESTMENTS - 16.2% | PRINCIPAL AMOUNT (000’s) | |||||||||||||||||
U.S. Treasury Bill, 0.063%, 08/06/2015 (c)^ | $ | 66,832 | 66,836,000 | |||||||||||||||
U.S. Treasury Bill, 0.071%, 12/03/2015 (c)(d)^ | 3,306 | 3,306,395 | ||||||||||||||||
U.S. Treasury Bill, 0.072%, 07/30/2015 (c)^ | 10,461 | 10,461,832 | ||||||||||||||||
U.S. Treasury Bill, 0.083%, 10/01/2015 (c) | 10,318 | 10,320,036 | ||||||||||||||||
U.S. Treasury Bill, 0.085%, 11/27/2015 (c)^ | 4,190 | 4,190,392 | ||||||||||||||||
U.S. Treasury Bill, 0.096%, 10/08/2015 (c)(d) | 10,318 | 10,320,149 | ||||||||||||||||
|
| |||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | 105,434,804 | |||||||||||||||||
|
| |||||||||||||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 93.0% |
| 603,373,149 | ||||||||||||||||
|
| |||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.0% (e) | 45,163,306 | |||||||||||||||||
|
| |||||||||||||||||
NET ASSETS - 100.0% | $ | 648,536,455 | ||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
191
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | A portion of the security is pledged as collateral to the brokers for futures contracts. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Credit default swap contracts sell protection as of June 30, 2015:
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND | CURRENCY | CREDIT SPREAD | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||
CitiBank | iTraxx Europe Crossover Series 23.V1 | 5.000% | EUR | 3.279% | $78,975,000 | $9,019,158 | 06/20/2020 | $(1,676,185 | ) | |||||||||||||||||
CitiBank | iTraxx Europe Series 23.V1 | 1.000% | EUR | 0.752% | 161,000,000 | 3,789,274 | 06/20/2020 | (1,518,940 | ) | |||||||||||||||||
CitiBank | Markit CDX Emerging Market Index Series 23.V1 | 1.000% | USD | 3.109% | 25,500,000 | (2,410,252 | ) | 06/20/2020 | 47,715 | |||||||||||||||||
CitiBank | Markit CDX North America High Yield Index Series 24.V2 | 5.000% | USD | 3.557% | 57,800,000 | 3,816,090 | 06/20/2020 | 487,011 | ||||||||||||||||||
CitiBank | Markit CDX North America Investment Grade Index Series 24.V1 | 1.000% | USD | 0.704% | 181,125,000 | 3,260,418 | 06/20/2020 | (618,551 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||||
$17,474,688 | $(3,278,950 | ) | ||||||||||||||||||||||||
|
|
|
|
Interest rate swap contracts outstanding as of June 30, 2015:
COUNTERPARTY† | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||
CitiBank | 0.500% | (1) | CZK | 20,000,000 | $9,942 | 09/16/2020 | $1,683 | |||||||||||||||||
CitiBank | 0.500% | (1) | CZK | 10,000,000 | (1,095 | ) | 09/16/2020 | 6,908 | ||||||||||||||||
CitiBank | 0.500% | (1) | CZK | 10,000,000 | 875 | 09/16/2020 | 4,938 | |||||||||||||||||
CitiBank | 0.500% | (1) | CZK | 10,000,000 | 6,209 | 09/16/2020 | (396 | ) | ||||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 0.500 | % | CZK | 10,000,000 | 2,973 | 09/16/2020 | (8,786 | ) | |||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 0.500 | % | CZK | 10,000,000 | (1,165 | ) | 09/16/2020 | (4,648 | ) | ||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 0.500 | % | CZK | 10,000,000 | 1,654 | 09/16/2020 | (7,467 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
192
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY† | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 0.500 | % | CZK | 10,000,000 | $ 880 | 09/16/2020 | $ (6,692 | ) | |||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 0.500 | % | CZK | 10,000,000 | 2,575 | 09/16/2020 | (8,388 | ) | |||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 0.500 | % | CZK | 10,000,000 | (2,893 | ) | 09/16/2020 | (2,920 | ) | ||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 0.500 | % | CZK | 270,000,000 | (54,715 | ) | 09/16/2020 | (102,227 | ) | ||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 0.500 | % | CZK | 10,000,000 | 3,192 | 09/16/2020 | (9,005 | ) | |||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 0.500 | % | CZK | 10,000,000 | (3,660 | ) | 09/16/2020 | (2,152 | ) | ||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 0.500 | % | CZK | 4,000,000 | (1,450 | ) | 09/16/2020 | (875 | ) | ||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 0.500 | % | CZK | 10,000,000 | 2,498 | 09/16/2020 | (8,311 | ) | |||||||||||||||
CitiBank | 1.500% | (2) | HKD | 11,000,000 | 19,127 | 09/16/2020 | (6,731 | ) | ||||||||||||||||
CitiBank | 1.500% | (2) | HKD | 1,000,000 | 1,228 | 09/16/2020 | (102 | ) | ||||||||||||||||
CitiBank | 1.500% | (2) | HKD | 3,000,000 | 1,968 | 09/16/2020 | 1,412 | |||||||||||||||||
CitiBank | 1.500% | (2) | HKD | 2,000,000 | 4,658 | 09/16/2020 | (2,404 | ) | ||||||||||||||||
CitiBank | 1.500% | (2) | HKD | 2,000,000 | 5,238 | 09/16/2020 | (2,985 | ) | ||||||||||||||||
CitiBank | 1.500% | (2) | HKD | 7,000,000 | 10,753 | 09/16/2020 | (2,865 | ) | ||||||||||||||||
CitiBank | 1.500% | (2) | HKD | 7,000,000 | 15,432 | 09/16/2020 | (7,544 | ) | ||||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 4,000,000 | 244 | 09/16/2020 | (4,752 | ) | |||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 5,000,000 | (506 | ) | 09/16/2020 | (5,128 | ) | ||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 6,000,000 | (1,694 | ) | 09/16/2020 | (5,067 | ) | ||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 4,000,000 | (3,612 | ) | 09/16/2020 | (895 | ) | ||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 5,000,000 | (2,455 | ) | 09/16/2020 | (3,179 | ) | ||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 92,500,000 | (203,651 | ) | 09/16/2020 | 99,418 | |||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 3,000,000 | (4,858 | ) | 09/16/2020 | 1,477 | |||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 4,000,000 | (4,279 | ) | 09/16/2020 | (228 | ) | ||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 4,000,000 | (2,300 | ) | 09/16/2020 | (2,207 | ) | ||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 8,000,000 | (5,640 | ) | 09/16/2020 | (3,374 | ) | ||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 92,500,000 | (167,453 | ) | 09/16/2020 | 63,220 | |||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 6,000,000 | (726 | ) | 09/16/2020 | (6,035 | ) | ||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 1.500 | % | HKD | 3,000,000 | (3,969 | ) | 09/16/2020 | 589 | |||||||||||||||
CitiBank | 2.500% | (3) | HUF | 30,000,000 | 50 | 09/16/2020 | 435 | |||||||||||||||||
CitiBank | 2.500% | (3) | HUF | 200,000,000 | 4,001 | 09/16/2020 | (762 | ) | ||||||||||||||||
CitiBank | 2.500% | (3) | HUF | 200,000,000 | 8,075 | 09/16/2020 | (4,835 | ) | ||||||||||||||||
CitiBank | 2.500% | (3) | HUF | 200,000,000 | (10,423 | ) | 09/16/2020 | 13,662 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
193
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY† | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CitiBank | 6 Month Budapest Interbank Offered Rate | 2.000 | % | HUF | 3,400,000,000 | $ (85,955 | ) | 09/16/2020 | $ (252,701 | ) | ||||||||||||||
CitiBank | 6 Month Budapest Interbank Offered Rate | 2.500 | % | HUF | 100,000,000 | 7,181 | 09/16/2020 | (8,800 | ) | |||||||||||||||
CitiBank | 6 Month Budapest Interbank Offered Rate | 2.500 | % | HUF | 100,000,000 | 4,199 | 09/16/2020 | (5,818 | ) | |||||||||||||||
CitiBank | 6 Month Budapest Interbank Offered Rate | 2.500 | % | HUF | 200,000,000 | 4,644 | 09/16/2020 | (7,884 | ) | |||||||||||||||
CitiBank | 6 Month Budapest Interbank Offered Rate | 2.500 | % | HUF | 100,000,000 | (9 | ) | 09/16/2020 | (1,610 | ) | ||||||||||||||
CitiBank | 6 Month Budapest Interbank Offered Rate | 2.500 | % | HUF | 100,000,000 | 7,378 | 09/16/2020 | (8,998 | ) | |||||||||||||||
CitiBank | 6 Month Budapest Interbank Offered Rate | 2.500 | % | HUF | 200,000,000 | 270 | 09/16/2020 | (3,510 | ) | |||||||||||||||
CitiBank | 6 Month Budapest Interbank Offered Rate | 2.500 | % | HUF | 100,000,000 | 8,186 | 09/16/2020 | (9,806 | ) | |||||||||||||||
CitiBank | 6 Month Budapest Interbank Offered Rate | 2.500 | % | HUF | 100,000,000 | 6,311 | 09/16/2020 | (7,931 | ) | |||||||||||||||
CitiBank | 6 Month Budapest Interbank Offered Rate | 2.500 | % | HUF | 100,000,000 | 2,724 | 09/16/2020 | (4,344 | ) | |||||||||||||||
CitiBank | 2.000% | (5) | PLN | 6,000,000 | 32,794 | 09/16/2020 | 11,777 | |||||||||||||||||
CitiBank | 2.000% | (5) | PLN | 4,000,000 | (2,952 | ) | 09/16/2020 | 32,666 | ||||||||||||||||
CitiBank | 2.000% | (5) | PLN | 4,000,000 | 19,379 | 09/16/2020 | 10,335 | |||||||||||||||||
CitiBank | 2.000% | (5) | PLN | 1,000,000 | 2,767 | 09/16/2020 | 4,662 | |||||||||||||||||
CitiBank | 2.500% | (5) | PLN | 4,000,000 | 9,025 | 09/16/2020 | (4,192 | ) | ||||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 1.500 | % | PLN | 88,000,000 | (336,568 | ) | 09/16/2020 | (864,545 | ) | ||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.000 | % | PLN | 5,000,000 | (8,231 | ) | 09/16/2020 | (28,912 | ) | ||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.000 | % | PLN | 4,000,000 | 1,463 | 09/16/2020 | (31,177 | ) | |||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.000 | % | PLN | 4,000,000 | (21,734 | ) | 09/16/2020 | (7,980 | ) | ||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.000 | % | PLN | 2,000,000 | (3,574 | ) | 09/16/2020 | (11,283 | ) | ||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.000 | % | PLN | 2,000,000 | 3,587 | 09/16/2020 | (18,444 | ) | |||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.000 | % | PLN | 2,000,000 | 3,773 | 09/16/2020 | (18,631 | ) | |||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.000 | % | PLN | 2,000,000 | 3,818 | 09/16/2020 | (18,675 | ) | |||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.000 | % | PLN | 3,000,000 | (1,699 | ) | 09/16/2020 | (20,587 | ) | ||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.000 | % | PLN | 3,000,000 | 4,618 | 09/16/2020 | (26,904 | ) | |||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.000 | % | PLN | 4,000,000 | (18,452 | ) | 09/16/2020 | (11,262 | ) | ||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.000 | % | PLN | 1,000,000 | 2,934 | 09/16/2020 | (10,362 | ) | |||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.500 | % | PLN | 1,000,000 | (1,634 | ) | 09/16/2020 | 426 | |||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 2.500 | % | PLN | 1,000,000 | (537 | ) | 09/16/2020 | (671 | ) | ||||||||||||||
CitiBank | 2.000% | (6) | SGD | 2,000,000 | 26,309 | 09/16/2020 | (4,773 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
194
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY† | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CitiBank | 2.000% | (6) | SGD | 1,000,000 | $ 6,446 | 09/16/2020 | $ 4,322 | |||||||||||||||||
CitiBank | 2.000% | (6) | SGD | 3,000,000 | 33,644 | 09/16/2020 | (1,340 | ) | ||||||||||||||||
CitiBank | 2.000% | (6) | SGD | 1,000,000 | 10,200 | 09/16/2020 | 568 | |||||||||||||||||
CitiBank | 2.000% | (6) | SGD | 3,000,000 | 30,348 | 09/16/2020 | 1,956 | |||||||||||||||||
CitiBank | 2.000% | (6) | SGD | 2,000,000 | 11,080 | 09/16/2020 | 10,455 | |||||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 22,400,000 | (130,001 | ) | 09/16/2020 | (111,201 | ) | ||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 19,200,000 | (159,126 | ) | 09/16/2020 | (47,618 | ) | ||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 2,000,000 | (13,014 | ) | 09/16/2020 | (8,522 | ) | ||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 1,000,000 | (11,571 | ) | 09/16/2020 | 803 | |||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 2,000,000 | (10,367 | ) | 09/16/2020 | (11,169 | ) | ||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 1,000,000 | 2,942 | 09/16/2020 | (13,710 | ) | |||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 1,000,000 | 318 | 09/16/2020 | (11,086 | ) | |||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 1,000,000 | 427 | 09/16/2020 | (11,195 | ) | |||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 2,000,000 | 461 | 09/16/2020 | (21,997 | ) | |||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 1,000,000 | (10,099 | ) | 09/16/2020 | (669 | ) | ||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 1,000,000 | (10,124 | ) | 09/16/2020 | (643 | ) | ||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 1,000,000 | (1,427 | ) | 09/16/2020 | (9,341 | ) | ||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 2,000,000 | (15,050 | ) | 09/16/2020 | (6,485 | ) | ||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 22,400,000 | (132,886 | ) | 09/16/2020 | (108,316 | ) | ||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 3,000,000 | (29,511 | ) | 09/16/2020 | (2,793 | ) | ||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000 | % | SGD | 2,000,000 | 6,464 | 09/16/2020 | (28,000 | ) | |||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.000 | % | ZAR | 310,000,000 | (278,411 | ) | 09/16/2020 | (595,211 | ) | ||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.500 | % | ZAR | 10,000,000 | 7,954 | 09/16/2020 | (19,457 | ) | |||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.500 | % | ZAR | 10,000,000 | 1,591 | 09/16/2020 | (13,094 | ) | |||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.500 | % | ZAR | 10,000,000 | 3,595 | 09/16/2020 | (15,098 | ) | |||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.500 | % | ZAR | 10,000,000 | 538 | 09/16/2020 | (12,041 | ) | |||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.500 | % | ZAR | 20,000,000 | 5,283 | 09/16/2020 | (28,288 | ) | |||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.500 | % | ZAR | 10,000,000 | (10,422 | ) | 09/16/2020 | (1,081 | ) | ||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.500 | % | ZAR | 20,000,000 | (4,981 | ) | 09/16/2020 | (18,024 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
195
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY† | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.500 | % | ZAR | 10,000,000 | $ (5,192 | ) | 09/16/2020 | $ (6,311 | ) | ||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.500 | % | ZAR | 4,000,000 | (4,214 | ) | 09/16/2020 | (387 | ) | ||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.500 | % | ZAR | 10,000,000 | (994 | ) | 09/16/2020 | (10,508 | ) | ||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 7.500 | % | ZAR | 10,000,000 | 1,934 | 09/16/2020 | (13,437 | ) | |||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 8.000 | % | ZAR | 10,000,000 | 2,225 | 09/16/2020 | 2,951 | ||||||||||||||||
CitiBank | 7.500% | (7) | ZAR | 20,000,000 | (6,554 | ) | 09/16/2020 | 29,560 | ||||||||||||||||
CitiBank | 7.500% | (7) | ZAR | 20,000,000 | 18,359 | 09/16/2020 | 4,647 | |||||||||||||||||
CitiBank | 7.500% | (7) | ZAR | 10,000,000 | 8,582 | 09/16/2020 | 2,921 | |||||||||||||||||
CitiBank | 8.000% | (7) | ZAR | 2,000,000 | (997 | ) | 09/16/2020 | (38 | ) | |||||||||||||||
CitiBank | 8.000% | (7) | ZAR | 2,000,000 | (997 | ) | 09/16/2020 | (38 | ) | |||||||||||||||
Over the Counter | ||||||||||||||||||||||||
CitiBank | 1.871% | (4) | KRW* | 1,000,000,000 | — | 09/16/2020 | 6,506 | |||||||||||||||||
CitiBank | 1.990% | (4) | KRW* | 2,000,000,000 | — | 09/16/2020 | 2,884 | |||||||||||||||||
CitiBank | 1.992% | (4) | KRW* | 1,000,000,000 | — | 09/16/2020 | 1,378 | |||||||||||||||||
CitiBank | 2.015% | (4) | KRW* | 1,000,000,000 | — | 09/16/2020 | 378 | |||||||||||||||||
CitiBank | 2.120% | (4) | KRW* | 2,000,000,000 | — | 09/16/2020 | (8,179 | ) | ||||||||||||||||
CitiBank | 2.185% | (4) | KRW* | 1,000,000,000 | — | 09/16/2020 | (6,856 | ) | ||||||||||||||||
CitiBank | 2.210% | (4) | KRW* | 3,000,000,000 | — | 09/16/2020 | (23,758 | ) | ||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 1.815 | % | KRW* | 1,000,000,000 | — | 09/16/2020 | (8,889 | ) | |||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 1.845 | % | KRW* | 1,000,000,000 | — | 09/16/2020 | (7,612 | ) | |||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 1.850 | % | KRW* | 1,000,000,000 | — | 09/16/2020 | (7,400 | ) | |||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 1.860 | % | KRW* | 2,000,000,000 | — | 09/16/2020 | (13,948 | ) | |||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 1.888 | % | KRW* | 1,000,000,000 | — | 09/16/2020 | (5,804 | ) | |||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 1.898 | % | KRW* | 2,000,000,000 | — | 09/16/2020 | (10,757 | ) | |||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 1.960 | % | KRW* | 2,000,000,000 | — | 09/16/2020 | (5,437 | ) | |||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 1.998 | % | KRW* | 1,000,000,000 | — | 09/16/2020 | (1,123 | ) | |||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 2.005 | % | KRW* | 20,800,000,000 | — | 09/16/2020 | (16,720 | ) | |||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 2.018 | % | KRW* | 2,000,000,000 | — | 09/16/2020 | (544 | ) | |||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 2.020 | % | KRW* | 1,000,000,000 | — | 09/16/2020 | (166 | ) | |||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 2.049 | % | KRW* | 1,000,000,000 | — | 09/16/2020 | 1,068 | ||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 2.050 | % | KRW* | 15,600,000,000 | — | 09/16/2020 | 17,332 | ||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 2.059 | % | KRW* | 15,600,000,000 | — | 09/16/2020 | 23,307 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
196
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY† | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Over the Counter (continued) | ||||||||||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 2.065 | % | KRW* | 2,000,000,000 | $ — | 09/16/2020 | $ 3,499 | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
$(1,388,504 | ) | $(2,486,908 | ) | |||||||||||||||||||||
|
|
|
|
† | Forward effective date swap. (See Note 4). |
* | Non-deliverable swap. (See Note 4). |
(1) | 6 Month Prague Interbank Offered Rate |
(2) | 3 Month Hong Kong Interbank Offered Rate |
(3) | 6 Month Budapest Interbank Offered Rate |
(4) | 3 Month Korean Certificate of Deposit |
(5) | 6 Month Warsaw Interbank Offered Rate |
(6) | 6 Month Singapore Interbank Offered Rate |
(7) | 3 Month Johannesburg Interbank Agreed Rate |
Total return swap contracts outstanding as of June 30, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Morgan Stanley and Co., International PLC | Bovespa Index August Futures | 8/2015 | BRL | 10,842,642 | $(26,358 | ) | ||||||||
CitiBank | Brent Crude August Futures^ | 9/2015 | USD | 5,152,672 | (85,587 | ) | ||||||||
CitiBank | Brent Crude August Futures^ | 9/2015 | USD | (5,078,120 | ) | 11,057 | ||||||||
Merrill Lynch | Brent Crude August Futures^ | 9/2015 | USD | (3,510,860 | ) | 47,294 | ||||||||
Merrill Lynch | Brent Crude August Futures^ | 9/2015 | USD | 3,520,800 | (57,229 | ) | ||||||||
CitiBank | Brent Crude July Futures^ | 8/2015 | USD | (5,355,940 | ) | 77,961 | ||||||||
CitiBank | Brent Crude July Futures^ | 8/2015 | USD | 5,628,479 | (350,469 | ) | ||||||||
Merrill Lynch | Brent Crude July Futures^ | 8/2015 | USD | (3,488,940 | ) | 55,076 | ||||||||
Merrill Lynch | Brent Crude July Futures^ | 8/2015 | USD | 3,652,020 | (218,143 | ) | ||||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | (1,252,631 | ) | (22,273 | ) | |||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | 1,517,121 | 84,667 | |||||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | 1,713,628 | (75,155 | ) | ||||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | (1,605,347 | ) | (33,093 | ) | |||||||
CitiBank | Corn December Futures^ | 11/2015 | USD | 788,603 | 117,548 | |||||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | (2,155,655 | ) | (249,652 | ) | |||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | 2,240,813 | 164,527 | |||||||||
CitiBank | Cotton No. 2 December Futures^ | 11/2015 | USD | 754,688 | 26,278 | |||||||||
Merrill Lynch | Gas Oil August Futures^ | 8/2015 | USD | 2,498,085 | (21,281 | ) | ||||||||
Merrill Lynch | Gas Oil August Futures^ | 8/2015 | USD | (2,558,500 | ) | 81,685 | ||||||||
Merrill Lynch | Gas Oil July Futures^ | 7/2015 | USD | 2,348,875 | 118,243 | |||||||||
Merrill Lynch | Gas Oil July Futures^ | 7/2015 | USD | (2,484,825 | ) | 17,199 | ||||||||
Merrill Lynch | Gas Oil September Futures^ | 9/2015 | USD | 2,574,625 | (82,750 | ) | ||||||||
Merrill Lynch | Gas Oil September Futures^ | 9/2015 | USD | (2,543,450 | ) | 51,584 | ||||||||
Deutsche Bank | Gasoline RBOB August Futures^ | 7/2015 | USD | (2,097,453 | ) | 31,658 | ||||||||
Deutsche Bank | Gasoline RBOB August Futures^ | 7/2015 | USD | 2,007,922 | 57,873 | |||||||||
Merrill Lynch | Gold 100 OZ August Futures^ | 7/2015 | USD | 14,255,400 | (202,474 | ) | ||||||||
Merrill Lynch | Gold 100 OZ August Futures^ | 7/2015 | USD | (14,278,800 | ) | 225,871 | ||||||||
Bank of America | Hang Seng Index July Futures | 7/2015 | HKD | 28,626,761 | (143,507 | ) | ||||||||
Deutsche Bank | Heating Oil ULSD July Futures^ | 7/2015 | USD | (1,793,923 | ) | 47,655 | ||||||||
Deutsche Bank | Heating Oil ULSD July Futures^ | 7/2015 | USD | 1,832,711 | (86,443 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
197
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Bank of America | H-SHARES Index July Futures | 7/2015 | HKD | 27,733,521 | $ (159,592 | ) | ||||||||
Goldman Sachs | H-SHARES Index July Futures | 7/2015 | HKD | 16,756,831 | (77,466 | ) | ||||||||
Morgan Stanley and Co., International PLC | H-SHARES Index July Futures | 7/2015 | HKD | 56,142,563 | (322,959 | ) | ||||||||
Deutsche Bank | Lean Hogs August Futures^ | 8/2015 | USD | 1,259,831 | (69,831 | ) | ||||||||
Merrill Lynch | Lean Hogs August Futures^ | 8/2015 | USD | 349,228 | (21,978 | ) | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | 1,349,510 | (130,310 | ) | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | (1,272,975 | ) | 53,775 | ||||||||
Merrill Lynch | Lean Hogs July Futures^ | 7/2015 | USD | (352,000 | ) | 16,719 | ||||||||
Merrill Lynch | Lean Hogs July Futures^ | 7/2015 | USD | 362,900 | (27,619 | ) | ||||||||
Deutsche Bank | Live Cattle August Futures^ | 8/2015 | USD | 6,295,134 | (194,444 | ) | ||||||||
Merrill Lynch | Live Cattle August Futures^ | 8/2015 | USD | 3,537,820 | (102,480 | ) | ||||||||
CitiBank | LME Aluminum December Futures^ | 12/2015 | USD | (563,225 | ) | 7,313 | ||||||||
CitiBank | LME Aluminum December Futures^ | 12/2015 | USD | 11,465,675 | (390,188 | ) | ||||||||
CitiBank | LME Aluminum September Futures^ | 9/2015 | USD | (12,534,550 | ) | 530,706 | ||||||||
CitiBank | LME Aluminum September Futures^ | 9/2015 | USD | 13,050,775 | (1,046,931 | ) | ||||||||
CitiBank | LME Copper December Futures^ | 12/2015 | USD | (3,217,825 | ) | 40,750 | ||||||||
CitiBank | LME Copper December Futures^ | 12/2015 | USD | 13,390,875 | (393,750 | ) | ||||||||
CitiBank | LME Copper September Futures^ | 9/2015 | USD | (13,682,275 | ) | 426,800 | ||||||||
CitiBank | LME Copper September Futures^ | 9/2015 | USD | 13,700,125 | (444,650 | ) | ||||||||
CitiBank | LME Lead December Futures^ | 12/2015 | USD | (227,750 | ) | 7,094 | ||||||||
CitiBank | LME Lead December Futures^ | 12/2015 | USD | 1,063,700 | (92,813 | ) | ||||||||
CitiBank | LME Lead September Futures^ | 9/2015 | USD | (1,108,888 | ) | 97,894 | ||||||||
CitiBank | LME Lead September Futures^ | 9/2015 | USD | 1,065,775 | (54,781 | ) | ||||||||
CitiBank | LME Nickel December Futures^ | 12/2015 | USD | 403,380 | (42,840 | ) | ||||||||
CitiBank | LME Nickel September Futures^ | 9/2015 | USD | 1,768,788 | (260,379 | ) | ||||||||
CitiBank | LME Nickel September Futures^ | 9/2015 | USD | (1,692,150 | ) | 183,741 | ||||||||
CitiBank | LME Zinc December Futures^ | 12/2015 | USD | (627,500 | ) | 25,700 | ||||||||
CitiBank | LME Zinc December Futures^ | 12/2015 | USD | 5,310,750 | (446,200 | ) | ||||||||
CitiBank | LME Zinc September Futures^ | 9/2015 | USD | 5,084,400 | (188,075 | ) | ||||||||
CitiBank | LME Zinc September Futures^ | 9/2015 | USD | (5,343,513 | ) | 447,188 | ||||||||
Morgan Stanley and Co., International PLC | MSCI Taiwan Stock Index July Futures | 7/2015 | USD | 7,249,632 | (129,792 | ) | ||||||||
CitiBank | Natural Gas August Futures^ | 9/2015 | USD | 1,005,550 | (10,845 | ) | ||||||||
CitiBank | Natural Gas August Futures^ | 9/2015 | USD | (970,550 | ) | (24,140 | ) | |||||||
CitiBank | Natural Gas July Futures^ | 8/2015 | USD | 1,960,200 | (91,063 | ) | ||||||||
CitiBank | Natural Gas July Futures^ | 8/2015 | USD | (1,873,530 | ) | 4,409 | ||||||||
CitiBank | Natural Gas June Futures^ | 7/2015 | USD | (2,584,670 | ) | 116,658 | ||||||||
CitiBank | Natural Gas June Futures^ | 7/2015 | USD | 2,332,690 | 135,278 | |||||||||
Morgan Stanley and Co., International PLC | SGX S&P CNX Nifty Index July Futures | 7/2015 | USD | 2,455,045 | 9,998 | |||||||||
CitiBank | Soybean January Futures^ | 12/2015 | USD | (1,112,642 | ) | (137,814 | ) | |||||||
CitiBank | Soybean January Futures^ | 12/2015 | USD | 6,643,959 | 806,696 | |||||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | 1,684,437 | 249,803 | |||||||||
Deutsche Bank | Soybean Meal December Futures^ | 11/2015 | USD | 210,155 | 31,625 | |||||||||
Merrill Lynch | Soybean Meal December Futures^ | 12/2015 | USD | 1,238,160 | 212,520 | |||||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | 8,728,689 | 865,000 | |||||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | (8,521,795 | ) | (1,071,685 | ) | |||||||
Morgan Stanley and Co., International PLC | Swiss Market Index September Futures | 9/2015 | CHF | 4,087,687 | (46,900 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
198
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Morgan Stanley and Co., International PLC | Taiwan Stock Exchange July Futures | 7/2015 | TWD | 1,826,481 | $ 516 | |||||||||
CitiBank | Wheat December Futures^ | 11/2015 | USD | 964,845 | 154,755 | |||||||||
Merrill Lynch | Wheat December Futures^ | 12/2015 | USD | 899,300 | 158,100 | |||||||||
CitiBank | Wheat September Futures^ | 11/2015 | USD | 1,585,093 | 292,837 | |||||||||
CitiBank | Wheat September Futures^ | 11/2015 | USD | (1,545,276 | ) | (332,639 | ) | |||||||
CitiBank | WTI Crude July Futures^ | 8/2015 | USD | (10,089,360 | ) | (198,922 | ) | |||||||
CitiBank | WTI Crude July Futures^ | 8/2015 | USD | 10,523,590 | (235,247 | ) | ||||||||
|
| |||||||||||||
$(2,308,696 | ) | |||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
144 | Goldman Sachs | Brent Crude Futures^ | 8/2015 | $9,282,307 | $9,236,161 | $(46,146 | ) | |||||||||||||
36 | Goldman Sachs | Brent Crude Futures^ | 9/2015 | 2,314,362 | 2,328,120 | 13,758 | ||||||||||||||
24 | Morgan Stanley and Co., International PLC | Cocoa Futures^ | 9/2015 | 772,372 | 784,560 | 12,188 | ||||||||||||||
54 | Morgan Stanley and Co., International PLC | Coffee ‘C’ Futures^ | 9/2015 | 2,679,420 | 2,681,100 | 1,680 | ||||||||||||||
298 | Morgan Stanley and Co., International PLC | Corn Futures^ | 12/2015 | 5,649,207 | 6,429,350 | 780,143 | ||||||||||||||
25 | Morgan Stanley and Co., International PLC | Cotton No. 2 Futures^ | 12/2015 | 813,431 | 848,875 | 35,444 | ||||||||||||||
5 | Morgan Stanley and Co., International PLC | Feeder Cattle Futures^ | 8/2015 | 516,188 | 536,813 | 20,625 | ||||||||||||||
90 | Goldman Sachs | Gas Oil Futures^ | 9/2015 | 5,311,895 | 5,215,500 | (96,395 | ) | |||||||||||||
35 | Morgan Stanley and Co., International PLC | Gasoline RBOB Futures^ | 8/2015 | 2,910,266 | 2,939,559 | 29,293 | ||||||||||||||
180 | Morgan Stanley and Co., International PLC | Gold 100 OZ Futures^ | 8/2015 | 21,404,093 | 21,092,400 | (311,693 | ) | |||||||||||||
31 | Morgan Stanley and Co., International PLC | Heating Oil ULSD Futures^ | 8/2015 | 2,448,279 | 2,479,399 | 31,120 | ||||||||||||||
8 | Morgan Stanley and Co., International PLC | Lean Hogs Futures^ | 8/2015 | 249,186 | 238,000 | (11,186 | ) | |||||||||||||
15 | Morgan Stanley and Co., International PLC | Live Cattle Futures^ | 8/2015 | 918,012 | 888,450 | (29,562 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
199
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
59 | Morgan Stanley and Co., International PLC | Natural Gas Futures^ | 8/2015 | $ 1,656,753 | $ 1,676,780 | $ 20,027 | ||||||||||||||
51 | Morgan Stanley and Co., International PLC | Silver Futures^ | 9/2015 | 4,079,453 | 3,973,155 | (106,298 | ) | |||||||||||||
8 | Morgan Stanley and Co., International PLC | Soybean Futures^ | 1/2016 | 384,586 | 416,900 | 32,314 | ||||||||||||||
11 | Morgan Stanley and Co., International PLC | Soybean Meal Futures^ | 12/2015 | 329,909 | 379,940 | 50,031 | ||||||||||||||
178 | Morgan Stanley and Co., International PLC | Soybean Oil Futures^ | 12/2015 | 3,546,047 | 3,638,676 | 92,629 | ||||||||||||||
369 | Morgan Stanley and Co., International PLC | Sugar #11 (World Markets) Futures^ | 9/2015 | 4,997,353 | 5,153,602 | 156,249 | ||||||||||||||
86 | Morgan Stanley and Co., International PLC | Wheat Futures^ | 12/2015 | 2,277,628 | 2,674,600 | 396,972 | ||||||||||||||
353 | Morgan Stanley and Co., International PLC | WTI Crude Futures^ | 8/2015 | 21,588,504 | 21,119,990 | (468,514 | ) | |||||||||||||
54 | Barclays Capital | CAC40 Index Futures | 7/2015 | 2,956,914 | 2,881,564 | (75,350 | ) | |||||||||||||
13 | Barclays Capital | DAX Index Futures | 9/2015 | 3,977,702 | 3,986,132 | 8,430 | ||||||||||||||
70 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2015 | 8,815,846 | 8,752,800 | (63,046 | ) | |||||||||||||
281 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | 10,803,757 | 10,764,055 | (39,702 | ) | |||||||||||||
82 | Barclays Capital | FTSE 100 Index Futures | 9/2015 | 8,623,832 | 8,367,032 | (256,800 | ) | |||||||||||||
68 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2015 | 2,579,593 | 2,584,515 | 4,922 | ||||||||||||||
27 | Barclays Capital | Hang Seng Index Futures | 7/2015 | 4,725,611 | 4,563,655 | (161,956 | ) | |||||||||||||
16 | Barclays Capital | H-SHARES Index Futures | 7/2015 | 1,394,763 | 1,333,926 | (60,837 | ) | |||||||||||||
11 | Barclays Capital | IBEX 35 Index Futures | 7/2015 | 1,342,786 | 1,321,364 | (21,422 | ) | |||||||||||||
54 | Barclays Capital | KOSPI Index 200 Futures | 9/2015 | 6,161,934 | 6,105,832 | (56,102 | ) | |||||||||||||
3 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2015 | 103,082 | 102,690 | (392 | ) | |||||||||||||
862 | Barclays Capital | S&P 500 E-Mini Futures | 9/2015 | 89,876,460 | 88,544,640 | (1,331,820 | ) | |||||||||||||
69 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2015 | 10,523,116 | 10,336,890 | (186,226 | ) | |||||||||||||
18 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2015 | 2,465,394 | 2,432,377 | (33,017 | ) | |||||||||||||
39 | Barclays Capital | SPI 200 Index Futures | 9/2015 | 4,156,766 | 4,059,954 | (96,812 | ) | |||||||||||||
133 | Barclays Capital | TOPIX Index Futures | 9/2015 | 17,959,630 | 17,719,206 | (240,424 | ) | |||||||||||||
108 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2015 | 10,386,883 | 10,437,709 | 50,826 | ||||||||||||||
139 | Goldman Sachs | Canadian 10-Year Bond Futures | 9/2015 | 15,490,460 | 15,580,464 | 90,004 | ||||||||||||||
408 | Goldman Sachs | Euro - Bund Futures | 9/2015 | 70,304,598 | 69,138,535 | (1,166,063 | ) | |||||||||||||
68 | Goldman Sachs | Long Gilt Futures | 9/2015 | 12,394,060 | 12,365,171 | (28,889 | ) | |||||||||||||
1,681 | Morgan Stanley and Co., International PLC | U.S. Treasury 10-Year Note Futures | 9/2015 | 213,477,707 | 212,094,922 | (1,382,785 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$592,650,145 | $588,205,363 | $(4,444,782 | ) | |||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
200
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | 32,850,000 | $10,013,503 | $10,275,003 | $261,500 | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | 32,850,000 | 10,013,504 | 10,275,003 | 261,499 | ||||||||||||||
Chinese Renminbi, Expiring 09/16/15* | CitiBank | CNY | 80,832,500 | 12,947,692 | 12,944,500 | (3,192 | ) | |||||||||||||
Chinese Renminbi, Expiring 09/16/15* | Credit Suisse International | CNY | 80,832,500 | 12,948,090 | 12,944,500 | (3,590 | ) | |||||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | 8,536,500 | 9,638,531 | 9,527,303 | (111,228 | ) | |||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 10,011,608 | 11,304,937 | 11,173,622 | (131,315 | ) | |||||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | 4,015,101 | 6,269,927 | 6,305,206 | 35,279 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | CitiBank | HKD | 2,660,000 | 342,971 | 343,129 | 158 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | 4,344,000 | 560,159 | 560,358 | 199 | ||||||||||||||
Hungarian Forint, Expiring 09/16/15 | CitiBank | HUF | 2,174,536,500 | 7,751,404 | 7,675,769 | (75,635 | ) | |||||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | 2,344,204,500 | 8,359,002 | 8,274,670 | (84,332 | ) | |||||||||||||
Indian Rupee, Expiring 09/16/15* | CitiBank | INR | 489,490,500 | 7,534,646 | 7,568,387 | 33,741 | ||||||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | 489,490,500 | 7,534,646 | 7,568,387 | 33,741 | ||||||||||||||
Korean Won, Expiring 09/16/15* | CitiBank | KRW | 13,017,659,500 | 11,709,995 | 11,649,712 | (60,283 | ) | |||||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | 13,017,659,499 | 11,709,996 | 11,649,712 | (60,284 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | CitiBank | MXN | 121,506,000 | 7,840,286 | 7,688,010 | (152,276 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | 121,506,000 | 7,840,416 | 7,688,010 | (152,406 | ) | |||||||||||||
Poland Zloty, Expiring 09/16/15 | CitiBank | PLN | 45,373,000 | 12,165,203 | 12,042,158 | (123,045 | ) | |||||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | 45,373,000 | 12,165,232 | 12,042,157 | (123,075 | ) | |||||||||||||
Turkish Lira, Expiring 09/16/15 | CitiBank | TRY | 35,241,500 | 12,768,953 | 12,862,768 | 93,815 | ||||||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | 35,241,500 | 12,777,076 | 12,862,768 | 85,692 | ||||||||||||||
South African Rand, Expiring 09/16/15 | CitiBank | ZAR | 92,771,501 | 7,394,098 | 7,522,780 | 128,682 | ||||||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | 92,771,501 | 7,394,026 | 7,522,780 | 128,754 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$208,984,293 | $208,966,692 | $(17,601 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
201
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | (1,393,000 | ) | $(423,066 | ) | $(435,710 | ) | $(12,644 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | (1,393,000 | ) | (423,066 | ) | (435,710 | ) | (12,644 | ) | ||||||||||
Swiss Franc, Expiring 09/16/15 | CitiBank | CHF | (34,500 | ) | (37,028 | ) | (37,012 | ) | 16 | |||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (416,500 | ) | (452,426 | ) | (446,830 | ) | 5,596 | |||||||||||
Chinese Renminbi, Expiring 09/16/15* | CitiBank | CNY | (8,489,000 | ) | (1,358,460 | ) | (1,359,426 | ) | (966 | ) | ||||||||||
Chinese Renminbi, Expiring 09/16/15* | Credit Suisse International | CNY | (8,489,000 | ) | (1,358,443 | ) | (1,359,426 | ) | (983 | ) | ||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | (81,246,361 | ) | (90,746,568 | ) | (90,676,356 | ) | 70,212 | |||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (83,262,114 | ) | (93,013,317 | ) | (92,926,069 | ) | 87,248 | |||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | (9,573,131 | ) | (14,571,047 | ) | (15,033,386 | ) | (462,339 | ) | ||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | (10,713,794 | ) | (16,324,588 | ) | (16,824,652 | ) | (500,064 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | (4,551,000 | ) | (586,981 | ) | (587,060 | ) | (79 | ) | ||||||||||
Hungarian Forint, Expiring 09/16/15 | CitiBank | HUF | (850,980,500 | ) | (3,021,521 | ) | (3,003,827 | ) | 17,694 | |||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | (850,980,500 | ) | (3,021,981 | ) | (3,003,827 | ) | 18,154 | |||||||||||
Indian Rupee, Expiring 09/16/15* | CitiBank | INR | (54,117,500 | ) | (830,910 | ) | (836,752 | ) | (5,842 | ) | ||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | (54,117,500 | ) | (830,910 | ) | (836,752 | ) | (5,842 | ) | ||||||||||
Korean Won, Expiring 09/16/15* | CitiBank | KRW | (3,462,481,500 | ) | (3,098,117 | ) | (3,098,629 | ) | (512 | ) | ||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | (3,462,481,500 | ) | (3,098,266 | ) | (3,098,629 | ) | (363 | ) | ||||||||||
Mexican Peso, Expiring 09/17/15 | CitiBank | MXN | (46,397,000 | ) | (2,948,048 | ) | (2,935,663 | ) | 12,385 | |||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | (46,397,000 | ) | (2,948,072 | ) | (2,935,663 | ) | 12,409 | |||||||||||
Poland Zloty, Expiring 09/16/15 | CitiBank | PLN | (17,752,000 | ) | (4,735,209 | ) | (4,711,445 | ) | 23,764 | |||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | (18,316,000 | ) | (4,887,855 | ) | (4,861,133 | ) | 26,722 | |||||||||||
Turkish Lira, Expiring 09/16/15 | CitiBank | TRY | (7,736,000 | ) | (2,739,353 | ) | (2,823,556 | ) | (84,203 | ) | ||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | (7,736,000 | ) | (2,739,172 | ) | (2,823,556 | ) | (84,384 | ) | ||||||||||
South African Rand, Expiring 09/16/15 | CitiBank | ZAR | (24,018,000 | ) | (1,908,173 | ) | (1,947,604 | ) | (39,431 | ) | ||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | (24,018,000 | ) | (1,909,417 | ) | (1,947,604 | ) | (38,187 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(258,011,994 | ) | (258,986,277 | ) | (974,283 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(49,027,701 | ) | $(50,019,585 | ) | $(991,884 | ) | |||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward. (See Note 4). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
202
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND |
BRL - Brazilian Real
CHF - Swiss Franc
CNY - Chinese Renminbi
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
INR - Indian Rupee
KRW - Korean Won
MXN - Mexican Peso
PLN - Poland Zloty
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Bank of America | ||||||||||
Money Market Funds | $542,082 | $— | $542,082 | |||||||
| ||||||||||
Barclays Capital | ||||||||||
Cash | — | 13,974,020 | 13,974,020 | |||||||
| ||||||||||
Citibank | ||||||||||
Cash | — | 13,358,040 | 13,358,040 | |||||||
Money Market Funds | 3,600,004 | — | 3,600,004 | |||||||
| ||||||||||
Credit Suisse International | ||||||||||
Money Market Funds | 1,260,015 | — | 1,260,015 | |||||||
| ||||||||||
Goldman Sachs | ||||||||||
Cash | — | 1,139,561 | 1,139,561 | |||||||
Money Market Funds | 480,000 | — | 480,000 | |||||||
U.S. Treasury Bills | — | 2,469,932 | 2,469,932 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | 255,092 | 255,092 | |||||||
| ||||||||||
Merrill Lynch | ||||||||||
Money Market Funds | 72 | — | 72 | |||||||
| ||||||||||
Morgan Stanley and Co., International PLC | ||||||||||
Cash | — | 3,828,438 | 3,828,438 | |||||||
Money Market Funds | 4,971,660 | — | 4,971,660 | |||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Citibank | ||||||||||
Money Market Funds | $4,220,136 | $— | $4,220,136 | |||||||
| ||||||||||
Deutsche Bank | ||||||||||
Money Market Funds | 240,036 | — | 240,036 | |||||||
| ||||||||||
Goldman Sachs | ||||||||||
Cash | — | 488,531 | 488,531 | |||||||
U.S. Treasury Bills | — | 1,094,312 | 1,094,312 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | (18) | (18 | ) | ||||||
| ||||||||||
Merrill Lynch | ||||||||||
Money Market Funds | 1,260,363 | — | 1,260,363 | |||||||
| ||||||||||
Morgan Stanley and Co., International PLC | ||||||||||
Cash | — | 9,443,927 | 9,443,927 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
203
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II HV FUND |
GOVERNMENT RELATED OBLIGATIONS - 25.1% | INTEREST RATE | MATURITY DATE | CURRENCY | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||||
Sovereign Debt - 25.1% | ||||||||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.100% | 04/15/23 | EUR | 2,594 | $ | 3,083,029 | ||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.750% | 04/15/18 | EUR | 2,247 | 2,608,470 | |||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 1,164 | 1,460,847 | |||||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/18 | EUR | 948 | 1,099,416 | |||||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/24 | EUR | 407 | 481,346 | |||||||||||||||
France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 870 | 1,086,073 | |||||||||||||||
France Government Bond OAT (France) | 1.300% | 07/25/19 | EUR | 2,214 | 2,700,802 | |||||||||||||||
France Government Bond OAT (France) | 2.100% | 07/25/23 | EUR | 331 | 446,536 | |||||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125% | 03/22/24 | GBP | 362 | 614,528 | |||||||||||||||
United Kingdom Treasury Gilt (United Kingdom) | 1.875% | 11/22/22 | GBP | 1,242 | 2,370,216 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT RELATED OBLIGATIONS | 15,951,263 | |||||||||||||||||||
|
| |||||||||||||||||||
U.S. TREASURY OBLIGATIONS - 36.6% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities - 36.6% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125% | 04/15/18 | USD | 6,340 | 6,591,080 | |||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125% | 04/15/19 | USD | 5,940 | 6,075,582 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 07/15/24 | USD | 2,370 | 2,303,053 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.250% | 01/15/25 | USD | 3,000 | 2,939,399 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.375% | 07/15/23 | USD | 2,240 | 2,285,548 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.625% | 01/15/24 | USD | 1,740 | 1,794,426 | |||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 2.125% | 01/15/19 | USD | 1,070 | 1,283,881 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 23,272,969 | |||||||||||||||||||
|
| |||||||||||||||||||
MONEY MARKET FUNDS - 36.3% | SHARES | |||||||||||||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.010% (b)^ | 240,016 | 240,016 | ||||||||||||||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (b)^ | 960,066 | 960,066 | ||||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b)^ | 19,481,299 | 19,481,299 | ||||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b)(c)^ | 1,210,028 | 1,210,028 | ||||||||||||||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (b)^ | 1,200,082 | 1,200,082 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL MONEY MARKET FUNDS | 23,091,491 | |||||||||||||||||||
|
| |||||||||||||||||||
SHORT-TERM INVESTMENTS - 16.3% | PRINCIPAL AMOUNT (000’s) | |||||||||||||||||||
U.S. Treasury Bill, 0.063%, 08/06/2015 (d) | $ | 1,113 | 1,113,000 | |||||||||||||||||
U.S. Treasury Bill, 0.072%, 07/30/2015 (d)^ | 3,500 | 3,499,944 | ||||||||||||||||||
U.S. Treasury Bill, 0.083%, 10/01/2015 (d) | 815 | 814,963 | ||||||||||||||||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (d)(e) | 1,361 | 1,360,853 | ||||||||||||||||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (d)^ | 2,522 | 2,522,728 | ||||||||||||||||||
U.S. Treasury Bill, 0.085%, 11/27/2015 (d)^ | 250 | 249,964 | ||||||||||||||||||
U.S. Treasury Bill, 0.096%, 10/08/2015 (d) | 815 | 814,972 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | 10,376,424 | |||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 114.3% |
| 72,692,147 | ||||||||||||||||||
|
| |||||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (14.3%) (f) |
| (9,112,936 | ) | |||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS - 100.0% | $ | 63,579,211 | ||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
204
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II HV FUND |
All securities are United States companies, unless noted otherwise in parentheses.
(a) | On June 30, 2015, securities valued at $13,950,543 were pledged as collateral for reverse repurchase agreements outstanding. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
(c) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(d) | The rate shown is the effective yield at the date of purchase. |
(e) | A portion of the security is pledged as collateral to the brokers for futures contracts. |
(f) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Reverse repurchase agreements at June 30, 2015:
Over the Counter
COUNTERPARTY | TRADE DATE | RATE | DUE DATE | PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT | ||||||
BNP Paribas Corp. | 6/12/2015 | 0.33% | 7/15/2015 | $1,278,650 | ||||||
CitiBank | 6/25/2015 | 0.32% | 7/15/2015 | 103,231 | ||||||
CitiBank | 6/12/2015 | 0.32% | 7/15/2015 | 6,330,770 | ||||||
CitiBank | 6/18/2015 | 0.32% | 7/15/2015 | 104,000 | ||||||
J.P. Morgan Securities, Inc. | 6/18/2015 | 0.30% | 7/15/2015 | 101,250 | ||||||
J.P. Morgan Securities, Inc. | 6/25/2015 | 0.32% | 7/15/2015 | 101,000 | ||||||
J.P. Morgan Securities, Inc. | 6/12/2015 | 0.32% | 7/15/2015 | 5,783,050 | ||||||
|
| |||||||||
$13,801,951 | ||||||||||
|
|
The weighted average daily balance of the reverse repurchase agreements during the period ended June 30, 2015 was $13,562,186 at a net weighted average interest rate of 0.241%.
Total return swap contracts outstanding as of June 30, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Goldman Sachs | Bovespa Index August Futures | 8/2015 | BRL | 2,441,575 | $(6,578 | ) | ||||||||
Deutsche Bank | Brent Crude August Futures^ | 8/2015 | USD | 197,280 | (4,860 | ) | ||||||||
Deutsche Bank | Brent Crude August Futures^ | 8/2015 | USD | (194,810 | ) | 2,390 | ||||||||
CitiBank | Brent Crude August Futures^ | 9/2015 | USD | 1,174,027 | (19,501 | ) | ||||||||
CitiBank | Brent Crude August Futures^ | 9/2015 | USD | (1,157,040 | ) | 2,519 | ||||||||
Deutsche Bank | Brent Crude July Futures^ | 7/2015 | USD | 611,352 | (39,042 | ) | ||||||||
Deutsche Bank | Brent Crude July Futures^ | 7/2015 | USD | (586,710 | ) | 14,400 | ||||||||
CitiBank | Brent Crude July Futures^ | 8/2015 | USD | 1,220,634 | (76,005 | ) | ||||||||
CitiBank | Brent Crude July Futures^ | 8/2015 | USD | (1,163,160 | ) | 18,538 | ||||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | (64,330 | ) | (1,050 | ) | |||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | 128,080 | 2,679 | |||||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | 207,713 | (9,110 | ) | ||||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | (194,588 | ) | (4,011 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
205
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II HV FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
CitiBank | Corn December Futures^ | 11/2015 | USD | 206,539 | $ 30,786 | |||||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | (353,905 | ) | (46,978 | ) | |||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | 373,469 | 27,421 | |||||||||
CitiBank | Cotton No. 2 December Futures^ | 11/2015 | USD | 131,250 | 4,570 | |||||||||
CitiBank | Gas Oil August Futures^ | 8/2015 | USD | 514,350 | 9,538 | |||||||||
CitiBank | Gas Oil August Futures^ | 8/2015 | USD | (533,025 | ) | 9,132 | ||||||||
CitiBank | Gas Oil July Futures^ | 7/2015 | USD | 494,001 | 27,863 | |||||||||
CitiBank | Gas Oil July Futures^ | 7/2015 | USD | (511,200 | ) | (10,665 | ) | |||||||
CitiBank | Gas Oil September Futures^ | 9/2015 | USD | (534,375 | ) | 7,409 | ||||||||
CitiBank | Gas Oil September Futures^ | 9/2015 | USD | 536,625 | (9,658 | ) | ||||||||
Deutsche Bank | Gasoline RBOB July Futures^ | 7/2015 | USD | 250,990 | 7,234 | |||||||||
Deutsche Bank | Gasoline RBOB July Futures^ | 7/2015 | USD | (262,282 | ) | 4,057 | ||||||||
Barclays Capital | Gold 100 OZ August Futures^ | 7/2015 | USD | (1,069,110 | ) | 14,486 | ||||||||
Barclays Capital | Gold 100 OZ August Futures^ | 7/2015 | USD | 1,071,360 | (16,736 | ) | ||||||||
Bank of America | Hang Seng Index July Futures | 7/2015 | HKD | 2,726,182 | (13,645 | ) | ||||||||
Goldman Sachs | Hang Seng Index July Futures | 7/2015 | HKD | 2,725,203 | (13,518 | ) | ||||||||
Deutsche Bank | Heating Oil ULSD July Futures^ | 7/2015 | USD | 333,220 | (15,717 | ) | ||||||||
Deutsche Bank | Heating Oil ULSD July Futures^ | 7/2015 | USD | (326,168 | ) | 8,665 | ||||||||
Bank of America | H-SHARES Index July Futures | 7/2015 | HKD | 4,058,107 | (23,296 | ) | ||||||||
Goldman Sachs | H-SHARES Index July Futures | 7/2015 | HKD | 8,715,308 | (40,509 | ) | ||||||||
Deutsche Bank | Lean Hogs August Futures^ | 8/2015 | USD | 280,677 | (12,927 | ) | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | (254,490 | ) | 10,650 | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | 268,678 | (24,838 | ) | ||||||||
Deutsche Bank | Live Cattle August Futures^ | 8/2015 | USD | 1,161,449 | (36,079 | ) | ||||||||
CitiBank | LME Aluminum December Futures^ | 12/2015 | USD | 177,100 | (6,050 | ) | ||||||||
CitiBank | LME Aluminum September Futures^ | 9/2015 | USD | (174,750 | ) | 6,275 | ||||||||
CitiBank | LME Aluminum September Futures^ | 9/2015 | USD | 182,800 | (14,325 | ) | ||||||||
CitiBank | LME Copper December Futures^ | 12/2015 | USD | 446,362 | (13,125 | ) | ||||||||
CitiBank | LME Copper September Futures^ | 9/2015 | USD | 443,962 | (11,719 | ) | ||||||||
CitiBank | LME Copper September Futures^ | 9/2015 | USD | (445,650 | ) | 13,406 | ||||||||
CitiBank | LME Nickel September Futures^ | 9/2015 | USD | 84,228 | (12,399 | ) | ||||||||
CitiBank | LME Nickel September Futures^ | 9/2015 | USD | (79,080 | ) | 7,251 | ||||||||
CitiBank | LME Zinc December Futures^ | 12/2015 | USD | 219,000 | (18,400 | ) | ||||||||
CitiBank | LME Zinc September Futures^ | 9/2015 | USD | 207,700 | (7,850 | ) | ||||||||
CitiBank | LME Zinc September Futures^ | 9/2015 | USD | (218,050 | ) | 18,200 | ||||||||
Goldman Sachs | MSCI Taiwan Stock Index July Futures | 7/2015 | USD | 864,977 | (9,226 | ) | ||||||||
CitiBank | Natural Gas August Futures^ | 9/2015 | USD | 229,840 | (2,479 | ) | ||||||||
CitiBank | Natural Gas August Futures^ | 9/2015 | USD | (221,840 | ) | (5,518 | ) | |||||||
CitiBank | Natural Gas July Futures^ | 8/2015 | USD | 237,600 | (11,038 | ) | ||||||||
CitiBank | Natural Gas July Futures^ | 8/2015 | USD | (228,560 | ) | 2,000 | ||||||||
CitiBank | Natural Gas June Futures^ | 7/2015 | USD | 209,680 | 12,160 | |||||||||
CitiBank | Natural Gas June Futures^ | 7/2015 | USD | (235,600 | ) | 13,760 | ||||||||
Goldman Sachs | SGX S&P CNX Nifty Index July Futures | 7/2015 | USD | 433,550 | 2,444 | |||||||||
CitiBank | Soybean January Futures^ | 12/2015 | USD | 418,151 | 50,861 | |||||||||
Deutsche Bank | Soybean January Futures^ | 12/2015 | USD | 463,844 | 57,281 | |||||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | 301,142 | 44,258 | |||||||||
Deutsche Bank | Soybean Meal December Futures^ | 11/2015 | USD | 179,620 | 27,620 | |||||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | 425,474 | 41,247 | |||||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | (414,788 | ) | (51,923 | ) | |||||||
Deutsche Bank | Soybean November Futures^ | 10/2015 | USD | (460,094 | ) | (58,531 | ) | |||||||
Deutsche Bank | Soybean November Futures^ | 10/2015 | USD | 473,098 | 45,528 | |||||||||
Goldman Sachs | Swiss Market Index September Futures | 9/2015 | CHF | 892,103 | (13,964 | ) | ||||||||
Goldman Sachs | Taiwan Stock Exchange July Futures | 7/2015 | TWD | 18,171,559 | 8,180 | |||||||||
CitiBank | Wheat December Futures^ | 11/2015 | USD | 187,609 | 30,091 | |||||||||
Deutsche Bank | Wheat December Futures^ | 11/2015 | USD | 132,000 | 23,500 | |||||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | 204,123 | 42,162 | |||||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | (206,609 | ) | (39,677 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
206
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II HV FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
CitiBank | WTI Crude July Futures^ | 8/2015 | USD | 1,946,560 | $ (43,514 | ) | ||||||||
CitiBank | WTI Crude July Futures^ | 8/2015 | USD | (1,866,240 | ) | (36,795 | ) | |||||||
|
| |||||||||||||
$(132,695 | ) | |||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
28 | Goldman Sachs | Brent Crude Futures^ | 8/2015 | $1,798,825 | $1,795,920 | $(2,905 | ) | |||||||||||||
7 | Goldman Sachs | Brent Crude Futures^ | 9/2015 | 450,015 | 452,690 | 2,675 | ||||||||||||||
4 | Morgan Stanley and Co., International PLC | Cocoa Futures^ | 9/2015 | 127,719 | 130,761 | 3,042 | ||||||||||||||
10 | Morgan Stanley and Co., International PLC | Coffee ‘C’ Futures^ | 9/2015 | 504,033 | 496,500 | (7,533 | ) | |||||||||||||
55 | Morgan Stanley and Co., International PLC | Corn Futures^ | 12/2015 | 1,041,379 | 1,186,625 | 145,246 | ||||||||||||||
6 | Morgan Stanley and Co., International PLC | Cotton No. 2 Futures^ | 12/2015 | 195,095 | 203,730 | 8,635 | ||||||||||||||
1 | Morgan Stanley and Co., International PLC | Feeder Cattle Futures^ | 8/2015 | 103,238 | 107,363 | 4,125 | ||||||||||||||
17 | Goldman Sachs | Gas Oil Futures^ | 9/2015 | 1,004,532 | 985,150 | (19,382 | ) | |||||||||||||
7 | Morgan Stanley and Co., International PLC | Gasoline RBOB Futures^ | 8/2015 | 584,545 | 587,912 | 3,367 | ||||||||||||||
32 | Morgan Stanley and Co., International PLC | Gold 100 OZ Futures^ | 8/2015 | 3,801,689 | 3,749,760 | (51,929 | ) | |||||||||||||
6 | Morgan Stanley and Co., International PLC | Heating Oil ULSD Futures^ | 8/2015 | 475,058 | 479,884 | 4,826 | ||||||||||||||
4 | Morgan Stanley and Co., International PLC | Lean Hogs Futures^ | 8/2015 | 125,288 | 119,000 | (6,288 | ) | |||||||||||||
13 | Morgan Stanley and Co., International PLC | Live Cattle Futures^ | 8/2015 | 795,610 | 769,990 | (25,620 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 44,555 | 41,275 | (3,280 | ) | |||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 132,984 | 124,106 | (8,878 | ) | |||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 321,249 | 290,320 | (30,929 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 48,080 | 41,652 | (6,428 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 47,377 | 41,737 | (5,640 | ) | |||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 89,155 | 83,763 | (5,392 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 43,520 | 42,064 | (1,456 | ) | |||||||||||||
48 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 2,175,094 | 2,021,700 | (153,394 | ) | |||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 85,605 | 84,273 | (1,332 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 42,743 | 42,217 | (526 | ) | |||||||||||||
42 | J.P. Morgan | LME Aluminum Futures^ | 12/2015 | 1,867,585 | 1,796,025 | (71,560 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 150,269 | 143,906 | (6,363 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 158,024 | 143,946 | (14,078 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 312,845 | 288,025 | (24,820 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 152,452 | 144,049 | (8,403 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 298,505 | 288,174 | (10,331 | ) | |||||||||||||
15 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 2,221,434 | 2,161,219 | (60,215 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 288,506 | 288,113 | (393 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
207
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
14 | J.P. Morgan | LME Copper Futures^ | 12/2015 | $ 2,056,423 | $ 2,021,775 | $ (34,648 | ) | |||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2015 | 50,301 | 43,734 | (6,567 | ) | |||||||||||||
4 | J.P. Morgan | LME Lead Futures^ | 9/2015 | 186,424 | 175,826 | (10,598 | ) | |||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 9/2015 | 45,265 | 43,963 | (1,302 | ) | |||||||||||||
4 | J.P. Morgan | LME Lead Futures^ | 12/2015 | 192,822 | 176,525 | (16,297 | ) | |||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 254,031 | 215,487 | (38,544 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 12/2015 | 80,960 | 72,108 | (8,852 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 52,528 | 49,894 | (2,634 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | 58,703 | 49,837 | (8,866 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 53,752 | 49,966 | (3,786 | ) | |||||||||||||
13 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 673,866 | 649,512 | (24,354 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 51,103 | 49,975 | (1,128 | ) | |||||||||||||
13 | J.P. Morgan | LME Zinc Futures^ | 12/2015 | 700,366 | 651,950 | (48,416 | ) | |||||||||||||
14 | Morgan Stanley and Co., International PLC | Natural Gas Futures^ | 8/2015 | 393,514 | 397,880 | 4,366 | ||||||||||||||
10 | Morgan Stanley and Co., International PLC | Silver Futures^ | 9/2015 | 799,836 | 779,050 | (20,786 | ) | |||||||||||||
7 | Morgan Stanley and Co., International PLC | Soybean Futures^ | 1/2016 | 327,698 | 364,787 | 37,089 | ||||||||||||||
5 | Morgan Stanley and Co., International PLC | Soybean Meal Futures^ | 12/2015 | 149,050 | 172,700 | 23,650 | ||||||||||||||
33 | Morgan Stanley and Co., International PLC | Soybean Oil Futures^ | 12/2015 | 657,495 | 674,586 | 17,091 | ||||||||||||||
69 | Morgan Stanley and Co., International PLC | Sugar #11 (World Markets) Futures^ | 9/2015 | 935,142 | 963,682 | 28,540 | ||||||||||||||
17 | Morgan Stanley and Co., International PLC | Wheat Futures^ | 12/2015 | 452,138 | 528,700 | 76,562 | ||||||||||||||
62 | Morgan Stanley and Co., International PLC | WTI Crude Futures^ | 8/2015 | 3,793,001 | 3,709,460 | (83,541 | ) | |||||||||||||
12 | Barclays Capital | CAC40 Index Futures | 7/2015 | 654,767 | 640,347 | (14,420 | ) | |||||||||||||
3 | Barclays Capital | DAX Index Futures | 9/2015 | 928,447 | 919,877 | (8,570 | ) | |||||||||||||
15 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2015 | 1,888,782 | 1,875,600 | (13,182 | ) | |||||||||||||
58 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | 2,235,169 | 2,221,762 | (13,407 | ) | |||||||||||||
19 | Barclays Capital | FTSE 100 Index Futures | 9/2015 | 1,991,360 | 1,938,702 | (52,658 | ) | |||||||||||||
15 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2015 | 568,795 | 570,113 | 1,318 | ||||||||||||||
4 | Barclays Capital | Hang Seng Index Futures | 7/2015 | 699,665 | 676,097 | (23,568 | ) | |||||||||||||
15 | Barclays Capital | H-SHARES Index Futures | 7/2015 | 1,303,034 | 1,250,556 | (52,478 | ) | |||||||||||||
2 | Barclays Capital | IBEX 35 Index Futures | 7/2015 | 241,424 | 240,248 | (1,176 | ) | |||||||||||||
12 | Barclays Capital | KOSPI Index 200 Futures | 9/2015 | 1,369,508 | 1,356,851 | (12,657 | ) | |||||||||||||
1 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2015 | 34,361 | 34,230 | (131 | ) | |||||||||||||
184 | Barclays Capital | S&P 500 E-Mini Futures | 9/2015 | 19,198,439 | 18,900,480 | (297,959 | ) | |||||||||||||
15 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2015 | 2,287,264 | 2,247,150 | (40,114 | ) | |||||||||||||
4 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2015 | 546,943 | 540,529 | (6,414 | ) | |||||||||||||
5 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2015 | 83,630 | 83,845 | 215 | ||||||||||||||
9 | Barclays Capital | SPI 200 Index Futures | 9/2015 | 958,883 | 936,913 | (21,970 | ) | |||||||||||||
27 | Barclays Capital | TOPIX Index Futures | 9/2015 | 3,647,375 | 3,597,132 | (50,243 | ) | |||||||||||||
22 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2015 | 2,115,826 | 2,126,200 | 10,374 | ||||||||||||||
28 | Goldman Sachs | Canadian 10-Year Bond Futures | 9/2015 | 3,120,051 | 3,138,511 | 18,460 | ||||||||||||||
98 | Goldman Sachs | Euro - Bund Futures | 9/2015 | 16,920,400 | 16,606,806 | (313,594 | ) | |||||||||||||
18 | Goldman Sachs | Long Gilt Futures | 9/2015 | 3,292,734 | 3,273,134 | (19,600 | ) | |||||||||||||
345 | Morgan Stanley and Co., International PLC | U.S. Treasury 10-Year Note Futures | 9/2015 | 43,802,618 | 43,529,297 | (273,321 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
139,340,901 | 137,677,626 | (1,663,275 | ) | |||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
208
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: | ||||||||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | $(44,498 | ) | $(41,275 | ) | $3,223 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (133,091 | ) | (124,107 | ) | 8,984 | ||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (321,808 | ) | (290,320 | ) | 31,488 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (47,747 | ) | (41,652 | ) | 6,095 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (47,716 | ) | (41,737 | ) | 5,979 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (88,998 | ) | (83,763 | ) | 5,235 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (43,623 | ) | (42,064 | ) | 1,559 | ||||||||||||
48 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (2,114,323 | ) | (2,021,700 | ) | 92,623 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (85,908 | ) | (84,273 | ) | 1,635 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (43,073 | ) | (42,218 | ) | 855 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 12/2015 | (86,845 | ) | (85,525 | ) | 1,320 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (152,023 | ) | (143,907 | ) | 8,116 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (159,198 | ) | (143,946 | ) | 15,252 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (313,270 | ) | (288,025 | ) | 25,245 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (152,715 | ) | (144,049 | ) | 8,666 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (297,983 | ) | (288,174 | ) | 9,809 | ||||||||||||
15 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (2,204,368 | ) | (2,161,218 | ) | 43,150 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (289,070 | ) | (288,113 | ) | 957 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 12/2015 | (588,014 | ) | (577,650 | ) | 10,364 | ||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2015 | (50,898 | ) | (43,735 | ) | 7,163 | ||||||||||||
4 | J.P. Morgan | LME Lead Futures^ | 9/2015 | (191,990 | ) | (175,825 | ) | 16,165 | ||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 9/2015 | (45,361 | ) | (43,962 | ) | 1,399 | ||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 12/2015 | (45,497 | ) | (44,131 | ) | 1,366 | ||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (241,061 | ) | (215,487 | ) | 25,574 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (52,998 | ) | (49,894 | ) | 3,104 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2015 | (58,247 | ) | (49,837 | ) | 8,410 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (53,720 | ) | (49,966 | ) | 3,754 | ||||||||||||
13 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (697,141 | ) | (649,513 | ) | 47,628 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (50,899 | ) | (49,975 | ) | 924 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 12/2015 | (105,195 | ) | (100,300 | ) | 4,895 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
(8,807,278 | ) | (8,406,341 | ) | 400,937 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$130,533,623 | $129,271,285 | $(1,262,338 | ) | |||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swiss Franc, Expiring 09/16/15 | CitiBank | CHF | 24,000 | $25,758 | $25,748 | $(10 | ) | |||||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | 24,000 | 25,758 | 25,748 | (10 | ) | |||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 558,758 | 630,249 | 623,611 | (6,638 | ) | |||||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | 726,034 | 1,136,909 | 1,140,144 | 3,235 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
209
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II HV FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | CitiBank | HKD | 406,500 | $ 52,412 | $ 52,436 | $ 24 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | 613,500 | 79,107 | 79,138 | 31 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$1,950,193 | $1,946,825 | $(3,368 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | (15,000 | ) | $(4,530 | ) | $(4,692 | ) | $(162 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | (15,000 | ) | (4,530 | ) | (4,692 | ) | (162 | ) | ||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (20,000 | ) | (21,770 | ) | (21,457 | ) | 313 | |||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | (5,890,262 | ) | (6,581,791 | ) | (6,573,925 | ) | 7,866 | |||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (6,337,601 | ) | (7,086,047 | ) | (7,073,184 | ) | 12,863 | |||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | (1,281,131 | ) | (1,949,980 | ) | (2,011,853 | ) | (61,873 | ) | ||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | (1,433,058 | ) | (2,183,537 | ) | (2,250,436 | ) | (66,899 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | (900,000 | ) | (116,077 | ) | (116,096 | ) | (19 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(17,948,262 | ) | (18,056,335 | ) | (108,073 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(15,998,069 | ) | $(16,109,510 | ) | $(111,441 | ) | |||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward. (See Note 4). |
BRL - Brazilian Real
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
TWD - Taiwanese Dollar
USD - United States Dollar
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
210
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II HV FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Barclays Capital | ||||||||||||
Cash | $— | $2,729,336 | $2,729,336 | |||||||||
| ||||||||||||
BNP Paribas | ||||||||||||
U.S. Treasury Inflation Protected Securities | 1,283,881 | — | 1,283,881 | |||||||||
| ||||||||||||
Citibank | ||||||||||||
Cash | 500,000 | — | 500,000 | |||||||||
U.S. Treasury Inflation Protected Securities | 6,591,080 | — | 6,591,080 | |||||||||
| ||||||||||||
Credit Suisse International | ||||||||||||
Money Market Funds | 70,000 | — | 70,000 | |||||||||
| ||||||||||||
Goldman Sachs | ||||||||||||
Cash | — | 308,898 | 308,898 | |||||||||
Money Market Funds | 660,000 | — | 660,000 | |||||||||
U.S. Treasury Bills | — | 596,930 | 596,930 | |||||||||
| ||||||||||||
J.P. Morgan | ||||||||||||
Cash | — | 54,727 | 54,727 | |||||||||
U.S. Treasury Inflation Protected Securities | 6,075,582 | — | 6,075,582 | |||||||||
| ||||||||||||
Morgan Stanley and Co., International PLC | ||||||||||||
Cash | — | 775,896 | 775,896 | |||||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Citibank | ||||||||||||
Money Market Funds | $270,009 | $— | $270,009 | |||||||||
| ||||||||||||
Deutsche Bank | ||||||||||||
Money Market Funds | 210,018 | — | 210,018 | |||||||||
| ||||||||||||
Goldman Sachs | ||||||||||||
Cash | — | 301,245 | 301,245 | |||||||||
| ||||||||||||
J.P. Morgan | ||||||||||||
Cash | — | 551,791 | 551,791 | |||||||||
| ||||||||||||
Morgan Stanley and Co., International PLC | ||||||||||||
Cash | — | 944,348 | 944,348 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
211
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II MV FUND |
GOVERNMENT RELATED OBLIGATIONS - 17.0% | INTEREST RATE | MATURITY DATE | CURRENCY | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||||
Sovereign Debt - 17.0% | ||||||||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.100% | 04/15/23 | EUR | 2,698 | $ | 3,206,350 | ||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.750% | 04/15/18 | EUR | 2,237 | 2,596,107 | |||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 1,318 | 1,653,789 | |||||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/18 | EUR | 1,042 | 1,208,149 | |||||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/24 | EUR | 407 | 481,347 | |||||||||||||||
France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 978 | 1,221,833 | |||||||||||||||
France Government Bond OAT (France) | 1.300% | 07/25/19 | EUR | 2,353 | 2,870,418 | |||||||||||||||
France Government Bond OAT (France) | 2.100% | 07/25/23 | EUR | 441 | 595,382 | |||||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125% | 03/22/24 | GBP | 426 | 722,974 | |||||||||||||||
United Kingdom Treasury Gilt (United Kingdom) | 1.875% | 11/22/22 | GBP | 1,380 | 2,633,573 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT RELATED OBLIGATIONS | 17,189,922 | |||||||||||||||||||
|
| |||||||||||||||||||
U.S. TREASURY OBLIGATIONS - 24.3% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities - 24.3% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/18 | USD | 6,600 | 6,861,376 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/19 | USD | 6,300 | 6,443,799 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 07/15/24 | USD | 2,500 | 2,429,381 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.250% | 01/15/25 | USD | 3,300 | 3,233,339 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.375% | 07/15/23 | USD | 2,400 | 2,448,802 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.625% | 01/15/24 | USD | 1,700 | 1,753,175 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 2.125% | 01/15/19 | USD | 1,200 | 1,439,866 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 24,609,738 | |||||||||||||||||||
|
| |||||||||||||||||||
MONEY MARKET FUNDS - 37.3% | SHARES | |||||||||||||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.010% (a)^ | 657,654 | 657,654 | ||||||||||||||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^ | 2,630,616 | 2,630,616 | ||||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^ | 29,470,199 | 29,470,199 | ||||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | 1,660,038 | 1,660,038 | ||||||||||||||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^ | 3,288,270 | 3,288,270 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL MONEY MARKET FUNDS | 37,706,777 | |||||||||||||||||||
|
| |||||||||||||||||||
SHORT-TERM INVESTMENTS - 16.8% | PRINCIPAL AMOUNT (000’s) | |||||||||||||||||||
U.S. Treasury Bill, 0.063%, 08/06/2015 (c)^ | $ | 3,607 | 3,607,000 | |||||||||||||||||
U.S. Treasury Bill, 0.072%, 07/30/2015 (c)^ | 7,470 | 7,469,880 | ||||||||||||||||||
U.S. Treasury Bill, 0.083%, 10/01/2015 (c) | 2,940 | 2,940,868 | ||||||||||||||||||
U.S. Treasury Bill, 0.097%, 10/08/2015 (c)(d) | 2,940 | 2,940,900 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | 16,958,648 | |||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 95.4% |
| 96,465,085 | ||||||||||||||||||
|
| |||||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.6% (e) |
| 4,680,790 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS - 100.0% | $ | 101,145,875 | ||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
212
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II MV FUND |
All securities are United States companies, unless noted otherwise in parentheses.
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | A portion of the security is pledged as collateral to the brokers for futures contracts. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Total return swap contracts outstanding as of June 30, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Goldman Sachs | Bovespa Index August Futures | 8/2015 | BRL | 2,441,575 | $(6,578 | ) | ||||||||
Deutsche Bank | Brent Crude August Futures^ | 8/2015 | USD | 197,280 | (9,480 | ) | ||||||||
Deutsche Bank | Brent Crude August Futures^ | 8/2015 | USD | (194,810 | ) | 7,010 | ||||||||
CitiBank | Brent Crude August Futures^ | 9/2015 | USD | 1,565,369 | (26,001 | ) | ||||||||
CitiBank | Brent Crude August Futures^ | 9/2015 | USD | (1,542,720 | ) | 3,359 | ||||||||
Deutsche Bank | Brent Crude July Futures^ | 7/2015 | USD | 475,496 | (41,426 | ) | ||||||||
Deutsche Bank | Brent Crude July Futures^ | 7/2015 | USD | (457,420 | ) | 23,350 | ||||||||
CitiBank | Brent Crude July Futures^ | 8/2015 | USD | 1,627,512 | (101,340 | ) | ||||||||
CitiBank | Brent Crude July Futures^ | 8/2015 | USD | (1,550,880 | ) | 24,717 | ||||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | (64,330 | ) | (1,050 | ) | |||||||
CitiBank | Cocoa September Futures^ | 8/2015 | USD | 128,080 | 2,680 | |||||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | (194,588 | ) | (4,011 | ) | |||||||
CitiBank | Coffee ‘C’ September Futures^ | 8/2015 | USD | 207,712 | (9,110 | ) | ||||||||
CitiBank | Corn December Futures^ | 11/2015 | USD | 319,196 | 47,579 | |||||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | 550,375 | 40,410 | |||||||||
CitiBank | Corn September Futures^ | 8/2015 | USD | (520,481 | ) | (70,292 | ) | |||||||
CitiBank | Cotton No. 2 December Futures^ | 11/2015 | USD | 196,875 | 6,855 | |||||||||
CitiBank | Gas Oil August Futures^ | 8/2015 | USD | 628,650 | 11,658 | |||||||||
CitiBank | Gas Oil August Futures^ | 8/2015 | USD | (651,475 | ) | 11,161 | ||||||||
CitiBank | Gas Oil July Futures^ | 7/2015 | USD | 606,440 | 31,393 | |||||||||
CitiBank | Gas Oil July Futures^ | 7/2015 | USD | (624,800 | ) | (13,035 | ) | |||||||
CitiBank | Gas Oil September Futures^ | 9/2015 | USD | (653,125 | ) | 9,055 | ||||||||
CitiBank | Gas Oil September Futures^ | 9/2015 | USD | 655,875 | (11,804 | ) | ||||||||
Deutsche Bank | Gasoline RBOB July Futures^ | 7/2015 | USD | 334,654 | 1,901 | |||||||||
Deutsche Bank | Gasoline RBOB July Futures^ | 7/2015 | USD | (350,213 | ) | 13,658 | ||||||||
Barclays Capital | Gold 100 OZ August Futures^ | 7/2015 | USD | (1,425,480 | ) | 19,315 | ||||||||
Barclays Capital | Gold 100 OZ August Futures^ | 7/2015 | USD | 1,428,480 | (22,314 | ) | ||||||||
Bank of America | Hang Seng Index July Futures | 7/2015 | HKD | 4,089,441 | (20,489 | ) | ||||||||
Goldman Sachs | Hang Seng Index July Futures | 7/2015 | HKD | 2,725,203 | (13,518 | ) | ||||||||
Deutsche Bank | Heating Oil ULSD July Futures^ | 7/2015 | USD | (326,168 | ) | 16,443 | ||||||||
Deutsche Bank | Heating Oil ULSD July Futures^ | 7/2015 | USD | 333,220 | (23,495 | ) | ||||||||
Bank of America | H-SHARES Index July Futures | 7/2015 | HKD | 5,411,590 | (31,162 | ) | ||||||||
Goldman Sachs | H-SHARES Index July Futures | 7/2015 | HKD | 17,431,486 | (81,129 | ) | ||||||||
Deutsche Bank | Lean Hogs August Futures^ | 8/2015 | USD | 283,362 | (15,612 | ) | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | (286,335 | ) | 19,035 | ||||||||
Deutsche Bank | Lean Hogs July Futures^ | 7/2015 | USD | 302,462 | (35,162 | ) | ||||||||
Deutsche Bank | Live Cattle August Futures^ | 8/2015 | USD | 1,405,794 | (43,504 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
213
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II MV FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
CitiBank | LME Aluminum December Futures^ | 12/2015 | USD | 132,825 | $ (4,537 | ) | ||||||||
CitiBank | LME Aluminum September Futures^ | 9/2015 | USD | (131,063 | ) | 4,706 | ||||||||
CitiBank | LME Aluminum September Futures^ | 9/2015 | USD | 137,100 | (10,744 | ) | ||||||||
CitiBank | LME Copper December Futures^ | 12/2015 | USD | 595,150 | (17,500 | ) | ||||||||
CitiBank | LME Copper September Futures^ | 9/2015 | USD | 591,950 | (15,625 | ) | ||||||||
CitiBank | LME Copper September Futures^ | 9/2015 | USD | (594,200 | ) | 17,875 | ||||||||
CitiBank | LME Lead December Futures^ | 12/2015 | USD | 48,350 | (4,219 | ) | ||||||||
CitiBank | LME Lead September Futures^ | 9/2015 | USD | 43,875 | 81 | |||||||||
CitiBank | LME Lead September Futures^ | 9/2015 | USD | (48,156 | ) | 4,200 | ||||||||
CitiBank | LME Zinc December Futures^ | 12/2015 | USD | 54,750 | (4,600 | ) | ||||||||
CitiBank | LME Zinc September Futures^ | 9/2015 | USD | (54,513 | ) | 4,550 | ||||||||
CitiBank | LME Zinc September Futures^ | 9/2015 | USD | 51,925 | (1,962 | ) | ||||||||
Goldman Sachs | MSCI Taiwan Stock Index July Futures | 7/2015 | USD | 1,141,624 | (12,034 | ) | ||||||||
CitiBank | Natural Gas August Futures^ | 9/2015 | USD | 258,570 | (2,789 | ) | ||||||||
CitiBank | Natural Gas August Futures^ | 9/3015 | USD | (249,570 | ) | (6,207 | ) | |||||||
CitiBank | Natural Gas July Futures^ | 8/2015 | USD | (257,130 | ) | 2,250 | ||||||||
CitiBank | Natural Gas July Futures^ | 8/2015 | USD | 267,300 | (12,418 | ) | ||||||||
CitiBank | Natural Gas June Futures^ | 7/2015 | USD | 235,890 | 13,680 | |||||||||
CitiBank | Natural Gas June Futures^ | 7/2015 | USD | (265,050 | ) | 15,480 | ||||||||
Goldman Sachs | SGX S&P CNX Nifty Index July Futures | 7/2015 | USD | 617,004 | 3,449 | |||||||||
CitiBank | Soybean January Futures^ | 12/2015 | USD | (48,941 | ) | (3,166 | ) | |||||||
CitiBank | Soybean January Futures^ | 12/2015 | USD | 650,458 | 78,977 | |||||||||
Deutsche Bank | Soybean January Futures^ | 12/2015 | USD | 556,144 | 69,206 | |||||||||
CitiBank | Soybean Meal December Futures^ | 11/2015 | USD | 391,405 | 57,615 | |||||||||
Deutsche Bank | Soybean Meal December Futures^ | 11/2015 | USD | 209,235 | 32,545 | |||||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | 661,763 | 64,247 | |||||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | (645,225 | ) | (80,768 | ) | |||||||
Deutsche Bank | Soybean November Futures^ | 10/2015 | USD | (551,644 | ) | (36,356 | ) | |||||||
Deutsche Bank | Soybean November Futures^ | 10/2015 | USD | 567,717 | 20,283 | |||||||||
Goldman Sachs | Swiss Market Index September Futures | 9/2015 | CHF | 981,313 | (15,361 | ) | ||||||||
Goldman Sachs | Taiwan Stock Exchange July Futures | 7/2015 | TWD | 14,537,247 | 6,544 | |||||||||
CitiBank | Wheat December Futures^ | 11/2015 | USD | 268,012 | 42,988 | |||||||||
Deutsche Bank | Wheat December Futures^ | 11/2015 | USD | 158,400 | 28,200 | |||||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | 283,806 | 54,836 | |||||||||
CitiBank | Wheat September Futures^ | 8/2015 | USD | (284,796 | ) | (53,847 | ) | |||||||
CitiBank | WTI Crude July Futures^ | 8/2015 | USD | (1,982,880 | ) | (39,095 | ) | |||||||
CitiBank | WTI Crude July Futures^ | 8/2015 | USD | 2,068,220 | (46,234 | ) | ||||||||
|
| |||||||||||||
$(136,683 | ) | |||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
31 | Goldman Sachs | Brent Crude Futures^ | 9/2015 | $1,992,634 | $1,988,340 | $(4,294 | ) | |||||||||||||
7 | Goldman Sachs | Brent Crude Futures^ | 9/2015 | 450,015 | 452,690 | 2,675 | ||||||||||||||
4 | Morgan Stanley and Co., International PLC | Cocoa Futures^ | 9/2015 | 127,719 | 130,760 | 3,041 | ||||||||||||||
11 | Morgan Stanley and Co., International PLC | Coffee ‘C’ Futures^ | 9/2015 | 554,226 | 546,150 | (8,076 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
214
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II MV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
53 | Morgan Stanley and Co., International PLC | Corn Futures^ | 12/2015 | $ 1,004,612 | $ 1,143,475 | $ 138,863 | ||||||||||||||
5 | Morgan Stanley and Co., International PLC | Cotton No. 2 Futures^ | 12/2015 | 162,489 | 169,775 | 7,286 | ||||||||||||||
1 | Morgan Stanley and Co., International PLC | Feeder Cattle Futures^ | 8/2015 | 103,238 | 107,363 | 4,125 | ||||||||||||||
19 | Goldman Sachs | Gas Oil Futures^ | 9/2015 | 1,124,691 | 1,101,050 | (23,641 | ) | |||||||||||||
7 | Morgan Stanley and Co., International PLC | Gasoline RBOB Futures^ | 8/2015 | 584,346 | 587,912 | 3,566 | ||||||||||||||
34 | Morgan Stanley and Co., International PLC | Gold 100 OZ Futures^ | 8/2015 | 4,040,103 | 3,984,120 | (55,983 | ) | |||||||||||||
6 | Morgan Stanley and Co., International PLC | Heating Oil ULSD Futures^ | 8/2015 | 476,270 | 479,883 | 3,613 | ||||||||||||||
4 | Morgan Stanley and Co., International PLC | Lean Hogs Futures^ | 8/2015 | 124,460 | 119,000 | (5,460 | ) | |||||||||||||
8 | Morgan Stanley and Co., International PLC | Live Cattle Futures^ | 8/2015 | 489,606 | 473,840 | (15,766 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 44,555 | 41,275 | (3,280 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 44,111 | 41,385 | (2,726 | ) | |||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 183,571 | 165,897 | (17,674 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | 48,080 | 41,652 | (6,428 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 47,378 | 41,738 | (5,640 | ) | |||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | 133,732 | 125,643 | (8,089 | ) | |||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 43,602 | 41,987 | (1,615 | ) | |||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 130,560 | 126,191 | (4,369 | ) | |||||||||||||
52 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 2,349,891 | 2,190,175 | (159,716 | ) | |||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | 128,407 | 126,409 | (1,998 | ) | |||||||||||||
46 | J.P. Morgan | LME Aluminum Futures^ | 12/2015 | 2,045,934 | 1,967,075 | (78,859 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 150,780 | 143,909 | (6,871 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 150,269 | 143,906 | (6,363 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 158,024 | 143,946 | (14,078 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 160,253 | 143,977 | (16,276 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 312,845 | 288,025 | (24,820 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 298,505 | 288,174 | (10,331 | ) | |||||||||||||
16 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 2,372,456 | 2,305,300 | (67,156 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 288,506 | 288,113 | (393 | ) | |||||||||||||
14 | J.P. Morgan | LME Copper Futures^ | 12/2015 | 2,056,423 | 2,021,775 | (34,648 | ) | |||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2015 | 50,301 | 43,734 | (6,567 | ) | |||||||||||||
4 | J.P. Morgan | LME Lead Futures^ | 9/2015 | 185,661 | 175,825 | (9,836 | ) | |||||||||||||
4 | J.P. Morgan | LME Lead Futures^ | 12/2015 | 192,822 | 176,525 | (16,297 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | 79,322 | 71,745 | (7,577 | ) | |||||||||||||
5 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | 424,820 | 359,145 | (65,675 | ) | |||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 12/2015 | 80,960 | 72,108 | (8,852 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 52,528 | 49,894 | (2,634 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | 53,993 | 49,894 | (4,099 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 53,752 | 49,966 | (3,786 | ) | |||||||||||||
17 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 875,730 | 849,363 | (26,367 | ) | |||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | 51,103 | 49,975 | (1,128 | ) | |||||||||||||
17 | J.P. Morgan | LME Zinc Futures^ | 12/2015 | 917,064 | 852,550 | (64,514 | ) | |||||||||||||
15 | Morgan Stanley and Co., International PLC | Natural Gas Futures^ | 8/2015 | 422,069 | 426,300 | 4,231 | ||||||||||||||
11 | Morgan Stanley and Co., International PLC | Silver Futures^ | 9/2015 | 880,373 | 856,955 | (23,418 | ) | |||||||||||||
2 | Morgan Stanley and Co., International PLC | Soybean Futures^ | 1/2016 | 93,540 | 104,225 | 10,685 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
215
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II MV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
2 | Morgan Stanley and Co., International PLC | Soybean Meal Futures^ | 12/2015 | $ 59,344 | $ 69,080 | $ 9,736 | ||||||||||||||
35 | Morgan Stanley and Co., International PLC | Soybean Oil Futures^ | 12/2015 | 697,179 | 715,470 | 18,291 | ||||||||||||||
74 | Morgan Stanley and Co., International PLC | Sugar #11 (World Markets) Futures^ | 9/2015 | 1,003,062 | 1,033,514 | 30,452 | ||||||||||||||
15 | Morgan Stanley and Co., International PLC | Wheat Futures^ | 12/2015 | 398,254 | 466,500 | 68,246 | ||||||||||||||
66 | Morgan Stanley and Co., International PLC | WTI Crude Futures^ | 8/2015 | 4,035,986 | 3,948,780 | (87,206 | ) | |||||||||||||
13 | Barclays Capital | CAC40 Index Futures | 7/2015 | 708,019 | 693,710 | (14,309 | ) | |||||||||||||
3 | Barclays Capital | DAX Index Futures | 9/2015 | 928,070 | 919,876 | (8,194 | ) | |||||||||||||
15 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2015 | 1,888,782 | 1,875,600 | (13,182 | ) | |||||||||||||
61 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | 2,343,688 | 2,336,681 | (7,007 | ) | |||||||||||||
20 | Barclays Capital | FTSE 100 Index Futures | 9/2015 | 2,099,226 | 2,040,739 | (58,487 | ) | |||||||||||||
17 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2015 | 644,634 | 646,128 | 1,494 | ||||||||||||||
3 | Barclays Capital | Hang Seng Index Futures | 7/2015 | 524,077 | 507,072 | (17,005 | ) | |||||||||||||
2 | Barclays Capital | H-SHARES Index Futures | 7/2015 | 172,676 | 166,741 | (5,935 | ) | |||||||||||||
3 | Barclays Capital | IBEX 35 Index Futures | 7/2015 | 362,136 | 360,372 | (1,764 | ) | |||||||||||||
12 | Barclays Capital | KOSPI Index 200 Futures | 9/2015 | 1,368,923 | 1,356,852 | (12,071 | ) | |||||||||||||
195 | Barclays Capital | S&P 500 E-Mini Futures | 9/2015 | 20,342,514 | 20,030,400 | (312,114 | ) | |||||||||||||
15 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2015 | 2,289,041 | 2,247,150 | (41,891 | ) | |||||||||||||
5 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2015 | 685,383 | 675,661 | (9,722 | ) | |||||||||||||
9 | Barclays Capital | SPI 200 Index Futures | 9/2015 | 960,873 | 936,912 | (23,961 | ) | |||||||||||||
29 | Barclays Capital | TOPIX Index Futures | 9/2015 | 3,918,898 | 3,863,586 | (55,312 | ) | |||||||||||||
23 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2015 | 2,212,000 | 2,222,845 | 10,845 | ||||||||||||||
30 | Goldman Sachs | Canadian 10-Year Bond Futures | 9/2015 | 3,340,931 | 3,362,690 | 21,759 | ||||||||||||||
103 | Goldman Sachs | Euro - Bund Futures | 9/2015 | 17,726,428 | 17,454,091 | (272,337 | ) | |||||||||||||
19 | Goldman Sachs | Long Gilt Futures | 9/2015 | 3,462,635 | 3,454,975 | (7,660 | ) | |||||||||||||
366 | Morgan Stanley and Co., International PLC | U.S. Treasury 10-Year Note Futures | 9/2015 | 46,463,066 | 46,178,906 | (284,160 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
145,432,154 | 143,713,445 | (1,718,709 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | $(44,497 | ) | $(41,275 | ) | $3,222 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (44,147 | ) | (41,384 | ) | 2,763 | ||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (183,890 | ) | (165,897 | ) | 17,993 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2015 | (47,747 | ) | (41,652 | ) | 6,095 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (47,716 | ) | (41,737 | ) | 5,979 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 8/2015 | (133,496 | ) | (125,643 | ) | 7,853 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (43,497 | ) | (41,986 | ) | 1,511 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (130,868 | ) | (126,192 | ) | 4,676 | ||||||||||||
52 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (2,292,289 | ) | (2,190,175 | ) | 102,114 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2015 | (128,863 | ) | (126,410 | ) | 2,453 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 12/2015 | (130,268 | ) | (128,288 | ) | 1,980 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (150,372 | ) | (143,908 | ) | 6,464 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (152,022 | ) | (143,906 | ) | 8,116 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (159,197 | ) | (143,945 | ) | 15,252 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (160,138 | ) | (143,976 | ) | 16,162 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (313,270 | ) | (288,025 | ) | 25,245 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (297,983 | ) | (288,174 | ) | 9,809 | ||||||||||||
16 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (2,363,260 | ) | (2,305,300 | ) | 57,960 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (289,070 | ) | (288,113 | ) | 957 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 12/2015 | (588,014 | ) | (577,650 | ) | 10,364 | ||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2015 | (50,897 | ) | (43,734 | ) | 7,163 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
216
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II MV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
4 | J.P. Morgan | LME Lead Futures^ | 9/2015 | $ (191,990 | ) | $ (175,825 | ) | $ 16,165 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2015 | (79,003 | ) | (71,746 | ) | 7,257 | ||||||||||||
5 | J.P. Morgan | LME Nickel Futures^ | 9/2015 | (406,079 | ) | (359,145 | ) | 46,934 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (52,998 | ) | (49,894 | ) | 3,104 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2015 | (54,323 | ) | (49,894 | ) | 4,429 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (53,720 | ) | (49,966 | ) | 3,754 | ||||||||||||
17 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (912,880 | ) | (849,363 | ) | 63,517 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2015 | (50,899 | ) | (49,975 | ) | 924 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 12/2015 | (105,195 | ) | (100,300 | ) | 4,895 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
(9,658,588 | ) | (9,193,478 | ) | 465,110 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$135,773,566 | $134,519,967 | $(1,253,599 | ) | |||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swiss Franc, Expiring 09/16/15 | CitiBank | CHF | 8,000 | $8,585 | $8,582 | $(3 | ) | |||||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | 8,000 | 8,585 | 8,582 | (3 | ) | |||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 93,195 | 105,301 | 104,012 | (1,289 | ) | |||||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | 725,566 | 1,132,631 | 1,139,410 | 6,779 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | CitiBank | HKD | 775,000 | 99,960 | 99,972 | 12 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | 1,097,000 | 141,480 | 141,509 | 29 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$1,496,542 | $1,502,067 | $5,525 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | (25,000 | ) | $(7,549 | ) | $(7,820 | ) | $(271 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | (25,000 | ) | (7,550 | ) | (7,820 | ) | (270 | ) | ||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (23,000 | ) | (25,035 | ) | (24,675 | ) | 360 | |||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | (6,014,467 | ) | (6,720,576 | ) | (6,712,546 | ) | 8,030 | |||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (6,595,678 | ) | (7,372,981 | ) | (7,361,216 | ) | 11,765 | |||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | (1,311,385 | ) | (1,996,029 | ) | (2,059,364 | ) | (63,335 | ) | ||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | (1,615,237 | ) | (2,463,141 | ) | (2,536,525 | ) | (73,384 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
217
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR RISK PARITY II MV FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | CitiBank | HKD | (153,500 | ) | $ (19,792 | ) | $ (19,801 | ) | $ (9 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | (1,677,500 | ) | (216,347 | ) | (216,390 | ) | (43 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(18,829,000 | ) | (18,946,157 | ) | (117,157 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(17,332,458 | ) | $(17,444,090 | ) | $(111,632 | ) | |||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward. (See Note 4). |
BRL - Brazilian Real
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
TWD - Taiwanese Dollar
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Barclays Capital | ||||||||||
Cash | $— | $2,669,500 | $2,669,500 | |||||||
| ||||||||||
Citibank | ||||||||||
Cash | 420,000 | — | 420,000 | |||||||
| ||||||||||
Credit Suisse International | ||||||||||
Money Market Funds | 70,000 | — | 70,000 | |||||||
| ||||||||||
Goldman Sachs | ||||||||||
Cash | — | 235,280 | 235,280 | |||||||
Money Market Funds | 1,060,000 | — | 1,060,000 | |||||||
U.S. Treasury Bills | — | 646,732 | 646,732 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | 59,598 | 59,598 | |||||||
| ||||||||||
Morgan Stanley and Co., International PLC | ||||||||||
Cash | — | 816,230 | 816,230 | |||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Citibank | ||||||||||||
Money Market Funds | $ | 310,012 | $ | — | $ | 310,012 | ||||||
| ||||||||||||
Deutsche Bank | ||||||||||||
Money Market Funds | 220,026 | — | 220,026 | |||||||||
| ||||||||||||
Goldman Sachs | ||||||||||||
Cash | — | 332,545 | 332,545 | |||||||||
| ||||||||||||
J.P. Morgan | ||||||||||||
Cash | — | 582,130 | 582,130 | |||||||||
| ||||||||||||
Morgan Stanley and Co., International PLC | ||||||||||||
Cash | — | 998,104 | 998,104 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
218
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
LONG INVESTMENTS - 127.9% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 45.8% | ||||||||
Belgium - 1.0% | ||||||||
Anheuser-Busch InBev NV (a) | 2,441 | $ | 293,751 | |||||
bpost SA (a) | 124,327 | 3,419,004 | ||||||
Colruyt SA (a) | 4,100 | 183,917 | ||||||
Delhaize Group (a) | 24,672 | 2,006,754 | ||||||
Proximus (a) | 100,457 | 3,554,866 | ||||||
Umicore SA (a) | 1,541 | 73,177 | ||||||
|
| |||||||
9,531,469 | ||||||||
|
| |||||||
Denmark - 0.7% | ||||||||
AP Moeller - Maersk A/S, Class B (a) | 685 | 1,238,509 | ||||||
Chr Hansen Holding A/S (a) | 3,137 | 152,966 | ||||||
Coloplast A/S, Class B (a) | 1,478 | 96,932 | ||||||
Danske Bank A/S (a) | 15,139 | 445,041 | ||||||
GN Store Nord A/S (a) | 6,851 | 141,379 | ||||||
ISS A/S (a) | 18,427 | 606,902 | ||||||
Jyske Bank A/S †(a) | 16,843 | 845,799 | ||||||
Novo Nordisk A/S, Class B (a) | 4,129 | 226,578 | ||||||
Pandora A/S (a) | 11,143 | 1,195,691 | ||||||
TDC A/S (a) | 79,503 | 582,785 | ||||||
Tryg A/S (a) | 19,808 | 412,997 | ||||||
William Demant Holding A/S †(a) | 3,265 | 248,867 | ||||||
|
| |||||||
6,194,446 | ||||||||
|
| |||||||
Finland - 0.9% | ||||||||
Elisa OYJ (a) | 12,483 | 395,500 | ||||||
Fortum OYJ (a) | 37,242 | 661,603 | ||||||
Kesko OYJ, B Shares (a) | 11,481 | 399,795 | ||||||
Kone OYJ, Class B (a) | 3,101 | 125,870 | ||||||
Metso OYJ (a) | 7,347 | 201,925 | ||||||
Neste OYJ (a) | 64,167 | 1,636,903 | ||||||
Orion OYJ, Class B (a) | 54,148 | 1,896,716 | ||||||
Sampo OYJ, A Shares (a) | 8,740 | 411,890 | ||||||
Stora Enso OYJ, R Shares (a) | 76,820 | 791,649 | ||||||
UPM-Kymmene OYJ (a) | 107,084 | 1,894,949 | ||||||
|
| |||||||
8,416,800 | ||||||||
|
| |||||||
Germany - 3.5% | ||||||||
Allianz SE (a) | 8,546 | 1,332,758 | ||||||
Aurubis AG (a) | 40,107 | 2,356,191 | ||||||
Axel Springer SE (a) | 7,137 | 374,833 | ||||||
Bayerische Motoren Werke AG (a) | 5,980 | 654,897 | ||||||
Brenntag AG (a) | 19,596 | 1,124,447 | ||||||
Continental AG (a) | 204 | 48,303 | ||||||
Daimler AG (a) | 6,318 | 575,542 | ||||||
Deutsche Post AG (a) | 31,894 | 931,921 | ||||||
Evonik Industries AG (a) | 13,717 | 523,761 | ||||||
Fraport AG Frankfurt Airport Services Worldwide (a) | 436 | 27,386 | ||||||
Freenet AG (a) | 20,220 | 681,085 | ||||||
Fresenius Medical Care AG & Co. KGaA (a) | 58,741 | 4,862,951 | ||||||
GEA Group AG (a) | 5,680 | 253,402 | ||||||
Hannover Rueck SE (a) | 39,764 | 3,848,626 | ||||||
HeidelbergCement AG (a) | 13,654 | 1,082,173 | ||||||
HOCHTIEF AG (a) | 5,404 | 418,919 | ||||||
HUGO BOSS AG (a) | 1,451 | 162,216 | ||||||
K+S AG (a) | 27,819 | 1,173,067 |
SHARES | VALUE (Note 5) | |||||||
Germany - 3.5% (continued) | ||||||||
KION Group AG †(a) | 14,591 | $ | 699,977 | |||||
Linde AG (a) | 7,667 | 1,453,001 | ||||||
MAN SE (a) | 270 | 27,817 | ||||||
Merck KGaA (a) | 27,648 | 2,756,236 | ||||||
MTU Aero Engines AG (a) | 2,046 | 192,561 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | 14,092 | 2,498,433 | ||||||
ProSiebenSat.1 Media AG (a) | 6,305 | 311,430 | ||||||
RHOEN-KLINIKUM AG (a) | 30,197 | 809,661 | ||||||
Siemens AG (a) | 6,033 | 610,367 | ||||||
Symrise AG (a) | 24,885 | 1,545,486 | ||||||
Talanx AG (a) | 8,288 | 254,387 | ||||||
TUI AG (a) | 31,759 | 513,194 | ||||||
United Internet AG (a) | 747 | 33,200 | ||||||
|
| |||||||
32,138,228 | ||||||||
|
| |||||||
Italy - 1.7% | ||||||||
A2A SpA | 294,937 | 352,008 | ||||||
Assicurazioni Generali SpA (a) | 1,502 | 27,072 | ||||||
Atlantia SpA | 26,829 | 662,888 | ||||||
Autogrill SpA † | 57,876 | �� | 484,833 | |||||
Banca Generali SpA | 4,074 | 143,459 | ||||||
Banca Popolare di Milano Scarl | 977,383 | 1,030,778 | ||||||
Davide Campari-Milano SpA | 29,777 | 226,680 | ||||||
Enel SpA | 88,522 | 401,208 | ||||||
Eni SpA (a) | 133,738 | 2,375,404 | ||||||
FinecoBank Banca Fineco SpA | 272,273 | 2,016,688 | ||||||
Finmeccanica SpA † | 17,743 | 223,191 | ||||||
Hera SpA | 415,868 | 1,040,376 | ||||||
Intesa Sanpaolo SpA | 287,848 | 1,045,316 | ||||||
Luxottica Group SpA | 6,199 | 412,345 | ||||||
Mediobanca SpA | 202,650 | 1,986,915 | ||||||
Pirelli & C. SpA | 97,747 | 1,649,690 | ||||||
Snam SpA | 134,186 | 638,594 | ||||||
Telecom Italia SpA † | 35,093 | 44,596 | ||||||
Terna Rete Elettrica Nazionale SpA | 187,188 | 827,698 | ||||||
UnipolSai SpA | 78,789 | 195,189 | ||||||
|
| |||||||
15,784,928 | ||||||||
|
| |||||||
Japan - 27.9% | ||||||||
ABC-Mart, Inc. (a) | 57,200 | 3,500,780 | ||||||
Air Water, Inc. (a) | 99,000 | 1,809,950 | ||||||
Aisin Seiki Co., Ltd. (a) | 36,300 | 1,543,449 | ||||||
Ajinomoto Co., Inc. (a) | 15,000 | 324,379 | ||||||
Alfresa Holdings Corp. (a) | 97,300 | 1,514,100 | ||||||
ANA Holdings, Inc. (a) | 2,514,000 | 6,816,285 | ||||||
Aozora Bank Ltd. (a) | 503,000 | 1,897,826 | ||||||
Asahi Group Holdings Ltd. (a) | 8,100 | 257,241 | ||||||
Asahi Kasei Corp. (a) | 376,000 | 3,084,171 | ||||||
Astellas Pharma, Inc. (a) | 202,800 | 2,889,057 | ||||||
Bandai Namco Holdings, Inc. (a) | 167,100 | 3,229,134 | ||||||
Bank of Kyoto Ltd./The (a) | 4,000 | 46,013 | ||||||
Bank of Yokohama Ltd./The (a) | 155,000 | 949,216 | ||||||
Benesse Holdings, Inc. (a) | 57,500 | 1,441,491 | ||||||
Bridgestone Corp. (a) | 15,400 | 569,224 | ||||||
Brother Industries Ltd. (a) | 185,400 | 2,622,771 | ||||||
Calbee, Inc. (a) | 35,300 | 1,487,120 | ||||||
Canon, Inc. (a) | 46,000 | 1,492,165 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
219
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
Japan - 27.9% (continued) | ||||||||
Central Japan Railway Co. (a) | 32,300 | $ | 5,828,682 | |||||
Chiba Bank Ltd./The (a) | 99,000 | 753,865 | ||||||
Chugoku Bank Ltd./The (a) | 106,000 | 1,670,754 | ||||||
Dai Nippon Printing Co., Ltd. (a) | 109,000 | 1,124,755 | ||||||
Daicel Corp. (a) | 175,000 | 2,245,634 | ||||||
Daihatsu Motor Co., Ltd. (a) | 30,600 | 435,535 | ||||||
Daiichi Sankyo Co., Ltd. (a) | 49,700 | 918,484 | ||||||
Disco Corp. (a) | 10,300 | 851,489 | ||||||
East Japan Railway Co. (a) | 9,700 | 872,023 | ||||||
Electric Power Development Co., Ltd. (a) | 47,600 | 1,681,514 | ||||||
FamilyMart Co., Ltd. (a) | 49,000 | 2,253,273 | ||||||
Fuji Electric Co., Ltd. (a) | 138,000 | 593,531 | ||||||
Fuji Heavy Industries Ltd. (a) | 14,700 | 540,531 | ||||||
FUJIFILM Holdings Corp. (a) | 73,800 | 2,633,776 | ||||||
Fujitsu Ltd. (a) | 138,000 | 771,054 | ||||||
Fukuoka Financial Group, Inc. (a) | 275,000 | 1,425,355 | ||||||
Gunma Bank Ltd./The (a) | 191,000 | 1,409,266 | ||||||
Hachijuni Bank Ltd./The (a) | 19,000 | 143,261 | ||||||
Hakuhodo DY Holdings, Inc. (a) | 207,800 | 2,222,302 | ||||||
Hikari Tsushin, Inc. (a) | 13,800 | 930,093 | ||||||
Hino Motors Ltd. (a) | 15,800 | 195,324 | ||||||
Hisamitsu Pharmaceutical Co., Inc. (a) | 600 | 23,292 | ||||||
Hitachi Chemical Co., Ltd. (a) | 50,300 | 905,954 | ||||||
Hitachi High-Technologies Corp. (a) | 76,600 | 2,153,363 | ||||||
Hitachi Metals Ltd. (a) | 89,000 | 1,368,238 | ||||||
Hokuhoku Financial Group, Inc. (a) | 989,000 | 2,333,292 | ||||||
Hokuriku Electric Power Co. (a) | 11,000 | 163,853 | ||||||
Hoshizaki Electric Co., Ltd. | 800 | 47,056 | ||||||
Hoya Corp. (a) | 87,300 | 3,496,342 | ||||||
Ibiden Co., Ltd. (a) | 20,800 | 351,757 | ||||||
Idemitsu Kosan Co., Ltd. (a) | 65,500 | 1,284,975 | ||||||
ITOCHU Corp. (a) | 144,100 | 1,903,160 | ||||||
Itochu Techno-Solutions Corp. (a) | 132,500 | 3,299,736 | ||||||
Japan Airlines Co., Ltd. (a) | 370,200 | 12,901,256 | ||||||
Japan Petroleum Exploration Co., Ltd. (a) | 18,900 | 601,021 | ||||||
Joyo Bank Ltd./The (a) | 45,000 | 251,974 | ||||||
JSR Corp. (a) | 37,700 | 665,530 | ||||||
JTEKT Corp. (a) | 19,700 | 372,535 | ||||||
Kamigumi Co., Ltd. (a) | 53,000 | 497,504 | ||||||
Kaneka Corp. (a) | 208,000 | 1,519,012 | ||||||
Kao Corp. (a) | 16,200 | 753,413 | ||||||
KDDI Corp. (a) | 199,400 | 4,811,911 | ||||||
Keyence Corp. (a) | 1,500 | 808,465 | ||||||
Kobayashi Pharmaceutical Co., Ltd. (a) | 6,300 | 427,857 | ||||||
Kobe Steel Ltd. | 377,000 | 634,269 | ||||||
Komatsu Ltd. (a) | 66,800 | 1,340,229 | ||||||
Konica Minolta, Inc. (a) | 50,500 | 588,585 | ||||||
Kurita Water Industries Ltd. (a) | 36,300 | 845,569 | ||||||
Lawson, Inc. (a) | 15,300 | 1,046,998 | ||||||
Mabuchi Motor Co., Ltd. (a) | 21,200 | 1,340,951 | ||||||
Makita Corp. (a) | 17,800 | 964,027 | ||||||
Marubeni Corp. (a) | 46,100 | 264,552 | ||||||
Maruichi Steel Tube Ltd. (a) | 13,600 | 337,556 | ||||||
McDonald’s Holdings Co., Japan Ltd. | 9,800 | 206,972 | ||||||
Medipal Holdings Corp. (a) | 22,000 | 358,327 | ||||||
MEIJI Holdings Co., Ltd. (a) | 8,800 | 1,135,465 | ||||||
Miraca Holdings, Inc. (a) | 20,000 | 999,284 |
SHARES | VALUE (Note 5) | |||||||
Japan - 27.9% (continued) | ||||||||
Mitsubishi Chemical Holdings Corp. (a) | 165,000 | $ | 1,037,294 | |||||
Mitsubishi Corp. (a) | 96,700 | 2,125,854 | ||||||
Mitsubishi Electric Corp. (a) | 149,000 | 1,923,993 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 29,000 | 162,378 | ||||||
Mitsubishi Tanabe Pharma Corp. (a) | 258,000 | 3,865,311 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. (a) | 112,600 | 615,748 | ||||||
Mitsui & Co., Ltd. (a) | 173,900 | 2,362,628 | ||||||
Mixi, Inc. | 86,600 | 4,296,478 | ||||||
Murata Manufacturing Co., Ltd. (a) | 10,200 | 1,780,058 | ||||||
Nabtesco Corp. (a) | 6,700 | 168,061 | ||||||
Nagoya Railroad Co., Ltd. (a) | 353,000 | 1,319,885 | ||||||
Nexon Co., Ltd. (a) | 94,500 | 1,301,029 | ||||||
NH Foods Ltd. (a) | 75,000 | 1,710,350 | ||||||
NHK Spring Co., Ltd. (a) | 157,400 | 1,733,032 | ||||||
Nidec Corp. (a) | 6,600 | 493,930 | ||||||
Nikon Corp. (a) | 36,200 | 418,352 | ||||||
Nippon Express Co., Ltd. (a) | 103,000 | 506,083 | ||||||
Nippon Shokubai Co., Ltd. (a) | 94,000 | 1,285,830 | ||||||
Nippon Telegraph & Telephone Corp. (a) | 116,200 | 4,208,271 | ||||||
Nippon Yusen KK (a) | 13,000 | 36,193 | ||||||
Nisshin Seifun Group, Inc. (a) | 16,100 | 213,990 | ||||||
Nissin Foods Holdings Co., Ltd. (a) | 26,900 | 1,178,577 | ||||||
Nitori Holdings Co., Ltd. (a) | 73,000 | 5,951,583 | ||||||
NOK Corp. (a) | 84,600 | 2,621,230 | ||||||
Nomura Research Institute Ltd. (a) | 25,300 | 989,328 | ||||||
NTT Data Corp. (a) | 26,500 | 1,157,273 | ||||||
NTT DOCOMO, Inc. (a) | 77,300 | 1,484,049 | ||||||
Obic Co., Ltd. (a) | 9,200 | 410,161 | ||||||
Omron Corp. (a) | 20,100 | 873,110 | ||||||
Oracle Corp. Japan (a) | 17,800 | 744,141 | ||||||
Oriental Land Co., Ltd. (a) | 54,200 | 3,457,373 | ||||||
ORIX Corp. (a) | 257,200 | 3,819,287 | ||||||
Osaka Gas Co., Ltd. (a) | 696,000 | 2,746,973 | ||||||
Otsuka Corp. (a) | 58,400 | 2,726,207 | ||||||
Otsuka Holdings Co., Ltd. (a) | 229,800 | 7,322,163 | ||||||
Park24 Co., Ltd. (a) | 69,700 | 1,193,228 | ||||||
Resona Holdings, Inc. (a) | 821,000 | 4,477,840 | ||||||
Rinnai Corp. (a) | 1,400 | 110,243 | ||||||
Rohm Co., Ltd. (a) | 33,300 | 2,231,070 | ||||||
Sankyo Co., Ltd. (a) | 42,300 | 1,497,581 | ||||||
Santen Pharmaceutical Co., Ltd. (a) | 179,200 | 2,535,452 | ||||||
Secom Co., Ltd. (a) | 23,700 | 1,539,684 | ||||||
Seibu Holdings, Inc. (a) | 12,400 | 287,152 | ||||||
Seiko Epson Corp. (a) | 139,400 | 2,470,228 | ||||||
Sekisui Chemical Co., Ltd. (a) | 197,000 | 2,418,379 | ||||||
Seven & I Holdings Co., Ltd. (a) | 36,200 | 1,553,908 | ||||||
Seven Bank Ltd. (a) | 253,800 | 1,174,894 | ||||||
Shimadzu Corp. (a) | 22,000 | 298,588 | ||||||
Shimamura Co., Ltd. (a) | 36,200 | 3,800,609 | ||||||
Shimano, Inc. (a) | 9,700 | 1,323,666 | ||||||
SMC Corp. (a) | 1,100 | 331,011 | ||||||
Sumitomo Corp. (a) | 35,300 | 410,872 | ||||||
Sumitomo Heavy Industries Ltd. (a) | 692,000 | 4,030,448 | ||||||
Sumitomo Rubber Industries Ltd. (a) | 388,000 | 6,010,243 | ||||||
Suruga Bank Ltd. (a) | 12,800 | 274,190 | ||||||
Suzuken Co., Ltd. (a) | 13,410 | 429,026 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
220
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
Japan - 27.9% (continued) | ||||||||
Sysmex Corp. (a) | 13,800 | $ | 821,894 | |||||
Taisei Corp. (a) | 123,000 | 706,143 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. (a) | 8,800 | 594,458 | ||||||
Takashimaya Co., Ltd. (a) | 12,000 | 108,773 | ||||||
TDK Corp. (a) | 4,700 | 359,891 | ||||||
Teijin Ltd. (a) | 84,000 | 325,959 | ||||||
THK Co., Ltd. (a) | 23,500 | 507,135 | ||||||
Toho Gas Co., Ltd. (a) | 336,000 | 1,989,163 | ||||||
Tohoku Electric Power Co., Inc. (a) | 227,900 | 3,085,650 | ||||||
Tokio Marine Holdings, Inc. (a) | 61,700 | 2,566,047 | ||||||
Tokyo Electron Ltd. (a) | 3,200 | 203,383 | ||||||
Tokyo Gas Co., Ltd. (a) | 623,000 | 3,307,308 | ||||||
TonenGeneral Sekiyu KK (a) | 28,000 | 260,455 | ||||||
Toppan Printing Co., Ltd. (a) | 51,000 | 426,357 | ||||||
Toyo Suisan Kaisha Ltd. (a) | 69,600 | 2,536,006 | ||||||
Toyoda Gosei Co., Ltd. (a) | 51,800 | 1,248,601 | ||||||
Toyota Industries Corp. (a) | 6,400 | 364,457 | ||||||
Unicharm Corp. (a) | 20,400 | 484,592 | ||||||
USS Co., Ltd. (a) | 85,100 | 1,534,788 | ||||||
West Japan Railway Co. (a) | 92,600 | 5,924,466 | ||||||
Yamada Denki Co., Ltd. (a) | 57,200 | 228,816 | ||||||
Yamaguchi Financial Group, Inc. (a) | 198,000 | 2,465,549 | ||||||
Yamaha Corp. (a) | 25,900 | 522,004 | ||||||
Yamazaki Baking Co., Ltd. (a) | 244,000 | 4,062,851 | ||||||
Yokohama Rubber Co., Ltd./The (a) | 4,500 | 90,295 | ||||||
|
| |||||||
256,148,709 | ||||||||
|
| |||||||
Luxembourg - 0.0% (b) | ||||||||
Tenaris SA | 18,623 | 251,192 | ||||||
|
| |||||||
Netherlands - 1.5% | ||||||||
Aalberts Industries NV (a) | 2,410 | 71,661 | ||||||
Boskalis Westminster NV (a) | 51,587 | 2,532,286 | ||||||
Delta Lloyd NV (a) | 115,445 | 1,894,397 | ||||||
Heineken NV (a) | 10,946 | 832,196 | ||||||
Koninklijke Ahold NV (a) | 141,569 | 2,657,627 | ||||||
Koninklijke DSM NV (a) | 9,372 | 544,140 | ||||||
Koninklijke Vopak NV (a) | 19,953 | 1,009,169 | ||||||
NN Group NV (a) | 23,799 | 670,234 | ||||||
QIAGEN NV †(a) | 4,249 | 104,427 | ||||||
SBM Offshore NV †(a) | 35,888 | 427,779 | ||||||
Wolters Kluwer NV (a) | 98,325 | 2,926,524 | ||||||
|
| |||||||
13,670,440 | ||||||||
|
| |||||||
Norway - 1.3% | ||||||||
DNB ASA (a) | 157,599 | 2,624,593 | ||||||
Gjensidige Forsikring ASA (a) | 13,702 | 220,627 | ||||||
Marine Harvest ASA (a) | 37,539 | 429,918 | ||||||
Norsk Hydro ASA | 172,096 | 722,275 | ||||||
Orkla ASA (a) | 43,237 | 339,242 | ||||||
Statoil ASA (a) | 89,647 | 1,603,158 | ||||||
Telenor ASA (a) | 38,726 | 849,062 | ||||||
Yara International ASA (a) | 92,100 | 4,799,159 | ||||||
|
| |||||||
11,588,034 | ||||||||
|
| |||||||
Portugal - 0.0% (b) | ||||||||
EDP - Energias de Portugal SA | 24,915 | 94,926 |
SHARES | VALUE (Note 5) | |||||||
Portugal - 0.0% (b) (continued) | ||||||||
NOS SGPS SA | 3,850 | $ | 30,859 | |||||
|
| |||||||
125,785 | ||||||||
|
| |||||||
Spain - 2.4% | ||||||||
Abengoa SA, B Shares | 177,884 | 560,951 | ||||||
Acerinox SA | 56,726 | 785,209 | ||||||
ACS Actividades de Construccion y Servicios SA (a) | 17,735 | 572,060 | ||||||
Amadeus IT Holding SA, A Shares (a) | 21,428 | 855,410 | ||||||
Banco de Sabadell SA | 143,662 | 347,976 | ||||||
Banco Santander SA (a) | 404,798 | 2,847,357 | ||||||
Bankinter SA (a) | 18,423 | 136,642 | ||||||
Ebro Foods SA | 67,646 | 1,310,595 | ||||||
Enagas SA (a) | 46,568 | 1,267,696 | ||||||
Endesa SA (a) | 187,770 | 3,596,109 | ||||||
Ferrovial SA (a) | 98,839 | 2,147,419 | ||||||
Gas Natural SDG SA (a) | 45,319 | 1,029,070 | ||||||
Iberdrola SA (a) | 396,065 | 2,674,052 | ||||||
Prosegur Cia de Seguridad SA | 88,279 | 485,520 | ||||||
Red Electrica Corp. SA (a) | 5,945 | 477,383 | ||||||
Repsol SA (a) | 25,900 | 456,504 | ||||||
Tecnicas Reunidas SA (a) | 27,646 | 1,424,370 | ||||||
Telefonica SA (a) | 86,999 | 1,239,335 | ||||||
|
| |||||||
22,213,658 | ||||||||
|
| |||||||
Sweden - 1.4% | ||||||||
Assa Abloy AB (a) | 7,039 | 132,515 | ||||||
BillerudKorsnas AB | 4,363 | 68,548 | ||||||
Boliden AB (a) | 104,663 | 1,908,080 | ||||||
Electrolux AB, Series B (a) | 12,757 | 399,717 | ||||||
Holmen AB, B Shares | 1,341 | 39,134 | ||||||
Husqvarna AB, B Shares | 111,919 | 843,046 | ||||||
ICA Gruppen AB | 83,503 | 2,962,520 | ||||||
Nordea Bank AB (a) | 2,209 | 27,550 | ||||||
Securitas AB, B Shares (a) | 121,947 | 1,610,545 | ||||||
Skandinaviska Enskilda Banken AB, Class A (a) | 129,577 | 1,657,464 | ||||||
Skanska AB, B Shares (a) | 26,027 | 527,412 | ||||||
Svenska Cellulosa AB SCA, Class B (a) | 10,500 | 266,996 | ||||||
Swedbank AB, A Shares (a) | 3,698 | 86,217 | ||||||
Swedish Match AB (a) | 5,543 | 157,591 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares (a) | 108,837 | 1,133,552 | ||||||
TeliaSonera AB (a) | 177,072 | 1,043,616 | ||||||
|
| |||||||
12,864,503 | ||||||||
|
| |||||||
Switzerland - 2.5% | ||||||||
Baloise Holding AG (a) | 1,909 | 232,766 | ||||||
Barry Callebaut AG †(a) | 158 | 180,095 | ||||||
Bucher Industries AG (a) | 2,384 | 593,089 | ||||||
Chocoladefabriken Lindt & Sprungli AG (a) | 69 | 364,967 | ||||||
DKSH Holding AG †(a) | 1,268 | 91,650 | ||||||
Flughafen Zuerich AG (a) | 125 | 96,763 | ||||||
Galenica AG (a) | 587 | 612,235 | ||||||
GAM Holding AG †(a) | 4,704 | 98,824 | ||||||
Geberit AG (a) | 236 | 78,681 | ||||||
Georg Fischer AG (a) | 277 | 190,426 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
221
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
Switzerland - 2.5% (continued) | ||||||||
Givaudan SA †(a) | 1,455 | $ | 2,519,051 | |||||
Helvetia Holding AG (a) | 79 | 45,156 | ||||||
Lonza Group AG †(a) | 1,126 | 150,507 | ||||||
Nestle SA (a) | 40,022 | 2,887,613 | ||||||
Novartis AG (a) | 22,427 | 2,205,930 | ||||||
Roche Holding AG (a) | 1,459 | 409,091 | ||||||
Schindler Holding AG (a) | 162 | 26,495 | ||||||
Sika AG (a) | 33 | 116,387 | ||||||
Sonova Holding AG (a) | 655 | 88,572 | ||||||
Straumann Holding AG (a) | 2,555 | 701,302 | ||||||
Swiss Life Holding AG †(a) | 8,246 | 1,888,176 | ||||||
Swiss Re AG (a) | 57,953 | 5,130,159 | ||||||
Swisscom AG (a) | 4,497 | 2,520,330 | ||||||
Zurich Insurance Group AG †(a) | 4,015 | 1,222,285 | ||||||
|
| |||||||
22,450,550 | ||||||||
|
| |||||||
United Kingdom - 1.0% | ||||||||
Fiat Chrysler Automobiles NV †(a) | 156,389 | 2,294,252 | ||||||
Reed Elsevier NV (a) | 31,963 | 760,262 | ||||||
Unilever NV CVA (a) | 147,490 | 6,166,431 | ||||||
|
| |||||||
9,220,945 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 420,599,687 | |||||||
|
| |||||||
PREFERRED STOCKS - 1.1% | ||||||||
Germany - 1.1% | ||||||||
FUCHS PETROLUB SE (a) | 655 | 27,695 | ||||||
Henkel AG & Co. KGaA (a) | 44,450 | 4,988,005 | ||||||
Porsche Automobil Holding SE | 23,420 | 1,974,694 | ||||||
Volkswagen AG (a) | 12,611 | 2,926,746 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 9,917,140 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 59.9% | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.010% (c) | 203,913 | 203,913 | ||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (c) | 815,652 | 815,652 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c)^ | 396,221,792 | 396,221,792 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d)^ | 152,500,085 | 152,500,085 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (c) | 1,019,565 | 1,019,565 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 550,761,007 | |||||||
|
|
SHORT-TERM INVESTMENTS - 21.1% | PRINCIPAL (000’s) | VALUE (Note 5) | ||||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (e)^ (cost $194,431,770) | $ | 194,495 | $ | 194,473,995 | ||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE | ||||||||
(cost $1,164,490,928) | 1,175,751,829 | |||||||
|
| |||||||
SECURITIES SOLD SHORT - (37.7)% | SHARES | |||||||
COMMON STOCKS - (37.7)% | ||||||||
Belgium - (0.4)% | ||||||||
Telenet Group Holding NV † | (23,056 | ) | (1,254,419 | ) | ||||
UCB SA | (31,893 | ) | (2,293,274 | ) | ||||
|
| |||||||
(3,547,693 | ) | |||||||
|
| |||||||
Denmark - (0.2)% | ||||||||
Carlsberg A/S, Class B | (1,100 | ) | (99,666 | ) | ||||
Novozymes A/S, B Shares | (11,484 | ) | (545,613 | ) | ||||
Vestas Wind Systems A/S | (26,545 | ) | (1,323,096 | ) | ||||
|
| |||||||
(1,968,375 | ) | |||||||
|
| |||||||
Finland - (1.1)% | ||||||||
Nokia OYJ | (204,980 | ) | (1,397,342 | ) | ||||
Nokian Renkaat OYJ | (189,787 | ) | (5,946,105 | ) | ||||
Outokumpu OYJ † | (461,377 | ) | (2,324,472 | ) | ||||
Wartsila OYJ | (2,654 | ) | (124,358 | ) | ||||
|
| |||||||
(9,792,277 | ) | |||||||
|
| |||||||
Germany - (3.7)% | ||||||||
adidas AG | (38,249 | ) | (2,926,599 | ) | ||||
Bayer AG | (2,780 | ) | (389,312 | ) | ||||
Beiersdorf AG | (1,413 | ) | (118,396 | ) | ||||
Bilfinger SE | (83,695 | ) | (3,167,894 | ) | ||||
Commerzbank AG † | (427,153 | ) | (5,460,560 | ) | ||||
Deutsche Bank AG | (69,478 | ) | (2,088,975 | ) | ||||
Deutsche Telekom AG | (58,700 | ) | (1,012,006 | ) | ||||
E.ON SE | (83,847 | ) | (1,118,055 | ) | ||||
LANXESS AG | (58,561 | ) | (3,455,224 | ) | ||||
METRO AG | (39,582 | ) | (1,250,163 | ) | ||||
Rheinmetall AG | (33,380 | ) | (1,693,131 | ) | ||||
Rocket Internet SE 144A †(f) | (22,203 | ) | (981,516 | ) | ||||
RWE AG | (100,007 | ) | (2,150,989 | ) | ||||
Salzgitter AG | (64,223 | ) | (2,295,952 | ) | ||||
STADA Arzneimittel AG | (30,027 | ) | (1,012,873 | ) | ||||
Telefonica Deutschland Holding AG | (218,170 | ) | (1,256,825 | ) | ||||
ThyssenKrupp AG | (86,007 | ) | (2,237,424 | ) | ||||
Wacker Chemie AG | (3,832 | ) | (395,934 | ) | ||||
Wirecard AG | (19,115 | ) | (731,602 | ) | ||||
Zalando SE 144A †(f) | (21,080 | ) | (704,374 | ) | ||||
|
| |||||||
(34,447,804 | ) | |||||||
|
| |||||||
Italy - (1.5)% | ||||||||
Azimut Holding SpA | (19,743 | ) | (577,914 | ) | ||||
Banca Monte dei Paschi di Siena SpA † | (16,517 | ) | (32,184 | ) | ||||
Banca Popolare dell’Emilia Romagna SC | (435,996 | ) | (3,890,090 | ) | ||||
Banco Popolare SC † | (157,751 | ) | (2,597,464 | ) | ||||
Buzzi Unicem SpA | (8,938 | ) | (127,331 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
222
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
Italy - (1.5)% (continued) | ||||||||
Enel Green Power SpA | (139,449 | ) | $ | (272,596 | ) | |||
Mediaset SpA | (354,194 | ) | (1,705,168 | ) | ||||
Mediolanum SpA | (376,801 | ) | (3,110,107 | ) | ||||
Salvatore Ferragamo SpA | (42,465 | ) | (1,275,648 | ) | ||||
Unipol Gruppo Finanziario SpA | (105,022 | ) | (533,907 | ) | ||||
|
| |||||||
(14,122,409 | ) | |||||||
|
| |||||||
Japan - (22.2)% | ||||||||
Acom Co., Ltd. † | (1,081,800 | ) | (4,146,962 | ) | ||||
Advantest Corp. | (249,600 | ) | (2,595,236 | ) | ||||
Aeon Co., Ltd. | (280,600 | ) | (3,981,739 | ) | ||||
AEON Financial Service Co., Ltd. | (92,700 | ) | (2,571,918 | ) | ||||
Amada Holdings Co., Ltd. | (111,400 | ) | (1,175,838 | ) | ||||
Asahi Glass Co., Ltd. | (189,000 | ) | (1,134,668 | ) | ||||
Asics Corp. | (6,200 | ) | (160,166 | ) | ||||
Casio Computer Co., Ltd. | (49,800 | ) | (982,291 | ) | ||||
Chiyoda Corp. | (180,000 | ) | (1,593,163 | ) | ||||
Chugai Pharmaceutical Co., Ltd. | (54,600 | ) | (1,883,338 | ) | ||||
Chugoku Electric Power Co., Inc./The | (10,700 | ) | (156,086 | ) | ||||
Citizen Holdings Co., Ltd. | (79,000 | ) | (551,163 | ) | ||||
Credit Saison Co., Ltd. | (172,300 | ) | (3,689,060 | ) | ||||
Daido Steel Co., Ltd. | (61,000 | ) | (254,094 | ) | ||||
Dai-ichi Life Insurance Co., Ltd./The | (74,100 | ) | (1,455,140 | ) | ||||
Daikin Industries Ltd. | (39,100 | ) | (2,810,836 | ) | ||||
Daiwa Securities Group, Inc. | (60,000 | ) | (448,842 | ) | ||||
DeNA Co., Ltd. | (78,000 | ) | (1,532,914 | ) | ||||
Denso Corp. | (71,000 | ) | (3,532,471 | ) | ||||
Dentsu, Inc. | (58,900 | ) | (3,047,048 | ) | ||||
Eisai Co., Ltd. | (2,300 | ) | (154,203 | ) | ||||
FANUC Corp. | (7,800 | ) | (1,596,002 | ) | ||||
Fast Retailing Co., Ltd. | (6,000 | ) | (2,720,826 | ) | ||||
GS Yuasa Corp. | (598,000 | ) | (2,348,192 | ) | ||||
Hamamatsu Photonics KK | (1,600 | ) | (47,179 | ) | ||||
Hirose Electric Co., Ltd. | (6,300 | ) | (902,656 | ) | ||||
Hitachi Capital Corp. | (22,800 | ) | (602,845 | ) | ||||
Hitachi Construction Machinery Co., Ltd. | (29,000 | ) | (507,659 | ) | ||||
Hitachi Ltd. | (71,000 | ) | (467,716 | ) | ||||
Honda Motor Co., Ltd. | (3,100 | ) | (100,192 | ) | ||||
IHI Corp. | (746,000 | ) | (3,473,505 | ) | ||||
Inpex Corp. | (248,900 | ) | (2,825,252 | ) | ||||
Isetan Mitsukoshi Holdings Ltd. | (77,800 | ) | (1,389,951 | ) | ||||
J Front Retailing Co., Ltd. | (28,300 | ) | (532,642 | ) | ||||
Japan Display, Inc. † | (1,364,100 | ) | (5,148,922 | ) | ||||
Japan Steel Works Ltd./The | (83,000 | ) | (342,991 | ) | ||||
Japan Tobacco, Inc. | (117,800 | ) | (4,187,705 | ) | ||||
JFE Holdings, Inc. | (60,600 | ) | (1,342,647 | ) | ||||
JGC Corp. | (78,000 | ) | (1,472,419 | ) | ||||
JX Holdings, Inc. | (271,400 | ) | (1,170,101 | ) | ||||
Kajima Corp. | (117,000 | ) | (549,523 | ) | ||||
Kakaku.com, Inc. | (256,700 | ) | (3,714,109 | ) | ||||
Kansai Electric Power Co., Inc./The † | (168,600 | ) | (1,866,493 | ) | ||||
Kansai Paint Co., Ltd. | (26,000 | ) | (402,823 | ) | ||||
Kawasaki Heavy Industries Ltd. | (334,000 | ) | (1,556,838 | ) | ||||
Keihan Electric Railway Co., Ltd. | (29,000 | ) | (168,878 | ) | ||||
Keikyu Corp. | (73,000 | ) | (550,666 | ) | ||||
Keio Corp. | (11,000 | ) | (78,681 | ) | ||||
Keisei Electric Railway Co., Ltd. | (3,000 | ) | (35,668 | ) | ||||
Kikkoman Corp. | (127,000 | ) | (3,965,399 | ) | ||||
Kintetsu Group Holdings Co., Ltd. | (346,000 | ) | (1,178,265 | ) |
SHARES | VALUE (Note 5) | |||||||
Japan - (22.2)% (continued) | ||||||||
Koito Manufacturing Co., Ltd. | (24,200 | ) | $ | (942,280 | ) | |||
Konami Corp. | (48,700 | ) | (905,235 | ) | ||||
Kubota Corp. | (63,000 | ) | (998,952 | ) | ||||
Kyocera Corp. | (13,600 | ) | (707,098 | ) | ||||
Kyowa Hakko Kirin Co., Ltd. | (80,000 | ) | (1,045,430 | ) | ||||
Kyushu Electric Power Co., Inc. † | (642,200 | ) | (7,445,614 | ) | ||||
LIXIL Group Corp. | (34,600 | ) | (686,313 | ) | ||||
M3, Inc. | (23,000 | ) | (462,333 | ) | ||||
Marui Group Co., Ltd. | (131,700 | ) | (1,779,341 | ) | ||||
Mazda Motor Corp. | (150,400 | ) | (2,943,148 | ) | ||||
Minebea Co., Ltd. | (68,000 | ) | (1,122,569 | ) | ||||
Mitsubishi Heavy Industries Ltd. | (174,000 | ) | (1,057,738 | ) | ||||
Mitsubishi Logistics Corp. | (194,000 | ) | (2,546,165 | ) | ||||
Mitsubishi Materials Corp. | (583,000 | ) | (2,238,557 | ) | ||||
Mitsubishi UFJ Financial Group, Inc. | (141,900 | ) | (1,020,895 | ) | ||||
Mitsui Chemicals, Inc. | (514,000 | ) | (1,909,652 | ) | ||||
Mitsui OSK Lines Ltd. | (1,599,000 | ) | (5,118,384 | ) | ||||
Mizuho Financial Group, Inc. | (311,200 | ) | (673,354 | ) | ||||
NGK Insulators Ltd. | (59,000 | ) | (1,518,133 | ) | ||||
NGK Spark Plug Co., Ltd. | (141,200 | ) | (3,910,419 | ) | ||||
Nintendo Co., Ltd. | (25,900 | ) | (4,320,834 | ) | ||||
Nippon Electric Glass Co., Ltd. | (399,000 | ) | (2,017,738 | ) | ||||
Nippon Paint Holdings Co., Ltd. | (41,700 | ) | (1,175,131 | ) | ||||
Nippon Steel & Sumitomo Metal Corp. | (424,000 | ) | (1,099,370 | ) | ||||
Nissan Motor Co., Ltd. | (219,400 | ) | (2,292,062 | ) | ||||
Nitto Denko Corp. | (29,900 | ) | (2,455,458 | ) | ||||
Nomura Holdings, Inc. | (8,500 | ) | (57,391 | ) | ||||
NSK Ltd. | (33,000 | ) | (508,834 | ) | ||||
Obayashi Corp. | (120,000 | ) | (875,058 | ) | ||||
Odakyu Electric Railway Co., Ltd. | (130,000 | ) | (1,212,931 | ) | ||||
Oji Holdings Corp. | (34,000 | ) | (147,758 | ) | ||||
Olympus Corp. | (40,900 | ) | (1,412,073 | ) | ||||
Ono Pharmaceutical Co., Ltd. | (19,200 | ) | (2,095,583 | ) | ||||
Panasonic Corp. | (7,800 | ) | (106,830 | ) | ||||
Rakuten, Inc. | (222,300 | ) | (3,588,840 | ) | ||||
Recruit Holdings Co., Ltd. | (68,000 | ) | (2,073,610 | ) | ||||
Sega Sammy Holdings, Inc. | (20,100 | ) | (262,814 | ) | ||||
Sharp Corp. † | (1,422,000 | ) | (1,727,895 | ) | ||||
Shikoku Electric Power Co., Inc. | (123,800 | ) | (1,853,269 | ) | ||||
Shin-Etsu Chemical Co., Ltd. | (6,900 | ) | (427,875 | ) | ||||
Shinsei Bank Ltd. | (462,000 | ) | (931,051 | ) | ||||
Shionogi & Co., Ltd. | (8,600 | ) | (333,278 | ) | ||||
Shiseido Co., Ltd. | (16,000 | ) | (362,901 | ) | ||||
Shizuoka Bank Ltd./The | (81,000 | ) | (845,536 | ) | ||||
Showa Shell Sekiyu KK | (18,000 | ) | (157,276 | ) | ||||
SoftBank Corp. | (48,500 | ) | (2,856,795 | ) | ||||
Sojitz Corp. | (74,500 | ) | (180,935 | ) | ||||
Sony Corp. † | (78,100 | ) | (2,217,795 | ) | ||||
Sony Financial Holdings, Inc. | (24,500 | ) | (428,966 | ) | ||||
Sumco Corp. | (179,700 | ) | (2,247,511 | ) | ||||
Sumitomo Chemical Co., Ltd. | (151,000 | ) | (907,269 | ) | ||||
Sumitomo Dainippon Pharma Co., Ltd. | (24,600 | ) | (271,099 | ) | ||||
Sumitomo Electric Industries Ltd. | (7,700 | ) | (119,176 | ) | ||||
Sumitomo Metal Mining Co., Ltd. | (7,000 | ) | (106,463 | ) | ||||
Sumitomo Mitsui Financial Group, Inc. | (69,400 | ) | (3,089,633 | ) | ||||
Sumitomo Mitsui Trust Holdings, Inc. | (697,000 | ) | (3,188,497 | ) | ||||
Suzuki Motor Corp. | (19,400 | ) | (654,740 | ) | ||||
T&D Holdings, Inc. | (8,400 | ) | (125,223 | ) | ||||
Taiheiyo Cement Corp. | (132,000 | ) | (386,019 | ) | ||||
Taiyo Nippon Sanso Corp. | (131,800 | ) | (1,595,009 | ) | ||||
Takeda Pharmaceutical Co., Ltd. | (14,000 | ) | (675,761 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
223
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
Japan - (22.2)% (continued) | ||||||||
Terumo Corp. | (63,100 | ) | $ | (1,513,151 | ) | |||
Tobu Railway Co., Ltd. | (172,000 | ) | (738,822 | ) | ||||
Tokyo Electric Power Co., Inc. † | (29,200 | ) | (159,079 | ) | ||||
Tokyu Corp. | (205,000 | ) | (1,371,993 | ) | ||||
Toray Industries, Inc. | (83,000 | ) | (701,573 | ) | ||||
Toshiba Corp. | (449,000 | ) | (1,539,754 | ) | ||||
TOTO Ltd. | (28,000 | ) | (504,669 | ) | ||||
Toyo Seikan Group Holdings Ltd. | (185,700 | ) | (2,979,262 | ) | ||||
Toyota Boshoku Corp. | (43,600 | ) | (734,744 | ) | ||||
Toyota Tsusho Corp. | (19,900 | ) | (533,980 | ) | ||||
Trend Micro, Inc. | (9,800 | ) | (335,226 | ) | ||||
Yahoo Japan Corp. | (1,306,800 | ) | (5,274,307 | ) | ||||
Yakult Honsha Co., Ltd. | (9,800 | ) | (580,450 | ) | ||||
Yamaha Motor Co., Ltd. | (43,100 | ) | (941,721 | ) | ||||
Yamato Holdings Co., Ltd. | (195,300 | ) | (3,776,251 | ) | ||||
Yaskawa Electric Corp. | (311,100 | ) | (3,979,111 | ) | ||||
Yokogawa Electric Corp. | (375,500 | ) | (4,836,143 | ) | ||||
|
| |||||||
(204,028,054 | ) | |||||||
|
| |||||||
Luxembourg - (0.9)% | ||||||||
Altice SA † | (17,207 | ) | (2,373,870 | ) | ||||
ArcelorMittal | (532,490 | ) | (5,171,336 | ) | ||||
Millicom International Cellular SA SDR | (11,438 | ) | (843,780 | ) | ||||
|
| |||||||
(8,388,986 | ) | |||||||
|
| |||||||
Netherlands - (1.1)% | ||||||||
Aegon NV | (3,853 | ) | (28,428 | ) | ||||
Fugro NV CVA † | (221,390 | ) | (4,874,618 | ) | ||||
Gemalto NV | (6,592 | ) | (589,244 | ) | ||||
Koninklijke KPN NV | (900,231 | ) | (3,451,342 | ) | ||||
OCI NV † | (6,760 | ) | (191,589 | ) | ||||
Randstad Holding NV | (17,599 | ) | (1,145,123 | ) | ||||
|
| |||||||
(10,280,344 | ) | |||||||
|
| |||||||
Norway - (0.9)% | ||||||||
Aker Solutions ASA | (54,294 | ) | (304,479 | ) | ||||
DNO ASA † | (2,200,039 | ) | (2,903,039 | ) | ||||
Schibsted ASA | (66,593 | ) | (2,063,081 | ) | ||||
Schibsted ASA † | (38,665 | ) | (1,168,760 | ) | ||||
Seadrill Ltd. | (156,559 | ) | (1,625,953 | ) | ||||
|
| |||||||
(8,065,312 | ) | |||||||
|
| |||||||
Portugal - (0.3)% | ||||||||
Banco Espirito Santo SA (3)†(g) | (216,618 | ) | (28,980 | ) | ||||
Galp Energia SGPS SA | (4,510 | ) | (53,088 | ) | ||||
Jeronimo Martins SGPS SA | (163,989 | ) | (2,114,465 | ) | ||||
Sonae SGPS SA | (131,072 | ) | (172,253 | ) | ||||
|
| |||||||
(2,368,786 | ) | |||||||
|
| |||||||
Spain - (2.5)% | ||||||||
Abertis Infraestructuras SA | (60,159 | ) | (987,939 | ) | ||||
Acciona SA † | (8,492 | ) | (643,063 | ) | ||||
Aena SA 144A †(f) | (30,556 | ) | (3,187,525 | ) | ||||
Applus Services SA † | (105,452 | ) | (1,245,450 | ) | ||||
Atresmedia Corp. de Medios de Comunicacion SA | (16,746 | ) | (260,272 | ) | ||||
Banco Bilbao Vizcaya Argentaria SA | (132,001 | ) | (1,300,732 | ) | ||||
Banco Popular Espanol SA | (224,048 | ) | (1,090,133 | ) | ||||
Bankia SA † | (1,731,207 | ) | (2,204,051 | ) | ||||
CaixaBank SA | (384,554 | ) | (1,789,446 | ) | ||||
Distribuidora Internacional de Alimentacion SA | (80,865 | ) | (619,715 | ) |
SHARES | VALUE (Note 5) | |||||||
Spain - (2.5)% (continued) | ||||||||
Inditex SA | (42,995 | ) | $ | (1,402,382 | ) | |||
Indra Sistemas SA | (344,347 | ) | (3,541,280 | ) | ||||
Mapfre SA | (358,074 | ) | (1,237,541 | ) | ||||
Mediaset Espana Comunicacion SA | (53,190 | ) | (698,316 | ) | ||||
Obrascon Huarte Lain SA | (70,750 | ) | (1,208,298 | ) | ||||
Sacyr SA † | (145,926 | ) | (555,470 | ) | ||||
Zardoya Otis SA | (119,234 | ) | (1,301,334 | ) | ||||
|
| |||||||
(23,272,947 | ) | |||||||
|
| |||||||
Sweden - (0.7)% | ||||||||
Alfa Laval AB | (6,681 | ) | (117,592 | ) | ||||
Atlas Copco AB, A Shares | (16,454 | ) | (460,355 | ) | ||||
Elekta AB, B Shares | (347,362 | ) | (2,178,233 | ) | ||||
Getinge AB, B Shares | (32,956 | ) | (793,449 | ) | ||||
Hennes & Mauritz AB, B Shares | (8,086 | ) | (311,220 | ) | ||||
Hexagon AB, B Shares | (12,533 | ) | (453,952 | ) | ||||
Meda AB, A Shares | (39,222 | ) | (545,812 | ) | ||||
Modern Times Group MTG, B Shares | (14,462 | ) | (388,135 | ) | ||||
Sandvik AB | (106,685 | ) | (1,179,434 | ) | ||||
Trelleborg AB, B Shares | (16,117 | ) | (298,047 | ) | ||||
|
| |||||||
(6,726,229 | ) | |||||||
|
| |||||||
Switzerland - (2.1)% | ||||||||
Adecco SA † | (7,825 | ) | (635,057 | ) | ||||
Aryzta AG † | (5,790 | ) | (284,887 | ) | ||||
Cie Financiere Richemont SA | (41,367 | ) | (3,362,222 | ) | ||||
Clariant AG † | (8,492 | ) | (174,053 | ) | ||||
Credit Suisse Group AG † | (155,075 | ) | (4,278,130 | ) | ||||
Dufry AG † | (5,071 | ) | (706,605 | ) | ||||
EMS-Chemie Holding AG | (1,551 | ) | (655,289 | ) | ||||
Holcim Ltd. † | (7,692 | ) | (567,558 | ) | ||||
Julius Baer Group Ltd. † | (11,360 | ) | (637,455 | ) | ||||
Kuehne + Nagel International AG | (1,307 | ) | (173,548 | ) | ||||
Partners Group Holding AG | (91 | ) | (27,199 | ) | ||||
SGS SA | (429 | ) | (782,322 | ) | ||||
Sulzer AG | (14,228 | ) | (1,463,518 | ) | ||||
Swatch Group AG/The | (5,019 | ) | (1,955,794 | ) | ||||
UBS Group AG † | (159,313 | ) | (3,380,061 | ) | ||||
|
| |||||||
(19,083,698 | ) | |||||||
|
| |||||||
United Kingdom - (0.1)% | ||||||||
Subsea 7 SA † | (89,503 | ) | (875,457 | ) | ||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT | (346,968,371 | ) | ||||||
|
| |||||||
RIGHTS - 0.0% (b) | ||||||||
Spain - 0.0% (b) | ||||||||
Sacyr SA † (Cost $ —) | (145,926 | ) | (16,594 | ) | ||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT, |
| (346,984,965 | ) | |||||
|
| |||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 90.2% | 828,766,864 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.8% (h) |
| 90,172,432 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 918,939,296 | |||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
224
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
† | Non-income producing security. |
(a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2015, the value of these securities was $384,403,889. |
(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 swap contracts. |
(e) | The rate shown is the effective yield at the date of purchase. |
(f) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(g) | Security fair valued as of June 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $(28,980) or (0.0)% of total net assets. |
(h) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(3) | Level 3 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
CVA - Dutch Certification
SDR - Special Drawing Rights
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 3,408,250 | 0.4 | % | ||||
Consumer Staples | 28,342,971 | 3.1 | ||||||
Energy | (3,458,334 | ) | (0.4 | ) | ||||
Financials | 4,331,479 | 0.6 | ||||||
Health Care | 24,019,372 | 2.6 | ||||||
Industrials | 12,486,561 | 1.4 | ||||||
Information Technology | (9,841,762 | ) | (1.1 | ) | ||||
Materials | 1,878,726 | 0.2 | ||||||
Telecommunication Services | 11,994,659 | 1.3 | ||||||
Utilities | 10,369,940 | 1.1 | ||||||
Money Market Funds | 550,761,007 | 59.9 | ||||||
Short-Term Investments | 194,473,995 | 21.1 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 828,766,864 | 90.2 | ||||||
|
|
|
| |||||
Other Assets in Excess of Liabilities (h) | 90,172,432 | 9.8 | ||||||
|
|
|
| |||||
Net Assets | $ | 918,939,296 | 100.0 | % | ||||
|
|
|
|
Total return swap contracts outstanding as of June 30, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Goldman Sachs | BIST 30 August Futures | 8/2015 | TRY | 2,092,822 | $(16,684 | ) | ||||||||
Bank of America | Bovespa Index August Futures | 8/2015 | BRL | (76,359,042 | ) | 194,304 | ||||||||
Bank of America | CNX Nifty Index July Futures | 7/2015 | INR | (67,440,831 | ) | (36 | ) | |||||||
Bank of America | Hang Seng Index July Futures | 7/2015 | HKD | 538,453,402 | (2,698,997 | ) | ||||||||
Bank of America | H-SHARES Index July Futures | 7/2015 | HKD | 59,525,149 | (342,480 | ) | ||||||||
Bank of America | KOSPI Index 200 September Futures | 9/2015 | KRW | 5,235,929,600 | (56,566 | ) | ||||||||
CitiBank | LME Copper September Futures^ | 9/2015 | USD | 2,678,850 | (85,388 | ) | ||||||||
Bank of America | SGX S&P CNX Nifty Index July Futures | 7/2015 | USD | (16,686,461 | ) | (32,232 | ) | |||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | 10,131,419 | 1,432,472 | |||||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | (10,266,084 | ) | (1,297,943 | ) | |||||||
Deutsche Bank | Soybean November Futures^ | 10/2015 | USD | (139,425 | ) | (16,163 | ) | |||||||
Deutsche Bank | Soybean November Futures^ | 10/2015 | USD | 9,099,956 | 1,168,819 | |||||||||
Bank of America | Swiss Market Index September Futures | 9/2015 | CHF | (90,018,153 | ) | 1,509,149 | ||||||||
Bank of America | Taiwan Stock Exchange July Futures | 7/2015 | TWD | 169,220,633 | 68,792 | |||||||||
Bank of America | Tel Aviv 25 Index July Futures | 7/2015 | ILS | 35,997,426 | (320,804 | ) | ||||||||
Goldman Sachs | WIG20 Index September Futures | 9/2015 | PLN | 6,751,518 | (23,231 | ) | ||||||||
|
| |||||||||||||
$(516,988 | ) | |||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
225
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
54 | Barclays Capital | KOSPI Index 200 Futures | 9/2015 | $6,163,148 | $6,105,832 | $(57,316 | ) | |||||||||||||
243 | Morgan Stanley and Co., International PLC | Gold 100 OZ Futures^ | 8/2015 | 28,656,984 | 28,474,740 | (182,244 | ) | |||||||||||||
36 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 5,428,069 | 5,180,706 | (247,363 | ) | |||||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 907,102 | 863,486 | (43,616 | ) | |||||||||||||
41 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 6,073,157 | 5,901,181 | (171,976 | ) | |||||||||||||
20 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 2,949,757 | 2,878,460 | (71,297 | ) | |||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 319,807 | 287,951 | (31,856 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 155,665 | 144,019 | (11,646 | ) | |||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 613,556 | 576,178 | (37,378 | ) | |||||||||||||
21 | J.P. Morgan | LME Copper Futures^ | 8/2015 | 3,212,350 | 3,025,044 | (187,306 | ) | |||||||||||||
14 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 2,112,153 | 2,016,994 | (95,159 | ) | |||||||||||||
111 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 16,693,296 | 15,993,046 | (700,250 | ) | |||||||||||||
463 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 68,812,336 | 66,709,619 | (2,102,717 | ) | |||||||||||||
485 | Morgan Stanley and Co., International PLC | Silver Futures^ | 9/2015 | 38,821,219 | 37,783,925 | (1,037,294 | ) | |||||||||||||
8 | Morgan Stanley and Co., International PLC | Soybean Futures^ | 11/2015 | 380,994 | 414,900 | 33,906 | ||||||||||||||
401 | Barclays Capital | Amsterdam Index Futures | 7/2015 | 42,489,643 | 42,206,447 | (283,196 | ) | |||||||||||||
964 | J.P. Morgan | BIST 30 Futures | 8/2015 | 3,743,814 | 3,664,322 | (79,492 | ) | |||||||||||||
412 | Barclays Capital | CAC40 Index Futures | 7/2015 | 22,461,360 | 21,985,265 | (476,095 | ) | |||||||||||||
24 | Barclays Capital | DAX Index Futures | 9/2015 | 7,304,374 | 7,359,013 | 54,639 | ||||||||||||||
466 | Barclays Capital | Hang Seng Index Futures | 7/2015 | 81,567,510 | 78,765,305 | (2,802,205 | ) | |||||||||||||
65 | Barclays Capital | H-SHARES Index Futures | 7/2015 | 5,643,085 | 5,419,077 | (224,008 | ) | |||||||||||||
89 | Barclays Capital | KOSPI Index 200 Futures | 9/2015 | 10,143,082 | 10,063,315 | (79,767 | ) | |||||||||||||
167 | Barclays Capital | MSCI Singapore Index Futures | 7/2015 | 9,300,848 | 9,220,121 | (80,727 | ) | |||||||||||||
1,318 | Barclays Capital | TOPIX Index Futures | 9/2015 | 178,238,604 | 175,593,333 | (2,645,271 | ) | |||||||||||||
1,069 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2015 | 297,927,906 | 297,884,070 | (43,836 | ) | |||||||||||||
3,076 | J.P. Morgan | 90-Day EURODollar Futures | 12/2015 | 764,456,384 | 764,885,850 | 429,466 | ||||||||||||||
3,085 | J.P. Morgan | 90-Day EURODollar Futures | 3/2016 | 765,463,234 | 765,697,000 | 233,766 | ||||||||||||||
1,380 | J.P. Morgan | 90-Day EURODollar Futures | 6/2016 | 341,572,690 | 341,808,750 | 236,060 | ||||||||||||||
49 | Goldman Sachs | Euro - Bobl Futures | 9/2015 | 7,110,718 | 7,078,650 | (32,068 | ) | |||||||||||||
915 | Goldman Sachs | Euro - SCHATZ Futures | 9/2015 | 113,521,755 | 113,510,262 | (11,493 | ) | |||||||||||||
2,092 | Goldman Sachs | Long Gilt Futures | 9/2015 | 384,288,188 | 380,410,869 | (3,877,319 | ) | |||||||||||||
386 | Morgan Stanley and Co., International PLC | U.S. Treasury 10-Year Note Futures | 9/2015 | 48,518,297 | 48,702,344 | 184,047 | ||||||||||||||
2,814 | Morgan Stanley and Co., International PLC | U.S. Treasury 2-Year Note Futures | 9/2015 | 614,991,551 | 616,090,125 | 1,098,574 | ||||||||||||||
32 | Morgan Stanley and Co., International PLC | U.S. Treasury 5-Year Note Futures | 9/2015 | 3,815,275 | 3,816,249 | 974 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
3,883,857,911 | 3,870,516,448 | (13,341,463 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
558 | Goldman Sachs | Brent Crude Futures^ | 7/2015 | $(35,233,024 | ) | $(35,483,220 | ) | $(250,196 | ) | |||||||||||
119 | Goldman Sachs | Brent Crude Futures^ | 8/2015 | (7,584,689 | ) | (7,632,660 | ) | (47,971 | ) | |||||||||||
11 | Morgan Stanley and Co., International PLC | Corn Futures^ | 9/2015 | (200,731 | ) | (232,100 | ) | (31,369 | ) | |||||||||||
36 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (5,413,412 | ) | (5,180,706 | ) | 232,706 | ||||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (907,485 | ) | (863,485 | ) | 44,000 | ||||||||||||
41 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (6,082,485 | ) | (5,901,181 | ) | 181,304 | ||||||||||||
20 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (2,949,941 | ) | (2,878,460 | ) | 71,481 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (320,995 | ) | (287,952 | ) | 33,043 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
226
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2015 | $ (155,566 | ) | $ (144,018 | ) | $ 11,548 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (609,288 | ) | (576,178 | ) | 33,110 | ||||||||||||
21 | J.P. Morgan | LME Copper Futures^ | 8/2015 | (3,196,194 | ) | (3,025,045 | ) | 171,149 | ||||||||||||
14 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (2,109,584 | ) | (2,016,994 | ) | 92,590 | ||||||||||||
111 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (16,710,778 | ) | (15,993,046 | ) | 717,732 | ||||||||||||
685 | Morgan Stanley and Co., International PLC | Natural Gas Futures^ | 7/2015 | (19,629,756 | ) | (19,399,200 | ) | 230,556 | ||||||||||||
386 | Morgan Stanley and Co., International PLC | WTI Crude Futures^ | 7/2015 | (23,406,472 | ) | (22,955,420 | ) | 451,052 | ||||||||||||
744 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | (29,291,577 | ) | (28,499,847 | ) | 791,730 | ||||||||||||
55 | Barclays Capital | FTSE 100 Index Futures | 9/2015 | (5,844,669 | ) | (5,612,033 | ) | 232,636 | ||||||||||||
29 | Barclays Capital | FTSE Bursa Malaysia KLCI Index Futures | 7/2015 | (651,415 | ) | (653,134 | ) | (1,719 | ) | |||||||||||
644 | Barclays Capital | FTSE/JSE Top 40 Index Futures | 9/2015 | (24,429,849 | ) | (24,476,870 | ) | (47,021 | ) | |||||||||||
299 | Barclays Capital | FTSE/MIB Index Futures | 9/2015 | (36,866,612 | ) | (37,622,436 | ) | (755,824 | ) | |||||||||||
161 | Barclays Capital | IBEX 35 Index Futures | 7/2015 | (19,170,383 | ) | (19,339,959 | ) | (169,576 | ) | |||||||||||
51 | J.P. Morgan | Mexican Stock Exchange Price and Quotation Index Futures | 9/2015 | (1,455,233 | ) | (1,462,914 | ) | (7,681 | ) | |||||||||||
2,497 | Barclays Capital | OMXS30 Index Futures | 7/2015 | (47,163,873 | ) | (46,439,317 | ) | 724,556 | ||||||||||||
195 | Barclays Capital | S&P 500 E-Mini Futures | 9/2015 | (20,348,392 | ) | (20,030,400 | ) | 317,992 | ||||||||||||
282 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2015 | (38,565,220 | ) | (38,107,254 | ) | 457,966 | ||||||||||||
626 | Barclays Capital | SET50 Index Futures | 9/2015 | (3,650,408 | ) | (3,605,262 | ) | 45,146 | ||||||||||||
328 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2015 | (5,494,188 | ) | (5,500,232 | ) | (6,044 | ) | |||||||||||
622 | Barclays Capital | SPI 200 Index Futures | 9/2015 | (65,921,833 | ) | (64,751,058 | ) | 1,170,775 | ||||||||||||
271 | Goldman Sachs | 10-Year Japanese Government Bond Futures | 9/2015 | (324,628,944 | ) | (325,439,147 | ) | (810,203 | ) | |||||||||||
1,562 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2016 | (435,249,059 | ) | (435,240,125 | ) | 8,934 | ||||||||||||
1,638 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2016 | (456,371,037 | ) | (456,371,282 | ) | (245 | ) | |||||||||||
2,958 | J.P. Morgan | 90-Day Sterling Futures | 12/2015 | (576,744,004 | ) | (576,728,598 | ) | 15,406 | ||||||||||||
933 | J.P. Morgan | 90-Day Sterling Futures | 3/2016 | (181,799,237 | ) | (181,671,122 | ) | 128,115 | ||||||||||||
101 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2015 | (9,782,801 | ) | (9,761,191 | ) | 21,610 | ||||||||||||
275 | J.P. Morgan | Australia 3-Year Bond Futures | 9/2015 | (23,605,910 | ) | (23,624,451 | ) | (18,541 | ) | |||||||||||
660 | Goldman Sachs | Canadian 10-Year Bond Futures | 9/2015 | (73,631,056 | ) | (73,979,183 | ) | (348,127 | ) | |||||||||||
1,427 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 12/2015 | (282,831,044 | ) | (283,329,193 | ) | (498,149 | ) | |||||||||||
1,302 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 3/2016 | (258,196,081 | ) | (258,510,589 | ) | (314,508 | ) | |||||||||||
375 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 6/2016 | (74,349,164 | ) | (74,433,297 | ) | (84,133 | ) | |||||||||||
2,106 | Goldman Sachs | Euro - Bund Futures | 9/2015 | (357,524,844 | ) | (356,876,858 | ) | 647,986 | ||||||||||||
146 | Goldman Sachs | Euro-Buxl 30-Year Bond Futures | 9/2015 | (26,393,367 | ) | (24,193,850 | ) | 2,199,517 | ||||||||||||
252 | Morgan Stanley and Co., International PLC | U.S. Treasury Long Bond Futures | 9/2015 | (38,637,715 | ) | (38,012,625 | ) | 625,090 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
(3,543,108,315 | ) | (3,536,841,892 | ) | 6,266,423 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$340,749,596 | $333,674,556 | $(7,075,040 | ) | |||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
227
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | 35,894,989 | $27,541,375 | $27,578,166 | $36,791 | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | 26,500,000 | 8,252,959 | 8,288,816 | 35,857 | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | 98,905,350 | 79,035,987 | 79,105,550 | 69,563 | ||||||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | 5,459,000 | 5,928,029 | 5,856,532 | (71,497 | ) | |||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 32,803,000 | 36,654,859 | 36,610,335 | (44,524 | ) | |||||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | 24,850,249 | 37,832,919 | 39,024,159 | 1,191,240 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | 21,881,000 | 2,821,710 | 2,822,558 | 848 | ||||||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | 1,851,000,000 | 6,588,241 | 6,533,738 | (54,503 | ) | |||||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | 300,000 | 78,351 | 79,521 | 1,170 | ||||||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | 1,810,248,690 | 27,859,910 | 27,989,641 | 129,731 | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | 5,057,390,000 | 41,159,925 | 41,365,729 | 205,804 | ||||||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | 3,100,000,000 | 2,792,211 | 2,774,239 | (17,972 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | 116,000,000 | 7,461,897 | 7,339,631 | (122,266 | ) | |||||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | 44,706,000 | 5,690,270 | 5,691,671 | 1,401 | ||||||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | 11,865,857 | 8,358,343 | 7,987,947 | (370,396 | ) | |||||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | 57,990,450 | 15,537,500 | 15,390,875 | (146,625 | ) | |||||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | 91,284,000 | 11,016,179 | 11,029,428 | 13,249 | ||||||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | 11,900,000 | 8,806,562 | 8,825,716 | 19,154 | ||||||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | 157,912,950 | 57,252,692 | 57,636,527 | 383,835 | ||||||||||||||
Taiwanese Dollar, Expiring 09/16/15* | Credit Suisse International | TWD | 400,736,316 | 13,001,855 | 12,994,578 | (7,277 | ) | |||||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | 159,322,992 | 12,716,659 | 12,919,400 | 202,741 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$416,388,433 | $417,844,757 | $1,456,324 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
228
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | (15,577,000 | ) | $(11,899,681 | ) | $(11,967,829 | ) | $(68,148 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | (84,549,430 | ) | (25,563,837 | ) | (26,445,836 | ) | (881,999 | ) | ||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | (9,546,000 | ) | (7,725,423 | ) | (7,634,992 | ) | 90,431 | |||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (48,223,222 | ) | (51,852,478 | ) | (51,734,902 | ) | 117,576 | |||||||||||
Danish Krone, Expiring 09/16/15 | Credit Suisse International | DKK | (27,030,423 | ) | (4,040,122 | ) | (4,048,471 | ) | (8,349 | ) | ||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (19,955,372 | ) | (22,300,379 | ) | (22,271,525 | ) | 28,854 | |||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | (16,371,000 | ) | (25,348,122 | ) | (25,708,576 | ) | (360,454 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | (17,551,000 | ) | (2,263,980 | ) | (2,264,006 | ) | (26 | ) | ||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | (2,050,000,000 | ) | (7,374,507 | ) | (7,236,177 | ) | 138,330 | |||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | (84,659,091 | ) | (22,033,848 | ) | (22,440,476 | ) | (406,628 | ) | ||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | (8,052,948,464 | ) | (64,965,889 | ) | (65,867,190 | ) | (901,301 | ) | ||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | (15,079,668,960 | ) | (13,547,482 | ) | (13,495,038 | ) | 52,444 | |||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | (1,136,865,659 | ) | (73,077,773 | ) | (71,932,541 | ) | 1,145,232 | |||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | (443,371,398 | ) | (56,438,263 | ) | (56,447,100 | ) | (8,837 | ) | ||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | (7,965,000 | ) | (5,622,423 | ) | (5,361,938 | ) | 260,485 | |||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | (4,800,000 | ) | (1,288,547 | ) | (1,273,938 | ) | 14,609 | |||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | (559,516,268 | ) | (67,536,496 | ) | (67,603,788 | ) | (67,292 | ) | ||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | (9,744,499 | ) | (7,204,097 | ) | (7,227,076 | ) | (22,979 | ) | ||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | (39,100,000 | ) | (13,891,456 | ) | (14,271,078 | ) | (379,622 | ) | ||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | (12,000,000 | ) | (948,973 | ) | (973,072 | ) | (24,099 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(484,923,776 | ) | (486,205,549 | ) | (1,281,773 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(68,535,343) | $(68,360,792) | $174,551 | ||||||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward. (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
229
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2015
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | 20-25 months maturity 02/23/2017 | $(829,008 | ) | ||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
Accenture PLC | 11,678 | $ | 1,111,236 | $ | 18,960 | |||||||
Alkermes PLC | 3,987 | 277,864 | (21,340 | ) | ||||||||
Allegion PLC | 3,700 | 216,672 | 5,846 | |||||||||
Medtronic PLC | 29,373 | 2,293,150 | (116,611 | ) | ||||||||
|
| |||||||||||
(113,145 | ) | |||||||||||
|
| |||||||||||
Puerto Rico | ||||||||||||
Popular, Inc. | 8,100 | 268,596 | (34,830 | ) | ||||||||
|
| |||||||||||
Singapore | ||||||||||||
Avago Technologies Ltd. | 23,491 | 2,730,345 | 392,314 | |||||||||
Flextronics International Ltd. | 217,735 | 2,643,188 | (180,605 | ) | ||||||||
|
| |||||||||||
211,709 | ||||||||||||
|
| |||||||||||
Sweden | ||||||||||||
Autoliv, Inc. | 4,502 | 505,395 | 20,214 | |||||||||
|
| |||||||||||
Switzerland | ||||||||||||
ACE Ltd. | 15,993 | 1,817,280 | (191,112 | ) | ||||||||
Allied World Assurance Co. Holdings AG | 33,295 | 1,393,926 | 45,084 | |||||||||
Garmin Ltd. | 14,371 | 816,417 | (185,098 | ) | ||||||||
TE Connectivity Ltd. | 35,882 | 2,549,057 | (241,845 | ) | ||||||||
|
| |||||||||||
(572,971 | ) | |||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aon PLC | 14,019 | 1,411,854 | (14,440 | ) | ||||||||
Delphi Automotive PLC | 70,782 | 5,698,748 | 324,092 | |||||||||
International Game Technology PLC | 133,639 | 2,496,818 | (123,389 | ) | ||||||||
Noble Corp. PLC | 62,037 | 909,836 | 44,913 | |||||||||
Willis Group Holdings PLC | 1,590 | 76,241 | (1,670 | ) | ||||||||
|
| |||||||||||
229,506 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States | ||||||||||||
3M Co. | 8,624 | $ | 1,439,518 | $ | (108,835 | ) | ||||||
Abbott Laboratories | 17,319 | 827,434 | 22,583 | |||||||||
AbbVie, Inc. | 34,663 | 2,026,052 | 302,955 | |||||||||
Activision Blizzard, Inc. | 108,972 | 2,544,931 | 93,281 | |||||||||
Acuity Brands, Inc. | 5,379 | 879,413 | 88,700 | |||||||||
Advance Auto Parts, Inc. | 6,315 | 948,702 | 57,214 | |||||||||
Aetna, Inc. | 48,951 | 4,891,222 | 1,348,073 | |||||||||
Aflac, Inc. | 42,173 | 2,662,618 | (39,457 | ) | ||||||||
AGCO Corp. | 44,326 | 2,265,191 | 251,639 | |||||||||
AGL Resources, Inc. | 11,844 | 574,223 | (22,766 | ) | ||||||||
Air Lease Corp. | 15,188 | 582,301 | (67,428 | ) | ||||||||
Akamai Technologies, Inc. | 31,244 | 2,215,198 | (33,742 | ) | ||||||||
Alaska Air Group, Inc. | 71,660 | 4,543,979 | 73,075 | |||||||||
Allergan PLC | 6,009 | 1,723,982 | 99,509 | |||||||||
Alliant Energy Corp. | 5,989 | 379,822 | (34,137 | ) | ||||||||
Allstate Corp./The | 88,923 | 6,199,789 | (431,354 | ) | ||||||||
Amdocs Ltd. | 64,969 | 3,518,431 | 28,227 | |||||||||
AMERCO | 5,071 | 1,637,425 | 20,336 | |||||||||
Ameren Corp. | 10,802 | 450,119 | (43,100 | ) | ||||||||
American Airlines Group, Inc. | 47,689 | 2,244,222 | (339,762 | ) | ||||||||
American Eagle Outfitters, Inc. | 96,441 | 1,618,627 | 42,087 | |||||||||
American Electric Power Co., Inc. | 111,620 | 6,333,786 | (421,274 | ) | ||||||||
American Express Co. | 7,877 | 622,913 | (10,713 | ) | ||||||||
American Financial Group, Inc. | 17,447 | 1,105,701 | 29,052 | |||||||||
Ameriprise Financial, Inc. | 39,647 | 5,292,607 | (339,508 | ) | ||||||||
AmerisourceBergen Corp. | 36,960 | 4,098,853 | (168,526 | ) | ||||||||
Amgen, Inc. | 33,396 | 5,164,464 | (37,510 | ) | ||||||||
Analog Devices, Inc. | 1,527 | 89,803 | 8,208 | |||||||||
ANSYS, Inc. | 848 | 73,782 | 3,589 | |||||||||
Anthem, Inc. | 70,474 | 10,379,671 | 1,187,931 | |||||||||
AO Smith Corp. | 5,286 | 355,211 | 25,275 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
230
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Apollo Education Group, Inc. | 14,012 | $ | 365,433 | $ | (184,958 | ) | ||||||
Apple, Inc. | 26,937 | 3,443,357 | (64,783 | ) | ||||||||
Applied Materials, Inc. | 22,297 | 442,407 | (13,859 | ) | ||||||||
Arch Capital Group Ltd. | 1,173 | 76,118 | 2,426 | |||||||||
Archer-Daniels-Midland Co. | 116,185 | 5,651,416 | (48,975 | ) | ||||||||
ARRIS Group, Inc. | 62,600 | 1,656,396 | 259,164 | |||||||||
Arrow Electronics, Inc. | 13,340 | 827,184 | (82,812 | ) | ||||||||
Arthur J Gallagher & Co. | 1,579 | 75,680 | (993 | ) | ||||||||
Ashland, Inc. | 10,854 | 1,390,438 | (67,336 | ) | ||||||||
Aspen Insurance Holdings Ltd. | 9,707 | 449,843 | 15,122 | |||||||||
Associated Banc-Corp. | 3,744 | 70,797 | 5,094 | |||||||||
Assurant, Inc. | 13,527 | 823,388 | 82,921 | |||||||||
Assured Guaranty Ltd. | 45,887 | 1,309,730 | (208,901 | ) | ||||||||
AT&T, Inc. | 47,386 | 1,636,931 | 46,220 | |||||||||
Atmos Energy Corp. | 29,549 | 1,564,483 | (49,210 | ) | ||||||||
Atwood Oceanics, Inc. | 60,754 | 2,015,606 | (409,270 | ) | ||||||||
Automatic Data Processing, Inc. | 1,921 | 168,024 | (13,902 | ) | ||||||||
AutoNation, Inc. | 15,183 | 958,924 | (2,698 | ) | ||||||||
AutoZone, Inc. | 3,928 | 2,416,309 | 203,274 | |||||||||
Avery Dennison Corp. | 4,212 | 232,648 | 24,031 | |||||||||
Avnet, Inc. | 26,560 | 1,192,237 | (100,355 | ) | ||||||||
Babcock & Wilcox Co./The | 6,618 | 197,481 | 19,589 | |||||||||
Ball Corp. | 19,250 | 1,432,008 | (81,620 | ) | ||||||||
BankUnited, Inc. | 2,246 | 73,085 | 7,614 | |||||||||
Baxter International, Inc. | 1,748 | 119,140 | 3,097 | |||||||||
BB&T Corp. | 19,191 | 742,317 | 31,273 | |||||||||
Becton Dickinson and Co. | 11,861 | 1,697,767 | (17,656 | ) | ||||||||
Bed Bath & Beyond, Inc. | 9,969 | 748,659 | (60,997 | ) | ||||||||
Bemis Co., Inc. | 3,087 | 143,306 | (4,361 | ) | ||||||||
Best Buy Co., Inc. | 123,413 | 4,656,851 | (632,353 | ) | ||||||||
Big Lots, Inc. | 54,119 | 2,645,671 | (210,857 | ) | ||||||||
Biogen, Inc. | 5,572 | 2,219,846 | 30,908 | |||||||||
BioMarin Pharmaceutical, Inc. | 618 | 75,757 | 8,773 | |||||||||
Bio-Rad Laboratories, Inc. | 977 | 145,610 | 1,536 | |||||||||
BlackRock, Inc. | 2,783 | 1,029,207 | (66,345 | ) | ||||||||
Boeing Co./The | 2,621 | 387,460 | (23,875 | ) | ||||||||
Booz Allen Hamilton Holding Corp. | 55,508 | 1,636,926 | (235,904 | ) | ||||||||
Boston Scientific Corp. | 88,180 | 1,516,566 | 44,220 | |||||||||
Brinker International, Inc. | 58,720 | 3,330,294 | 54,914 | |||||||||
Bristol-Myers Squibb Co. | 9,400 | 617,806 | 7,670 | |||||||||
Broadridge Financial Solutions, Inc. | 41,994 | 2,206,509 | (106,389 | ) | ||||||||
Brocade Communications Systems, Inc. | 393,903 | 4,858,806 | (179,238 | ) | ||||||||
Bunge Ltd. | 60,823 | 5,517,349 | (177,090 | ) | ||||||||
CA, Inc. | 63,240 | 2,023,704 | (171,405 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Cablevision Systems Corp. | 119,686 | $ | 2,379,630 | $ | 485,653 | |||||||
Cabot Corp. | 1,919 | 91,843 | (20,284 | ) | ||||||||
Cadence Design Systems, Inc. | 32,000 | 572,122 | 56,998 | |||||||||
California Resources Corp. | 123,300 | 869,758 | (125,026 | ) | ||||||||
Capital One Financial Corp. | 83,267 | 6,815,992 | 509,006 | |||||||||
Cardinal Health, Inc. | 18,825 | 1,626,668 | (51,957 | ) | ||||||||
Carlisle Cos., Inc. | 1,628 | 152,169 | 10,826 | |||||||||
Carnival Corp. | 46,044 | 2,143,284 | 130,829 | |||||||||
Carter’s, Inc. | 14,895 | 1,464,113 | 119,225 | |||||||||
Caterpillar, Inc. | 16,009 | 1,366,848 | (8,965 | ) | ||||||||
CDW Corp. | 40,465 | 1,463,920 | (76,780 | ) | ||||||||
Celanese Corp. | 15,115 | 930,537 | 155,929 | |||||||||
Celgene Corp. | 12,339 | 1,446,576 | (18,522 | ) | ||||||||
Centene Corp. | 39,382 | 2,411,770 | 754,543 | |||||||||
CenturyLink, Inc. | 17,200 | 669,227 | (163,891 | ) | ||||||||
CF Industries Holdings, Inc. | 42,180 | 2,616,114 | 95,217 | |||||||||
Charles River Laboratories International, Inc. | 22,093 | 1,601,732 | (47,711 | ) | ||||||||
Cheesecake Factory, Inc./The | 7,236 | 369,825 | 24,790 | |||||||||
Chesapeake Energy Corp. | 118,898 | 1,755,608 | (427,518 | ) | ||||||||
Chevron Corp. | 22,593 | 2,539,453 | (359,906 | ) | ||||||||
Chubb Corp./The | 4,282 | 433,167 | (25,778 | ) | ||||||||
Church & Dwight Co., Inc. | 903 | 75,956 | (2,695 | ) | ||||||||
Cigna Corp. | 33,742 | 4,212,538 | 1,253,666 | |||||||||
Cimarex Energy Co. | 3,626 | 408,070 | (8,086 | ) | ||||||||
Cinemark Holdings, Inc. | 18,081 | 722,594 | 3,720 | |||||||||
Cintas Corp. | 31,228 | 2,579,797 | 61,779 | |||||||||
Cisco Systems, Inc. | 184,023 | 5,330,984 | (277,713 | ) | ||||||||
Cleco Corp. | 1,393 | 75,283 | (270 | ) | ||||||||
Clorox Co./The | 15,352 | 1,663,505 | (66,589 | ) | ||||||||
CMS Energy Corp. | 32,505 | 1,097,507 | (62,547 | ) | ||||||||
Coca-Cola Enterprises, Inc. | 7,407 | 325,019 | (3,259 | ) | ||||||||
Cognizant Technology Solutions Corp. | 1,617 | 97,327 | 1,455 | |||||||||
Comcast Corp. | 86,533 | 5,039,881 | 164,213 | |||||||||
Comerica, Inc. | 2,825 | 131,730 | 13,249 | |||||||||
Commerce Bancshares, Inc. | 1,604 | 69,189 | 5,830 | |||||||||
Commercial Metals Co. | 41,394 | 641,760 | 23,856 | |||||||||
Community Health Systems, Inc. | 23,717 | 1,242,880 | 250,579 | |||||||||
Computer Sciences Corp. | 30,835 | 2,056,386 | (32,377 | ) | ||||||||
ConocoPhillips | 85,942 | 5,809,292 | (531,594 | ) | ||||||||
Consolidated Edison, Inc. | 144,410 | 8,832,990 | (474,539 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
231
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Constellation Brands, Inc. | 7,990 | $ | 945,591 | $ | (18,591 | ) | ||||||
Convergys Corp. | 44,880 | 1,080,117 | 63,875 | |||||||||
Con-way, Inc. | 20,874 | 921,587 | (120,652 | ) | ||||||||
Cooper Cos., Inc./The | 5,171 | 862,914 | 57,368 | |||||||||
CoreLogic, Inc. | 7,808 | 300,648 | 9,252 | |||||||||
Corning, Inc. | 82,543 | 2,029,567 | (400,994 | ) | ||||||||
Costco Wholesale Corp. | 18,021 | 2,612,037 | (178,121 | ) | ||||||||
CR Bard, Inc. | 6,880 | 1,201,867 | (27,451 | ) | ||||||||
Crane Co. | 4,851 | 332,002 | (47,103 | ) | ||||||||
Crown Holdings, Inc. | 14,299 | 718,945 | 37,615 | |||||||||
CST Brands, Inc. | 49,671 | 2,066,852 | (126,703 | ) | ||||||||
CSX Corp. | 52,401 | 1,857,388 | (146,495 | ) | ||||||||
Cullen/Frost Bankers, Inc. | 973 | 69,480 | 6,978 | |||||||||
Cummins, Inc. | 14,423 | 2,006,440 | (114,286 | ) | ||||||||
CVR Energy, Inc. | 2,600 | 107,874 | (10,010 | ) | ||||||||
CVS Health Corp. | 53,731 | 5,543,861 | 91,446 | |||||||||
Cytec Industries, Inc. | 3,324 | 175,540 | 25,661 | |||||||||
Danaher Corp. | 2,336 | 202,765 | (2,827 | ) | ||||||||
Deckers Outdoor Corp. | 31,505 | 2,358,200 | (90,785 | ) | ||||||||
Deere & Co. | 13,336 | 1,219,519 | 74,740 | |||||||||
Delta Air Lines, Inc. | 83,112 | 3,720,093 | (305,852 | ) | ||||||||
Deluxe Corp. | 41,146 | 2,724,272 | (173,220 | ) | ||||||||
Devon Energy Corp. | 33,752 | 2,227,920 | (220,014 | ) | ||||||||
DeVry Education Group, Inc. | 21,387 | 778,147 | (136,965 | ) | ||||||||
Diamond Offshore Drilling, Inc. | 5,100 | 139,977 | (8,346 | ) | ||||||||
Dillard’s, Inc. | 16,753 | 2,074,113 | (311,865 | ) | ||||||||
Discover Financial Services | 41,347 | 2,435,752 | (53,338 | ) | ||||||||
DISH Network Corp. | 6,700 | 514,091 | (60,434 | ) | ||||||||
Dolby Laboratories, Inc. | 3,500 | 138,950 | (70 | ) | ||||||||
Dollar General Corp. | 3,900 | 271,284 | 31,902 | |||||||||
Dollar Tree, Inc. | 16,530 | 1,295,072 | 10,633 | |||||||||
Domino’s Pizza, Inc. | 6,303 | 675,608 | 39,152 | |||||||||
Dover Corp. | 8,954 | 665,193 | (36,801 | ) | ||||||||
Dow Chemical Co./The | 30,171 | 1,499,002 | 44,848 | |||||||||
DR Horton, Inc. | 8,077 | 221,067 | (81 | ) | ||||||||
Dr. Pepper Snapple Group, Inc. | 82,340 | 6,363,588 | (361,002 | ) | ||||||||
DST Systems, Inc. | 22,697 | 2,604,015 | 255,353 | |||||||||
DTE Energy Co. | 29,901 | 2,405,406 | (173,595 | ) | ||||||||
Dun & Bradstreet Corp./The | 6,258 | 816,474 | (52,998 | ) | ||||||||
Eastman Chemical Co. | 3,185 | 241,646 | 18,951 | |||||||||
eBay, Inc. | 42,529 | 2,399,274 | 162,673 | |||||||||
Edison International | 90,121 | 5,477,790 | (468,864 | ) | ||||||||
Edwards Lifesciences Corp. | 35,552 | 4,622,668 | 441,003 | |||||||||
EI du Pont de Nemours & Co. | 4,386 | 335,222 | (54,737 | ) | ||||||||
Electronic Arts, Inc. | 75,646 | 4,227,265 | 803,194 | |||||||||
Eli Lilly & Co. | 61,731 | 4,435,381 | 718,540 | |||||||||
EMC Corp. | 92,094 | 2,606,260 | (175,900 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Endurance Specialty Holdings Ltd. | 32,464 | $ | 2,014,003 | $ | 118,882 | |||||||
Energen Corp. | 1,016 | 71,658 | (2,265 | ) | ||||||||
Energizer Holdings, Inc. | 10,520 | 1,436,716 | (52,810 | ) | ||||||||
Entergy Corp. | 76,197 | 5,889,773 | (517,884 | ) | ||||||||
EOG Resources, Inc. | 9,252 | 892,725 | (82,713 | ) | ||||||||
EP Energy Corp. | 161,966 | 1,940,341 | 121,486 | |||||||||
Equifax, Inc. | 20,958 | 2,070,260 | (35,448 | ) | ||||||||
Everest Re Group Ltd. | 8,020 | 1,433,976 | 25,744 | |||||||||
Eversource Energy | 1,647 | 84,376 | (9,586 | ) | ||||||||
Exelon Corp. | 50,900 | 1,684,281 | (85,003 | ) | ||||||||
Expedia, Inc. | 44,898 | 3,982,004 | 927,593 | |||||||||
Express Scripts Holding Co. | 1,340 | 114,155 | 5,025 | |||||||||
Exxon Mobil Corp. | 13,536 | 1,259,525 | (133,330 | ) | ||||||||
FactSet Research Systems, Inc. | 8,344 | 1,295,659 | 60,324 | |||||||||
Fair Isaac Corp. | 18,202 | 1,577,968 | 74,410 | |||||||||
FedEx Corp. | 23,268 | 4,115,924 | (151,057 | ) | ||||||||
Fidelity National Information Services, Inc. | 10,832 | 724,265 | (54,848 | ) | ||||||||
Fifth Third BanCorp. | 5,273 | 102,665 | 7,119 | |||||||||
First American Financial Corp. | 28,188 | 1,006,177 | 42,698 | |||||||||
Fiserv, Inc. | 35,837 | 2,841,130 | 127,248 | |||||||||
FleetCor Technologies, Inc. | 494 | 75,766 | 1,327 | |||||||||
FLIR Systems, Inc. | 8,684 | 282,230 | (14,589 | ) | ||||||||
FNF Group | 10,423 | 385,153 | 394 | |||||||||
Foot Locker, Inc. | 96,918 | 5,199,651 | 1,294,824 | |||||||||
Franklin Resources, Inc. | 6,171 | 333,913 | (31,349 | ) | ||||||||
Frontier Communications Corp. | 29,300 | 246,706 | (101,671 | ) | ||||||||
Fulton Financial Corp. | 5,679 | 70,265 | 3,902 | |||||||||
GameStop Corp. | 33,571 | 1,303,283 | 138,927 | |||||||||
Gannett Co., Inc. | 112,182 | 1,589,486 | (20,060 | ) | ||||||||
Gap, Inc./The | 47,518 | 1,943,961 | (130,199 | ) | ||||||||
Gartner, Inc. | 3,700 | 299,108 | 18,278 | |||||||||
GATX Corp. | 5,799 | 347,418 | (39,201 | ) | ||||||||
General Dynamics Corp. | 37,512 | 5,228,097 | 86,978 | |||||||||
General Mills, Inc. | 9,304 | 486,971 | 31,448 | |||||||||
Genpact Ltd. | 54,974 | 1,240,973 | (68,378 | ) | ||||||||
Gentex Corp. | 9,929 | 173,851 | (10,817 | ) | ||||||||
Gilead Sciences, Inc. | 43,989 | 4,638,570 | 511,662 | |||||||||
Global Payments, Inc. | 4,177 | 401,348 | 30,763 | |||||||||
Google, Inc. | 2,726 | 1,490,338 | (18,189 | ) | ||||||||
Graham Holdings Co. | 5,473 | 5,575,229 | 308,520 | |||||||||
Great Plains Energy, Inc. | 9,054 | 239,840 | (21,096 | ) | ||||||||
H&R Block, Inc. | 46,708 | 1,512,873 | (127,981 | ) | ||||||||
Halyard Health, Inc. | 17,266 | 741,415 | (42,142 | ) | ||||||||
Hanesbrands, Inc. | 89,560 | 2,711,540 | 272,599 | |||||||||
Hanover Insurance Group, Inc./The | 10,867 | 775,683 | 28,801 | |||||||||
Harman International Industries, Inc. | 21,065 | 2,582,687 | (77,216 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
232
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Harris Corp. | 10,074 | $ | 786,981 | $ | (12,190 | ) | ||||||
Hartford Financial Services Group, Inc./The | 43,669 | 1,823,141 | (7,820 | ) | ||||||||
Hasbro, Inc. | 5,131 | 320,534 | 63,214 | |||||||||
HCA Holdings, Inc. | 55,175 | 3,958,561 | 1,046,915 | |||||||||
HCC Insurance Holdings, Inc. | 13,270 | 781,284 | 238,383 | |||||||||
Health Net, Inc. | 92,826 | 5,387,937 | 564,066 | |||||||||
Helix Energy Solutions Group, Inc. | 121,978 | 1,893,956 | (353,373 | ) | ||||||||
Helmerich & Payne, Inc. | 20,673 | 1,470,677 | (14,885 | ) | ||||||||
Hess Corp. | 34,717 | 2,685,013 | (363,140 | ) | ||||||||
Hewlett-Packard Co. | 146,414 | 5,341,041 | (947,157 | ) | ||||||||
Hill-Rom Holdings, Inc. | 10,622 | 523,927 | 53,166 | |||||||||
Home Depot, Inc./The | 13,786 | 1,545,300 | (13,262 | ) | ||||||||
Honeywell International, Inc. | 12,337 | 1,283,048 | (25,044 | ) | ||||||||
Hormel Foods Corp. | 29,520 | 1,667,037 | (2,995 | ) | ||||||||
HSN, Inc. | 18,351 | 1,236,944 | 51,113 | |||||||||
Hubbell, Inc. | 683 | 77,352 | (3,397 | ) | ||||||||
Humana, Inc. | 20,212 | 3,150,951 | 715,201 | |||||||||
Huntington Ingalls Industries, Inc. | 51,120 | 6,317,963 | (562,362 | ) | ||||||||
IAC/InterActiveCorp. | 19,764 | 1,294,147 | 280,254 | |||||||||
IDACORP, Inc. | 11,012 | 656,727 | (38,513 | ) | ||||||||
IDEX Corp. | 962 | 74,084 | 1,510 | |||||||||
Illinois Tool Works, Inc. | 2,197 | 215,723 | (14,061 | ) | ||||||||
Ingersoll-Rand PLC | 3,716 | 251,519 | (986 | ) | ||||||||
Ingram Micro, Inc. | 25,304 | 677,262 | (43,903 | ) | ||||||||
Ingredion, Inc. | 23,512 | 1,912,924 | (36,431 | ) | ||||||||
Intel Corp. | 164,873 | 5,505,986 | (491,373 | ) | ||||||||
InterDigital, Inc. | 35,508 | 1,983,324 | 36,727 | |||||||||
International Business Machines Corp. | 4,432 | 713,375 | 7,534 | |||||||||
International Flavors & Fragrances, Inc. | 687 | 79,886 | (4,804 | ) | ||||||||
Interpublic Group of Cos., Inc./The | 62,297 | 1,311,492 | (111,029 | ) | ||||||||
Intersil Corp. | 5,773 | 84,600 | (12,380 | ) | ||||||||
Intuit, Inc. | 4,866 | 454,209 | 36,138 | |||||||||
ITT Corp. | 6,810 | 280,534 | 4,396 | |||||||||
Jabil Circuit, Inc. | 63,856 | 1,420,606 | (61,111 | ) | ||||||||
Jack Henry & Associates, Inc. | 2,679 | 177,146 | (3,815 | ) | ||||||||
Jarden Corp. | 14,594 | 783,128 | (27,888 | ) | ||||||||
JetBlue Airways Corp. | 181,072 | 3,520,094 | 238,961 | |||||||||
JM Smucker Co./The | 6,058 | 697,586 | (40,838 | ) | ||||||||
John Wiley & Sons, Inc. | 1,297 | 78,773 | (8,255 | ) | ||||||||
Johnson & Johnson | 16,283 | 1,635,465 | (48,523 | ) | ||||||||
Johnson Controls, Inc. | 8,055 | 393,487 | 5,477 | |||||||||
JPMorgan Chase & Co. | 129,445 | 8,305,021 | 466,172 | |||||||||
Kemper Corp. | 2,091 | 77,151 | 3,457 | |||||||||
KeyCorp. | 31,482 | 445,470 | 27,389 | |||||||||
Kimberly-Clark Corp. | 15,409 | 1,714,559 | (81,668 | ) | ||||||||
KLA-Tencor Corp. | 4,313 | 275,730 | (33,296 | ) | ||||||||
Kohl’s Corp. | 60,585 | 4,299,614 | (506,387 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Kroger Co./The | 116,770 | $ | 8,733,487 | $ | (266,494 | ) | ||||||
L Brands, Inc. | 29,895 | 2,675,339 | (112,441 | ) | ||||||||
L-3 Communications Holdings, Inc. | 3,306 | 425,218 | (50,384 | ) | ||||||||
Lam Research Corp. | 31,401 | 2,543,696 | 10,775 | |||||||||
Landstar System, Inc. | 4,400 | 301,092 | (6,864 | ) | ||||||||
Lear Corp. | 60,767 | 6,836,258 | (14,555 | ) | ||||||||
Leggett & Platt, Inc. | 4,185 | 198,697 | 5,029 | |||||||||
Leidos Holdings, Inc. | 9,830 | 433,331 | (36,494 | ) | ||||||||
Lennar Corp. | 5,793 | 292,025 | 3,650 | |||||||||
Lennox International, Inc. | 4,886 | 542,581 | (16,407 | ) | ||||||||
Lexmark International, Inc. | 51,169 | 2,284,696 | (23,026 | ) | ||||||||
Liberty Interactive Corp. QVC Group | 30,700 | 874,499 | (22,574 | ) | ||||||||
LifePoint Health, Inc. | 9,999 | 703,130 | 166,283 | |||||||||
Lincoln Electric Holdings, Inc. | 5,589 | 384,200 | (43,886 | ) | ||||||||
Lincoln National Corp. | 64,190 | 3,758,601 | 42,731 | |||||||||
Lockheed Martin Corp. | 18,145 | 3,584,832 | (211,676 | ) | ||||||||
Lowe’s Cos., Inc. | 53,899 | 3,863,877 | (254,261 | ) | ||||||||
LyondellBasell Industries NV | 43,672 | 4,131,665 | 389,261 | |||||||||
M&T Bank Corp. | 4,522 | 560,864 | 4,070 | |||||||||
Macy’s, Inc. | 2,598 | 165,337 | 9,950 | |||||||||
Mallinckrodt PLC | 48,284 | 5,831,101 | (147,108 | ) | ||||||||
ManpowerGroup, Inc. | 11,499 | 900,027 | 127,754 | |||||||||
Marathon Oil Corp. | 61,938 | 1,738,038 | (94,203 | ) | ||||||||
Marathon Petroleum Corp. | 89,972 | 4,528,465 | 177,970 | |||||||||
Marriott International, Inc. | 25,098 | 2,057,595 | (190,555 | ) | ||||||||
Marsh & McLennan Cos., Inc. | 24,024 | 1,357,596 | 4,565 | |||||||||
Marvell Technology Group Ltd. | 79,010 | 1,202,816 | (161,070 | ) | ||||||||
Maxim Integrated Products, Inc. | 4,612 | 160,036 | (577 | ) | ||||||||
McDonald’s Corp. | 2,286 | 215,684 | 1,646 | |||||||||
McGraw Hill Financial, Inc. | 8,104 | 846,574 | (32,527 | ) | ||||||||
McKesson Corp. | 7,425 | 1,678,421 | (9,207 | ) | ||||||||
Medivation, Inc. | 17,456 | 2,192,478 | (199,003 | ) | ||||||||
Mentor Graphics Corp. | 37,807 | 954,108 | 45,131 | |||||||||
Merck & Co., Inc. | 50,991 | 2,991,290 | (88,372 | ) | ||||||||
Meredith Corp. | 20,836 | 1,105,063 | (18,466 | ) | ||||||||
MetLife, Inc. | 102,242 | 5,324,211 | 400,318 | |||||||||
Microchip Technology, Inc. | 3,713 | 189,029 | (12,940 | ) | ||||||||
Micron Technology, Inc. | 200,065 | 6,182,983 | (2,413,758 | ) | ||||||||
Microsoft Corp. | 106,136 | 4,461,759 | 224,145 | |||||||||
Minerals Technologies, Inc. | 11,674 | 816,071 | (20,722 | ) | ||||||||
Molson Coors Brewing Co. | 7,700 | 576,628 | (39,091 | ) | ||||||||
Mondelez International, Inc. | 4,500 | 167,175 | 17,955 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
233
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Monster Beverage Corp. | 9,244 | $ | 1,160,036 | $ | 78,845 | |||||||
Moody’s Corp. | 7,403 | 732,031 | 67,197 | |||||||||
Morgan Stanley | 92,455 | 3,490,583 | 95,746 | |||||||||
MSCI, Inc. | 12,973 | 808,561 | (10,073 | ) | ||||||||
Murphy Oil Corp. | 40,835 | 1,997,255 | (299,744 | ) | ||||||||
Murphy USA, Inc. | 86,911 | 5,847,197 | (995,825 | ) | ||||||||
Myriad Genetics, Inc. | 36,647 | 1,231,522 | 14,109 | |||||||||
NASDAQ OMX Group, Inc./The | 51,277 | 2,618,088 | (115,258 | ) | ||||||||
National Oilwell Varco, Inc. | 83,019 | 4,430,401 | (422,244 | ) | ||||||||
Navient Corp. | 218,792 | 4,732,971 | (748,769 | ) | ||||||||
NetApp, Inc. | 24,398 | 803,801 | (33,800 | ) | ||||||||
New York Community Bancorp., Inc. | 16,662 | 274,090 | 32,158 | |||||||||
Newfield Exploration Co. | 85,122 | 2,764,644 | 309,963 | |||||||||
NewMarket Corp. | 223 | 104,606 | (5,618 | ) | ||||||||
NextEra Energy, Inc. | 5,969 | 617,314 | (32,173 | ) | ||||||||
NiSource, Inc. | 1,968 | 83,758 | 5,963 | |||||||||
Norfolk Southern Corp. | 18,542 | 2,052,043 | (432,214 | ) | ||||||||
Northern Trust Corp. | 5,413 | 407,323 | 6,555 | |||||||||
Northrop Grumman Corp. | 61,572 | 10,044,194 | (277,028 | ) | ||||||||
Norwegian Cruise Line Holdings Ltd. | 51,206 | 2,528,239 | 341,345 | |||||||||
NVIDIA Corp. | 29,967 | 658,156 | (55,519 | ) | ||||||||
Oil States International, Inc. | 9,205 | 398,484 | (55,782 | ) | ||||||||
Old Dominion Freight Line, Inc. | 5,892 | 448,618 | (44,398 | ) | ||||||||
Olin Corp. | 12,527 | 340,381 | (2,778 | ) | ||||||||
Omnicom Group, Inc. | 1,800 | 138,960 | (13,878 | ) | ||||||||
ON Semiconductor Corp. | 117,448 | 1,461,171 | (88,204 | ) | ||||||||
ONE Gas, Inc. | 2,000 | 81,645 | 3,475 | |||||||||
Oracle Corp. | 68,504 | 2,941,452 | (180,741 | ) | ||||||||
Orbital ATK, Inc. | 35,346 | 2,584,272 | 8,711 | |||||||||
O’Reilly Automotive, Inc. | 9,136 | 1,879,275 | 185,278 | |||||||||
PACCAR, Inc. | 19,433 | 1,269,095 | (29,075 | ) | ||||||||
Packaging Corp. of America | 13,077 | 1,066,001 | (248,819 | ) | ||||||||
Parker-Hannifin Corp. | 6,354 | 773,356 | (34,196 | ) | ||||||||
Penske Automotive Group, Inc. | 1,938 | 96,084 | 4,905 | |||||||||
People’s United Financial, Inc. | 16,370 | 245,877 | 19,480 | |||||||||
PepsiCo, Inc. | 8,934 | 878,748 | (44,849 | ) | ||||||||
Pfizer, Inc. | 117,320 | 4,035,215 | (101,475 | ) | ||||||||
PG&E Corp. | 186,279 | 9,848,937 | (702,638 | ) | ||||||||
Phillips 66 | 22,321 | 1,716,485 | 81,695 | |||||||||
Pilgrim’s Pride Corp. | 209,486 | 5,497,409 | (685,515 | ) | ||||||||
Pinnacle Foods, Inc. | 59,336 | 2,374,157 | 328,005 | |||||||||
Pinnacle West Capital Corp. | 77,627 | 4,699,849 | (283,649 | ) | ||||||||
Plantronics, Inc. | 1,340 | 67,422 | 8,033 | |||||||||
PNC Financial Services Group, Inc./The | 64,457 | 6,019,669 | 145,643 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Polaris Industries, Inc. | 809 | $ | 125,743 | $ | (5,922 | ) | ||||||
Polycom, Inc. | 25,300 | 350,152 | (60,720 | ) | ||||||||
PPG Industries, Inc. | 4,758 | 561,087 | (15,249 | ) | ||||||||
PPL Corp. | 6,199 | 190,514 | (7,829 | ) | ||||||||
Primerica, Inc. | 4,600 | 245,077 | (34,903 | ) | ||||||||
Procter & Gamble Co./The | 7,366 | 629,719 | (53,404 | ) | ||||||||
Prosperity Bancshares, Inc. | 1,316 | 70,334 | 5,652 | |||||||||
PTC, Inc. | 3,236 | 111,998 | 20,743 | |||||||||
Public Service Enterprise Group, Inc. | 194,950 | 8,019,433 | (361,797 | ) | ||||||||
PulteGroup, Inc. | 64,346 | 1,474,810 | (178,238 | ) | ||||||||
Qorvo, Inc. | 13,529 | 973,079 | 112,894 | |||||||||
Quintiles Transnational Holdings, Inc. | 58,352 | 3,914,629 | 322,310 | |||||||||
Rackspace Hosting, Inc. | 77,495 | 3,330,818 | (448,779 | ) | ||||||||
Raytheon Co. | 41,861 | 4,451,188 | (445,928 | ) | ||||||||
Regal Beloit Corp. | 987 | 76,276 | (4,630 | ) | ||||||||
Regal Entertainment Group | 16,430 | 383,805 | (40,254 | ) | ||||||||
Reinsurance Group of America, Inc. | 58,614 | 5,389,062 | 171,648 | |||||||||
Reliance Steel & Aluminum Co. | 28,571 | 1,579,982 | 147,992 | |||||||||
RenaissanceRe Holdings Ltd. | 3,639 | 375,472 | (6,077 | ) | ||||||||
Rent-A-Center, Inc. | 4,412 | 132,713 | (7,633 | ) | ||||||||
Republic Services, Inc. | 79,487 | 3,202,592 | (89,086 | ) | ||||||||
ResMed, Inc. | 4,147 | 271,751 | (37,985 | ) | ||||||||
Rock-Tenn Co. | 94,368 | 6,220,544 | (539,590 | ) | ||||||||
Rockwell Automation, Inc. | 1,527 | 179,911 | 10,414 | |||||||||
Ross Stores, Inc. | 58,174 | 2,857,089 | (29,251 | ) | ||||||||
Rovi Corp. | 5,037 | 121,190 | (40,850 | ) | ||||||||
Rowan Cos. PLC | 49,587 | 1,105,116 | (58,334 | ) | ||||||||
Royal Caribbean Cruises Ltd. | 63,936 | 4,821,002 | 210,122 | |||||||||
RPM International, Inc. | 1,515 | 75,568 | (1,379 | ) | ||||||||
RR Donnelley & Sons Co. | 22,932 | 421,405 | (21,700 | ) | ||||||||
Ryder System, Inc. | 27,244 | 2,567,745 | (187,437 | ) | ||||||||
SCANA Corp. | 21,089 | 1,169,300 | (101,142 | ) | ||||||||
Scotts Miracle-Gro Co./The | 2,875 | 190,066 | (19,838 | ) | ||||||||
Seagate Technology PLC | 48,318 | 2,723,703 | (428,598 | ) | ||||||||
SEI Investments Co. | 15,865 | 733,189 | 44,672 | |||||||||
Sempra Energy | 1,467 | 155,883 | (10,738 | ) | ||||||||
Sensient Technologies Corp. | 8,770 | 590,265 | 9,077 | |||||||||
Sherwin-Williams Co./The | 4,860 | 1,388,390 | (51,793 | ) | ||||||||
Signature Bank | 522 | 68,600 | 7,816 | |||||||||
Signet Jewelers Ltd. | 8,852 | 1,064,276 | 70,905 | |||||||||
Skyworks Solutions, Inc. | 39,971 | 3,427,626 | 733,355 | |||||||||
SM Energy Co. | 21,971 | 1,104,053 | (90,751 | ) | ||||||||
Snap-on, Inc. | 13,690 | 2,008,375 | 171,758 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
234
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Sonoco Products Co. | 8,735 | $ | 406,956 | $ | (32,574 | ) | ||||||
Southern Co./The | 1,808 | 82,336 | (6,581 | ) | ||||||||
Southwest Airlines Co. | 101,451 | 4,211,995 | (854,982 | ) | ||||||||
Spectra Energy Corp. | 12,200 | 448,716 | (50,996 | ) | ||||||||
Spectrum Brands Holdings, Inc. | 15,700 | 1,484,906 | 116,337 | |||||||||
Spirit AeroSystems Holdings, Inc. | 150,417 | 8,043,739 | 245,742 | |||||||||
StanCorp Financial Group, Inc. | 4,245 | 303,515 | 17,449 | |||||||||
Staples, Inc. | 41,631 | 689,706 | (52,335 | ) | ||||||||
State Street Corp. | 46,824 | 3,706,005 | (100,557 | ) | ||||||||
Steel Dynamics, Inc. | 114,545 | 2,258,827 | 113,972 | |||||||||
STERIS Corp. | 34,755 | 2,278,813 | (39,201 | ) | ||||||||
Stryker Corp. | 3,833 | 364,403 | 1,917 | |||||||||
SunTrust Banks, Inc. | 37,852 | 1,612,618 | 15,775 | |||||||||
Superior Energy Services, Inc. | 150,374 | 3,550,952 | (387,083 | ) | ||||||||
SUPERVALU, Inc. | 184,016 | 1,657,570 | (168,880 | ) | ||||||||
Symantec Corp. | 131,711 | 3,222,410 | (160,130 | ) | ||||||||
Synchrony Financial | 8,292 | 272,184 | 871 | |||||||||
Synopsys, Inc. | 33,562 | 1,580,988 | 118,927 | |||||||||
Sysco Corp. | 3,783 | 149,693 | (13,127 | ) | ||||||||
Target Corp. | 89,131 | 7,148,653 | 127,111 | |||||||||
Tech Data Corp. | 13,873 | 848,165 | (49,635 | ) | ||||||||
TEGNA, Inc. | 224,364 | 6,338,759 | 856,594 | |||||||||
Teleflex, Inc. | 12,469 | 1,520,291 | 168,635 | |||||||||
Telephone & Data Systems, Inc. | 9,865 | 276,918 | 13,113 | |||||||||
Tesoro Corp. | 54,842 | 4,778,820 | (149,607 | ) | ||||||||
Texas Instruments, Inc. | 10,690 | 622,158 | (71,516 | ) | ||||||||
Textron, Inc. | 12,264 | 540,842 | 6,500 | |||||||||
Thermo Fisher Scientific, Inc. | 2,845 | 364,245 | 4,922 | |||||||||
Thomson Reuters Corp. | 7,299 | 288,247 | (10,374 | ) | ||||||||
Time Warner, Inc. | 18,824 | 1,589,260 | 56,146 | |||||||||
Time, Inc. | 91,249 | 2,060,190 | 39,450 | |||||||||
Timken Co./The | 2,421 | 102,989 | (14,453 | ) | ||||||||
TJX Cos., Inc./The | 4,214 | 287,238 | (8,397 | ) | ||||||||
Torchmark Corp. | 15,365 | 861,457 | 33,093 | |||||||||
Toro Co./The | 1,089 | 74,426 | (613 | ) | ||||||||
Total System Services, Inc. | 38,244 | 1,543,289 | 54,163 | |||||||||
Towers Watson & Co. | 10,099 | 1,349,900 | (79,446 | ) | ||||||||
Tractor Supply Co. | 857 | 72,970 | 4,108 | |||||||||
Travelers Cos., Inc./The | 66,570 | 7,198,594 | (763,938 | ) | ||||||||
Trinity Industries, Inc. | 69,137 | 2,218,102 | (390,812 | ) | ||||||||
Tupperware Brands Corp. | 3,563 | 258,460 | (28,504 | ) | ||||||||
Tyco International PLC | 4,400 | 189,728 | (20,416 | ) | ||||||||
Tyler Technologies, Inc. | 2,552 | 309,154 | 21,024 | |||||||||
Tyson Foods, Inc. | 59,713 | 2,432,620 | 112,945 | |||||||||
UGI Corp. | 57,442 | 1,931,732 | 47,145 | |||||||||
Union Pacific Corp. | 39,229 | 4,795,542 | (1,054,272 | ) | ||||||||
Unit Corp. | 36,820 | 1,254,089 | (255,531 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
United Parcel Service, Inc. | 3,400 | $ | 348,534 | $ | (19,040 | ) | ||||||
United States Steel Corp. | 162,385 | 4,200,666 | (852,288 | ) | ||||||||
United Technologies Corp. | 8,235 | 999,070 | (85,562 | ) | ||||||||
United Therapeutics Corp. | 22,225 | 3,528,851 | 337,188 | |||||||||
UnitedHealth Group, Inc. | 58,898 | 6,670,238 | 515,318 | |||||||||
Universal Health Services, Inc. | 1,767 | 188,698 | 62,393 | |||||||||
Unum Group | 43,181 | 1,489,255 | 54,466 | |||||||||
US Bancorp. | 19,730 | 884,562 | (28,280 | ) | ||||||||
Valero Energy Corp. | 118,989 | 6,988,511 | 460,200 | |||||||||
Validus Holdings Ltd. | 35,013 | 1,505,211 | 35,011 | |||||||||
Valmont Industries, Inc. | 3,084 | 386,394 | (19,799 | ) | ||||||||
Vectren Corp. | 12,227 | 526,255 | (55,760 | ) | ||||||||
VeriSign, Inc. | 48,944 | 3,081,760 | (60,937 | ) | ||||||||
Verizon Communications, Inc. | 5,264 | 258,884 | (13,528 | ) | ||||||||
VF Corp. | 10,728 | 808,850 | (60,679 | ) | ||||||||
Viacom, Inc. | 11,409 | 791,100 | (53,622 | ) | ||||||||
Visa, Inc. | 3,596 | 243,512 | (2,041 | ) | ||||||||
Voya Financial, Inc. | 91,841 | 4,156,700 | 111,152 | |||||||||
WABCO Holdings, Inc. | 605 | 70,582 | 4,269 | |||||||||
Wabtec Corp. | 838 | 75,981 | 2,992 | |||||||||
Walgreens Boots Alliance, Inc. | 11,589 | 903,942 | 74,633 | |||||||||
Wal-Mart Stores, Inc. | 18,458 | 1,508,887 | (199,661 | ) | ||||||||
Walt Disney Co./The | 17,953 | 1,901,561 | 147,594 | |||||||||
Washington Federal, Inc. | 3,280 | 70,602 | 5,986 | |||||||||
Waste Connections, Inc. | 1,797 | 83,848 | 827 | |||||||||
Waste Management, Inc. | 73,443 | 3,735,942 | (331,859 | ) | ||||||||
Waters Corp. | 2,376 | 319,251 | (14,220 | ) | ||||||||
WEC Energy Group, Inc. | 1,656 | 81,171 | (6,701 | ) | ||||||||
Wells Fargo & Co. | 78,035 | 4,318,540 | 70,149 | |||||||||
Werner Enterprises, Inc. | 63,203 | 1,784,671 | (125,593 | ) | ||||||||
WESCO International, Inc. | 1,377 | 95,757 | (1,239 | ) | ||||||||
Westar Energy, Inc. | 22,064 | 853,211 | (98,181 | ) | ||||||||
Western Digital Corp. | 29,749 | 3,065,726 | (732,809 | ) | ||||||||
Western Refining, Inc. | 61,555 | 2,759,670 | (74,641 | ) | ||||||||
Western Union Co./The | 61,597 | 1,356,137 | (103,870 | ) | ||||||||
WGL Holdings, Inc. | 26,983 | 1,480,917 | (16,010 | ) | ||||||||
Whirlpool Corp. | 32,052 | 6,455,348 | (908,749 | ) | ||||||||
Williams-Sonoma, Inc. | 1,470 | 120,099 | 838 | |||||||||
World Fuel Services Corp. | 25,773 | 1,369,527 | (133,712 | ) | ||||||||
Worthington Industries, Inc. | 7,502 | 230,762 | (5,251 | ) | ||||||||
WPX Energy, Inc. | 58,420 | 736,092 | (18,694 | ) | ||||||||
WR Berkley Corp. | 10,412 | 523,251 | 17,444 | |||||||||
Wyndham Worldwide Corp. | 24,790 | 2,197,122 | (166,574 | ) | ||||||||
Xcel Energy, Inc. | 118,830 | 4,006,662 | (182,713 | ) | ||||||||
Xerox Corp. | 68,993 | 888,357 | (154,272 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
235
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Xilinx, Inc. | 1,613 | $ | 67,902 | $ | 3,328 | |||||||
Yahoo!, Inc. | 42,144 | 1,834,528 | (178,691 | ) | ||||||||
Zebra Technologies Corp. | 2,000 | 178,980 | 43,120 | |||||||||
|
| |||||||||||
(11,803,077 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (12,062,594 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
lululemon athletica, Inc. | (12,258 | ) | (798,439 | ) | (2,009 | ) | ||||||
Restaurant Brands International, Inc. | (25,349 | ) | (1,026,399 | ) | 57,813 | |||||||
|
| |||||||||||
55,804 | ||||||||||||
|
| |||||||||||
Ireland | ||||||||||||
Endo International PLC | (71,296 | ) | (6,086,540 | ) | 407,813 | |||||||
Jazz Pharmaceuticals PLC | (15,762 | ) | (2,705,584 | ) | (69,631 | ) | ||||||
Perrigo Co PLC | (3,920 | ) | (595,448 | ) | (129,086 | ) | ||||||
|
| |||||||||||
209,096 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Core Laboratories NV | (53,321 | ) | (5,805,649 | ) | (275,078 | ) | ||||||
QIAGEN NV | (29,287 | ) | (728,411 | ) | 2,387 | |||||||
Sensata Technologies Holding NV | (48,730 | ) | (2,633,868 | ) | 63,848 | |||||||
|
| |||||||||||
(208,843 | ) | |||||||||||
|
| |||||||||||
Norway | ||||||||||||
Golar LNG Ltd. | (81,478 | ) | (2,905,840 | ) | (907,330 | ) | ||||||
Seadrill Ltd. | (217,333 | ) | (2,486,197 | ) | 238,974 | |||||||
|
| |||||||||||
(668,356 | ) | |||||||||||
|
| |||||||||||
Panama | ||||||||||||
Copa Holdings SA | (4,423 | ) | (503,028 | ) | 137,732 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Weatherford International PLC | (364,271 | ) | (4,730,290 | ) | 260,685 | |||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Ensco PLC | (23,498 | ) | (638,684 | ) | 115,384 | |||||||
Liberty Global PLC | (16,090 | ) | (850,839 | ) | (19,147 | ) | ||||||
Michael Kors Holdings Ltd. | (44,657 | ) | (2,978,773 | ) | 1,099,160 | |||||||
Pentair PLC | (33,437 | ) | (2,224,502 | ) | (74,292 | ) | ||||||
|
| |||||||||||
1,121,105 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
Aaron’s, Inc. | (12,096 | ) | (420,633 | ) | (17,363 | ) | ||||||
Abercrombie & Fitch Co. | (200,061 | ) | (4,437,410 | ) | 134,098 | |||||||
ACI Worldwide, Inc. | (9,100 | ) | (184,457 | ) | (39,130 | ) | ||||||
Acxiom Corp. | (86,603 | ) | (1,624,505 | ) | 102,024 | |||||||
Adobe Systems, Inc. | (2,484 | ) | (191,760 | ) | (9,469 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Advanced Micro Devices, Inc. | (598,355 | ) | $ | (1,604,926 | ) | $ | 168,874 | |||||
AECOM | (13,845 | ) | (435,174 | ) | (22,819 | ) | ||||||
Agilent Technologies, Inc. | (22,231 | ) | (943,328 | ) | 85,656 | |||||||
Akorn, Inc. | (7,037 | ) | (305,110 | ) | (2,126 | ) | ||||||
Albemarle Corp. | (79,684 | ) | (4,807,113 | ) | 402,979 | |||||||
Alcoa, Inc. | (58,892 | ) | (927,549 | ) | 270,903 | |||||||
Alere, Inc. | (12,076 | ) | (553,687 | ) | (83,322 | ) | ||||||
Alexion Pharmaceuticals, Inc. | (3,634 | ) | (606,008 | ) | (50,910 | ) | ||||||
Align Technology, Inc. | (57,761 | ) | (3,366,456 | ) | (255,737 | ) | ||||||
Allegheny Technologies, Inc. | (121,147 | ) | (3,942,655 | ) | 284,015 | |||||||
Alliance Data Systems Corp. | (8,666 | ) | (2,457,126 | ) | (72,826 | ) | ||||||
Allison Transmission Holdings, Inc. | (2,465 | ) | (74,952 | ) | 2,826 | |||||||
Allscripts Healthcare Solutions, Inc. | (162,427 | ) | (1,946,017 | ) | (275,985 | ) | ||||||
Ally Financial, Inc. | (16,996 | ) | (385,222 | ) | 4,002 | |||||||
Alnylam Pharmaceuticals, Inc. | (16,700 | ) | (1,614,556 | ) | (387,273 | ) | ||||||
Amazon.com, Inc. | (12,349 | ) | (4,636,185 | ) | (724,392 | ) | ||||||
AMC Networks, Inc. | (3,770 | ) | (259,451 | ) | (49,123 | ) | ||||||
American International Group, Inc. | (11,679 | ) | (642,228 | ) | (79,768 | ) | ||||||
AMETEK, Inc. | (6,502 | ) | (340,224 | ) | (15,955 | ) | ||||||
Anadarko Petroleum Corp. | (39,598 | ) | (3,448,685 | ) | 357,665 | |||||||
Antero Resources Corp. | (46,100 | ) | (1,725,532 | ) | 142,458 | |||||||
Apache Corp. | (39,315 | ) | (2,467,333 | ) | 201,610 | |||||||
Armstrong World Industries, Inc. | (32,866 | ) | (1,739,352 | ) | (11,749 | ) | ||||||
Artisan Partners Asset Management, Inc. | (56,309 | ) | (2,564,114 | ) | (52,002 | ) | ||||||
Ascena Retail Group, Inc. | (25,009 | ) | (360,881 | ) | (55,644 | ) | ||||||
athenahealth, Inc. | (21,000 | ) | (2,757,096 | ) | 350,916 | |||||||
Atmel Corp. | (252,669 | ) | (2,134,352 | ) | (355,701 | ) | ||||||
Autodesk, Inc. | (39,207 | ) | (2,213,900 | ) | 250,609 | |||||||
Avis Budget Group, Inc. | (16,719 | ) | (1,053,464 | ) | 316,491 | |||||||
Avon Products, Inc. | (346,327 | ) | (2,848,313 | ) | 680,306 | |||||||
B/E Aerospace, Inc. | (173,142 | ) | (10,343,400 | ) | 837,904 | |||||||
BancorpSouth, Inc. | (31,488 | ) | (702,633 | ) | (108,498 | ) | ||||||
Bank of America Corp. | (79,810 | ) | (1,327,240 | ) | (31,126 | ) | ||||||
Belden, Inc. | (2,584 | ) | (223,967 | ) | 14,068 | |||||||
Bio-Techne Corp. | (8,765 | ) | (869,738 | ) | 6,648 | |||||||
Black Hills Corp. | (7,730 | ) | (372,168 | ) | 34,753 | |||||||
BorgWarner, Inc. | (70,359 | ) | (4,276,159 | ) | 276,954 | |||||||
Brookdale Senior Living, Inc. | (151,306 | ) | (5,654,626 | ) | 404,308 | |||||||
Brown & Brown, Inc. | (25,827 | ) | (843,961 | ) | (4,714 | ) | ||||||
Brown-Forman Corp. | (10,123 | ) | (961,108 | ) | (53,014 | ) | ||||||
Bruker Corp. | (130,760 | ) | (2,506,851 | ) | (161,960 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
236
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Brunswick Corp./DE | (7,600 | ) | $ | (428,564 | ) | $ | 42,028 | |||||
Cabela’s, Inc. | (31,031 | ) | (1,648,439 | ) | 97,510 | |||||||
Cabot Oil & Gas Corp. | (50,449 | ) | (1,416,608 | ) | (174,554 | ) | ||||||
Cameron International Corp. | (17,817 | ) | (866,084 | ) | (66,992 | ) | ||||||
Campbell Soup Co. | (3,923 | ) | (183,989 | ) | (2,942 | ) | ||||||
CarMax, Inc. | (16,956 | ) | (1,144,191 | ) | 21,534 | |||||||
Carpenter Technology Corp. | (54,518 | ) | (2,283,770 | ) | 175,014 | |||||||
Cathay General Bancorp | (7,200 | ) | (188,856 | ) | (44,784 | ) | ||||||
CBOE Holdings, Inc. | (18,159 | ) | (1,045,320 | ) | 6,262 | |||||||
CBS Corp. | (12,605 | ) | (758,821 | ) | 59,244 | |||||||
CEB, Inc. | (10,800 | ) | (849,993 | ) | (90,255 | ) | ||||||
CenterPoint Energy, Inc. | (131,541 | ) | (2,716,275 | ) | 213,049 | |||||||
Cerner Corp. | (28,763 | ) | (1,993,427 | ) | 7,055 | |||||||
CH Robinson Worldwide, Inc. | (5,809 | ) | (417,144 | ) | 54,721 | |||||||
Charles Schwab Corp./The | (270,286 | ) | (8,332,392 | ) | (492,446 | ) | ||||||
Cheniere Energy, Inc. | (53,014 | ) | (4,030,600 | ) | 358,851 | |||||||
Chico’s FAS, Inc. | (78,925 | ) | (1,422,848 | ) | 110,325 | |||||||
Chipotle Mexican Grill, Inc. | (1,454 | ) | (902,290 | ) | 22,634 | |||||||
Ciena Corp. | (217,571 | ) | (4,418,027 | ) | (734,055 | ) | ||||||
Cincinnati Financial Corp. | (11,572 | ) | (607,223 | ) | 26,540 | |||||||
CIT Group, Inc. | (14,742 | ) | (684,618 | ) | (737 | ) | ||||||
Citigroup, Inc. | (21,911 | ) | (1,132,580 | ) | (77,784 | ) | ||||||
Citrix Systems, Inc. | (6,242 | ) | (400,487 | ) | (37,452 | ) | ||||||
CLARCOR, Inc. | (1,213 | ) | (78,238 | ) | 2,741 | |||||||
Clean Harbors, Inc. | (23,334 | ) | (1,179,300 | ) | (74,669 | ) | ||||||
Coach, Inc. | (109,207 | ) | (4,309,308 | ) | 529,654 | |||||||
Cobalt International Energy, Inc. | (576,314 | ) | (5,303,978 | ) | (292,031 | ) | ||||||
Coca-Cola Co./The | (40,798 | ) | (1,696,019 | ) | 95,513 | |||||||
Cognex Corp. | (6,255 | ) | (300,225 | ) | (640 | ) | ||||||
Colfax Corp. | (74,881 | ) | (3,854,456 | ) | 398,698 | |||||||
Colgate-Palmolive Co. | (92,847 | ) | (6,368,468 | ) | 295,346 | |||||||
CommVault Systems, Inc. | (49,364 | ) | (2,170,408 | ) | 76,881 | |||||||
Compass Minerals International, Inc. | (5,819 | ) | (535,728 | ) | 57,755 | |||||||
ConAgra Foods, Inc. | (6,857 | ) | (231,492 | ) | (68,296 | ) | ||||||
Concho Resources, Inc. | (5,722 | ) | (676,112 | ) | 24,605 | |||||||
CONSOL Energy, Inc. | (168,956 | ) | (5,072,812 | ) | 1,399,709 | |||||||
Copart, Inc. | (14,620 | ) | (534,981 | ) | 16,263 | |||||||
CoStar Group, Inc. | (9,900 | ) | (1,860,210 | ) | (132,264 | ) | ||||||
Coty, Inc. | (30,100 | ) | (670,929 | ) | (291,368 | ) | ||||||
Covanta Holding Corp. | (46,277 | ) | (1,013,287 | ) | 32,677 | |||||||
Cree, Inc. | (47,720 | ) | (1,796,168 | ) | 554,016 | |||||||
Cypress Semiconductor Corp. | (64,064 | ) | (838,633 | ) | 85,240 | |||||||
Dana Holding Corp. | (3,470 | ) | (75,763 | ) | 4,351 | |||||||
Darden Restaurants, Inc. | (15,871 | ) | (975,273 | ) | (152,838 | ) | ||||||
DaVita HealthCare Partners, Inc. | (46,770 | ) | (3,716,209 | ) | (603 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Dean Foods Co. | (169,923 | ) | $ | (2,762,948 | ) | $ | 15,293 | |||||
Denbury Resources, Inc. | (17,798 | ) | (161,428 | ) | 48,233 | |||||||
Dick’s Sporting Goods, Inc. | (3,504 | ) | (188,130 | ) | 6,728 | |||||||
Diebold, Inc. | (65,538 | ) | (2,282,821 | ) | (11,009 | ) | ||||||
Discovery Communications, Inc. | (135,686 | ) | (4,360,292 | ) | (152,624 | ) | ||||||
Dominion Resources, Inc. | (87,259 | ) | (6,143,493 | ) | 308,484 | |||||||
Donaldson Co., Inc. | (19,814 | ) | (717,715 | ) | 8,374 | |||||||
DreamWorks Animation SKG, Inc. | (24,227 | ) | (516,762 | ) | (122,346 | ) | ||||||
Dril-Quip, Inc. | (9,082 | ) | (685,496 | ) | 2,075 | |||||||
DSW, Inc. | (74,849 | ) | (2,719,811 | ) | 222,100 | |||||||
Dunkin’ Brands Group, Inc. | (44,006 | ) | (2,068,282 | ) | (352,048 | ) | ||||||
E*TRADE Financial Corp. | (91,495 | ) | (2,485,158 | ) | (255,118 | ) | ||||||
East West Bancorp, Inc. | (1,800 | ) | (73,584 | ) | (7,092 | ) | ||||||
Ecolab, Inc. | (15,293 | ) | (1,738,301 | ) | 9,122 | |||||||
Emerson Electric Co. | (51,328 | ) | (3,010,871 | ) | 165,760 | |||||||
Envision Healthcare Holdings Inc | (203,966 | ) | (7,562,728 | ) | (489,850 | ) | ||||||
EQT Corp. | (8,600 | ) | (701,674 | ) | 2,150 | |||||||
Estee Lauder Cos., Inc./The | (39,319 | ) | (3,397,131 | ) | (10,253 | ) | ||||||
Esterline Technologies Corp. | (6,326 | ) | (663,543 | ) | 60,422 | |||||||
Expeditors International of Washington, Inc. | (62,388 | ) | (2,953,027 | ) | 76,628 | |||||||
F5 Networks, Inc. | (13,131 | ) | (1,498,402 | ) | (81,914 | ) | ||||||
Facebook, Inc. | (28,044 | ) | (2,214,919 | ) | (190,275 | ) | ||||||
Fairchild Semiconductor International, Inc. | (22,456 | ) | (369,626 | ) | (20,660 | ) | ||||||
Fastenal Co. | (91,329 | ) | (3,824,941 | ) | (27,316 | ) | ||||||
Federated Investors, Inc. | (16,900 | ) | (597,246 | ) | 31,265 | |||||||
FEI Co. | (39,563 | ) | (3,101,966 | ) | (178,994 | ) | ||||||
FireEye, Inc. | (99,600 | ) | (4,267,178 | ) | (604,258 | ) | ||||||
First Horizon National Corp. | (55,559 | ) | (813,384 | ) | (57,226 | ) | ||||||
First Niagara Financial Group, Inc. | (286,077 | ) | (2,539,333 | ) | (161,234 | ) | ||||||
First Republic Bank | (21,071 | ) | (1,190,301 | ) | (137,804 | ) | ||||||
First Solar, Inc. | (20,970 | ) | (1,040,531 | ) | 55,361 | |||||||
FirstEnergy Corp. | (9,163 | ) | (338,390 | ) | 40,134 | |||||||
FirstMerit Corp. | (24,200 | ) | (443,828 | ) | (60,258 | ) | ||||||
Flowers Foods, Inc. | (29,621 | ) | (640,110 | ) | 13,626 | |||||||
Flowserve Corp. | (38,602 | ) | (2,258,373 | ) | 225,592 | |||||||
Fluor Corp. | (61,442 | ) | (3,600,502 | ) | 343,462 | |||||||
FMC Corp. | (92,795 | ) | (5,637,641 | ) | 761,264 | |||||||
FMC Technologies, Inc. | (11,902 | ) | (513,375 | ) | 19,561 | |||||||
Ford Motor Co. | (82,249 | ) | (1,296,093 | ) | 61,536 | |||||||
Fortinet, Inc. | (46,496 | ) | (1,534,368 | ) | (387,312 | ) | ||||||
Fortune Brands Home & Security, Inc. | (14,009 | ) | (658,283 | ) | 16,391 | |||||||
Fossil Group, Inc. | (3,866 | ) | (382,632 | ) | 114,486 | |||||||
Freeport-McMoRan, Inc. | (269,688 | ) | (5,338,162 | ) | 316,571 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
237
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
FTI Consulting, Inc. | (13,848 | ) | $ | (521,239 | ) | $ | (49,853 | ) | ||||
General Electric Co. | (109,764 | ) | (2,989,306 | ) | 72,876 | |||||||
General Motors Co. | (11,329 | ) | (421,892 | ) | 44,296 | |||||||
Genesee & Wyoming, Inc. | (42,005 | ) | (3,730,726 | ) | 530,786 | |||||||
Genworth Financial, Inc. | (678,038 | ) | (5,502,114 | ) | 369,366 | |||||||
GNC Holdings, Inc. | (34,962 | ) | (1,701,683 | ) | 146,573 | |||||||
Goodyear Tire & Rubber Co./The | (2,545 | ) | (67,748 | ) | (8,984 | ) | ||||||
Graco, Inc. | (14,304 | ) | (1,062,376 | ) | 46,363 | |||||||
Groupon, Inc. | (54,064 | ) | (435,756 | ) | 163,814 | |||||||
Guess?, Inc. | (34,470 | ) | (631,124 | ) | (29,665 | ) | ||||||
Hain Celestial Group, Inc./The | (1,200 | ) | (72,514 | ) | (6,518 | ) | ||||||
Halliburton Co. | (33,258 | ) | (1,532,253 | ) | 99,831 | |||||||
Harley-Davidson, Inc. | (23,694 | ) | (1,413,061 | ) | 77,904 | |||||||
Harsco Corp. | (147,350 | ) | (2,509,969 | ) | 78,695 | |||||||
Henry Schein, Inc. | (12,821 | ) | (1,801,944 | ) | (20,177 | ) | ||||||
Herman Miller, Inc. | (2,648 | ) | (76,912 | ) | 305 | |||||||
Hershey Co./The | (21,369 | ) | (2,004,541 | ) | 106,332 | |||||||
Hertz Global Holdings, Inc. | (260,745 | ) | (5,784,454 | ) | 1,059,755 | |||||||
Hexcel Corp. | (25,969 | ) | (1,191,198 | ) | (100,500 | ) | ||||||
Hilton Worldwide Holdings, Inc. | (22,000 | ) | (630,300 | ) | 24,200 | |||||||
HMS Holdings Corp. | (92,438 | ) | (1,828,424 | ) | 241,263 | |||||||
HollyFrontier Corp. | (15,134 | ) | (630,634 | ) | (15,437 | ) | ||||||
Hologic, Inc. | (45,291 | ) | (1,381,828 | ) | (341,947 | ) | ||||||
HomeAway, Inc. | (79,528 | ) | (2,390,642 | ) | (84,269 | ) | ||||||
Huntington Bancshares, Inc. | (42,501 | ) | (454,761 | ) | (25,926 | ) | ||||||
Huntsman Corp. | (36,574 | ) | (856,058 | ) | 48,869 | |||||||
IDEXX Laboratories, Inc. | (61,016 | ) | (4,054,766 | ) | 141,200 | |||||||
IHS, Inc. | (3,949 | ) | (491,865 | ) | (16,095 | ) | ||||||
Illumina, Inc. | (23,008 | ) | (4,470,831 | ) | (553,196 | ) | ||||||
Incyte Corp. | (34,105 | ) | (2,653,369 | ) | (900,713 | ) | ||||||
Informatica Corp. | (7,847 | ) | (344,169 | ) | (36,175 | ) | ||||||
Integrated Device Technology, Inc. | (3,163 | ) | (66,129 | ) | (2,508 | ) | ||||||
Intuitive Surgical, Inc. | (8,209 | ) | (4,160,016 | ) | 182,756 | |||||||
ITC Holdings Corp. | (148,636 | ) | (5,196,491 | ) | 413,385 | |||||||
Itron, Inc. | (39,303 | ) | (1,409,629 | ) | 56,034 | |||||||
Jacobs Engineering Group, Inc. | (8,998 | ) | (390,259 | ) | 24,760 | |||||||
Janus Capital Group, Inc. | (54,942 | ) | (947,749 | ) | 7,142 | |||||||
JB Hunt Transport Services, Inc. | (4,877 | ) | (422,582 | ) | 22,229 | |||||||
JDS Uniphase Corp. | (257,948 | ) | (3,386,394 | ) | 399,356 | |||||||
Joy Global, Inc. | (20,980 | ) | (895,390 | ) | 135,914 | |||||||
Juniper Networks, Inc. | (52,127 | ) | (1,417,938 | ) | 64,200 | |||||||
Kansas City Southern | (58,562 | ) | (5,983,191 | ) | 642,336 | |||||||
Kate Spade & Co. | (161,699 | ) | (4,791,278 | ) | 1,308,282 | |||||||
KB Home | (42,584 | ) | (617,894 | ) | (89,001 | ) | ||||||
KBR, Inc. | (313,785 | ) | (5,532,146 | ) | (580,385 | ) | ||||||
Kellogg Co. | (49,308 | ) | (3,124,071 | ) | 32,460 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Kennametal, Inc. | (20,717 | ) | $ | (753,271 | ) | $ | 46,406 | |||||
Keurig Green Mountain, Inc. | (86,442 | ) | (8,673,530 | ) | 2,049,480 | |||||||
Keysight Technologies, Inc. | (3,033 | ) | (102,159 | ) | 7,560 | |||||||
Kinder Morgan, Inc. | (39,927 | ) | (1,643,719 | ) | 110,921 | |||||||
KLX, Inc. | (39,244 | ) | (1,709,038 | ) | (22,800 | ) | ||||||
Kosmos Energy Ltd. | (115,700 | ) | (1,023,487 | ) | 48,136 | |||||||
Laboratory Corp. of America Holdings | (13,992 | ) | (1,673,087 | ) | (23,024 | ) | ||||||
Las Vegas Sands Corp. | (62,370 | ) | (3,641,242 | ) | 362,451 | |||||||
Legg Mason, Inc. | (4,612 | ) | (269,802 | ) | 32,146 | |||||||
Leucadia National Corp. | (42,717 | ) | (1,035,972 | ) | (1,196 | ) | ||||||
Level 3 Communications, Inc. | (39,544 | ) | (2,154,341 | ) | 71,558 | |||||||
Liberty Broadband Corp. | (2,122 | ) | (115,766 | ) | 7,204 | |||||||
Liberty TripAdvisor Holdings, Inc. | (7,204 | ) | (212,860 | ) | (19,252 | ) | ||||||
Linear Technology Corp. | (13,527 | ) | (656,542 | ) | 58,243 | |||||||
LinkedIn Corp. | (9,739 | ) | (2,477,454 | ) | 465,085 | |||||||
Lions Gate Entertainment Corp. | (58,610 | ) | (1,878,125 | ) | (293,376 | ) | ||||||
Live Nation Entertainment, Inc. | (77,311 | ) | (2,022,154 | ) | (103,126 | ) | ||||||
Loews Corp. | (56,576 | ) | (2,334,129 | ) | 155,388 | |||||||
LPL Financial Holdings, Inc. | (27,411 | ) | (1,182,385 | ) | (91,953 | ) | ||||||
Madison Square Garden Co./The | (3,566 | ) | (280,074 | ) | (17,652 | ) | ||||||
Manitowoc Co., Inc./The | (174,337 | ) | (3,633,915 | ) | 216,910 | |||||||
Markel Corp. | (150 | ) | (111,750 | ) | (8,352 | ) | ||||||
Masco Corp. | (35,635 | ) | (953,949 | ) | 3,564 | |||||||
MasterCard, Inc. | (33,510 | ) | (3,133,245 | ) | 731 | |||||||
Mattel, Inc. | (22,046 | ) | (591,470 | ) | 25,108 | |||||||
MDC Holdings, Inc. | (12,500 | ) | (345,750 | ) | (28,875 | ) | ||||||
MDU Resources Group, Inc. | (137,996 | ) | (2,870,481 | ) | 175,419 | |||||||
Mead Johnson Nutrition Co. | (13,422 | ) | (1,329,519 | ) | 118,586 | |||||||
MEDNAX, Inc. | (3,383 | ) | (239,840 | ) | (10,874 | ) | ||||||
MGM Resorts International | (290,726 | ) | (5,949,257 | ) | 643,508 | |||||||
Michaels Cos., Inc./The | (4,585 | ) | (125,116 | ) | 1,734 | |||||||
Middleby Corp./The | (1,700 | ) | (176,978 | ) | (13,813 | ) | ||||||
Mohawk Industries, Inc. | (479 | ) | (82,120 | ) | (9,321 | ) | ||||||
Monsanto Co. | (23,007 | ) | (2,793,210 | ) | 340,894 | |||||||
Mosaic Co./The | (14,839 | ) | (771,776 | ) | 76,569 | |||||||
Motorola Solutions, Inc. | (64,413 | ) | (4,199,428 | ) | 505,986 | |||||||
MRC Global, Inc. | (256,524 | ) | (3,637,754 | ) | (322,976 | ) | ||||||
MSC Industrial Direct Co., Inc. | (7,092 | ) | (514,683 | ) | 19,874 | |||||||
Nabors Industries Ltd. | (48,479 | ) | (733,761 | ) | 34,209 | |||||||
National Fuel Gas Co. | (11,722 | ) | (755,276 | ) | 64,967 | |||||||
Navistar International Corp. | (89,861 | ) | (2,565,802 | ) | 532,247 | |||||||
NCR Corp. | (94,005 | ) | (2,754,490 | ) | (75,060 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
238
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Netflix, Inc. | (7,991 | ) | $ | (3,755,450 | ) | $ | (1,494,157 | ) | ||||
NetSuite, Inc. | (15,248 | ) | (1,489,624 | ) | 90,620 | |||||||
New York Times Co./The | (72,544 | ) | (1,025,244 | ) | 35,019 | |||||||
Newell Rubbermaid, Inc. | (1,855 | ) | (73,691 | ) | (2,568 | ) | ||||||
News Corp. | (13,446 | ) | (230,061 | ) | 33,884 | |||||||
Nielsen NV | (47,156 | ) | (2,143,400 | ) | 32,226 | |||||||
NIKE, Inc. | (6,977 | ) | (640,907 | ) | (112,748 | ) | ||||||
Noble Energy, Inc. | (45,147 | ) | (2,224,932 | ) | 298,058 | |||||||
Nordson Corp. | (4,360 | ) | (343,516 | ) | 3,916 | |||||||
Nordstrom, Inc. | (10,010 | ) | (735,566 | ) | (10,179 | ) | ||||||
NorthStar Asset Management Group, Inc. | (81,612 | ) | (1,769,221 | ) | 260,215 | |||||||
Nuance Communications, Inc. | (34,154 | ) | (489,476 | ) | (108,560 | ) | ||||||
Nucor Corp. | (14,398 | ) | (705,307 | ) | 70,787 | |||||||
Occidental Petroleum Corp. | (49,998 | ) | (3,866,991 | ) | (21,353 | ) | ||||||
Oceaneering International, Inc. | (5,061 | ) | (262,970 | ) | 27,178 | |||||||
Ocwen Financial Corp. | (60,158 | ) | (566,087 | ) | (47,525 | ) | ||||||
OGE Energy Corp. | (203,821 | ) | (6,313,034 | ) | 489,868 | |||||||
Old Republic International Corp. | (8,046 | ) | (120,785 | ) | (4,974 | ) | ||||||
ONEOK, Inc. | (94,669 | ) | (4,306,816 | ) | 569,284 | |||||||
Oshkosh Corp. | (1,477 | ) | (69,497 | ) | 6,902 | |||||||
Owens & Minor, Inc. | (23,084 | ) | (776,630 | ) | (8,226 | ) | ||||||
Owens Corning | (15,092 | ) | (602,925 | ) | (19,620 | ) | ||||||
Owens-Illinois, Inc. | (156,057 | ) | (3,856,042 | ) | 276,094 | |||||||
PacWest Bancorp | (15,700 | ) | (736,801 | ) | 2,669 | |||||||
Palo Alto Networks, Inc. | (14,652 | ) | (2,005,712 | ) | (553,992 | ) | ||||||
Pandora Media, Inc. | (73,195 | ) | (1,108,751 | ) | (28,699 | ) | ||||||
Panera Bread Co. | (2,108 | ) | (323,957 | ) | (44,458 | ) | ||||||
Patterson Cos., Inc. | (14,959 | ) | (696,961 | ) | (30,794 | ) | ||||||
Patterson-UTI Energy, Inc. | (126,382 | ) | (2,441,599 | ) | 63,721 | |||||||
PBF Energy, Inc. | (52,600 | ) | (1,576,948 | ) | 82,056 | |||||||
PerkinElmer, Inc. | (7,187 | ) | (332,902 | ) | (45,422 | ) | ||||||
Pitney Bowes, Inc. | (29,806 | ) | (677,788 | ) | 57,526 | |||||||
PNM Resources, Inc. | (16,335 | ) | (408,726 | ) | 6,885 | |||||||
PolyOne Corp. | (11,661 | ) | (469,430 | ) | 12,669 | |||||||
Post Holdings, Inc. | (137,285 | ) | (6,550,737 | ) | (853,043 | ) | ||||||
Praxair, Inc. | (18,120 | ) | (2,204,776 | ) | 38,530 | |||||||
Precision Castparts Corp. | (48,549 | ) | (10,252,083 | ) | 548,595 | |||||||
Priceline Group, Inc./The | (1,768 | ) | (2,095,047 | ) | 59,425 | |||||||
Principal Financial Group, Inc. | (6,109 | ) | (316,385 | ) | 3,055 | |||||||
Progressive Corp./The | (28,213 | ) | (754,416 | ) | (30,752 | ) | ||||||
Prudential Financial, Inc. | (20,608 | ) | (1,746,235 | ) | (57,377 | ) | ||||||
PVH Corp. | (14,103 | ) | (1,498,754 | ) | (125,912 | ) | ||||||
QEP Resources, Inc. | (79,200 | ) | (1,820,808 | ) | 354,816 | |||||||
QUALCOMM, Inc. | (53,151 | ) | (3,662,398 | ) | 333,551 | |||||||
Quanta Services, Inc. | (47,708 | ) | (1,393,155 | ) | 18,211 | |||||||
Quest Diagnostics, Inc. | (1,019 | ) | (73,428 | ) | (470 | ) | ||||||
Questar Corp. | (37,393 | ) | (856,928 | ) | 75,040 | |||||||
Ralph Lauren Corp. | (659 | ) | (89,848 | ) | 2,623 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Range Resources Corp. | (68,193 | ) | $ | (3,576,041 | ) | $ | 208,671 | |||||
Rayonier Advanced Materials, Inc. | (48,716 | ) | (834,738 | ) | 42,616 | |||||||
Red Hat, Inc. | (9,133 | ) | (626,524 | ) | (66,945 | ) | ||||||
Regeneron Pharmaceuticals, Inc. | (2,104 | ) | (874,730 | ) | (198,583 | ) | ||||||
Regions Financial Corp. | (25,154 | ) | (243,491 | ) | (17,105 | ) | ||||||
Rice Energy, Inc. | (68,051 | ) | (1,560,754 | ) | 143,252 | |||||||
Rite Aid Corp. | (150,784 | ) | (1,249,659 | ) | (9,387 | ) | ||||||
Robert Half International, Inc. | (1,333 | ) | (79,139 | ) | 5,158 | |||||||
Rockwell Collins, Inc. | (2,096 | ) | (186,146 | ) | (7,420 | ) | ||||||
Roper Technologies, Inc. | (4,569 | ) | (795,995 | ) | 8,025 | |||||||
RPC, Inc. | (68,300 | ) | (934,217 | ) | (10,372 | ) | ||||||
salesforce.com, Inc. | (61,200 | ) | (3,798,684 | ) | (462,672 | ) | ||||||
Sally Beauty Holdings, Inc. | (12,487 | ) | (416,816 | ) | 22,477 | |||||||
SanDisk Corp. | (55,885 | ) | (3,977,848 | ) | 724,224 | |||||||
Santander Consumer USA Holdings, Inc. | (22,000 | ) | (484,405 | ) | (78,135 | ) | ||||||
SBA Communications Corp. | (15,247 | ) | (1,835,645 | ) | 82,698 | |||||||
Schlumberger Ltd. | (32,143 | ) | (2,945,531 | ) | 175,126 | |||||||
Scripps Networks Interactive, Inc. | (16,748 | ) | (1,188,974 | ) | 94,157 | |||||||
Sealed Air Corp. | (22,720 | ) | (1,059,888 | ) | (107,466 | ) | ||||||
Seattle Genetics, Inc. | (76,500 | ) | (2,867,423 | ) | (835,177 | ) | ||||||
SeaWorld Entertainment, Inc. | (123,813 | ) | (2,390,077 | ) | 106,966 | |||||||
Semtech Corp. | (53,619 | ) | (1,357,309 | ) | 292,971 | |||||||
Service Corp. International | (48,213 | ) | (1,195,682 | ) | (223,226 | ) | ||||||
ServiceNow, Inc. | (17,305 | ) | (1,330,408 | ) | 44,474 | |||||||
Silicon Laboratories, Inc. | (4,443 | ) | (222,833 | ) | (17,133 | ) | ||||||
Sirius XM Holdings, Inc. | (966,066 | ) | (3,753,709 | ) | 150,283 | |||||||
Sirona Dental Systems, Inc. | (3,412 | ) | (310,772 | ) | (31,861 | ) | ||||||
Six Flags Entertainment Corp. | (21,924 | ) | (1,007,193 | ) | 23,901 | |||||||
SLM Corp. | (22,200 | ) | (203,682 | ) | (15,432 | ) | ||||||
SolarWinds, Inc. | (13,895 | ) | (696,139 | ) | 55,163 | |||||||
Solera Holdings, Inc. | (52,446 | ) | (2,693,477 | ) | 356,484 | |||||||
Sotheby’s | (78,232 | ) | (3,430,653 | ) | (108,563 | ) | ||||||
Southwestern Energy Co. | (30,116 | ) | (813,264 | ) | 128,727 | |||||||
Spirit Airlines, Inc. | (43,329 | ) | (3,046,679 | ) | 355,948 | |||||||
Splunk, Inc. | (50,766 | ) | (3,236,750 | ) | (297,579 | ) | ||||||
Sprint Corp. | (778,363 | ) | (3,923,750 | ) | 374,415 | |||||||
Sprouts Farmers Market, Inc. | (164,157 | ) | (5,112,237 | ) | 683,282 | |||||||
SPX Corp. | (17,837 | ) | (1,345,299 | ) | 54,078 | |||||||
St. Jude Medical, Inc. | (2,747 | ) | (199,207 | ) | (1,517 | ) | ||||||
Stanley Black & Decker, Inc. | (5,274 | ) | (518,540 | ) | (36,496 | ) | ||||||
Starbucks Corp. | (25,988 | ) | (1,195,838 | ) | (197,509 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
239
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Starwood Hotels & Resorts Worldwide, Inc. | (4,442 | ) | $ | (361,010 | ) | $ | 808 | |||||
SunEdison, Inc. | (221,057 | ) | (4,942,799 | ) | (1,669,016 | ) | ||||||
SunPower Corp. | (9,778 | ) | (300,393 | ) | 22,600 | |||||||
SVB Financial Group | (5,450 | ) | (689,697 | ) | (94,994 | ) | ||||||
Synovus Financial Corp. | (68,232 | ) | (1,926,189 | ) | (176,721 | ) | ||||||
T Rowe Price Group, Inc. | (957 | ) | (78,253 | ) | 3,866 | |||||||
Tableau Software, Inc. | (14,000 | ) | (1,375,261 | ) | (238,939 | ) | ||||||
Targa Resources Corp. | (39,461 | ) | (3,834,267 | ) | 313,557 | |||||||
Taylor Morrison Home Corp. | (65,676 | ) | (1,271,792 | ) | (65,371 | ) | ||||||
TCF Financial Corp. | (10,410 | ) | (166,505 | ) | (6,406 | ) | ||||||
Teekay Corp. | (49,727 | ) | (2,271,781 | ) | 142,470 | |||||||
Tempur Sealy International, Inc. | (68,702 | ) | (3,981,836 | ) | (545,625 | ) | ||||||
Tenet Healthcare Corp. | (160,957 | ) | (7,628,158 | ) | (1,688,033 | ) | ||||||
Teradata Corp. | (14,561 | ) | (642,951 | ) | 104,194 | |||||||
Terex Corp. | (26,358 | ) | (670,548 | ) | 57,724 | |||||||
Tesla Motors, Inc. | (15,935 | ) | (3,088,127 | ) | (1,186,596 | ) | ||||||
Thor Industries, Inc. | (1,297 | ) | (77,782 | ) | 4,787 | |||||||
Thoratec Corp. | (65,235 | ) | (2,676,861 | ) | (230,663 | ) | ||||||
Tiffany & Co. | (49,048 | ) | (4,335,478 | ) | (167,128 | ) | ||||||
TimkenSteel Corp. | (18,261 | ) | (574,253 | ) | 81,388 | |||||||
T-Mobile US, Inc. | (134,870 | ) | (4,515,377 | ) | (713,533 | ) | ||||||
Toll Brothers, Inc. | (26,789 | ) | (1,020,197 | ) | (2,875 | ) | ||||||
TransDigm Group, Inc. | (3,414 | ) | (710,727 | ) | (56,297 | ) | ||||||
TreeHouse Foods, Inc. | (1,302 | ) | (91,126 | ) | (14,375 | ) | ||||||
Trimble Navigation Ltd. | (224,975 | ) | (5,692,302 | ) | 414,389 | |||||||
TripAdvisor, Inc. | (46,596 | ) | (3,834,468 | ) | (225,908 | ) | ||||||
Triumph Group, Inc. | (12,146 | ) | (723,294 | ) | (78,220 | ) | ||||||
Twenty-First Century Fox, Inc. | (36,346 | ) | (1,274,291 | ) | 91,410 | |||||||
Twitter, Inc. | (105,402 | ) | (4,764,152 | ) | 946,491 | |||||||
Ulta Salon Cosmetics & Fragrance, Inc. | (10,002 | ) | (1,359,372 | ) | (185,437 | ) | ||||||
Umpqua Holdings Corp. | (120,163 | ) | (2,032,232 | ) | (129,500 | ) | ||||||
Under Armour, Inc. | (9,157 | ) | (667,545 | ) | (96,515 | ) | ||||||
United Continental Holdings, Inc. | (12,968 | ) | (842,012 | ) | 154,579 | |||||||
United Natural Foods, Inc. | (10,037 | ) | (719,009 | ) | 79,853 | |||||||
United Rentals, Inc. | (8,060 | ) | (722,561 | ) | 16,344 | |||||||
Urban Outfitters, Inc. | (36,482 | ) | (1,517,373 | ) | 240,503 | |||||||
USG Corp. | (166,406 | ) | (4,735,558 | ) | 111,135 | |||||||
Valspar Corp./The | (1,348 | ) | (117,883 | ) | 7,589 | |||||||
Vantiv, Inc. | (7,037 | ) | (268,039 | ) | (704 | ) | ||||||
Varian Medical Systems, Inc. | (1,060 | ) | (98,378 | ) | 8,988 | |||||||
VCA, Inc. | (1,475 | ) | (77,193 | ) | (3,054 | ) | ||||||
Veeva Systems, Inc. | (3,700 | ) | (92,653 | ) | (11,058 | ) | ||||||
VeriFone Systems, Inc. | (142,112 | ) | (5,136,644 | ) | 310,520 | |||||||
Verisk Analytics, Inc. | (9,467 | ) | (639,591 | ) | (49,228 | ) | ||||||
Vertex Pharmaceuticals, Inc. | (31,663 | ) | (3,727,011 | ) | (182,736 | ) | ||||||
Visteon Corp. | (35,770 | ) | (3,855,170 | ) | 100,035 | |||||||
VMware, Inc. | (20,237 | ) | (1,757,700 | ) | 22,579 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Waddell & Reed Financial, Inc. | (46,026 | ) | $ | (2,255,802 | ) | $ | 78,312 | |||||
Watsco, Inc. | (610 | ) | (73,606 | ) | (1,876 | ) | ||||||
Webster Financial Corp. | (7,157 | ) | (246,129 | ) | (36,930 | ) | ||||||
WellCare Health Plans, Inc. | (40,207 | ) | (3,314,202 | ) | (96,558 | ) | ||||||
Wendy’s Co./The | (72,627 | ) | (801,802 | ) | (17,430 | ) | ||||||
Westlake Chemical Corp. | (1,056 | ) | (72,535 | ) | 104 | |||||||
WEX, Inc. | (7,265 | ) | (768,744 | ) | (59,248 | ) | ||||||
WhiteWave Foods Co./The | (46,700 | ) | (2,051,889 | ) | (230,807 | ) | ||||||
Whiting Petroleum Corp. | (81,049 | ) | (3,007,366 | ) | 284,120 | |||||||
Williams Cos., Inc./The | (68,995 | ) | (3,473,959 | ) | (485,664 | ) | ||||||
Woodward, Inc. | (4,545 | ) | (222,796 | ) | (27,134 | ) | ||||||
Workday, Inc. | (34,300 | ) | (3,010,962 | ) | 390,785 | |||||||
WR Grace & Co. | (52,082 | ) | (5,148,323 | ) | (75,502 | ) | ||||||
WW Grainger, Inc. | (1,105 | ) | (263,152 | ) | 1,654 | |||||||
Wynn Resorts Ltd. | (40,141 | ) | (4,699,939 | ) | 739,227 | |||||||
Xylem, Inc. | (16,325 | ) | (587,219 | ) | (17,948 | ) | ||||||
Yelp, Inc. | (66,500 | ) | (3,217,296 | ) | 355,801 | |||||||
Yum! Brands, Inc. | (14,397 | ) | (1,120,426 | ) | (176,455 | ) | ||||||
Zillow Group, Inc. | (858 | ) | (79,833 | ) | 5,410 | |||||||
Zions Bancorporation | (115,051 | ) | (3,256,360 | ) | (394,784 | ) | ||||||
Zoetis, Inc. | (13,100 | ) | (605,220 | ) | (26,462 | ) | ||||||
Zynga, Inc. | (833,343 | ) | (1,991,023 | ) | (392,338 | ) | ||||||
|
| |||||||||||
9,769,427 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 10,676,650 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (1,385,944 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 556,936 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (829,008 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
240
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Total Return Basket Swaps Outstanding at June 30, 2015
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps. | 2-25 months maturity ranging from 07/21/2015 - 02/21/2017 | $5,259,127 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
DCC PLC | 26,497 | $ | 1,719,018 | $ | 361,797 | |||||||
|
| |||||||||||
Netherlands | ||||||||||||
Royal Dutch Shell PLC | 9,587 | 298,589 | (27,525 | ) | ||||||||
|
| |||||||||||
South Africa | ||||||||||||
Investec PLC | 139,931 | 1,265,955 | (8,677 | ) | ||||||||
Mondi PLC | 91,093 | 1,842,810 | 118,356 | |||||||||
|
| |||||||||||
109,679 | ||||||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Wolseley PLC | 11,149 | 682,839 | 28,181 | |||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
3i Group PLC | 347,582 | 2,894,995 | (74,649 | ) | ||||||||
Amlin PLC | 77,900 | 616,061 | (33,207 | ) | ||||||||
Ashtead Group PLC | 118,219 | 2,027,802 | 9,678 | |||||||||
Associated British Foods PLC | 62,438 | 2,884,183 | (70,588 | ) | ||||||||
AstraZeneca PLC | 12,589 | 901,867 | (105,106 | ) | ||||||||
Aviva PLC | 423,394 | 3,616,989 | (337,640 | ) | ||||||||
Babcock International Group PLC | 58,028 | 966,595 | 16,541 | |||||||||
BAE Systems PLC | 356,833 | 2,926,692 | (398,379 | ) | ||||||||
Barratt Developments PLC | 490,758 | 3,909,818 | 823,705 | |||||||||
Berkeley Group Holdings PLC | 40,068 | 1,760,185 | 345,345 | |||||||||
Britvic PLC | 18,966 | 222,324 | (8,640 | ) | ||||||||
BT Group PLC | 734,331 | 5,233,038 | (32,988 | ) | ||||||||
BTG PLC | 4,584 | 51,634 | (6,433 | ) | ||||||||
Bunzl PLC | 67,600 | 1,996,164 | (152,073 | ) | ||||||||
Close Brothers Group PLC | 36,422 | 907,107 | (33,201 | ) | ||||||||
Cobham PLC | 78,653 | 408,106 | (83,269 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Compass Group PLC | 106,729 | $ | 1,873,527 | $ | (108,320 | ) | ||||||
Direct Line Insurance Group PLC | 455,907 | 2,505,762 | (99,232 | ) | ||||||||
Dixons Carphone PLC | 122,800 | 840,192 | 33,026 | |||||||||
easyJet PLC | 56,344 | 1,556,195 | (186,554 | ) | ||||||||
G4S PLC | 227,720 | 1,006,138 | (45,950 | ) | ||||||||
GKN PLC | 295,576 | 1,746,198 | (193,294 | ) | ||||||||
Greene King PLC | 51,363 | 668,707 | 13,041 | |||||||||
Hays PLC | 58,579 | 145,558 | 4,674 | |||||||||
Henderson Group PLC | 55,003 | 224,140 | 1,523 | |||||||||
Hikma Pharmaceuticals PLC | 68,744 | 2,394,231 | (306,084 | ) | ||||||||
Howden Joinery Group PLC | 35,222 | 277,452 | 8,437 | |||||||||
HSBC Holdings PLC | 292,021 | 2,779,021 | (164,144 | ) | ||||||||
ICAP PLC | 45,351 | 354,152 | 23,076 | |||||||||
Imperial Tobacco Group PLC | 87,252 | 4,207,278 | (5,027 | ) | ||||||||
Inchcape PLC | 152,700 | 1,774,514 | 169,282 | |||||||||
Indivior PLC | 338,533 | 1,229,208 | (32,864 | ) | ||||||||
Inmarsat PLC | 100,038 | 1,415,735 | 22,361 | |||||||||
Intermediate Capital Group PLC | 211,481 | 1,745,583 | 81,346 | |||||||||
International Consolidated Airlines Group SA | 356,342 | 3,208,911 | (439,739 | ) | ||||||||
ITV PLC | 380,636 | 1,500,583 | 74,275 | |||||||||
Kingfisher PLC | 178,602 | 961,628 | 12,556 | |||||||||
Legal & General Group PLC | 197,607 | 839,349 | (66,693 | ) | ||||||||
Man Group PLC | 1,204,066 | 3,367,408 | (399,786 | ) | ||||||||
Marks & Spencer Group PLC | 10,935 | 92,324 | (77 | ) | ||||||||
Meggitt PLC | 19,145 | 167,537 | (27,343 | ) | ||||||||
Merlin Entertainments PLC | 4,185 | 29,635 | (1,566 | ) | ||||||||
National Grid PLC | 186,642 | 2,591,592 | (189,354 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
241
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Next PLC | 15,004 | $ | 1,703,132 | $ | 52,965 | |||||||
Pennon Group PLC | 11,202 | 150,236 | (7,535 | ) | ||||||||
Persimmon PLC | 152,314 | 4,141,868 | 583,821 | |||||||||
Playtech PLC | 69,820 | 930,512 | (32,698 | ) | ||||||||
Provident Financial PLC | 58,099 | 2,492,736 | 178,419 | |||||||||
Reckitt Benckiser Group PLC | 8,406 | 751,849 | (26,963 | ) | ||||||||
Rentokil Initial PLC | 499,225 | 1,003,423 | 156,000 | |||||||||
Rexam PLC | 47,938 | 413,622 | 2,146 | |||||||||
Rightmove PLC | 28,157 | 1,309,399 | 139,373 | |||||||||
Rotork PLC | 25,760 | 96,648 | (2,480 | ) | ||||||||
Royal Mail PLC | 29,205 | 201,766 | 34,342 | |||||||||
Sage Group PLC/The | 50,893 | 374,018 | 35,647 | |||||||||
Shire PLC | 47,433 | 3,967,008 | (155,787 | ) | ||||||||
Sky PLC | 222,670 | 3,293,286 | 333,483 | |||||||||
Smith & Nephew PLC | 25,517 | 471,857 | (40,179 | ) | ||||||||
SSE PLC | 107,504 | 2,628,555 | (34,913 | ) | ||||||||
Taylor Wimpey PLC | 1,712,592 | 4,556,578 | 437,816 | |||||||||
Telecity Group PLC | 13,168 | 226,867 | (14,155 | ) | ||||||||
Travis Perkins PLC | 34,568 | 1,079,907 | 64,977 | |||||||||
UBM PLC | 8,043 | 67,572 | 8 | |||||||||
United Utilities Group PLC | 73,965 | 1,107,732 | (71,750 | ) | ||||||||
Vodafone Group PLC | 618,722 | 2,352,056 | (95,023 | ) | ||||||||
Whitbread PLC | 16,191 | 1,275,364 | (17,497 | ) | ||||||||
WPP PLC | 71,964 | 1,673,496 | (58,179 | ) | ||||||||
|
| |||||||||||
(501,496 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (29,364 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
BHP Billiton PLC | (84,516 | ) | (1,911,646 | ) | 249,919 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Coca-Cola HBC AG | (19,755 | ) | (383,452 | ) | (40,513 | ) | ||||||
Glencore PLC | (315,382 | ) | (1,443,641 | ) | 178,895 | |||||||
|
| |||||||||||
138,382 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aberdeen Asset Management PLC | (75,523 | ) | (539,776 | ) | 60,731 | |||||||
Admiral Group PLC | (75,828 | ) | (1,698,717 | ) | 46,402 | |||||||
Aggreko PLC | (9,947 | ) | (257,009 | ) | 32,333 | |||||||
Anglo American PLC | (226,110 | ) | (3,708,849 | ) | 442,366 | |||||||
Antofagasta PLC | (76,844 | ) | (899,200 | ) | 67,453 | |||||||
ASOS PLC | (74,526 | ) | (3,816,896 | ) | (726,743 | ) | ||||||
Barclays PLC | (124,450 | ) | (502,347 | ) | (7,730 | ) | ||||||
Booker Group PLC | (243,706 | ) | (593,492 | ) | (50,890 | ) | ||||||
British American Tobacco PLC | (31,203 | ) | (1,772,815 | ) | 92,768 | |||||||
Burberry Group PLC | (110,985 | ) | (3,177,928 | ) | 439,886 | |||||||
Capita PLC | (45,057 | ) | (873,014 | ) | (2,471 | ) | ||||||
Centrica PLC | (1,455,571 | ) | (5,898,395 | ) | (141,472 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Croda International PLC | (16,152 | ) | $ | (704,160 | ) | $ | 5,762 | |||||
Diageo PLC | (172,695 | ) | (4,951,092 | ) | (50,119 | ) | ||||||
Drax Group PLC | (737,194 | ) | (4,604,864 | ) | 572,871 | |||||||
DS Smith PLC | (77,471 | ) | (404,929 | ) | (64,869 | ) | ||||||
Experian PLC | (175,578 | ) | (3,256,473 | ) | 62,992 | |||||||
GlaxoSmithKline PLC | (73,524 | ) | (1,701,137 | ) | 172,430 | |||||||
Hargreaves Lansdown PLC | (287,505 | ) | (4,909,726 | ) | (299,296 | ) | ||||||
IMI PLC | (153,253 | ) | (3,420,129 | ) | 711,000 | |||||||
Intertek Group PLC | (29,992 | ) | (1,199,057 | ) | 45,865 | |||||||
John Wood Group PLC | (42,978 | ) | (446,735 | ) | 11,765 | |||||||
Johnson Matthey PLC | (9,708 | ) | (524,741 | ) | 61,784 | |||||||
Kazakhmys PLC | (467,755 | ) | (1,748,947 | ) | 255,698 | |||||||
Ladbrokes PLC | (711,108 | ) | (1,349,850 | ) | (100,228 | ) | ||||||
Lloyds Banking Group PLC | (1,969,497 | ) | (2,423,696 | ) | (219,762 | ) | ||||||
Lonmin PLC | (1,417 | ) | (7 | ) | (2,487 | ) | ||||||
Melrose Industries PLC | (364,351 | ) | (1,722,873 | ) | 306,737 | |||||||
Ocado Group PLC | (191,467 | ) | (1,102,047 | ) | (238,354 | ) | ||||||
Old Mutual PLC | (745,118 | ) | (2,620,519 | ) | 261,957 | |||||||
Petrofac Ltd. | (118,567 | ) | (1,674,972 | ) | (50,262 | ) | ||||||
Premier Oil PLC | (344,063 | ) | (753,366 | ) | (52,382 | ) | ||||||
Prudential PLC | (7,888 | ) | (201,125 | ) | 11,027 | |||||||
Rio Tinto PLC | (24,839 | ) | (1,132,603 | ) | 110,901 | |||||||
Rolls-Royce Holdings PLC | (2,402,640 | ) | (157 | ) | (3,618 | ) | ||||||
Rolls-Royce Holdings PLC | (62,237 | ) | (977,762 | ) | 127,651 | |||||||
Rolls-Royce Holdings PLC | (1,068,480 | ) | (76 | ) | (1,603 | ) | ||||||
Royal Bank of Scotland Group PLC | (174,786 | ) | (969,242 | ) | 2,761 | |||||||
RSA Insurance Group PLC | (187,160 | ) | (1,287,590 | ) | 120,498 | |||||||
SABMiller PLC | (36,729 | ) | (2,062,047 | ) | 157,634 | |||||||
Serco Group PLC | (1,215,929 | ) | (2,836,577 | ) | 581,776 | |||||||
Severn Trent PLC | (11,850 | ) | (378,819 | ) | (8,396 | ) | ||||||
Spectris PLC | (2,554 | ) | (90,838 | ) | 6,221 | |||||||
Spirax-Sarco Engineering PLC | (6,542 | ) | (334,574 | ) | (14,346 | ) | ||||||
Sports Direct International PLC | (103,448 | ) | (1,100,423 | ) | (65,942 | ) | ||||||
St. James’s Place PLC | (179,083 | ) | (2,555,173 | ) | 8,690 | |||||||
Standard Chartered PLC | (31,937 | ) | (542,027 | ) | 30,575 | |||||||
Standard Life PLC | (244,861 | ) | (1,866,621 | ) | 159,196 | |||||||
Tesco PLC | (2,766,492 | ) | (10,157,452 | ) | 940,104 | |||||||
Thomas Cook Group PLC | (692,749 | ) | (1,565,617 | ) | 76,547 | |||||||
Vedanta Resources PLC | (113,946 | ) | (972,861 | ) | 42,287 | |||||||
Weir Group PLC/The | (73,196 | ) | (2,166,837 | ) | 216,001 | |||||||
William Hill PLC | (168,193 | ) | (1,026,108 | ) | (39,297 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
242
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
WM Morrison Supermarkets PLC | (662,622 | ) | $ | (1,896,780 | ) | $ | 15,744 | |||||
|
| |||||||||||
4,118,146 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 4,506,447 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 4,477,083 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 782,044 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 5,259,127 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Total Return Basket Swaps Outstanding at June 30, 2015
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps. | 1-25 months maturity ranging from 07/17/2015 - 02/21/2017 | $294,175 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Accor SA | 605 | $ | 30,521 | $ | 98 | |||||||
Aeroports de Paris | 6,084 | 710,730 | (23,476 | ) | ||||||||
Air Liquide SA | 19,384 | 2,477,640 | (17,993 | ) | ||||||||
AtoS | 3,566 | 271,552 | (5,088 | ) | ||||||||
BNP Paribas SA | 1,459 | 80,758 | 7,778 | |||||||||
Cap Gemini SA | 14,185 | 1,107,007 | 151,437 | |||||||||
Christian Dior SE | 6,330 | 1,191,359 | 47,859 | |||||||||
Cie Generale des Etablissements Michelin | 19,786 | 1,853,881 | 228,079 | |||||||||
CNP Assurances | 8,021 | 141,783 | (7,538 | ) | ||||||||
Credit Agricole SA | 69,309 | 927,690 | 107,090 | |||||||||
Danone SA | 6,506 | 420,949 | 473 | |||||||||
Dassault Systemes | 3,798 | 252,534 | 23,179 | |||||||||
Eiffage SA | 3,706 | 203,093 | 3,266 | |||||||||
Electricite de France SA | 88,693 | 2,326,945 | (343,003 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Eutelsat Communications SA | 36,682 | $ | 1,272,489 | $ | (87,541 | ) | ||||||
GDF Suez | 10,194 | 213,011 | (23,216 | ) | ||||||||
Havas SA | 62,458 | 508,810 | 12,457 | |||||||||
Imerys SA | 11,089 | 818,749 | 31,922 | |||||||||
Ingenico Group | 704 | 73,683 | 9,142 | |||||||||
Lagardere SCA | 20,799 | 564,190 | 44,406 | |||||||||
L’Oreal SA | 38,440 | 7,317,259 | (439,533 | ) | ||||||||
Natixis SA | 11,038 | 76,481 | 3,184 | |||||||||
Neopost SA | 15,336 | 780,805 | (120,834 | ) | ||||||||
Orange SA | 19,514 | 348,901 | (47,324 | ) | ||||||||
Orpea | 943 | 65,522 | 515 | |||||||||
Pernod Ricard SA | 1,437 | 166,712 | (591 | ) | ||||||||
Publicis Groupe SA | 5,233 | 407,183 | (19,297 | ) | ||||||||
Rexel SA | 26,532 | 470,418 | (42,281 | ) | ||||||||
Safran SA | 8,406 | 568,486 | 2,781 | |||||||||
Sanofi | 25,481 | 2,500,992 | 19,842 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
243
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
SCOR SE | 37,881 | $ | 1,190,416 | $ | 149,111 | |||||||
SEB SA | 1,831 | 162,733 | 8,312 | |||||||||
SES SA | 17,827 | 640,156 | (40,848 | ) | ||||||||
Societe BIC SA | 7,637 | 1,142,698 | 75,463 | |||||||||
Societe Generale SA | 22,574 | 1,031,449 | 27,808 | |||||||||
Sodexo SA | 3,164 | 307,527 | (6,321 | ) | ||||||||
Suez Environnement Co. | 90,218 | 1,640,799 | 43,482 | |||||||||
Teleperformance | 11,182 | 818,469 | (27,938 | ) | ||||||||
Thales SA | 11,363 | 651,854 | 34,710 | |||||||||
TOTAL SA | 22,764 | 1,205,075 | (88,479 | ) | ||||||||
Valeo SA | 5,605 | 826,397 | 60,219 | |||||||||
Vinci SA | 18,456 | 1,081,749 | (10,605 | ) | ||||||||
Vivendi SA | 37,100 | 941,233 | (503 | ) | ||||||||
Zodiac Aerospace | 5,524 | 186,001 | (6,063 | ) | ||||||||
|
| |||||||||||
(265,859 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (265,859 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Airbus Group SE | (32,891 | ) | (1,868,146 | ) | (274,287 | ) | ||||||
Arkema SA | (11,355 | ) | (825,431 | ) | 4,605 | |||||||
Bollore SA | (424,409 | ) | (2,377,740 | ) | 107,395 | |||||||
Bouygues SA | (5,139 | ) | (200,584 | ) | 7,387 | |||||||
Bureau Veritas SA | (48,868 | ) | (1,113,657 | ) | (12,847 | ) | ||||||
Carrefour SA | (12,704 | ) | (421,783 | ) | 13,559 | |||||||
Casino Guichard Perrachon SA | (7,291 | ) | (621,035 | ) | 67,630 | |||||||
Cie de Saint-Gobain | (35,322 | ) | (1,560,800 | ) | (33,685 | ) | ||||||
Edenred | (20,936 | ) | (554,549 | ) | 37,247 | |||||||
Etablissements Maurel et Prom | (110,881 | ) | (952,861 | ) | 127,499 | |||||||
Faurecia | (6,450 | ) | (281,081 | ) | 14,431 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Hermes International | (2,691 | ) | $ | (1,004,503 | ) | $ | (262 | ) | ||||
Iliad SA | (14,489 | ) | (3,423,020 | ) | 201,499 | |||||||
JCDecaux SA | (8,520 | ) | (310,411 | ) | (45,881 | ) | ||||||
Legrand SA | (4,110 | ) | (215,699 | ) | (15,620 | ) | ||||||
Peugeot SA | (170,566 | ) | (2,575,804 | ) | (941,582 | ) | ||||||
Plastic Omnium SA | (33,140 | ) | (956,093 | ) | 108,302 | |||||||
Remy Cointreau SA | (42,969 | ) | (3,142,347 | ) | 38,014 | |||||||
Renault SA | (8,472 | ) | (768,674 | ) | (119,594 | ) | ||||||
Schneider Electric SE | (11,636 | ) | (896,949 | ) | 91,283 | |||||||
Societe Television Francaise 1 | (11,412 | ) | (185,484 | ) | (10,848 | ) | ||||||
Technip SA | (17,640 | ) | (1,136,341 | ) | 43,117 | |||||||
Vallourec SA | (257,226 | ) | (6,369,010 | ) | 1,113,976 | |||||||
Veolia Environnement SA | (30,763 | ) | (562,204 | ) | (67,653 | ) | ||||||
|
| |||||||||||
453,685 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 453,685 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 187,826 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 106,349 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 294,175 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Bank of America | ||||||||||
Money Market Funds | $3,900,068 | $— | $3,900,068 | |||||||
| ||||||||||
Barclays Capital | ||||||||||
Cash | — | 40,489,111 | 40,489,111 | |||||||
| ||||||||||
Credit Suisse International | ||||||||||
Money Market Funds | 200,006 | — | 200,006 | |||||||
| ||||||||||
Goldman Sachs | ||||||||||
Cash | — | 22,265,052 | 22,265,052 | |||||||
Money Market Funds | 148,400,000 | — | 148,400,000 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | 7,144,295 | 7,144,295 | |||||||
| ||||||||||
Morgan Stanley and Co., International PLC | ||||||||||
Cash | — | 243,672 | 243,672 | |||||||
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
244
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Citibank | ||||||||||
Cash | $800,000 | $— | $800,000 | |||||||
| ||||||||||
Deutsche Bank | ||||||||||
Money Market Funds | 10 | — | 10 | |||||||
| ||||||||||
Goldman Sachs | ||||||||||
Cash | — | 2,421,551 | 2,421,551 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | 8,270,175 | 8,270,175 | |||||||
| ||||||||||
Morgan Stanley and Co., International PLC | ||||||||||
Cash | — | 7,680,914 | 7,680,914 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
245
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
LONG INVESTMENTS - 109.8% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 23.2% | ||||||||
Belgium - 0.8% | ||||||||
bpost SA | 7,250 | $ | 199,376 | |||||
Colruyt SA | 61 | 2,736 | ||||||
Delhaize Group | 774 | 62,955 | ||||||
Proximus | 2,148 | 76,011 | ||||||
|
| |||||||
341,078 | ||||||||
|
| |||||||
Denmark - 0.3% | ||||||||
AP Moeller - Maersk A/S, Class B (a) | 11 | 19,888 | ||||||
Danske Bank A/S (a) | 467 | 13,728 | ||||||
GN Store Nord A/S (a) | 388 | 8,007 | ||||||
Jyske Bank A/S †(a) | 1,319 | 66,236 | ||||||
Pandora A/S (a) | 85 | 9,121 | ||||||
William Demant Holding A/S †(a) | 44 | 3,354 | ||||||
|
| |||||||
120,334 | ||||||||
|
| |||||||
Finland - 0.5% | ||||||||
Elisa OYJ | 24 | 760 | ||||||
Fortum OYJ | 1,767 | 31,391 | ||||||
Kesko OYJ, B Shares | 1,086 | 37,817 | ||||||
Metso OYJ | 24 | 660 | ||||||
Neste OYJ | 1,071 | 27,321 | ||||||
Orion OYJ, Class B | 2,265 | 79,339 | ||||||
Stora Enso OYJ, R Shares | 1,821 | 18,766 | ||||||
UPM-Kymmene OYJ | 2,404 | 42,541 | ||||||
Wartsila OYJ | 32 | 1,500 | ||||||
|
| |||||||
240,095 | ||||||||
|
| |||||||
Germany - 1.9% | ||||||||
Allianz SE (a) | 105 | 16,375 | ||||||
Aurubis AG (a) | 2,115 | 124,251 | ||||||
Axel Springer SE (a) | 479 | 25,157 | ||||||
Bayerische Motoren Werke AG (a) | 94 | 10,294 | ||||||
Brenntag AG (a) | 246 | 14,116 | ||||||
Deutsche Telekom AG (a) | 840 | 14,482 | ||||||
Fresenius Medical Care AG & Co. KGaA (a) | 1,631 | 135,025 | ||||||
GEA Group AG (a) | 51 | 2,275 | ||||||
Hannover Rueck SE (a) | 1,243 | 120,306 | ||||||
HeidelbergCement AG (a) | 136 | 10,779 | ||||||
HOCHTIEF AG (a) | 567 | 43,954 | ||||||
K+S AG (a) | 745 | 31,415 | ||||||
KION Group AG †(a) | 23 | 1,103 | ||||||
MAN SE (a) | 71 | 7,315 | ||||||
Merck KGaA (a) | 1,044 | 104,077 | ||||||
MTU Aero Engines AG (a) | 89 | 8,376 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | 339 | 60,103 | ||||||
ProSiebenSat.1 Media AG (a) | 71 | 3,507 | ||||||
RHOEN-KLINIKUM AG (a) | 2,341 | 62,768 | ||||||
Software AG (a) | 108 | 2,959 | ||||||
Symrise AG (a) | 424 | 26,333 | ||||||
TUI AG (a) | 38 | 614 | ||||||
|
| |||||||
825,584 | ||||||||
|
| |||||||
Italy - 1.1% | ||||||||
A2A SpA | 565 | 674 | ||||||
Assicurazioni Generali SpA | 761 | 13,716 | ||||||
Autogrill SpA † | 2,903 | 24,319 |
SHARES | VALUE (Note 5) | |||||||
Italy - 1.1% (continued) | ||||||||
Banca Popolare di Milano Scarl | 25,021 | $ | 26,388 | |||||
Davide Campari-Milano SpA | 4,582 | 34,881 | ||||||
Enel SpA | 3,257 | 14,762 | ||||||
Eni SpA | 4,869 | 86,481 | ||||||
FinecoBank Banca Fineco SpA | 102 | 755 | ||||||
Finmeccanica SpA † | 352 | 4,428 | ||||||
Hera SpA | 25,489 | 63,766 | ||||||
Intesa Sanpaolo SpA | 6,419 | 23,311 | ||||||
Mediobanca SpA | 9,497 | 93,115 | ||||||
Pirelli & C. SpA | 2,941 | 49,636 | ||||||
Snam SpA | 4,752 | 22,615 | ||||||
Terna Rete Elettrica Nazionale SpA | 3,214 | 14,211 | ||||||
UnipolSai SpA | 252 | 624 | ||||||
|
| |||||||
473,682 | ||||||||
|
| |||||||
Japan - 14.1% | ||||||||
ABC-Mart, Inc. (a) | 1,200 | 73,443 | ||||||
Air Water, Inc. (a) | 1,000 | 18,282 | ||||||
Aisin Seiki Co., Ltd. (a) | 1,000 | 42,519 | ||||||
Ajinomoto Co., Inc. (a) | 1,000 | 21,625 | ||||||
Alfresa Holdings Corp. (a) | 5,300 | 82,474 | ||||||
ANA Holdings, Inc. (a) | 43,000 | 116,587 | ||||||
Aozora Bank Ltd. (a) | 14,000 | 52,822 | ||||||
Asahi Group Holdings Ltd. (a) | 400 | 12,703 | ||||||
Asahi Kasei Corp. (a) | 14,000 | 114,836 | ||||||
Astellas Pharma, Inc. (a) | 2,900 | 41,313 | ||||||
Bandai Namco Holdings, Inc. (a) | 3,300 | 63,771 | ||||||
Bank of Yokohama Ltd./The (a) | 4,000 | 24,496 | ||||||
Benesse Holdings, Inc. (a) | 800 | 20,056 | ||||||
Brother Industries Ltd. (a) | 6,300 | 89,123 | ||||||
Calbee, Inc. (a) | 500 | 21,064 | ||||||
Canon, Inc. (a) | 2,700 | 87,584 | ||||||
Central Japan Railway Co. (a) | 600 | 108,273 | ||||||
Chiba Bank Ltd./The (a) | 1,000 | 7,615 | ||||||
Chugoku Bank Ltd./The (a) | 7,000 | 110,333 | ||||||
Citizen Holdings Co., Ltd. (a) | 2,000 | 13,954 | ||||||
Dai Nippon Printing Co., Ltd. (a) | 1,000 | 10,319 | ||||||
Daicel Corp. (a) | 3,800 | 48,762 | ||||||
Daihatsu Motor Co., Ltd. (a) | 1,900 | 27,043 | ||||||
Daiichi Sankyo Co., Ltd. (a) | 1,400 | 25,873 | ||||||
Disco Corp. (a) | 200 | 16,534 | ||||||
Don Quijote Holdings Co., Ltd. (a) | 200 | 8,510 | ||||||
East Japan Railway Co. (a) | 900 | 80,909 | ||||||
Eisai Co., Ltd. (a) | 100 | 6,705 | ||||||
Electric Power Development Co., Ltd. (a) | 600 | 21,196 | ||||||
FamilyMart Co., Ltd. (a) | 800 | 36,788 | ||||||
FUJIFILM Holdings Corp. (a) | 1,600 | 57,101 | ||||||
Fujitsu Ltd. (a) | 4,000 | 22,349 | ||||||
Fukuoka Financial Group, Inc. (a) | 12,000 | 62,197 | ||||||
Gunma Bank Ltd./The (a) | 1,000 | 7,378 | ||||||
Hakuhodo DY Holdings, Inc. (a) | 8,600 | 91,972 | ||||||
Hikari Tsushin, Inc. (a) | 500 | 33,699 | ||||||
Hitachi Chemical Co., Ltd. (a) | 1,000 | 18,011 | ||||||
Hitachi High-Technologies Corp. (a) | 1,900 | 53,412 | ||||||
Hitachi Metals Ltd. (a) | 3,000 | 46,120 | ||||||
Hokuhoku Financial Group, Inc. (a) | 10,000 | 23,592 | ||||||
Hoshizaki Electric Co., Ltd. (a) | 200 | 11,764 | ||||||
Hoya Corp. (a) | 2,000 | 80,100 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
246
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SHARES | VALUE (Note 5) | |||||||
Japan - 14.1% (continued) | ||||||||
Ibiden Co., Ltd. (a) | 1,200 | $ | 20,294 | |||||
Idemitsu Kosan Co., Ltd. (a) | 1,700 | 33,351 | ||||||
ITOCHU Corp. (a) | 2,800 | 36,980 | ||||||
Itochu Techno-Solutions Corp. (a) | 4,800 | 119,538 | ||||||
Japan Airlines Co., Ltd. (a) | 8,900 | 310,160 | ||||||
JSR Corp. (a) | 600 | 10,592 | ||||||
JTEKT Corp. (a) | 600 | 11,346 | ||||||
Kamigumi Co., Ltd. (a) | 3,000 | 28,161 | ||||||
Kaneka Corp. (a) | 3,000 | 21,909 | ||||||
Kao Corp. (a) | 400 | 18,603 | ||||||
KDDI Corp. (a) | 2,700 | 65,156 | ||||||
Keihan Electric Railway Co., Ltd. (a) | 3,000 | 17,470 | ||||||
Kobayashi Pharmaceutical Co., Ltd. (a) | 300 | 20,374 | ||||||
Kobe Steel Ltd. | 1,000 | 1,682 | ||||||
Komatsu Ltd. (a) | 1,900 | 38,120 | ||||||
Kuraray Co., Ltd. (a) | 1,000 | 12,215 | ||||||
Kurita Water Industries Ltd. (a) | 1,700 | 39,600 | ||||||
Mabuchi Motor Co., Ltd. (a) | 600 | 37,952 | ||||||
Makita Corp. (a) | 200 | 10,832 | ||||||
Maruichi Steel Tube Ltd. (a) | 1,000 | 24,820 | ||||||
Medipal Holdings Corp. (a) | 3,400 | 55,378 | ||||||
MEIJI Holdings Co., Ltd. (a) | 100 | 12,903 | ||||||
Miraca Holdings, Inc. (a) | 300 | 14,989 | ||||||
Mitsubishi Chemical Holdings Corp. (a) | 3,900 | 24,518 | ||||||
Mitsubishi Corp. (a) | 1,300 | 28,579 | ||||||
Mitsubishi Electric Corp. (a) | 7,000 | 90,389 | ||||||
Mitsubishi Gas Chemical Co., Inc. (a) | 1,000 | 5,599 | ||||||
Mitsubishi Tanabe Pharma Corp. (a) | 5,800 | 86,895 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. (a) | 800 | 4,375 | ||||||
Mitsui & Co., Ltd. (a) | 3,800 | 51,627 | ||||||
Mixi, Inc. | 1,800 | 89,303 | ||||||
Murata Manufacturing Co., Ltd. (a) | 100 | 17,452 | ||||||
Nagoya Railroad Co., Ltd. (a) | 7,000 | 26,173 | ||||||
Nexon Co., Ltd. (a) | 2,200 | 30,289 | ||||||
NH Foods Ltd. (a) | 2,000 | 45,609 | ||||||
NHK Spring Co., Ltd. (a) | 2,900 | 31,930 | ||||||
Nippon Express Co., Ltd. (a) | 3,000 | 14,740 | ||||||
Nippon Shokubai Co., Ltd. (a) | 2,000 | 27,358 | ||||||
Nippon Telegraph & Telephone Corp. (a) | 2,200 | 79,675 | ||||||
Nissin Foods Holdings Co., Ltd. (a) | 700 | 30,669 | ||||||
Nitori Holdings Co., Ltd. (a) | 1,500 | 122,293 | ||||||
NOK Corp. (a) | 2,200 | 68,164 | ||||||
Nomura Research Institute Ltd. (a) | 400 | 15,642 | ||||||
NTT Data Corp. (a) | 300 | 13,101 | ||||||
NTT DOCOMO, Inc. (a) | 1,800 | 34,557 | ||||||
Obic Co., Ltd. (a) | 200 | 8,917 | ||||||
Oracle Corp. Japan (a) | 100 | 4,181 | ||||||
Oriental Land Co., Ltd. (a) | 1,300 | 82,926 | ||||||
ORIX Corp. (a) | 4,600 | 68,308 | ||||||
Osaka Gas Co., Ltd. (a) | 27,000 | 106,564 | ||||||
Otsuka Corp. (a) | 1,500 | 70,023 | ||||||
Otsuka Holdings Co., Ltd. (a) | 5,400 | 172,061 | ||||||
Park24 Co., Ltd. (a) | 1,200 | 20,543 | ||||||
Resona Holdings, Inc. (a) | 20,600 | 112,355 | ||||||
Rohm Co., Ltd. (a) | 1,300 | 87,099 | ||||||
Sankyo Co., Ltd. (a) | 700 | 24,783 |
SHARES | VALUE (Note 5) | |||||||
Japan - 14.1% (continued) | ||||||||
Santen Pharmaceutical Co., Ltd. (a) | 5,300 | $ | 74,988 | |||||
Secom Co., Ltd. (a) | 200 | 12,993 | ||||||
Seiko Epson Corp. (a) | 2,500 | 44,301 | ||||||
Sekisui Chemical Co., Ltd. (a) | 7,000 | 85,932 | ||||||
Seven & I Holdings Co., Ltd. (a) | 1,300 | 55,803 | ||||||
Shimamura Co., Ltd. (a) | 1,000 | 104,989 | ||||||
Shimano, Inc. (a) | 400 | 54,584 | ||||||
Sumitomo Heavy Industries Ltd. (a) | 19,000 | 110,663 | ||||||
Sumitomo Rubber Industries Ltd. (a) | 8,600 | 133,217 | ||||||
Suzuken Co., Ltd. (a) | 770 | 24,635 | ||||||
Taisei Corp. (a) | 1,000 | 5,741 | ||||||
Takashimaya Co., Ltd. (a) | 1,000 | 9,064 | ||||||
TDK Corp. (a) | 100 | 7,657 | ||||||
Teijin Ltd. (a) | 3,000 | 11,641 | ||||||
THK Co., Ltd. (a) | 700 | 15,106 | ||||||
Toho Gas Co., Ltd. (a) | 22,000 | 130,243 | ||||||
Tohoku Electric Power Co., Inc. (a) | 5,300 | 71,759 | ||||||
Tokio Marine Holdings, Inc. (a) | 900 | 37,430 | ||||||
Tokyo Electron Ltd. (a) | 100 | 6,356 | ||||||
Tokyo Gas Co., Ltd. (a) | 19,000 | 100,865 | ||||||
TonenGeneral Sekiyu KK (a) | 1,000 | 9,302 | ||||||
Toyo Suisan Kaisha Ltd. (a) | 1,800 | 65,586 | ||||||
Toyoda Gosei Co., Ltd. (a) | 1,100 | 26,515 | ||||||
Toyota Industries Corp. (a) | 200 | 11,389 | ||||||
USS Co., Ltd. (a) | 2,100 | 37,874 | ||||||
West Japan Railway Co. (a) | 2,400 | 153,550 | ||||||
Yamada Denki Co., Ltd. (a) | 5,000 | 20,001 | ||||||
Yamaguchi Financial Group, Inc. (a) | 2,000 | 24,905 | ||||||
Yamazaki Baking Co., Ltd. (a) | 7,000 | 116,557 | ||||||
|
| |||||||
6,135,975 | ||||||||
|
| |||||||
Netherlands - 0.9% | ||||||||
Boskalis Westminster NV | 1,242 | 60,967 | ||||||
Delta Lloyd NV | 2,031 | 33,328 | ||||||
Heineken NV | 894 | 67,969 | ||||||
Koninklijke Ahold NV | 5,386 | 101,110 | ||||||
Koninklijke DSM NV | 223 | 12,947 | ||||||
NN Group NV | 25 | 704 | ||||||
SBM Offshore NV † | 920 | 10,966 | ||||||
Wolters Kluwer NV | 3,546 | 105,542 | ||||||
|
| |||||||
393,533 | ||||||||
|
| |||||||
Norway - 0.5% | ||||||||
DNB ASA (a) | 4,158 | 69,246 | ||||||
Marine Harvest ASA (a) | 1,204 | 13,789 | ||||||
Norsk Hydro ASA | 7,738 | 32,476 | ||||||
Yara International ASA (a) | 2,457 | 128,029 | ||||||
|
| |||||||
243,540 | ||||||||
|
| |||||||
Portugal - 0.0% (b) | ||||||||
NOS SGPS SA | 94 | 754 | ||||||
|
| |||||||
Spain - 1.1% | ||||||||
Abengoa SA, B Shares | 5,101 | 16,086 | ||||||
Acerinox SA | 1,180 | 16,334 | ||||||
ACS Actividades de Construccion y Servicios SA | 22 | 710 | ||||||
Amadeus IT Holding SA, A Shares | 83 | 3,313 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
247
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SHARES | VALUE (Note 5) | |||||||
Spain - 0.0% (continued) | ||||||||
Banco de Sabadell SA | 2,714 | $ | 6,574 | |||||
Banco Santander SA | 9,607 | 67,576 | ||||||
Ebro Foods SA | 2,079 | 40,279 | ||||||
Enagas SA | 1,371 | 37,322 | ||||||
Endesa SA | 6,266 | 120,004 | ||||||
Ferrovial SA | 1,284 | 27,897 | ||||||
Iberdrola SA | 4,615 | 31,158 | ||||||
Prosegur Cia de Seguridad SA | 3,440 | 18,919 | ||||||
Red Electrica Corp. SA | 33 | 2,650 | ||||||
Repsol SA | 650 | 11,457 | ||||||
Tecnicas Reunidas SA | 1,534 | 79,034 | ||||||
|
| |||||||
479,313 | ||||||||
|
| |||||||
Sweden - 0.7% | ||||||||
Boliden AB (a) | 3,349 | 61,055 | ||||||
Electrolux AB, Series B (a) | 632 | 19,803 | ||||||
Holmen AB, B Shares | 340 | 9,922 | ||||||
ICA Gruppen AB | 1,996 | 70,814 | ||||||
Securitas AB, B Shares (a) | 1,837 | 24,261 | ||||||
Skandinaviska Enskilda Banken AB, Class A (a) | 2,812 | 35,969 | ||||||
Skanska AB, B Shares (a) | 34 | 689 | ||||||
Swedish Match AB (a) | 628 | 17,854 | ||||||
Tele2 AB, B Shares (a) | 2,931 | 34,133 | ||||||
TeliaSonera AB (a) | 5,211 | 30,712 | ||||||
|
| |||||||
305,212 | ||||||||
|
| |||||||
Switzerland - 1.0% | ||||||||
Aryzta AG †(a) | 173 | 8,512 | ||||||
Bucher Industries AG (a) | 270 | 67,170 | ||||||
Flughafen Zuerich AG (a) | 1 | 774 | ||||||
Galenica AG (a) | 8 | 8,344 | ||||||
Givaudan SA †(a) | 21 | 36,357 | ||||||
Lonza Group AG †(a) | 30 | 4,010 | ||||||
Nestle SA (a) | 34 | 2,453 | ||||||
Novartis AG (a) | 192 | 18,885 | ||||||
Straumann Holding AG (a) | 17 | 4,666 | ||||||
Swiss Life Holding AG †(a) | 330 | 75,564 | ||||||
Swiss Re AG (a) | 1,074 | 95,074 | ||||||
Swisscom AG (a) | 180 | 100,880 | ||||||
Zurich Insurance Group AG †(a) | 22 | 6,698 | ||||||
|
| |||||||
429,387 | ||||||||
|
| |||||||
United Kingdom - 0.3% | ||||||||
Fiat Chrysler Automobiles NV † | 4,451 | 65,297 | ||||||
Reed Elsevier NV | 666 | 15,841 | ||||||
Unilever NV CVA | 1,603 | 67,020 | ||||||
|
| |||||||
148,158 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 10,136,645 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.5% | ||||||||
Germany - 0.5% | ||||||||
Henkel AG & Co. KGaA (a) | 708 | 79,449 | ||||||
Porsche Automobil Holding SE | 493 | 41,568 | ||||||
Volkswagen AG (a) | 534 | 123,930 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 244,947 | |||||||
|
|
MONEY MARKET FUNDS - 58.0% | SHARES | VALUE (Note 5) | ||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.010% (c) | 134,587 | $ | 134,587 | |||||
Dreyfus Treasury Cash Management, Class I, 0.010% (c) | 536,558 | 536,558 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c)^ | 20,770,100 | 20,770,100 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d) | 3,060,002 | 3,060,002 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (c) | 783,064 | 783,064 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 25,284,311 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 28.1% | | PRINCIPAL AMOUNT (000’s) | | |||||
U.S. Treasury Bill, 0.083%, 11/19/2015 (e)^ | $ | 12,248 | 12,246,677 | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE | 47,912,580 | |||||||
|
| |||||||
SECURITIES SOLD SHORT - (18.9)% | SHARES | |||||||
COMMON STOCKS - (18.9)% | ||||||||
Belgium - (0.4)% | ||||||||
KBC Groep NV | (857 | ) | (57,452 | ) | ||||
Telenet Group Holding NV † | (1,191 | ) | (64,799 | ) | ||||
UCB SA | (819 | ) | (58,890 | ) | ||||
|
| |||||||
(181,141 | ) | |||||||
|
| |||||||
Denmark - (0.1)% | ||||||||
Vestas Wind Systems A/S | (686 | ) | (34,193 | ) | ||||
|
| |||||||
Finland - (0.4)% | ||||||||
Nokia OYJ | (135 | ) | (920 | ) | ||||
Nokian Renkaat OYJ | (4,458 | ) | (139,671 | ) | ||||
Outokumpu OYJ † | (12,462 | ) | (62,785 | ) | ||||
|
| |||||||
(203,376 | ) | |||||||
|
| |||||||
Germany - (1.9)% | ||||||||
adidas AG | (819 | ) | (62,665 | ) | ||||
Bilfinger SE | (1,775 | ) | (67,185 | ) | ||||
Commerzbank AG † | (9,149 | ) | (116,957 | ) | ||||
Deutsche Bank AG | (2,244 | ) | (67,470 | ) | ||||
E.ON SE | (992 | ) | (13,228 | ) | ||||
LANXESS AG | (2,131 | ) | (125,734 | ) | ||||
METRO AG | (1,505 | ) | (47,534 | ) | ||||
Rheinmetall AG | (1,009 | ) | (51,180 | ) | ||||
Rocket Internet SE 144A †(f) | (268 | ) | (11,847 | ) | ||||
RWE AG | (3,175 | ) | (68,289 | ) | ||||
Salzgitter AG | (2,073 | ) | (74,109 | ) | ||||
Telefonica Deutschland Holding AG | (3,986 | ) | (22,962 | ) | ||||
ThyssenKrupp AG | (3,280 | ) | (85,327 | ) | ||||
Wirecard AG | (623 | ) | (23,845 | ) | ||||
|
| |||||||
(838,332 | ) | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
248
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SHARES | VALUE (Note 5) | |||||||
Italy - (1.0)% | ||||||||
Azimut Holding SpA | (26 | ) | $ | (761 | ) | |||
Banca Monte dei Paschi di Siena SpA † | (1,528 | ) | (2,977 | ) | ||||
Banca Popolare dell’Emilia Romagna SC | (12,842 | ) | (114,580 | ) | ||||
Banco Popolare SC † | (5,749 | ) | (94,661 | ) | ||||
Buzzi Unicem SpA | (124 | ) | (1,766 | ) | ||||
Mediaset SpA | (16,266 | ) | (78,308 | ) | ||||
Mediolanum SpA | (15,803 | ) | (130,438 | ) | ||||
Salvatore Ferragamo SpA | (1,247 | ) | (37,460 | ) | ||||
Unipol Gruppo Finanziario SpA | (139 | ) | (707 | ) | ||||
|
| |||||||
(461,658 | ) | |||||||
|
| |||||||
Japan - (11.2)% | ||||||||
Acom Co., Ltd. † | (23,700 | ) | (90,851 | ) | ||||
Advantest Corp. | (4,700 | ) | (48,869 | ) | ||||
Aeon Co., Ltd. | (12,600 | ) | (178,795 | ) | ||||
AEON Financial Service Co., Ltd. | (1,800 | ) | (49,940 | ) | ||||
Asahi Glass Co., Ltd. | (3,000 | ) | (18,011 | ) | ||||
Casio Computer Co., Ltd. | (200 | ) | (3,945 | ) | ||||
Chiyoda Corp. | (7,000 | ) | (61,956 | ) | ||||
Chugai Pharmaceutical Co., Ltd. | (100 | ) | (3,449 | ) | ||||
Chugoku Electric Power Co., Inc./The | (1,500 | ) | (21,881 | ) | ||||
Credit Saison Co., Ltd. | (4,500 | ) | (96,348 | ) | ||||
Dai-ichi Life Insurance Co., Ltd./The | (1,700 | ) | (33,384 | ) | ||||
Daikin Industries Ltd. | (300 | ) | (21,567 | ) | ||||
DeNA Co., Ltd. | (2,800 | ) | (55,028 | ) | ||||
Denso Corp. | (700 | ) | (34,827 | ) | ||||
Dentsu, Inc. | (1,400 | ) | (72,426 | ) | ||||
FANUC Corp. | (200 | ) | (40,923 | ) | ||||
Fast Retailing Co., Ltd. | (200 | ) | (90,694 | ) | ||||
GS Yuasa Corp. | (26,000 | ) | (102,095 | ) | ||||
Hitachi Capital Corp. | (200 | ) | (5,288 | ) | ||||
Hitachi Ltd. | (1,000 | ) | (6,588 | ) | ||||
IHI Corp. | (17,000 | ) | (79,155 | ) | ||||
Inpex Corp. | (5,600 | ) | (63,565 | ) | ||||
Isetan Mitsukoshi Holdings Ltd. | (2,300 | ) | (41,091 | ) | ||||
J Front Retailing Co., Ltd. | (400 | ) | (7,528 | ) | ||||
Japan Display, Inc. † | (29,200 | ) | (110,218 | ) | ||||
Japan Tobacco, Inc. | (2,900 | ) | (103,093 | ) | ||||
JFE Holdings, Inc. | (1,200 | ) | (26,587 | ) | ||||
JX Holdings, Inc. | (11,900 | ) | (51,305 | ) | ||||
Kakaku.com, Inc. | (6,500 | ) | (94,046 | ) | ||||
Kansai Electric Power Co., Inc./The † | (9,900 | ) | (109,598 | ) | ||||
Kansai Paint Co., Ltd. | (3,000 | ) | (46,480 | ) | ||||
Kawasaki Heavy Industries Ltd. | (7,000 | ) | (32,628 | ) | ||||
Keikyu Corp. | (7,000 | ) | (52,804 | ) | ||||
Keisei Electric Railway Co., Ltd. | (2,000 | ) | (23,779 | ) | ||||
Kikkoman Corp. | (3,000 | ) | (93,671 | ) | ||||
Kintetsu Group Holdings Co., Ltd. | (4,000 | ) | (13,622 | ) | ||||
Koito Manufacturing Co., Ltd. | (400 | ) | (15,575 | ) | ||||
Kubota Corp. | (4,000 | ) | (63,426 | ) | ||||
Kyocera Corp. | (600 | ) | (31,195 | ) | ||||
Kyushu Electric Power Co., Inc. † | (14,500 | ) | (168,112 | ) | ||||
LIXIL Group Corp. | (2,000 | ) | (39,671 | ) | ||||
M3, Inc. | (1,500 | ) | (30,152 | ) | ||||
Marui Group Co., Ltd. | (2,700 | ) | (36,478 | ) | ||||
Mazda Motor Corp. | (6,200 | ) | (121,327 | ) | ||||
Minebea Co., Ltd. | (1,000 | ) | (16,508 | ) | ||||
Mitsubishi Heavy Industries Ltd. | (5,000 | ) | (30,395 | ) |
SHARES | VALUE (Note 5) | |||||||
Japan - (11.2)% (continued) | ||||||||
Mitsubishi Logistics Corp. | (5,000 | ) | $ | (65,623 | ) | |||
Mitsubishi Materials Corp. | (25,000 | ) | (95,993 | ) | ||||
Mitsui Chemicals, Inc. | (25,000 | ) | (92,882 | ) | ||||
Mitsui OSK Lines Ltd. | (32,000 | ) | (102,432 | ) | ||||
Mizuho Financial Group, Inc. | (1,500 | ) | (3,246 | ) | ||||
NGK Insulators Ltd. | (3,000 | ) | (77,193 | ) | ||||
NGK Spark Plug Co., Ltd. | (3,300 | ) | (91,391 | ) | ||||
Nintendo Co., Ltd. | (600 | ) | (100,097 | ) | ||||
Nippon Electric Glass Co., Ltd. | (5,000 | ) | (25,285 | ) | ||||
Nippon Paint Holdings Co., Ltd. | (1,200 | ) | (33,817 | ) | ||||
Nissan Motor Co., Ltd. | (6,400 | ) | (66,860 | ) | ||||
Nitto Denko Corp. | (700 | ) | (57,486 | ) | ||||
NSK Ltd. | (1,500 | ) | (23,129 | ) | ||||
Odakyu Electric Railway Co., Ltd. | (3,000 | ) | (27,991 | ) | ||||
Olympus Corp. | (1,300 | ) | (44,882 | ) | ||||
Ono Pharmaceutical Co., Ltd. | (900 | ) | (98,230 | ) | ||||
Panasonic Corp. | (1,000 | ) | (13,696 | ) | ||||
Rakuten, Inc. | (5,100 | ) | (82,335 | ) | ||||
Recruit Holdings Co., Ltd. | (1,200 | ) | (36,593 | ) | ||||
Sharp Corp. † | (22,000 | ) | (26,733 | ) | ||||
Shikoku Electric Power Co., Inc. | (5,500 | ) | (82,334 | ) | ||||
Shinsei Bank Ltd. | (4,000 | ) | (8,061 | ) | ||||
Shiseido Co., Ltd. | (400 | ) | (9,073 | ) | ||||
Shizuoka Bank Ltd./The | (1,000 | ) | (10,439 | ) | ||||
SoftBank Corp. | (800 | ) | (47,122 | ) | ||||
Sony Corp. † | (1,600 | ) | (45,435 | ) | ||||
Sumco Corp. | (3,700 | ) | (46,276 | ) | ||||
Sumitomo Chemical Co., Ltd. | (2,000 | ) | (12,017 | ) | ||||
Sumitomo Mitsui Financial Group, Inc. | (1,700 | ) | (75,683 | ) | ||||
Sumitomo Mitsui Trust Holdings, Inc. | (24,000 | ) | (109,790 | ) | ||||
Taiyo Nippon Sanso Corp. | (1,900 | ) | (22,993 | ) | ||||
Takeda Pharmaceutical Co., Ltd. | (700 | ) | (33,788 | ) | ||||
Terumo Corp. | (2,100 | ) | (50,358 | ) | ||||
Tobu Railway Co., Ltd. | (3,000 | ) | (12,886 | ) | ||||
Tokyu Corp. | (5,000 | ) | (33,463 | ) | ||||
Toray Industries, Inc. | (1,000 | ) | (8,453 | ) | ||||
Toshiba Corp. | (14,000 | ) | (48,010 | ) | ||||
Toyo Seikan Group Holdings Ltd. | (4,000 | ) | (64,174 | ) | ||||
Toyota Boshoku Corp. | (200 | ) | (3,370 | ) | ||||
Yahoo Japan Corp. | (29,300 | ) | (118,256 | ) | ||||
Yamaha Motor Co., Ltd. | (200 | ) | (4,370 | ) | ||||
Yamato Holdings Co., Ltd. | (5,100 | ) | (98,612 | ) | ||||
Yaskawa Electric Corp. | (10,000 | ) | (127,905 | ) | ||||
Yokogawa Electric Corp. | (8,600 | ) | (110,761 | ) | ||||
|
| |||||||
(4,888,397 | ) | |||||||
|
| |||||||
Luxembourg - (0.4)% | ||||||||
Altice SA † | (435 | ) | (60,012 | ) | ||||
ArcelorMittal | (12,781 | ) | (124,124 | ) | ||||
Millicom International Cellular SA SDR | (67 | ) | (4,943 | ) | ||||
|
| |||||||
(189,079 | ) | |||||||
|
| |||||||
Netherlands - (0.7)% | ||||||||
Fugro NV CVA † | (5,347 | ) | (117,732 | ) | ||||
Gemalto NV | (15 | ) | (1,341 | ) | ||||
Koninklijke KPN NV | (24,446 | ) | (93,722 | ) | ||||
Koninklijke Vopak NV | (426 | ) | (21,546 | ) | ||||
OCI NV † | (24 | ) | (680 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
249
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SHARES | VALUE (Note 5) | |||||||
Netherlands - (0.7)% (continued) | ||||||||
Randstad Holding NV | (878 | ) | $ | (57,129 | ) | |||
|
| |||||||
(292,150 | ) | |||||||
|
| |||||||
Norway - (0.5)% | ||||||||
Aker Solutions ASA | (1,694 | ) | (9,500 | ) | ||||
DNO ASA † | (46,141 | ) | (60,885 | ) | ||||
Fred Olsen Energy ASA † | (1,589 | ) | (11,065 | ) | ||||
Schibsted ASA | (896 | ) | (27,758 | ) | ||||
Schibsted ASA † | (896 | ) | (27,084 | ) | ||||
Seadrill Ltd. | (6,613 | ) | (68,680 | ) | ||||
Statoil ASA | (37 | ) | (662 | ) | ||||
|
| |||||||
(205,634 | ) | |||||||
|
| |||||||
Portugal - (0.1)% | ||||||||
Jeronimo Martins SGPS SA | (2,696 | ) | (34,762 | ) | ||||
|
| |||||||
Spain - (1.1)% | ||||||||
Abertis Infraestructuras SA | (1,565 | ) | (25,701 | ) | ||||
Acciona SA † | (131 | ) | (9,920 | ) | ||||
Aena SA 144A †(f) | (582 | ) | (60,713 | ) | ||||
Applus Services SA † | (1,607 | ) | (18,980 | ) | ||||
Atresmedia Corp. de Medios de Comunicacion SA | (181 | ) | (2,813 | ) | ||||
Banco Bilbao Vizcaya Argentaria SA | (636 | ) | (6,267 | ) | ||||
Bankia SA † | (24,619 | ) | (31,343 | ) | ||||
CaixaBank SA | (8,941 | ) | (41,605 | ) | ||||
Distribuidora Internacional de Alimentacion SA | (1,783 | ) | (13,664 | ) | ||||
Inditex SA | (908 | ) | (29,617 | ) | ||||
Indra Sistemas SA | (10,938 | ) | (112,487 | ) | ||||
Mapfre SA | (10,994 | ) | (37,996 | ) | ||||
Mediaset Espana Comunicacion SA | (1,348 | ) | (17,697 | ) | ||||
Telefonica SA | (2,424 | ) | (34,531 | ) | ||||
Zardoya Otis SA | (2,737 | ) | (29,872 | ) | ||||
|
| |||||||
(473,206 | ) | |||||||
|
| |||||||
Sweden - (0.4)% | ||||||||
Alfa Laval AB | (524 | ) | (9,223 | ) | ||||
Elekta AB, B Shares | (8,575 | ) | (53,772 | ) | ||||
Getinge AB, B Shares | (836 | ) | (20,128 | ) | ||||
Hennes & Mauritz AB, B Shares | (18 | ) | (693 | ) | ||||
Hexagon AB, B Shares | (20 | ) | (724 | ) | ||||
Husqvarna AB, B Shares | (136 | ) | (1,025 | ) | ||||
Meda AB, A Shares | (1,270 | ) | (17,673 | ) | ||||
Modern Times Group MTG, B Shares | (264 | ) | (7,085 | ) | ||||
Sandvik AB | (1,325 | ) | (14,648 | ) | ||||
Telefonaktiebolaget LM Ericsson, B Shares | (700 | ) | (7,291 | ) | ||||
Trelleborg AB, B Shares | (1,569 | ) | (29,015 | ) | ||||
|
| |||||||
(161,277 | ) | |||||||
|
| |||||||
Switzerland - (0.7)% | ||||||||
Adecco SA † | (282 | ) | (22,886 | ) | ||||
Credit Suisse Group AG † | (2,554 | ) | (70,458 | ) | ||||
Dufry AG † | (112 | ) | (15,606 | ) | ||||
GAM Holding AG † | (125 | ) | (2,626 | ) | ||||
Julius Baer Group Ltd. † | (488 | ) | (27,384 | ) | ||||
Panalpina Welttransport Holding AG | (292 | ) | (36,880 | ) | ||||
SGS SA | (6 | ) | (10,942 | ) | ||||
Sulzer AG | (660 | ) | (67,889 | ) |
SHARES | VALUE (Note 5) | |||||||
Switzerland - (0.7)% (continued) | ||||||||
UBS Group AG † | (2,200 | ) | $ | (46,676 | ) | |||
|
| |||||||
(301,347 | ) | |||||||
|
| |||||||
United Kingdom - 0.0% (b) | ||||||||
Subsea 7 SA † | (295 | ) | (2,886 | ) | ||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT | (8,267,438 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT, AT VALUE | (8,267,438 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 90.9% | 39,645,142 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.1% (g) | 3,974,423 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 43,619,565 | ||||||
|
|
† | Non-income producing security. |
(a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2015, the value of these securities was $8,048,125. In addition, $1,125,836 of cash collateral was pledged. |
(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) | The rate shown is the effective yield at the date of purchase. |
(f) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(g) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
250
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
All securities are Level 2 with respect to ASC 820, (See Note 5)
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
CVA - Dutch Certification
SDR - Special Drawing Rights
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 339,680 | 0.8 | % | ||||
Consumer Staples | 585,333 | 1.2 | ||||||
Energy | (149,912 | ) | (0.3 | ) | ||||
Financials | 27,805 | 0.1 | ||||||
Health Care | 682,560 | 1.5 | ||||||
Industrials | 249,456 | 0.6 | ||||||
Information Technology | (152,499 | ) | (0.3 | ) | ||||
Materials | 2,827 | 0.0 | ||||||
Telecommunication Services | 233,087 | 0.5 | ||||||
Utilities | 295,817 | 0.7 | ||||||
Money Market Funds | 25,284,311 | 58.0 | ||||||
Short-Term Investments | 12,246,677 | 28.1 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 39,645,142 | 90.9 | ||||||
Other Assets in Excess of Liabilities (g) | 3,974,423 | 9.1 | ||||||
|
|
|
| |||||
Net Assets | $ | 43,619,565 | 100.0 | % | ||||
|
|
|
|
Total return swap contracts outstanding as of June 30, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Goldman Sachs | BIST 30 August Futures | 8/2015 | TRY | 260,301 | $(2,075 | ) | ||||||||
Bank of America | Bovespa Index August Futures | 8/2015 | BRL | (1,901,715 | ) | 5,989 | ||||||||
Bank of America | Hang Seng Index July Futures | 7/2015 | HKD | 8,178,882 | (40,977 | ) | ||||||||
Bank of America | H-SHARES Index July Futures | 7/2015 | HKD | 1,353,484 | (7,866 | ) | ||||||||
Morgan Stanley and Co. International PLC | KOSPI Index 200 September Futures | 9/2015 | KRW | 127,201,069 | (927 | ) | ||||||||
Bank of America | SGX S&P CNX Nifty Index July Futures | 7/2015 | USD | (435,134 | ) | (861 | ) | |||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | 500,039 | 70,378 | |||||||||
CitiBank | Soybean November Futures^ | 10/2015 | USD | (230,181 | ) | (29,102 | ) | |||||||
Bank of America | Swiss Market Index September Futures | 9/2015 | CHF | (2,232,755 | ) | 37,606 | ||||||||
Bank of America | Taiwan Stock Exchange July Futures | 7/2015 | TWD | 3,633,071 | 1,676 | |||||||||
Bank of America | Tel Aviv 25 Index July Futures | 7/2015 | ILS | 853,360 | (7,692 | ) | ||||||||
Goldman Sachs | WIG20 Index September Futures | 9/2015 | PLN | 140,813 | (526 | ) | ||||||||
|
| |||||||||||||
$25,623 | ||||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
251
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
Open futures contracts outstanding at June 30, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
2 | J.P. Morgan | KOSPI Index 200 Futures | 9/2015 | $228,055 | $226,142 | $(1,913 | ) | |||||||||||||
5 | Morgan Stanley and Co., International PLC | Gold 100 OZ Futures^ | 8/2015 | 589,578 | 585,900 | (3,678 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 150,002 | 143,868 | (6,134 | ) | |||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | 151,678 | 143,931 | (7,747 | ) | |||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 9/2015 | 451,170 | 432,244 | (18,926 | ) | |||||||||||||
11 | Morgan Stanley and Co., International PLC | LME Copper Futures^ | 9/2015 | 1,636,697 | 1,584,894 | (51,803 | ) | |||||||||||||
11 | Morgan Stanley and Co., International PLC | Silver Futures^ | 9/2015 | 880,374 | 856,956 | (23,418 | ) | |||||||||||||
11 | Barclays Capital | Amsterdam Index Futures | 7/2015 | 1,165,298 | 1,157,783 | (7,515 | ) | |||||||||||||
9 | J.P. Morgan | BIST 30 Futures | 8/2015 | 34,953 | 34,211 | (742 | ) | |||||||||||||
11 | Barclays Capital | CAC40 Index Futures | 7/2015 | 597,209 | 586,985 | (10,224 | ) | |||||||||||||
1 | Barclays Capital | DAX Index Futures | 9/2015 | 303,080 | 306,625 | 3,545 | ||||||||||||||
15 | Barclays Capital | Hang Seng Index Futures | 7/2015 | 2,626,616 | 2,535,364 | (91,252 | ) | |||||||||||||
1 | Barclays Capital | H-SHARES Index Futures | 7/2015 | 85,230 | 83,370 | (1,860 | ) | |||||||||||||
2 | Barclays Capital | KOSPI Index 200 Futures | 9/2015 | 228,141 | 226,142 | (1,999 | ) | |||||||||||||
3 | J.P. Morgan | MSCI Singapore Index Futures | 7/2015 | 167,120 | 165,631 | (1,489 | ) | |||||||||||||
31 | Barclays Capital | TOPIX Index Futures | 9/2015 | 4,187,444 | 4,130,041 | (57,403 | ) | |||||||||||||
28 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2015 | 7,803,238 | 7,802,389 | (849 | ) | |||||||||||||
75 | J.P. Morgan | 90-Day EURODollar Futures | 12/2015 | 18,641,431 | 18,649,687 | 8,256 | ||||||||||||||
75 | J.P. Morgan | 90-Day EURODollar Futures | 3/2016 | 18,609,632 | 18,615,000 | 5,368 | ||||||||||||||
34 | J.P. Morgan | 90-Day EURODollar Futures | 6/2016 | 8,415,549 | 8,421,375 | 5,826 | ||||||||||||||
4 | Goldman Sachs | Euro - Bobl Futures | 9/2015 | 580,551 | 577,849 | (2,702 | ) | |||||||||||||
28 | Goldman Sachs | Euro - SCHATZ Futures | 9/2015 | 3,473,055 | 3,473,538 | 483 | ||||||||||||||
50 | Goldman Sachs | Long Gilt Futures | 9/2015 | 9,186,491 | 9,092,038 | (94,453 | ) | |||||||||||||
7 | Morgan Stanley and Co., International PLC | U.S. Treasury 10-Year Note Futures | 9/2015 | 879,866 | 883,204 | 3,338 | ||||||||||||||
69 | Morgan Stanley and Co., International PLC | U.S. Treasury 2-Year Note Futures | 9/2015 | 15,080,331 | 15,106,688 | 26,357 | ||||||||||||||
5 | Morgan Stanley and Co., International PLC | U.S. Treasury 5-Year Note Futures | 9/2015 | 595,989 | 596,289 | 300 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
96,748,778 | 96,418,144 | (330,634 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
13 | Goldman Sachs | Brent Crude Futures^ | 7/2015 | $(820,154 | ) | $(826,670 | ) | $(6,516 | ) | |||||||||||
4 | Goldman Sachs | Brent Crude Futures^ | 8/2015 | (254,947 | ) | (256,559 | ) | (1,612 | ) | |||||||||||
2 | Morgan Stanley and Co., International PLC | Corn Futures^ | 9/2015 | (36,496 | ) | (42,199 | ) | (5,703 | ) | |||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (151,172 | ) | (143,869 | ) | 7,303 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2015 | (150,373 | ) | (143,932 | ) | 6,441 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 9/2015 | (451,643 | ) | (432,245 | ) | 19,398 | ||||||||||||
17 | Morgan Stanley and Co., International PLC | Natural Gas Futures^ | 7/2015 | (486,967 | ) | (481,439 | ) | 5,528 | ||||||||||||
10 | Morgan Stanley and Co., International PLC | WTI Crude Futures^ | 7/2015 | (608,245 | ) | (594,700 | ) | 13,545 | ||||||||||||
16 | Barclays Capital | Euro Stoxx 50 Index | 9/2015 | (616,698 | ) | (612,900 | ) | 3,798 | ||||||||||||
1 | Barclays Capital | FTSE 100 Index Futures | 9/2015 | (105,479 | ) | (102,037 | ) | 3,442 | ||||||||||||
13 | Barclays Capital | FTSE/JSE Top 40 Index Futures | 9/2015 | (493,149 | ) | (494,098 | ) | (949 | ) | |||||||||||
11 | Barclays Capital | FTSE/MIB Index Futures | 9/2015 | (1,356,297 | ) | (1,384,103 | ) | (27,806 | ) | |||||||||||
3 | Barclays Capital | IBEX 35 Index Futures | 7/2015 | (357,212 | ) | (360,372 | ) | (3,160 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
252
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
57 | Barclays Capital | OMXS30 Index Futures | 7/2015 | $ (1,076,643 | ) | $ (1,060,089 | ) | $ 16,554 | ||||||||||||
4 | J.P. Morgan | S&P 500 E-Mini Futures | 9/2015 | (420,181 | ) | (410,880 | ) | 9,301 | ||||||||||||
7 | J.P. Morgan | S&P/Toronto Stock Exchange 60 Index Futures | 9/2015 | (958,653 | ) | (945,925 | ) | 12,728 | ||||||||||||
15 | J.P. Morgan | SET50 Index Futures | 9/2015 | (87,394 | ) | (86,388 | ) | 1,006 | ||||||||||||
7 | J.P. Morgan | SGX S&P CNX Nifty Index Futures | 7/2015 | (117,501 | ) | (117,383 | ) | 118 | ||||||||||||
14 | J.P. Morgan | SPI 200 Index Futures | 9/2015 | (1,479,558 | ) | (1,457,420 | ) | 22,138 | ||||||||||||
6 | Goldman Sachs | 10-Year Japanese Government Bond Futures | 9/2015 | (7,187,590 | ) | (7,205,295 | ) | (17,705 | ) | |||||||||||
43 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2016 | (11,981,919 | ) | (11,981,642 | ) | 277 | ||||||||||||
40 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2016 | (11,144,747 | ) | (11,144,598 | ) | 149 | ||||||||||||
74 | J.P. Morgan | 90-Day Sterling Futures | 12/2015 | (14,429,952 | ) | (14,427,964 | ) | 1,988 | ||||||||||||
20 | J.P. Morgan | 90-Day Sterling Futures | 3/2016 | (3,897,171 | ) | (3,894,344 | ) | 2,827 | ||||||||||||
2 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2015 | (193,761 | ) | (193,290 | ) | 471 | ||||||||||||
9 | J.P. Morgan | Australia 3-Year Bond Futures | 9/2015 | (772,379 | ) | (773,164 | ) | (785 | ) | |||||||||||
16 | Goldman Sachs | Canadian 10-Year Bond Futures | 9/2015 | (1,785,848 | ) | (1,793,435 | ) | (7,587 | ) | |||||||||||
34 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 12/2015 | (6,744,738 | ) | (6,750,661 | ) | (5,923 | ) | |||||||||||
30 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 3/2016 | (5,948,990 | ) | (5,956,465 | ) | (7,475 | ) | |||||||||||
9 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 6/2016 | (1,784,338 | ) | (1,786,399 | ) | (2,061 | ) | |||||||||||
52 | Goldman Sachs | Euro - Bund Futures | 9/2015 | (8,830,283 | ) | (8,811,774 | ) | 18,509 | ||||||||||||
4 | Goldman Sachs | Euro-Buxl 30-Year Bond Futures | 9/2015 | (723,106 | ) | (662,845 | ) | 60,261 | ||||||||||||
3 | Goldman Sachs | SGX Japanese Government Bond Futures | 9/2015 | (359,383 | ) | (360,191 | ) | (808 | ) | |||||||||||
6 | Morgan Stanley and Co., International PLC | U.S. Treasury Long Bond Futures | 9/2015 | (920,875 | ) | (905,063 | ) | 15,812 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
(86,733,842 | ) | (86,600,338 | ) | 133,504 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$10,014,936 | $9,817,806 | $(197,130 | ) | |||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | CitiBank | AUD | 453,000 | $347,493 | $348,041 | $548 | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | 453,000 | 347,477 | 348,042 | 565 | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | 330,000 | 102,714 | 103,220 | 506 | ||||||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | 330,000 | 102,714 | 103,220 | 506 | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | CitiBank | CAD | 1,275,000 | 1,018,756 | 1,019,759 | 1,003 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
253
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | 1,275,000 | $ 1,018,756 | $ 1,019,758 | $ 1,002 | ||||||||||||||
Swiss Franc, Expiring 09/16/15 | CitiBank | CHF | 46,500 | 50,338 | 49,886 | (452 | ) | |||||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | 130,500 | 141,837 | 140,003 | (1,834 | ) | |||||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | 374,000 | 417,183 | 417,408 | 225 | ||||||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | 384,000 | 428,504 | 428,569 | 65 | ||||||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | 324,000 | 493,285 | 508,800 | 15,515 | ||||||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | 324,000 | 493,285 | 508,800 | 15,515 | ||||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | CitiBank | HKD | 259,500 | 33,475 | 33,474 | (1 | ) | |||||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | 332,500 | 42,885 | 42,891 | 6 | ||||||||||||||
Hungarian Forint, Expiring 09/16/15 | CitiBank | HUF | 21,000,000 | 74,793 | 74,127 | (666 | ) | |||||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | 24,000,000 | 85,538 | 84,717 | (821 | ) | |||||||||||||
Israeli Shekel, Expiring 09/16/15 | CitiBank | ILS | 5,000 | 1,306 | 1,325 | 19 | ||||||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | 5,000 | 1,306 | 1,325 | 19 | ||||||||||||||
Indian Rupee, Expiring 09/16/15* | CitiBank | INR | 21,550,000 | 331,640 | 333,202 | 1,562 | ||||||||||||||
Indian Rupee, Expiring 09/16/15* | Credit Suisse International | INR | 21,550,000 | 331,640 | 333,202 | 1,562 | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | CitiBank | JPY | 62,164,000 | 505,930 | 508,457 | 2,527 | ||||||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | 73,919,000 | 601,576 | 604,603 | 3,027 | ||||||||||||||
Korean Won, Expiring 09/16/15* | CitiBank | KRW | 42,500,000 | 38,255 | 38,033 | (222 | ) | |||||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | 42,500,000 | 38,256 | 38,033 | (223 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | CitiBank | MXN | 1,550,000 | 99,726 | 98,073 | (1,653 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | 1,550,000 | 99,730 | 98,073 | (1,657 | ) | |||||||||||||
Norwegian Krone, Expiring 09/16/15 | CitiBank | NOK | 791,000 | 100,592 | 100,705 | 113 | ||||||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | 873,000 | 111,115 | 111,145 | 30 | ||||||||||||||
New Zealand Dollar, Expiring 09/16/15 | CitiBank | NZD | 168,500 | 118,691 | 113,432 | (5,259 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | 168,500 | 118,692 | 113,432 | (5,260 | ) | |||||||||||||
Poland Zloty, Expiring 09/16/15 | CitiBank | PLN | 710,000 | 190,274 | 188,437 | (1,837 | ) | |||||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | 710,000 | 190,272 | 188,435 | (1,837 | ) | |||||||||||||
Swedish Krona, Expiring 09/16/15 | CitiBank | SEK | 2,070,000 | 248,273 | 250,108 | 1,835 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
254
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | 2,070,000 | $ 248,232 | $ 250,108 | $ 1,876 | ||||||||||||||
Singapore Dollar, Expiring 09/16/15 | CitiBank | SGD | 145,000 | 107,280 | 107,540 | 260 | ||||||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | 145,000 | 107,283 | 107,540 | 257 | ||||||||||||||
Turkish Lira, Expiring 09/16/15 | CitiBank | TRY | 1,930,000 | 699,654 | 704,430 | 4,776 | ||||||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | 1,930,000 | 699,674 | 704,431 | 4,757 | ||||||||||||||
Taiwanese Dollar, Expiring 09/16/15* | CitiBank | TWD | 4,800,000 | 155,750 | 155,646 | (104 | ) | |||||||||||||
Taiwanese Dollar, Expiring 09/16/15* | Credit Suisse International | TWD | 4,800,000 | 155,750 | 155,646 | (104 | ) | |||||||||||||
South African Rand, Expiring 09/16/15 | CitiBank | ZAR | 1,930,000 | 154,051 | 156,502 | 2,451 | ||||||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | 1,930,000 | 154,048 | 156,502 | 2,454 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$10,808,029 | $10,849,080 | $41,051 | ||||||||||||||||||
|
|
|
|
|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/16/15 | CitiBank | AUD | (208,500 | ) | $ (159,253 | ) | $ (160,191 | ) | $ (938 | ) | ||||||||||
Australian Dollar, Expiring 09/16/15 | Credit Suisse International | AUD | (208,500 | ) | (159,279 | ) | (160,191 | ) | (912 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | CitiBank | BRL | (1,040,000 | ) | (314,408 | ) | (325,297 | ) | (10,889 | ) | ||||||||||
Brazilian Real, Expiring 09/16/15* | Credit Suisse International | BRL | (1,040,000 | ) | (314,408 | ) | (325,297 | ) | (10,889 | ) | ||||||||||
Canadian Dollar, Expiring 09/16/15 | CitiBank | CAD | (209,500 | ) | (169,296 | ) | (167,560 | ) | 1,736 | |||||||||||
Canadian Dollar, Expiring 09/16/15 | Credit Suisse International | CAD | (209,500 | ) | (169,304 | ) | (167,560 | ) | 1,744 | |||||||||||
Swiss Franc, Expiring 09/16/15 | CitiBank | CHF | (590,000 | ) | (634,400 | ) | (632,964 | ) | 1,436 | |||||||||||
Swiss Franc, Expiring 09/16/15 | Credit Suisse International | CHF | (656,000 | ) | (705,521 | ) | (703,770 | ) | 1,751 | |||||||||||
Danish Krone, Expiring 09/16/15 | CitiBank | DKK | (282,500 | ) | (42,210 | ) | (42,311 | ) | (101 | ) | ||||||||||
Danish Krone, Expiring 09/16/15 | Credit Suisse International | DKK | (308,500 | ) | (46,161 | ) | (46,205 | ) | (44 | ) | ||||||||||
Euro, Expiring 09/16/15 | CitiBank | EUR | (300,000 | ) | (335,251 | ) | (334,820 | ) | 431 | |||||||||||
Euro, Expiring 09/16/15 | Credit Suisse International | EUR | (313,000 | ) | (349,657 | ) | (349,329 | ) | 328 | |||||||||||
British Pound, Expiring 09/16/15 | CitiBank | GBP | (222,500 | ) | (344,319 | ) | (349,408 | ) | (5,089 | ) | ||||||||||
British Pound, Expiring 09/16/15 | Credit Suisse International | GBP | (222,500 | ) | (344,331 | ) | (349,408 | ) | (5,077 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/16/15 | Credit Suisse International | HKD | (323,000 | ) | (41,665 | ) | (41,666 | ) | (1 | ) | ||||||||||
Hungarian Forint, Expiring 09/16/15 | CitiBank | HUF | (25,000,000 | ) | (89,916 | ) | (88,247 | ) | 1,669 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
255
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Hungarian Forint, Expiring 09/16/15 | Credit Suisse International | HUF | (25,000,000 | ) | $ (89,935 | ) | $ (88,247 | ) | $ 1,688 | |||||||||||
Israeli Shekel, Expiring 09/16/15 | CitiBank | ILS | (1,020,000 | ) | (265,464 | ) | (270,370 | ) | (4,906 | ) | ||||||||||
Israeli Shekel, Expiring 09/16/15 | Credit Suisse International | ILS | (1,040,000 | ) | (270,699 | ) | (275,671 | ) | (4,972 | ) | ||||||||||
Japanese Yen, Expiring 09/16/15 | CitiBank | JPY | (97,287,500 | ) | (783,944 | ) | (795,740 | ) | (11,796 | ) | ||||||||||
Japanese Yen, Expiring 09/16/15 | Credit Suisse International | JPY | (109,720,500 | ) | (885,329 | ) | (897,433 | ) | (12,104 | ) | ||||||||||
Korean Won, Expiring 09/16/15* | CitiBank | KRW | (186,000,000 | ) | (167,109 | ) | (166,454 | ) | 655 | |||||||||||
Korean Won, Expiring 09/16/15* | Credit Suisse International | KRW | (186,000,000 | ) | (167,109 | ) | (166,454 | ) | 655 | |||||||||||
Mexican Peso, Expiring 09/17/15 | CitiBank | MXN | (13,695,000 | ) | (880,371 | ) | (866,520 | ) | 13,851 | |||||||||||
Mexican Peso, Expiring 09/17/15 | Credit Suisse International | MXN | (13,695,000 | ) | (880,434 | ) | (866,520 | ) | 13,914 | |||||||||||
Norwegian Krone, Expiring 09/16/15 | CitiBank | NOK | (5,471,500 | ) | (696,338 | ) | (696,596 | ) | (258 | ) | ||||||||||
Norwegian Krone, Expiring 09/16/15 | Credit Suisse International | NOK | (5,471,500 | ) | (696,337 | ) | (696,596 | ) | (259 | ) | ||||||||||
New Zealand Dollar, Expiring 09/16/15 | CitiBank | NZD | (120,000 | ) | (84,831 | ) | (80,783 | ) | 4,048 | |||||||||||
New Zealand Dollar, Expiring 09/16/15 | Credit Suisse International | NZD | (120,000 | ) | (84,849 | ) | (80,783 | ) | 4,066 | |||||||||||
Poland Zloty, Expiring 09/16/15 | CitiBank | PLN | (70,000 | ) | (18,710 | ) | (18,578 | ) | 132 | |||||||||||
Poland Zloty, Expiring 09/16/15 | Credit Suisse International | PLN | (80,000 | ) | (21,407 | ) | (21,232 | ) | 175 | |||||||||||
Swedish Krona, Expiring 09/16/15 | CitiBank | SEK | (7,557,000 | ) | (911,833 | ) | (913,078 | ) | (1,245 | ) | ||||||||||
Swedish Krona, Expiring 09/16/15 | Credit Suisse International | SEK | (7,760,000 | ) | (936,447 | ) | (937,606 | ) | (1,159 | ) | ||||||||||
Singapore Dollar, Expiring 09/16/15 | CitiBank | SGD | (120,500 | ) | (89,089 | ) | (89,370 | ) | (281 | ) | ||||||||||
Singapore Dollar, Expiring 09/16/15 | Credit Suisse International | SGD | (120,500 | ) | (89,090 | ) | (89,370 | ) | (280 | ) | ||||||||||
Turkish Lira, Expiring 09/16/15 | CitiBank | TRY | (510,000 | ) | (181,424 | ) | (186,145 | ) | (4,721 | ) | ||||||||||
Turkish Lira, Expiring 09/16/15 | Credit Suisse International | TRY | (510,000 | ) | (181,460 | ) | (186,145 | ) | (4,685 | ) | ||||||||||
South African Rand, Expiring 09/16/15 | CitiBank | ZAR | (150,000 | ) | (11,917 | ) | (12,163 | ) | (246 | ) | ||||||||||
South African Rand, Expiring 09/16/15 | Credit Suisse International | ZAR | (150,000 | ) | (11,925 | ) | (12,163 | ) | (238 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(12,625,430 | ) | (12,658,241 | ) | (32,811 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(1,817,401) | $(1,809,161) | $8,240 | ||||||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward (See Note 4). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
256
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
Total Return Basket Swaps* Outstanding at June 30, 2015
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | 6-12 months maturity ranging from 09/23/2015 - 06/15/2016 | $467,082 | |||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
Accenture PLC | 300 | $ | 25,395 | $ | 3,639 | |||||||
Alkermes PLC | 400 | 28,523 | (2,787 | ) | ||||||||
|
| |||||||||||
852 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
QIAGEN NV | 200 | 4,763 | 195 | |||||||||
|
| |||||||||||
Singapore | ||||||||||||
Avago Technologies Ltd. | 511 | 57,718 | 10,210 | |||||||||
Flextronics International Ltd. | 8,100 | 91,463 | 148 | |||||||||
|
| |||||||||||
10,358 | ||||||||||||
|
| |||||||||||
Sweden | ||||||||||||
Autoliv, Inc. | 200 | 19,907 | 3,443 | |||||||||
|
| |||||||||||
Switzerland | ||||||||||||
ACE Ltd. | 200 | 22,434 | (2,098 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Switzerland (continued) | ||||||||||||
Allied World Assurance Co. Holdings AG | 1,100 | $ | 40,975 | $ | 6,567 | |||||||
Garmin Ltd. | 500 | 26,570 | (4,605 | ) | ||||||||
TE Connectivity Ltd. | 1,300 | 82,621 | 969 | |||||||||
|
| |||||||||||
833 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Delphi Automotive PLC | 900 | 63,225 | 13,356 | |||||||||
International Game Technology PLC | 3,242 | 58,987 | (1,409 | ) | ||||||||
Noble Corp. PLC | 106 | 1,508 | 123 | |||||||||
|
| |||||||||||
12,070 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
3M Co. | 400 | 62,553 | (833 | ) | ||||||||
AbbVie, Inc. | 1,000 | 66,769 | 421 | |||||||||
Activision Blizzard, Inc. | 2,700 | 55,790 | 9,577 | |||||||||
Acuity Brands, Inc. | 200 | 28,059 | 7,937 | |||||||||
Advance Auto Parts, Inc. | 200 | 31,365 | 493 | |||||||||
Aetna, Inc. | 1,700 | 150,804 | 65,878 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
257
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Aflac, Inc. | 332 | $ | 21,274 | $ | (623 | ) | ||||||
AGCO Corp. | 621 | 31,072 | 4,188 | |||||||||
AGL Resources, Inc. | 800 | 42,044 | (4,796 | ) | ||||||||
Akamai Technologies, Inc. | 700 | 44,477 | 4,397 | |||||||||
Alaska Air Group, Inc. | 2,100 | 107,705 | 27,598 | |||||||||
Allergan PLC | 100 | 26,098 | 4,248 | |||||||||
Alliant Energy Corp. | 100 | 6,604 | (832 | ) | ||||||||
Allstate Corp./The | 808 | 55,079 | (2,664 | ) | ||||||||
Amdocs Ltd. | 1,728 | 90,724 | 3,608 | |||||||||
AMERCO | 300 | 82,422 | 15,651 | |||||||||
Ameren Corp. | 1,000 | 38,250 | (570 | ) | ||||||||
American Airlines Group, Inc. | 1,800 | 92,201 | (20,318 | ) | ||||||||
American Eagle Outfitters, Inc. | 5,398 | 90,544 | 2,410 | |||||||||
American Electric Power Co., Inc. | 2,200 | 130,541 | (14,007 | ) | ||||||||
American Financial Group, Inc. | 1,300 | 78,486 | 6,066 | |||||||||
American International Group, Inc. | 1,124 | 67,020 | 2,466 | |||||||||
Ameriprise Financial, Inc. | 1,000 | 133,237 | (8,307 | ) | ||||||||
AmerisourceBergen Corp. | 700 | 62,742 | 11,696 | |||||||||
Amgen, Inc. | 799 | 126,449 | (3,787 | ) | ||||||||
Anthem, Inc. | 1,600 | 201,203 | 61,421 | |||||||||
AO Smith Corp. | 500 | 31,582 | 4,408 | |||||||||
Apple, Inc. | 800 | 87,229 | 13,111 | |||||||||
AptarGroup, Inc. | 100 | 6,204 | 173 | |||||||||
Archer-Daniels-Midland Co. | 2,100 | 109,768 | (8,506 | ) | ||||||||
ARRIS Group, Inc. | 2,900 | 88,092 | 648 | |||||||||
Arrow Electronics, Inc. | 700 | 42,268 | (3,208 | ) | ||||||||
Aspen Insurance Holdings Ltd. | 700 | 30,517 | 3,013 | |||||||||
Associated Banc-Corp. | 300 | 5,564 | 517 | |||||||||
Assurant, Inc. | 400 | 26,254 | 546 | |||||||||
Assured Guaranty Ltd. | 1,534 | 43,762 | (6,961 | ) | ||||||||
AT&T, Inc. | 400 | 14,057 | 151 | |||||||||
Atmos Energy Corp. | 900 | 46,825 | (673 | ) | ||||||||
Atwood Oceanics, Inc. | 472 | 15,862 | (3,382 | ) | ||||||||
AutoNation, Inc. | 800 | 48,036 | 2,348 | |||||||||
AutoZone, Inc. | 100 | 62,515 | 4,175 | |||||||||
Avnet, Inc. | 300 | 13,302 | (969 | ) | ||||||||
Baxter International, Inc. | 200 | 14,539 | (553 | ) | ||||||||
BB&T Corp. | 1,100 | 42,605 | 1,736 | |||||||||
Becton Dickinson and Co. | 400 | 45,985 | 10,675 | |||||||||
Bed Bath & Beyond, Inc. | 200 | 12,873 | 923 | |||||||||
Bemis Co., Inc. | 100 | 3,902 | 599 | |||||||||
Best Buy Co., Inc. | 2,444 | 88,728 | (9,029 | ) | ||||||||
Big Lots, Inc. | 2,000 | 78,445 | 11,535 | |||||||||
Biogen, Inc. | 172 | 61,341 | 8,137 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
BioMarin Pharmaceutical, Inc. | 88 | $ | 10,753 | $ | 1,284 | |||||||
Booz Allen Hamilton Holding Corp. | 2,000 | 53,791 | (3,311 | ) | ||||||||
Boston Scientific Corp. | 993 | 17,505 | 71 | |||||||||
Brinker International, Inc. | 1,388 | 80,634 | (616 | ) | ||||||||
Broadridge Financial Solutions, Inc. | 1,600 | 69,861 | 10,155 | |||||||||
Brocade Communications Systems, Inc. | 11,706 | 134,213 | 4,854 | |||||||||
Bunge Ltd. | 1,686 | 154,109 | (6,078 | ) | ||||||||
CA, Inc. | 1,100 | 31,660 | 559 | |||||||||
Cablevision Systems Corp. | 5,400 | 108,592 | 20,684 | |||||||||
Cabot Corp. | 300 | 16,595 | (5,408 | ) | ||||||||
Cadence Design Systems, Inc. | 100 | 1,787 | 179 | |||||||||
California Resources Corp. | 1,500 | 10,581 | (1,521 | ) | ||||||||
Capital One Financial Corp. | 2,200 | 183,450 | 10,084 | |||||||||
Cardinal Health, Inc. | 1,000 | 76,925 | 6,725 | |||||||||
Carlisle Cos., Inc. | 100 | 9,143 | 869 | |||||||||
Carnival Corp. | 1,200 | 55,053 | 4,215 | |||||||||
Carter’s, Inc. | 317 | 33,350 | 347 | |||||||||
Celanese Corp. | 500 | 30,529 | 5,411 | |||||||||
Celgene Corp. | 300 | 29,886 | 4,834 | |||||||||
Centene Corp. | 1,400 | 68,944 | 43,616 | |||||||||
CenturyLink, Inc. | 1,300 | 52,597 | (14,403 | ) | ||||||||
CF Industries Holdings, Inc. | 595 | 38,087 | 160 | |||||||||
Charles River Laboratories International, Inc. | 800 | 48,683 | 7,589 | |||||||||
Charter Communications, Inc. | 171 | 31,147 | (1,863 | ) | ||||||||
Chesapeake Energy Corp. | 1,600 | 26,818 | (8,946 | ) | ||||||||
Chevron Corp. | 600 | 66,412 | (8,530 | ) | ||||||||
Cigna Corp. | 441 | 46,049 | 25,393 | |||||||||
Cinemark Holdings, Inc. | 1,600 | 56,758 | 7,514 | |||||||||
Cintas Corp. | 700 | 50,795 | 8,418 | |||||||||
Cisco Systems, Inc. | 3,550 | 99,060 | (1,577 | ) | ||||||||
CMS Energy Corp. | 100 | 2,944 | 240 | |||||||||
Comcast Corp. | 376 | 21,952 | 661 | |||||||||
Commercial Metals Co. | 2,600 | 43,782 | (1,974 | ) | ||||||||
Community Health Systems, Inc. | 265 | 13,564 | 3,123 | |||||||||
Compass Minerals International, Inc. | 100 | 8,466 | (252 | ) | ||||||||
Computer Sciences Corp. | 900 | 57,903 | 1,173 | |||||||||
ConocoPhillips | 3,000 | 186,614 | (2,384 | ) | ||||||||
Consolidated Edison, Inc. | 2,363 | 141,009 | (4,238 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
258
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Convergys Corp. | 2,622 | $ | 54,238 | $ | 12,597 | |||||||
Con-way, Inc. | 800 | 35,337 | (4,641 | ) | ||||||||
CoreLogic, Inc. | 163 | 6,276 | 193 | |||||||||
Corning, Inc. | 4,300 | 94,306 | (9,467 | ) | ||||||||
Costco Wholesale Corp. | 115 | 16,044 | (512 | ) | ||||||||
CR Bard, Inc. | 500 | 75,592 | 9,758 | |||||||||
Crown Holdings, Inc. | 700 | 35,997 | 1,040 | |||||||||
CST Brands, Inc. | 1,117 | 47,536 | (3,906 | ) | ||||||||
CSX Corp. | 1,400 | 49,458 | (3,748 | ) | ||||||||
Cummins, Inc. | 600 | 85,411 | (6,697 | ) | ||||||||
CVR Energy, Inc. | 200 | 7,970 | (442 | ) | ||||||||
CVS Health Corp. | 1,100 | 105,167 | 10,201 | |||||||||
Darden Restaurants, Inc. | 278 | 17,916 | 1,844 | |||||||||
Deckers Outdoor Corp. | 1,500 | 131,611 | (23,656 | ) | ||||||||
Deere & Co. | 600 | 54,178 | 4,052 | |||||||||
Delta Air Lines, Inc. | 700 | 33,311 | (4,555 | ) | ||||||||
Deluxe Corp. | 1,100 | 68,991 | (791 | ) | ||||||||
Denbury Resources, Inc. | 1,125 | 8,701 | (1,546 | ) | ||||||||
Devon Energy Corp. | 1,600 | 102,188 | (7,004 | ) | ||||||||
DeVry Education Group, Inc. | 500 | 24,505 | (9,515 | ) | ||||||||
Diamond Offshore Drilling, Inc. | 100 | 2,745 | (164 | ) | ||||||||
Dillard’s, Inc. | 300 | 36,566 | (5,009 | ) | ||||||||
Discover Financial Services | 300 | 18,924 | (1,638 | ) | ||||||||
Dollar General Corp. | 200 | 13,779 | 1,769 | |||||||||
Dollar Tree, Inc. | 176 | 11,726 | 2,176 | |||||||||
Domino’s Pizza, Inc. | 73 | 8,179 | 99 | |||||||||
Dow Chemical Co./The | 200 | 8,734 | 1,500 | |||||||||
DR Horton, Inc. | 600 | 14,956 | 1,460 | |||||||||
Dr. Pepper Snapple Group, Inc. | 2,200 | 152,454 | 7,926 | |||||||||
DST Systems, Inc. | 712 | 69,167 | 20,531 | |||||||||
DTE Energy Co. | 800 | 60,606 | (894 | ) | ||||||||
Dun & Bradstreet Corp./The | 100 | 11,721 | 479 | |||||||||
Eastman Chemical Co. | 100 | 7,409 | 773 | |||||||||
eBay, Inc. | 300 | 16,573 | 1,499 | |||||||||
EchoStar Corp. | 200 | 10,502 | (766 | ) | ||||||||
Edison International | 1,116 | 71,059 | (9,032 | ) | ||||||||
Edwards Lifesciences Corp. | 599 | 77,532 | 7,784 | |||||||||
EI du Pont de Nemours & Co. | 300 | 21,851 | (2,666 | ) | ||||||||
Electronic Arts, Inc. | 2,400 | 122,733 | 36,867 | |||||||||
Eli Lilly & Co. | 1,500 | 104,609 | 20,626 | |||||||||
Endurance Specialty Holdings Ltd. | 691 | 40,930 | 4,468 | |||||||||
Energizer Holdings, Inc. | 600 | 77,542 | 1,388 | |||||||||
Entergy Corp. | 2,000 | 164,795 | (23,795 | ) | ||||||||
EOG Resources, Inc. | 400 | 39,532 | (4,512 | ) | ||||||||
EP Energy Corp. | 2,780 | 37,713 | (2,324 | ) | ||||||||
Equifax, Inc. | 250 | 20,499 | 3,774 | |||||||||
Everest Re Group Ltd. | 500 | 82,094 | 8,911 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Exelon Corp. | 1,400 | $ | 53,065 | $ | (9,077 | ) | ||||||
Expedia, Inc. | 900 | 76,924 | 21,491 | |||||||||
Fair Isaac Corp. | 271 | 23,434 | 1,167 | |||||||||
Fairchild Semiconductor International, Inc. | 2,200 | 34,551 | 3,685 | |||||||||
FedEx Corp. | 400 | 66,999 | 1,161 | |||||||||
Fidelity National Information Services, Inc. | 600 | 34,854 | 2,226 | |||||||||
Fiserv, Inc. | 900 | 65,082 | 9,465 | |||||||||
Foot Locker, Inc. | 3,700 | 206,795 | 41,142 | |||||||||
GameStop Corp. | 472 | 20,423 | (146 | ) | ||||||||
Gannett Co., Inc. | 2,474 | 34,084 | 528 | |||||||||
Gap, Inc./The | 2,600 | 109,764 | (10,522 | ) | ||||||||
Gartner, Inc. | 200 | 17,185 | (29 | ) | ||||||||
GATX Corp. | 400 | 24,515 | (3,255 | ) | ||||||||
General Dynamics Corp. | 800 | 113,717 | (365 | ) | ||||||||
General Mills, Inc. | 200 | 10,168 | 976 | |||||||||
Genpact Ltd. | 670 | 14,869 | (578 | ) | ||||||||
Gilead Sciences, Inc. | 900 | 89,433 | 15,939 | |||||||||
Goodyear Tire & Rubber Co./The | 583 | 17,100 | 477 | |||||||||
Google, Inc. | 100 | 59,605 | (5,601 | ) | ||||||||
Graham Holdings Co. | 202 | 164,025 | 53,135 | |||||||||
H&R Block, Inc. | 600 | 19,331 | (1,541 | ) | ||||||||
Halyard Health, Inc. | 709 | 30,360 | (1,646 | ) | ||||||||
Hanesbrands, Inc. | 1,306 | 35,243 | 8,273 | |||||||||
Hanover Insurance Group, Inc./The | 200 | 13,434 | 1,372 | |||||||||
Harman International Industries, Inc. | 534 | 62,922 | 592 | |||||||||
Hartford Financial Services Group, Inc./The | 833 | 34,667 | (40 | ) | ||||||||
Hasbro, Inc. | 300 | 16,588 | 5,849 | |||||||||
HCA Holdings, Inc. | 1,270 | 97,221 | 17,994 | |||||||||
HCC Insurance Holdings, Inc. | 500 | 27,272 | 11,148 | |||||||||
Health Net, Inc. | 2,100 | 107,010 | 27,642 | |||||||||
Helix Energy Solutions Group, Inc. | 5,600 | 122,140 | (51,412 | ) | ||||||||
Helmerich & Payne, Inc. | 100 | 6,863 | 179 | |||||||||
Herman Miller, Inc. | 800 | 23,837 | (693 | ) | ||||||||
Hess Corp. | 800 | 58,473 | (4,969 | ) | ||||||||
Hewlett-Packard Co. | 4,700 | 182,665 | (41,618 | ) | ||||||||
Hill-Rom Holdings, Inc. | 179 | 9,328 | 397 | |||||||||
Home Depot, Inc./The | 200 | 20,198 | 2,028 | |||||||||
Hormel Foods Corp. | 700 | 36,574 | 2,885 | |||||||||
HSN, Inc. | 105 | 7,075 | 295 | |||||||||
Humana, Inc. | 954 | 132,956 | 49,525 | |||||||||
Huntington Ingalls Industries, Inc. | 1,242 | 140,293 | (456 | ) | ||||||||
IAC/InterActiveCorp. | 1,000 | 65,338 | 14,322 | |||||||||
Illinois Tool Works, Inc. | 400 | 38,369 | (1,653 | ) | ||||||||
Ingram Micro, Inc. | 1,600 | 44,492 | (4,444 | ) | ||||||||
Ingredion, Inc. | 600 | 49,905 | (2,019 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
259
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Integrated Device Technology, Inc. | 720 | $ | 14,741 | $ | 883 | |||||||
Intel Corp. | 4,100 | 149,565 | (24,863 | ) | ||||||||
InterDigital, Inc. | 1,400 | 75,052 | 4,594 | |||||||||
International Flavors & Fragrances, Inc. | 100 | 10,016 | 913 | |||||||||
Interpublic Group of Cos., Inc./The | 200 | 3,840 | 14 | |||||||||
ITT Corp. | 300 | 12,810 | (258 | ) | ||||||||
Jabil Circuit, Inc. | 2,600 | 57,055 | (1,701 | ) | ||||||||
Janus Capital Group, Inc. | 3,268 | 57,578 | (1,629 | ) | ||||||||
Jarden Corp. | 150 | 6,143 | 1,619 | |||||||||
JetBlue Airways Corp. | 3,868 | 68,659 | 11,641 | |||||||||
JM Smucker Co./The | 100 | 9,968 | 873 | |||||||||
Johnson & Johnson | 500 | 52,596 | (3,866 | ) | ||||||||
JPMorgan Chase & Co. | 1,999 | 127,641 | 7,811 | |||||||||
Kimberly-Clark Corp. | 400 | 45,473 | (3,085 | ) | ||||||||
KLA-Tencor Corp. | 200 | 16,064 | (4,822 | ) | ||||||||
Kohl’s Corp. | 1,066 | 72,168 | (5,425 | ) | ||||||||
Kroger Co./The | 2,439 | 179,515 | (2,663 | ) | ||||||||
L Brands, Inc. | 500 | 45,689 | (2,824 | ) | ||||||||
L-3 Communications Holdings, Inc. | 100 | 11,584 | (246 | ) | ||||||||
Lam Research Corp. | 1,100 | 87,010 | 2,475 | |||||||||
Landstar System, Inc. | 500 | 37,145 | (3,710 | ) | ||||||||
Lear Corp. | 1,300 | 128,267 | 17,671 | |||||||||
Legg Mason, Inc. | 600 | 31,441 | (523 | ) | ||||||||
Lennar Corp. | 100 | 4,349 | 755 | |||||||||
Lexmark International, Inc. | 1,000 | 42,343 | 1,857 | |||||||||
LifePoint Health, Inc. | 500 | 37,005 | 6,470 | |||||||||
Lincoln Electric Holdings, Inc. | 200 | 13,357 | (1,179 | ) | ||||||||
Lincoln National Corp. | 2,029 | 117,695 | 2,463 | |||||||||
Lockheed Martin Corp. | 500 | 95,091 | (2,141 | ) | ||||||||
Lowe’s Cos., Inc. | 829 | 56,610 | (1,092 | ) | ||||||||
LyondellBasell Industries NV | 519 | 54,513 | (786 | ) | ||||||||
M&T Bank Corp. | 100 | 12,741 | (248 | ) | ||||||||
Mallinckrodt PLC | 1,319 | 141,765 | 13,507 | |||||||||
Marathon Oil Corp. | 1,600 | 58,859 | (16,395 | ) | ||||||||
Marathon Petroleum Corp. | 1,202 | 60,936 | 1,941 | |||||||||
Marriott International, Inc. | 267 | 20,956 | (1,094 | ) | ||||||||
Marsh & McLennan Cos., Inc. | 1,500 | 84,110 | 940 | |||||||||
Marvell Technology Group Ltd. | 1,167 | 16,237 | (850 | ) | ||||||||
Masco Corp. | 1,200 | 31,453 | 551 | |||||||||
McGraw Hill Financial, Inc. | 200 | 17,310 | 2,780 | |||||||||
McKesson Corp. | 200 | 39,229 | 5,733 | |||||||||
Medivation, Inc. | 411 | 50,766 | (3,830 | ) | ||||||||
Mentor Graphics Corp. | 1,187 | 30,077 | 1,296 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Merck & Co., Inc. | 1,100 | $ | 63,792 | $ | (1,169 | ) | ||||||
Meredith Corp. | 309 | 16,517 | (403 | ) | ||||||||
MetLife, Inc. | 2,787 | 145,086 | 10,958 | |||||||||
Micron Technology, Inc. | 3,959 | 125,195 | (50,607 | ) | ||||||||
Microsoft Corp. | 4,300 | 188,958 | 887 | |||||||||
Minerals Technologies, Inc. | 83 | 5,900 | (245 | ) | ||||||||
Monster Beverage Corp. | 200 | 21,654 | 5,150 | |||||||||
Moody’s Corp. | 400 | 38,704 | 4,480 | |||||||||
Morgan Stanley | 1,835 | 69,369 | 1,810 | |||||||||
MSCI, Inc. | 290 | 17,892 | (42 | ) | ||||||||
Murphy Oil Corp. | 1,100 | 59,636 | (13,909 | ) | ||||||||
Murphy USA, Inc. | 1,918 | 118,882 | (11,820 | ) | ||||||||
Myriad Genetics, Inc. | 1,400 | 51,802 | (4,216 | ) | ||||||||
NASDAQ OMX Group, Inc./The | 860 | 43,621 | (1,645 | ) | ||||||||
National Oilwell Varco, Inc. | 2,500 | 169,459 | (48,759 | ) | ||||||||
Navient Corp. | 8,200 | 177,588 | (28,266 | ) | ||||||||
Newfield Exploration Co. | 2,100 | 58,325 | 17,527 | |||||||||
Nordstrom, Inc. | 400 | 29,714 | 86 | |||||||||
Norfolk Southern Corp. | 800 | 87,801 | (17,913 | ) | ||||||||
Northrop Grumman Corp. | 1,000 | 144,414 | 14,216 | |||||||||
Norwegian Cruise Line Holdings Ltd. | 1,499 | 69,782 | 14,222 | |||||||||
NVIDIA Corp. | 1,400 | 29,061 | (907 | ) | ||||||||
Oil States International, Inc. | 100 | 6,290 | (2,567 | ) | ||||||||
Omnicom Group, Inc. | 300 | 21,190 | (343 | ) | ||||||||
ON Semiconductor Corp. | 2,008 | 22,790 | 683 | |||||||||
Oracle Corp. | 2,300 | 96,341 | (3,651 | ) | ||||||||
Orbital ATK, Inc. | 470 | 29,561 | 4,918 | |||||||||
O’Reilly Automotive, Inc. | 200 | 38,878 | 6,318 | |||||||||
PACCAR, Inc. | 500 | 34,026 | (2,121 | ) | ||||||||
Packaging Corp. of America | 100 | 7,934 | (1,685 | ) | ||||||||
Parker-Hannifin Corp. | 600 | 71,508 | (1,710 | ) | ||||||||
PartnerRe Ltd. | 271 | 31,222 | 3,602 | |||||||||
Penske Automotive Group, Inc. | 400 | 17,711 | 3,133 | |||||||||
People’s United Financial, Inc. | 1,000 | 15,019 | 1,191 | |||||||||
PepsiCo, Inc. | 600 | 57,316 | (1,312 | ) | ||||||||
Pfizer, Inc. | 1,636 | 53,222 | 1,633 | |||||||||
PG&E Corp. | 2,470 | 132,182 | (10,905 | ) | ||||||||
Phillips 66 | 600 | 51,574 | (3,238 | ) | ||||||||
Pilgrim’s Pride Corp. | 4,968 | 154,184 | (40,069 | ) | ||||||||
Pinnacle Foods, Inc. | 1,361 | 50,528 | 11,452 | |||||||||
Pinnacle West Capital Corp. | 1,607 | 98,855 | (7,432 | ) | ||||||||
PNC Financial Services Group, Inc./The | 1,900 | 171,010 | 10,725 | |||||||||
Polycom, Inc. | 3,100 | 41,396 | (5,932 | ) | ||||||||
PPG Industries, Inc. | 400 | 40,706 | 5,182 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
260
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Procter & Gamble Co./The | 100 | $ | 8,989 | $ | (1,165 | ) | ||||||
Public Service Enterprise Group, Inc. | 3,292 | 137,394 | (8,084 | ) | ||||||||
PulteGroup, Inc. | 1,600 | 33,990 | (1,750 | ) | ||||||||
Qorvo, Inc. | 315 | 24,298 | 987 | |||||||||
Quintiles Transnational Holdings, Inc. | 851 | 59,068 | 2,723 | |||||||||
Rackspace Hosting, Inc. | 2,193 | 90,191 | (8,633 | ) | ||||||||
Raytheon Co. | 1,100 | 116,202 | (10,954 | ) | ||||||||
Regal Entertainment Group | 1,300 | 26,686 | 498 | |||||||||
Reinsurance Group of America, Inc. | 1,800 | 157,427 | 13,339 | |||||||||
Reliance Steel & Aluminum Co. | 1,700 | 107,573 | (4,757 | ) | ||||||||
RenaissanceRe Holdings Ltd. | 100 | 10,197 | (46 | ) | ||||||||
Republic Services, Inc. | 1,800 | 72,590 | (2,084 | ) | ||||||||
Rock-Tenn Co. | 1,730 | 107,603 | (3,457 | ) | ||||||||
Ross Stores, Inc. | 1,600 | 71,930 | 5,846 | |||||||||
Rovi Corp. | 1,100 | 23,999 | (6,454 | ) | ||||||||
Rowan Cos. PLC | 1,292 | 28,794 | (1,520 | ) | ||||||||
Royal Caribbean Cruises Ltd. | 1,630 | 121,308 | 6,956 | |||||||||
RR Donnelley & Sons Co. | 200 | 3,432 | 54 | |||||||||
Ryder System, Inc. | 1,200 | 112,220 | (7,376 | ) | ||||||||
SCANA Corp. | 400 | 22,166 | (1,906 | ) | ||||||||
Seagate Technology PLC | 734 | 41,294 | (6,429 | ) | ||||||||
SEI Investments Co. | 800 | 31,000 | 8,224 | |||||||||
Sensient Technologies Corp. | 109 | 6,156 | 1,293 | |||||||||
Service Corp. International | 580 | 16,675 | 395 | |||||||||
Sherwin-Williams Co./The | 200 | 51,259 | 3,745 | |||||||||
Skyworks Solutions, Inc. | 1,009 | 74,118 | 30,919 | |||||||||
SM Energy Co. | 267 | 13,508 | (1,194 | ) | ||||||||
Snap-on, Inc. | 900 | 124,856 | 18,469 | |||||||||
Southwest Airlines Co. | 2,800 | 104,767 | (12,115 | ) | ||||||||
Spectra Energy Corp. | 400 | 14,826 | (1,786 | ) | ||||||||
Spectrum Brands Holdings, Inc. | 900 | 86,075 | 5,716 | |||||||||
Spirit AeroSystems Holdings, Inc. | 3,215 | 172,893 | 4,285 | |||||||||
StanCorp Financial Group, Inc. | 158 | 12,165 | (218 | ) | ||||||||
Stanley Black & Decker, Inc. | 200 | 19,252 | 1,796 | |||||||||
Staples, Inc. | 1,200 | 20,337 | (1,965 | ) | ||||||||
Steel Dynamics, Inc. | 2,400 | 45,472 | 4,244 | |||||||||
STERIS Corp. | 967 | 61,192 | 1,121 | |||||||||
SunTrust Banks, Inc. | 100 | 4,018 | 284 | |||||||||
Superior Energy Services, Inc. | 3,280 | 71,498 | (2,486 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
SUPERVALU, Inc. | 4,294 | $ | 39,410 | $ | (4,671 | ) | ||||||
Symantec Corp. | 3,500 | 85,784 | (4,409 | ) | ||||||||
Synopsys, Inc. | 800 | 33,995 | 6,525 | |||||||||
Sysco Corp. | 400 | 15,369 | (929 | ) | ||||||||
Target Corp. | 1,689 | 135,521 | 2,352 | |||||||||
Tech Data Corp. | 900 | 59,000 | (7,196 | ) | ||||||||
TEGNA, Inc. | 4,949 | 135,923 | 22,792 | |||||||||
Teleflex, Inc. | 800 | 90,433 | 17,927 | |||||||||
Tesoro Corp. | 960 | 85,606 | (4,572 | ) | ||||||||
Texas Instruments, Inc. | 200 | 9,784 | 518 | |||||||||
Textron, Inc. | 800 | 34,320 | 1,384 | |||||||||
Time, Inc. | 1,508 | 35,077 | (378 | ) | ||||||||
Total System Services, Inc. | 1,076 | 40,047 | 4,898 | |||||||||
Towers Watson & Co. | 49 | 6,779 | (615 | ) | ||||||||
Travelers Cos., Inc./The | 1,400 | 144,009 | (8,685 | ) | ||||||||
Trinity Industries, Inc. | 2,300 | 74,938 | (14,149 | ) | ||||||||
Tyco International PLC | 100 | 4,480 | (632 | ) | ||||||||
Tyler Technologies, Inc. | 24 | 2,903 | 202 | |||||||||
Tyson Foods, Inc. | 600 | 23,748 | 1,830 | |||||||||
UGI Corp. | 2,000 | 77,576 | (8,676 | ) | ||||||||
Union Pacific Corp. | 800 | 92,473 | (16,177 | ) | ||||||||
Unit Corp. | 1,693 | 58,626 | (12,712 | ) | ||||||||
United States Steel Corp. | 2,692 | 64,607 | (9,098 | ) | ||||||||
United Therapeutics Corp. | 509 | 66,288 | 22,253 | |||||||||
UnitedHealth Group, Inc. | 1,300 | 131,632 | 26,968 | |||||||||
Unum Group | 107 | 3,701 | 125 | |||||||||
US Bancorp. | 1,100 | 47,397 | 343 | |||||||||
Valero Energy Corp. | 2,535 | 134,970 | 23,721 | |||||||||
Validus Holdings Ltd. | 939 | 39,482 | 1,824 | |||||||||
Valmont Industries, Inc. | 200 | 27,523 | (3,749 | ) | ||||||||
Valspar Corp./The | 300 | 25,976 | (1,430 | ) | ||||||||
Vectren Corp. | 900 | 39,414 | (4,782 | ) | ||||||||
VeriSign, Inc. | 1,100 | 63,889 | 4,003 | |||||||||
Verizon Communications, Inc. | 100 | 4,959 | (298 | ) | ||||||||
Vishay Intertechnology, Inc. | 300 | 4,505 | (1,001 | ) | ||||||||
Voya Financial, Inc. | 565 | 26,589 | (333 | ) | ||||||||
Wabtec Corp. | 400 | 37,528 | 168 | |||||||||
Wal-Mart Stores, Inc. | 100 | 7,631 | (538 | ) | ||||||||
Walt Disney Co./The | 200 | 18,445 | 4,383 | |||||||||
Waste Management, Inc. | 1,439 | 69,852 | (3,154 | ) | ||||||||
Wells Fargo & Co. | 2,700 | 144,955 | 6,893 | |||||||||
Werner Enterprises, Inc. | 500 | 12,752 | 373 | |||||||||
Westar Energy, Inc. | 1,400 | 55,706 | (7,798 | ) | ||||||||
Western Digital Corp. | 700 | 76,272 | (21,378 | ) | ||||||||
Western Refining, Inc. | 1,371 | 60,849 | (1,046 | ) | ||||||||
Western Union Co./The | 1,569 | 34,325 | (2,428 | ) | ||||||||
WGL Holdings, Inc. | 260 | 14,318 | (203 | ) | ||||||||
Whirlpool Corp. | 618 | 115,888 | (8,944 | ) | ||||||||
Woodward, Inc. | 600 | 29,465 | 3,529 | |||||||||
World Fuel Services Corp. | 2,100 | 97,709 | 2,986 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
261
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
WPX Energy, Inc. | 3,400 | $ | 44,679 | $ | (2,927 | ) | ||||||
WR Berkley Corp. | 400 | 20,786 | (14 | ) | ||||||||
Wyndham Worldwide Corp. | 200 | 16,386 | (4 | ) | ||||||||
Xcel Energy, Inc. | 1,388 | 46,811 | (2,145 | ) | ||||||||
Yahoo!, Inc. | 900 | 42,020 | (6,659 | ) | ||||||||
Zebra Technologies Corp. | 100 | 7,551 | 3,554 | |||||||||
|
| |||||||||||
381,253 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 409,004 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
lululemon athletica, Inc. | (100 | ) | (5,483 | ) | (1,047 | ) | ||||||
Restaurant Brands International, Inc. | (366 | ) | (15,057 | ) | 1,072 | |||||||
|
| |||||||||||
25 | ||||||||||||
|
| |||||||||||
Ireland | ||||||||||||
Endo International PLC | (1,400 | ) | (102,645 | ) | (8,865 | ) | ||||||
Jazz Pharmaceuticals PLC | (700 | ) | (117,604 | ) | (5,645 | ) | ||||||
Perrigo Co PLC | (300 | ) | (49,951 | ) | (5,498 | ) | ||||||
|
| |||||||||||
(20,008 | ) | |||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Core Laboratories NV | (1,200 | ) | (140,373 | ) | 3,525 | |||||||
Sensata Technologies Holding NV | (1,947 | ) | (104,944 | ) | 2,260 | |||||||
|
| |||||||||||
5,785 | ||||||||||||
|
| |||||||||||
Norway | ||||||||||||
Golar LNG Ltd. | (2,087 | ) | (89,715 | ) | (7,956 | ) | ||||||
Seadrill Ltd. | (4,641 | ) | (45,128 | ) | (2,860 | ) | ||||||
|
| |||||||||||
(10,816 | ) | |||||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Weatherford International PLC | (9,132 | ) | (139,594 | ) | 27,545 | |||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aon PLC | (625 | ) | (61,867 | ) | (433 | ) | ||||||
Ensco PLC | (537 | ) | (13,198 | ) | 1,239 | |||||||
Michael Kors Holdings Ltd. | (1,000 | ) | (71,911 | ) | 29,821 | |||||||
Pentair PLC | (900 | ) | (59,514 | ) | (2,361 | ) | ||||||
|
| |||||||||||
28,266 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
Aaron’s, Inc. | (500 | ) | (15,312 | ) | (2,793 | ) | ||||||
Abercrombie & Fitch Co. | (5,538 | ) | (124,630 | ) | 5,507 | |||||||
ACI Worldwide, Inc. | (600 | ) | (11,521 | ) | (3,221 | ) | ||||||
Acxiom Corp. | (3,257 | ) | (63,203 | ) | 5,945 | |||||||
Adobe Systems, Inc. | (100 | ) | (7,290 | ) | (811 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Advanced Micro Devices, Inc. | (10,119 | ) | $ | (23,464 | ) | $ | (822 | ) | ||||
Agilent Technologies, Inc. | (61 | ) | (2,589 | ) | 236 | |||||||
Albemarle Corp. | (1,607 | ) | (97,874 | ) | 9,055 | |||||||
Alcoa, Inc. | (1,900 | ) | (29,717 | ) | 8,532 | |||||||
Align Technology, Inc. | (1,100 | ) | (62,439 | ) | (6,542 | ) | ||||||
Allegheny Technologies, Inc. | (2,708 | ) | (95,036 | ) | 13,254 | |||||||
Alliance Data Systems Corp. | (151 | ) | (40,412 | ) | (3,671 | ) | ||||||
Allison Transmission Holdings, Inc. | (200 | ) | (5,983 | ) | 131 | |||||||
Allscripts Healthcare Solutions, Inc. | (2,283 | ) | (30,039 | ) | (1,192 | ) | ||||||
Ally Financial, Inc. | (100 | ) | (2,141 | ) | (102 | ) | ||||||
Alnylam Pharmaceuticals, Inc. | (900 | ) | (76,374 | ) | (31,509 | ) | ||||||
Amazon.com, Inc. | (200 | ) | (59,560 | ) | (27,258 | ) | ||||||
AMC Networks, Inc. | (300 | ) | (18,825 | ) | (5,730 | ) | ||||||
AMETEK, Inc. | (200 | ) | (10,035 | ) | (921 | ) | ||||||
Anadarko Petroleum Corp. | (774 | ) | (66,709 | ) | 6,290 | |||||||
ANN, Inc. | (78 | ) | (2,930 | ) | (836 | ) | ||||||
Antero Resources Corp. | (47 | ) | (2,001 | ) | 387 | |||||||
Apache Corp. | (660 | ) | (41,627 | ) | 3,591 | |||||||
Armstrong World Industries, Inc. | (1,700 | ) | (87,392 | ) | (3,184 | ) | ||||||
Artisan Partners Asset Management, Inc. | (1,906 | ) | (96,140 | ) | 7,587 | |||||||
Ascena Retail Group, Inc. | (1,000 | ) | (13,823 | ) | (2,832 | ) | ||||||
athenahealth, Inc. | (900 | ) | (122,600 | ) | 19,478 | |||||||
Atmel Corp. | (7,400 | ) | (62,999 | ) | (9,928 | ) | ||||||
Autodesk, Inc. | (631 | ) | (34,703 | ) | 3,106 | |||||||
Avis Budget Group, Inc. | (100 | ) | (6,431 | ) | 2,023 | |||||||
Avon Products, Inc. | (8,295 | ) | (70,008 | ) | 18,081 | |||||||
B/E Aerospace, Inc. | (4,053 | ) | (231,850 | ) | 9,340 | |||||||
BancorpSouth, Inc. | (2,300 | ) | (51,375 | ) | (7,873 | ) | ||||||
Bank of America Corp. | (4,100 | ) | (69,934 | ) | 152 | |||||||
BankUnited, Inc. | (1,788 | ) | (52,355 | ) | (11,888 | ) | ||||||
Belden, Inc. | (100 | ) | (7,108 | ) | (1,015 | ) | ||||||
Bio-Techne Corp. | (64 | ) | (6,342 | ) | 40 | |||||||
Black Hills Corp. | (300 | ) | (15,347 | ) | 2,252 | |||||||
BorgWarner, Inc. | (1,322 | ) | (78,117 | ) | 2,974 | |||||||
Brookdale Senior Living, Inc. | (4,700 | ) | (168,535 | ) | 5,445 | |||||||
Brown & Brown, Inc. | (200 | ) | (6,413 | ) | (159 | ) | ||||||
Bruker Corp. | (4,600 | ) | (91,141 | ) | (2,745 | ) | ||||||
Brunswick Corp./DE | (400 | ) | (18,621 | ) | (1,723 | ) | ||||||
Cabela’s, Inc. | (1,300 | ) | (72,746 | ) | 7,772 | |||||||
Cabot Oil & Gas Corp. | (2,800 | ) | (87,463 | ) | (849 | ) | ||||||
CarMax, Inc. | (700 | ) | (43,768 | ) | (2,579 | ) | ||||||
Carpenter Technology Corp. | (2,200 | ) | (108,724 | ) | 23,628 | |||||||
Cathay General Bancorp | (300 | ) | (7,862 | ) | (1,873 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
262
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
CBS Corp. | (900 | ) | $ | (50,105 | ) | $ | 155 | |||||
CEB, Inc. | (700 | ) | (50,458 | ) | (10,484 | ) | ||||||
CenterPoint Energy, Inc. | (1,000 | ) | (24,211 | ) | 5,181 | |||||||
Cerner Corp. | (200 | ) | (11,698 | ) | (2,114 | ) | ||||||
Charles Schwab Corp./The | (4,551 | ) | (138,518 | ) | (10,072 | ) | ||||||
Cheniere Energy, Inc. | (1,132 | ) | (80,539 | ) | 2,137 | |||||||
Chico’s FAS, Inc. | (2,100 | ) | (33,383 | ) | (1,540 | ) | ||||||
Ciena Corp. | (5,800 | ) | (110,030 | ) | (27,314 | ) | ||||||
Cincinnati Financial Corp. | (1,300 | ) | (64,012 | ) | (1,222 | ) | ||||||
Clean Harbors, Inc. | (800 | ) | (38,394 | ) | (4,598 | ) | ||||||
Cleco Corp. | (1,000 | ) | (54,887 | ) | 1,037 | |||||||
Coach, Inc. | (3,000 | ) | (110,281 | ) | 6,451 | |||||||
Cobalt International Energy, Inc. | (13,700 | ) | (125,542 | ) | (7,485 | ) | ||||||
Colfax Corp. | (2,400 | ) | (124,972 | ) | 14,212 | |||||||
Colgate-Palmolive Co. | (1,288 | ) | (87,910 | ) | 3,662 | |||||||
CommVault Systems, Inc. | (2,300 | ) | (115,653 | ) | 18,110 | |||||||
Concho Resources, Inc. | (300 | ) | (28,391 | ) | (5,767 | ) | ||||||
CONSOL Energy, Inc. | (2,600 | ) | (93,236 | ) | 36,712 | |||||||
Copart, Inc. | (400 | ) | (14,131 | ) | (61 | ) | ||||||
CoStar Group, Inc. | (500 | ) | (87,605 | ) | (13,025 | ) | ||||||
Coty, Inc. | (400 | ) | (8,338 | ) | (4,450 | ) | ||||||
Covanta Holding Corp. | (1,329 | ) | (28,415 | ) | 254 | |||||||
Cree, Inc. | (900 | ) | (31,417 | ) | 7,990 | |||||||
DaVita HealthCare Partners, Inc. | (1,183 | ) | (90,756 | ) | (3,257 | ) | ||||||
Dean Foods Co. | (2,772 | ) | (51,342 | ) | 6,519 | |||||||
Diebold, Inc. | (1,434 | ) | (47,924 | ) | (2,266 | ) | ||||||
Discovery Communications, Inc. | (2,292 | ) | (80,127 | ) | 3,895 | |||||||
Donaldson Co., Inc. | (700 | ) | (27,411 | ) | 2,351 | |||||||
Dover Corp. | (435 | ) | (32,663 | ) | 2,135 | |||||||
Dril-Quip, Inc. | (800 | ) | (61,167 | ) | 967 | |||||||
DSW, Inc. | (1,900 | ) | (69,823 | ) | 6,420 | |||||||
Dunkin’ Brands Group, Inc. | (1,700 | ) | (75,919 | ) | (17,581 | ) | ||||||
E*TRADE Financial Corp. | (3,200 | ) | (77,471 | ) | (18,369 | ) | ||||||
Ecolab, Inc. | (405 | ) | (41,720 | ) | (4,074 | ) | ||||||
EMC Corp. | (200 | ) | (5,181 | ) | (97 | ) | ||||||
Emerson Electric Co. | (810 | ) | (51,455 | ) | 6,557 | |||||||
Energen Corp. | (400 | ) | (30,207 | ) | 2,887 | |||||||
Envision Healthcare Holdings Inc | (4,620 | ) | (169,729 | ) | (12,669 | ) | ||||||
EQT Corp. | (600 | ) | (50,307 | ) | 1,503 | |||||||
Estee Lauder Cos., Inc./The | (900 | ) | (68,333 | ) | (9,661 | ) | ||||||
Esterline Technologies Corp. | (69 | ) | (6,469 | ) | (109 | ) | ||||||
Expeditors International of Washington, Inc. | (1,168 | ) | (53,788 | ) | (63 | ) | ||||||
Exxon Mobil Corp. | (887 | ) | (78,556 | ) | 4,757 | |||||||
Facebook, Inc. | (600 | ) | (47,132 | ) | (4,327 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Fastenal Co. | (1,706 | ) | $ | (78,725 | ) | $ | 6,766 | |||||
FEI Co. | (1,300 | ) | (118,421 | ) | 10,612 | |||||||
FireEye, Inc. | (1,700 | ) | (72,688 | ) | (10,459 | ) | ||||||
First Horizon National Corp. | (500 | ) | (6,454 | ) | (1,381 | ) | ||||||
First Niagara Financial Group, Inc. | (8,342 | ) | (71,274 | ) | (7,475 | ) | ||||||
First Republic Bank | (800 | ) | (40,143 | ) | (10,281 | ) | ||||||
First Solar, Inc. | (1,000 | ) | (51,924 | ) | 4,944 | |||||||
FLIR Systems, Inc. | (354 | ) | (11,554 | ) | 644 | |||||||
Flowers Foods, Inc. | (2,100 | ) | (41,233 | ) | (3,182 | ) | ||||||
Flowserve Corp. | (1,200 | ) | (72,975 | ) | 9,783 | |||||||
Fluor Corp. | (896 | ) | (52,607 | ) | 5,110 | |||||||
FMC Corp. | (2,282 | ) | (129,771 | ) | 9,852 | |||||||
Fortinet, Inc. | (700 | ) | (18,678 | ) | (10,253 | ) | ||||||
Fortune Brands Home & Security, Inc. | (1,200 | ) | (52,053 | ) | (2,931 | ) | ||||||
Fossil Group, Inc. | (200 | ) | (22,143 | ) | 8,271 | |||||||
Freeport-McMoRan, Inc. | (7,583 | ) | (147,650 | ) | 6,455 | |||||||
Genesee & Wyoming, Inc. | (1,229 | ) | (105,815 | ) | 12,190 | |||||||
Genworth Financial, Inc. | (20,300 | ) | (168,092 | ) | 14,421 | |||||||
GNC Holdings, Inc. | (1,300 | ) | (57,792 | ) | (32 | ) | ||||||
Graco, Inc. | (700 | ) | (54,472 | ) | 4,751 | |||||||
Groupon, Inc. | (2,500 | ) | (19,810 | ) | 7,235 | |||||||
Guess?, Inc. | (1,100 | ) | (22,073 | ) | 986 | |||||||
Halliburton Co. | (427 | ) | (19,765 | ) | 1,374 | |||||||
Harley-Davidson, Inc. | (335 | ) | (20,806 | ) | 1,929 | |||||||
Harsco Corp. | (6,886 | ) | (134,703 | ) | 21,084 | |||||||
Henry Schein, Inc. | (370 | ) | (52,558 | ) | (26 | ) | ||||||
Hershey Co./The | (305 | ) | (28,874 | ) | 1,781 | |||||||
Hertz Global Holdings, Inc. | (5,694 | ) | (132,431 | ) | 29,255 | |||||||
Hexcel Corp. | (1,700 | ) | (68,538 | ) | (16,020 | ) | ||||||
Hilton Worldwide Holdings, Inc. | (2,500 | ) | (63,838 | ) | (5,037 | ) | ||||||
HMS Holdings Corp. | (5,800 | ) | (127,315 | ) | 27,729 | |||||||
HollyFrontier Corp. | (1,300 | ) | (49,678 | ) | (5,819 | ) | ||||||
HomeAway, Inc. | (3,300 | ) | (98,187 | ) | (4,509 | ) | ||||||
Huntsman Corp. | (516 | ) | (11,726 | ) | 338 | |||||||
IDEX Corp. | (186 | ) | (14,231 | ) | (385 | ) | ||||||
IDEXX Laboratories, Inc. | (1,368 | ) | (88,813 | ) | 1,069 | |||||||
Illumina, Inc. | (419 | ) | (79,808 | ) | (11,685 | ) | ||||||
Incyte Corp. | (900 | ) | (65,071 | ) | (28,718 | ) | ||||||
Informatica Corp. | (300 | ) | (11,510 | ) | (3,031 | ) | ||||||
Intersil Corp. | (500 | ) | (6,983 | ) | 728 | |||||||
Intuitive Surgical, Inc. | (155 | ) | (74,359 | ) | (739 | ) | ||||||
ITC Holdings Corp. | (956 | ) | (31,784 | ) | 1,020 | |||||||
Itron, Inc. | (1,144 | ) | (41,329 | ) | 1,930 | |||||||
JB Hunt Transport Services, Inc. | (77 | ) | (6,764 | ) | 443 | |||||||
JDS Uniphase Corp. | (6,843 | ) | (92,909 | ) | 13,667 | |||||||
Joy Global, Inc. | (500 | ) | (27,763 | ) | 9,663 | |||||||
Juniper Networks, Inc. | (269 | ) | (7,285 | ) | 299 | |||||||
Kansas City Southern | (1,427 | ) | (150,323 | ) | 20,181 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
263
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Kate Spade & Co. | (4,054 | ) | $ | (115,013 | ) | $ | 27,690 | |||||
KBR, Inc. | (7,923 | ) | (149,402 | ) | (4,938 | ) | ||||||
Kellogg Co. | (742 | ) | (47,398 | ) | 874 | |||||||
Kennametal, Inc. | (700 | ) | (25,607 | ) | 1,723 | |||||||
Keurig Green Mountain, Inc. | (2,058 | ) | (200,573 | ) | 42,868 | |||||||
KLX, Inc. | (351 | ) | (15,493 | ) | 3 | |||||||
Kosmos Energy Ltd. | (4,680 | ) | (40,043 | ) | 591 | |||||||
Laboratory Corp. of America Holdings | (295 | ) | (35,607 | ) | (153 | ) | ||||||
Las Vegas Sands Corp. | (1,300 | ) | (74,947 | ) | 6,606 | |||||||
Leucadia National Corp. | (691 | ) | (16,827 | ) | 50 | |||||||
Level 3 Communications, Inc. | (382 | ) | (21,540 | ) | 1,420 | |||||||
Liberty Broadband Corp. | (52 | ) | (2,748 | ) | 88 | |||||||
Linear Technology Corp. | (600 | ) | (27,442 | ) | 904 | |||||||
LinkedIn Corp. | (200 | ) | (44,662 | ) | 3,336 | |||||||
Lions Gate Entertainment Corp. | (3,100 | ) | (99,972 | ) | (14,883 | ) | ||||||
Live Nation Entertainment, Inc. | (1,400 | ) | (36,956 | ) | (1,530 | ) | ||||||
Loews Corp. | (556 | ) | (22,474 | ) | 1,062 | |||||||
LPL Financial Holdings, Inc. | (300 | ) | (13,470 | ) | (477 | ) | ||||||
Manitowoc Co., Inc./The | (4,021 | ) | (86,803 | ) | 7,991 | |||||||
ManpowerGroup, Inc. | (90 | ) | (7,595 | ) | (449 | ) | ||||||
MasterCard, Inc. | (311 | ) | (27,011 | ) | (2,061 | ) | ||||||
MDU Resources Group, Inc. | (2,559 | ) | (56,330 | ) | 6,352 | |||||||
Mead Johnson Nutrition Co. | (206 | ) | (19,797 | ) | 1,212 | |||||||
MEDNAX, Inc. | (600 | ) | (41,283 | ) | (3,183 | ) | ||||||
MGM Resorts International | (4,949 | ) | (103,162 | ) | 12,843 | |||||||
Michaels Cos., Inc./The | (100 | ) | (2,800 | ) | 109 | |||||||
Middleby Corp./The | (300 | ) | (27,698 | ) | (5,971 | ) | ||||||
Monsanto Co. | (307 | ) | (36,917 | ) | 4,194 | |||||||
Motorola Solutions, Inc. | (1,600 | ) | (104,183 | ) | 12,439 | |||||||
MRC Global, Inc. | (7,005 | ) | (107,825 | ) | (332 | ) | ||||||
MSC Industrial Direct Co., Inc. | (49 | ) | (3,551 | ) | 132 | |||||||
Nabors Industries Ltd. | (396 | ) | (5,981 | ) | 267 | |||||||
National Fuel Gas Co. | (300 | ) | (20,415 | ) | 2,748 | |||||||
Navistar International Corp. | (3,100 | ) | (105,852 | ) | 35,699 | |||||||
NCR Corp. | (3,300 | ) | (102,464 | ) | 3,134 | |||||||
Netflix, Inc. | (164 | ) | (54,780 | ) | (52,958 | ) | ||||||
NetSuite, Inc. | (700 | ) | (66,098 | ) | 1,873 | |||||||
New York Times Co./The | (3,000 | ) | (36,326 | ) | (4,624 | ) | ||||||
News Corp. | (600 | ) | (10,072 | ) | 1,318 | |||||||
Nielsen NV | (500 | ) | (22,246 | ) | (139 | ) | ||||||
Noble Energy, Inc. | (1,400 | ) | (70,056 | ) | 10,304 | |||||||
Nordson Corp. | (300 | ) | (23,913 | ) | 546 | |||||||
NorthStar Asset Management Group, Inc. | (1,859 | ) | (38,455 | ) | 4,082 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Nuance Communications, Inc. | (300 | ) | $ | (4,563 | ) | $ | (690 | ) | ||||
Nucor Corp. | (362 | ) | (17,735 | ) | 1,781 | |||||||
Occidental Petroleum Corp. | (952 | ) | (74,254 | ) | 217 | |||||||
Ocwen Financial Corp. | (5,500 | ) | (98,208 | ) | 42,108 | |||||||
OGE Energy Corp. | (4,351 | ) | (133,201 | ) | 8,893 | |||||||
Old Republic International Corp. | (1,400 | ) | (20,310 | ) | (1,572 | ) | ||||||
ONEOK, Inc. | (2,246 | ) | (108,571 | ) | 19,899 | |||||||
Oshkosh Corp. | (200 | ) | (9,599 | ) | 1,123 | |||||||
Owens & Minor, Inc. | (807 | ) | (27,027 | ) | (411 | ) | ||||||
Owens Corning | (200 | ) | (6,976 | ) | (1,274 | ) | ||||||
Owens-Illinois, Inc. | (3,617 | ) | (96,150 | ) | 13,176 | |||||||
PacWest Bancorp | (300 | ) | (13,874 | ) | (154 | ) | ||||||
Palo Alto Networks, Inc. | (100 | ) | (9,831 | ) | (7,639 | ) | ||||||
Pandora Media, Inc. | (700 | ) | (12,037 | ) | 1,159 | |||||||
Patterson-UTI Energy, Inc. | (3,454 | ) | (63,153 | ) | (1,834 | ) | ||||||
PBF Energy, Inc. | (300 | ) | (7,984 | ) | (542 | ) | ||||||
Pitney Bowes, Inc. | (2,200 | ) | (51,690 | ) | 5,908 | |||||||
Platform Specialty Products Corp. | (900 | ) | (24,302 | ) | 1,280 | |||||||
PolyOne Corp. | (500 | ) | (18,122 | ) | (1,463 | ) | ||||||
Post Holdings, Inc. | (3,800 | ) | (151,954 | ) | (52,980 | ) | ||||||
Praxair, Inc. | (654 | ) | (79,388 | ) | 1,202 | |||||||
Precision Castparts Corp. | (941 | ) | (200,269 | ) | 12,191 | |||||||
Priceline Group, Inc./The | (23 | ) | (27,697 | ) | 1,215 | |||||||
Prudential Financial, Inc. | (300 | ) | (27,517 | ) | 1,261 | |||||||
PVH Corp. | (234 | ) | (28,605 | ) | 1,648 | |||||||
QEP Resources, Inc. | (1,900 | ) | (36,544 | ) | 1,375 | |||||||
QUALCOMM, Inc. | (649 | ) | (44,323 | ) | 3,676 | |||||||
Range Resources Corp. | (2,600 | ) | (146,188 | ) | 17,800 | |||||||
Rayonier Advanced Materials, Inc. | (594 | ) | (10,178 | ) | 520 | |||||||
Regeneron Pharmaceuticals, Inc. | (100 | ) | (35,989 | ) | (15,024 | ) | ||||||
Rice Energy, Inc. | (1,273 | ) | (29,706 | ) | 3,189 | |||||||
Rite Aid Corp. | (2,000 | ) | (15,211 | ) | (1,489 | ) | ||||||
RPC, Inc. | (5,400 | ) | (71,756 | ) | (2,926 | ) | ||||||
salesforce.com, Inc. | (1,800 | ) | (107,339 | ) | (17,995 | ) | ||||||
Sally Beauty Holdings, Inc. | (200 | ) | (5,576 | ) | (740 | ) | ||||||
SanDisk Corp. | (1,132 | ) | (76,457 | ) | 10,552 | |||||||
Santander Consumer USA Holdings, Inc. | (2,200 | ) | (48,440 | ) | (7,814 | ) | ||||||
SBA Communications Corp. | (361 | ) | (41,148 | ) | (356 | ) | ||||||
Schlumberger Ltd. | (463 | ) | (42,291 | ) | 2,385 | |||||||
Scripps Networks Interactive, Inc. | (466 | ) | (32,177 | ) | 1,714 | |||||||
Sealed Air Corp. | (400 | ) | (14,567 | ) | (5,985 | ) | ||||||
Seattle Genetics, Inc. | (1,900 | ) | (67,715 | ) | (24,245 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
264
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
SeaWorld Entertainment, Inc. | (2,691 | ) | $ | (51,154 | ) | $ | 1,532 | |||||
Semtech Corp. | (2,069 | ) | (52,541 | ) | 11,472 | |||||||
ServiceNow, Inc. | (800 | ) | (54,350 | ) | (5,098 | ) | ||||||
Sirius XM Holdings, Inc. | (36,000 | ) | (126,551 | ) | (7,729 | ) | ||||||
Six Flags Entertainment Corp. | (1,600 | ) | (66,175 | ) | (5,585 | ) | ||||||
SLM Corp. | (1,300 | ) | (13,351 | ) | 520 | |||||||
Solera Holdings, Inc. | (1,181 | ) | (60,737 | ) | 8,112 | |||||||
Sotheby’s | (2,700 | ) | (110,021 | ) | (12,127 | ) | ||||||
Southwestern Energy Co. | (381 | ) | (11,934 | ) | 3,274 | |||||||
Spirit Airlines, Inc. | (721 | ) | (49,871 | ) | 5,097 | |||||||
Splunk, Inc. | (1,300 | ) | (78,314 | ) | (12,192 | ) | ||||||
Sprint Corp. | (19,783 | ) | (91,700 | ) | 1,489 | |||||||
Sprouts Farmers Market, Inc. | (3,470 | ) | (95,308 | ) | 1,688 | |||||||
SPX Corp. | (384 | ) | (28,691 | ) | 893 | |||||||
Starwood Hotels & Resorts Worldwide, Inc. | (300 | ) | (24,379 | ) | 52 | |||||||
SunEdison, Inc. | (9,000 | ) | (181,287 | ) | (87,903 | ) | ||||||
SVB Financial Group | (100 | ) | (11,838 | ) | (2,560 | ) | ||||||
Synovus Financial Corp. | (900 | ) | (23,134 | ) | (4,604 | ) | ||||||
Tableau Software, Inc. | (900 | ) | (67,798 | ) | (35,972 | ) | ||||||
Targa Resources Corp. | (1,124 | ) | (106,945 | ) | 6,662 | |||||||
Taylor Morrison Home Corp. | (4,541 | ) | (84,400 | ) | (8,054 | ) | ||||||
Teekay Corp. | (1,200 | ) | (61,600 | ) | 10,216 | |||||||
Tempur Sealy International, Inc. | (1,340 | ) | (78,452 | ) | (9,854 | ) | ||||||
Tenet Healthcare Corp. | (4,309 | ) | (211,542 | ) | (37,863 | ) | ||||||
Tesla Motors, Inc. | (200 | ) | (47,351 | ) | (6,301 | ) | ||||||
Thoratec Corp. | (2,800 | ) | (93,562 | ) | (31,234 | ) | ||||||
Tiffany & Co. | (967 | ) | (93,600 | ) | 4,830 | |||||||
TimkenSteel Corp. | (327 | ) | (10,171 | ) | 1,346 | |||||||
T-Mobile US, Inc. | (2,657 | ) | (82,179 | ) | (20,833 | ) | ||||||
Toll Brothers, Inc. | (900 | ) | (30,512 | ) | (3,859 | ) | ||||||
Tractor Supply Co. | (300 | ) | (22,558 | ) | (4,424 | ) | ||||||
Trimble Navigation Ltd. | (6,113 | ) | (160,714 | ) | 17,303 | |||||||
TripAdvisor, Inc. | (1,300 | ) | (102,505 | ) | (10,777 | ) | ||||||
Triumph Group, Inc. | (100 | ) | (6,830 | ) | 231 | |||||||
Twitter, Inc. | (2,152 | ) | (93,932 | ) | 15,987 | |||||||
Umpqua Holdings Corp. | (5,100 | ) | (88,074 | ) | (3,675 | ) | ||||||
Under Armour, Inc. | (400 | ) | (27,816 | ) | (5,560 | ) | ||||||
United Continental Holdings, Inc. | (800 | ) | (42,428 | ) | 20 | |||||||
United Natural Foods, Inc. | (400 | ) | (26,563 | ) | 1,091 | |||||||
United Rentals, Inc. | (266 | ) | (23,846 | ) | 539 | |||||||
United Technologies Corp. | (43 | ) | (5,089 | ) | 319 | |||||||
Urban Outfitters, Inc. | (1,200 | ) | (43,177 | ) | 1,177 | |||||||
USG Corp. | (3,885 | ) | (110,199 | ) | 2,235 | |||||||
Vantiv, Inc. | (100 | ) | (3,167 | ) | (652 | ) | ||||||
VCA, Inc. | (100 | ) | (4,176 | ) | (1,265 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
VeriFone Systems, Inc. | (3,701 | ) | $ | (134,141 | ) | $ | 8,455 | |||||
Verisk Analytics, Inc. | (600 | ) | (38,636 | ) | (5,020 | ) | ||||||
Vertex Pharmaceuticals, Inc. | (700 | ) | (74,066 | ) | (12,370 | ) | ||||||
Viacom, Inc. | (243 | ) | (16,165 | ) | 458 | |||||||
Visteon Corp. | (758 | ) | (81,333 | ) | 1,758 | |||||||
VMware, Inc. | (600 | ) | (50,483 | ) | (961 | ) | ||||||
Waddell & Reed Financial, Inc. | (1,200 | ) | (59,140 | ) | 2,368 | |||||||
WellCare Health Plans, Inc. | (1,323 | ) | (109,920 | ) | (2,310 | ) | ||||||
Wendy’s Co./The | (3,800 | ) | (33,547 | ) | (9,317 | ) | ||||||
Westlake Chemical Corp. | (200 | ) | (11,524 | ) | (2,194 | ) | ||||||
WhiteWave Foods Co./The | (1,200 | ) | (44,263 | ) | (14,393 | ) | ||||||
Whiting Petroleum Corp. | (1,336 | ) | (43,836 | ) | (1,054 | ) | ||||||
Williams Cos., Inc./The | (1,057 | ) | (50,173 | ) | (10,488 | ) | ||||||
Workday, Inc. | (1,000 | ) | (82,910 | ) | 6,520 | |||||||
Worthington Industries, Inc. | (341 | ) | (9,574 | ) | (676 | ) | ||||||
WR Grace & Co. | (1,249 | ) | (122,605 | ) | (2,669 | ) | ||||||
Wynn Resorts Ltd. | (727 | ) | (93,300 | ) | 21,567 | |||||||
Xylem, Inc. | (700 | ) | (25,889 | ) | (60 | ) | ||||||
Yelp, Inc. | (1,676 | ) | (88,612 | ) | 16,493 | |||||||
Yum! Brands, Inc. | (400 | ) | (28,520 | ) | (7,512 | ) | ||||||
Zions Bancorporation | (2,800 | ) | (81,105 | ) | (7,753 | ) | ||||||
Zynga, Inc. | (12,903 | ) | (34,576 | ) | (2,327 | ) | ||||||
|
| |||||||||||
(25,038 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | 5,759 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 414,763 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 52,319 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 467,082 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
265
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps. | 2-12 months maturity ranging from 07/21/2015 -06/14/2016 | $226,824 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
DCC PLC | 1,056 | $ | 58,551 | $ | 24,376 | |||||||
|
| |||||||||||
South Africa | ||||||||||||
Investec PLC | 4,222 | 37,072 | 862 | |||||||||
Mondi PLC | 2,583 | 43,564 | 12,046 | |||||||||
|
| |||||||||||
12,908 | ||||||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Wolseley PLC | 564 | 32,614 | 3,354 | |||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
3i Group PLC | 808 | 6,365 | 191 | |||||||||
Amlin PLC | 2,220 | 15,677 | 933 | |||||||||
Ashtead Group PLC | 722 | 13,021 | (578 | ) | ||||||||
Associated British Foods PLC | 813 | 38,124 | (1,489 | ) | ||||||||
AstraZeneca PLC | 111 | 7,965 | (940 | ) | ||||||||
Aviva PLC | 13,329 | 103,829 | (591 | ) | ||||||||
Barratt Developments PLC | 10,680 | 83,935 | 19,077 | |||||||||
Berkeley Group Holdings PLC | 559 | 21,394 | 7,981 | |||||||||
Britvic PLC | 62 | 729 | (30 | ) | ||||||||
BT Group PLC | 7,365 | 47,207 | 4,948 | |||||||||
Bunzl PLC | 1,811 | 50,310 | (907 | ) | ||||||||
Close Brothers Group PLC | 723 | 17,353 | (5 | ) | ||||||||
Compass Group PLC | 4,266 | 73,455 | (2,899 | ) | ||||||||
Direct Line Insurance Group PLC | 16,127 | 80,855 | 4,272 | |||||||||
Dixons Carphone PLC | 11,778 | 79,314 | 4,438 | |||||||||
DS Smith PLC | 131 | 753 | 42 | |||||||||
easyJet PLC | 1,636 | 43,628 | (3,860 | ) | ||||||||
G4S PLC | 9,663 | 42,427 | (1,683 | ) | ||||||||
Greene King PLC | 56 | 724 | 20 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Hikma Pharmaceuticals PLC | 1,846 | $ | 52,374 | $ | 3,699 | |||||||
HSBC Holdings PLC | 6,665 | 64,877 | (5,196 | ) | ||||||||
Imperial Tobacco Group PLC | 3,023 | 137,394 | 8,200 | |||||||||
Inchcape PLC | 11,248 | 128,280 | 14,901 | |||||||||
Indivior PLC | 771 | 2,819 | (94 | ) | ||||||||
Inmarsat PLC | 3,988 | 51,345 | 5,985 | |||||||||
Intermediate Capital Group PLC | 16,308 | 115,351 | 25,530 | |||||||||
International Consolidated Airlines Group SA | 6,488 | 57,150 | (6,731 | ) | ||||||||
ITV PLC | 4,716 | 17,481 | 2,031 | |||||||||
John Wood Group PLC | 3,875 | 42,130 | (2,912 | ) | ||||||||
Kingfisher PLC | 321 | 1,686 | 64 | |||||||||
Legal & General Group PLC | 8,137 | 31,283 | 533 | |||||||||
Man Group PLC | 9,747 | 26,851 | (2,828 | ) | ||||||||
Meggitt PLC | 1,039 | 8,427 | (818 | ) | ||||||||
National Grid PLC | 7,260 | 104,716 | (11,274 | ) | ||||||||
Next PLC | 101 | 11,015 | 806 | |||||||||
Persimmon PLC | 2,885 | 70,263 | 19,247 | |||||||||
Playtech PLC | 567 | 7,583 | (292 | ) | ||||||||
Provident Financial PLC | 2,940 | 111,326 | 23,843 | |||||||||
Reckitt Benckiser Group PLC | 73 | 5,980 | 315 | |||||||||
Rentokil Initial PLC | 41,499 | 80,040 | 16,339 | |||||||||
Rexam PLC | 1,142 | 8,701 | 1,203 | |||||||||
Rightmove PLC | 408 | 15,345 | 5,648 | |||||||||
Sage Group PLC/The | 2,220 | 13,149 | 4,721 | |||||||||
Shire PLC | 1,145 | 95,384 | (3,384 | ) | ||||||||
Sky PLC | 6,649 | 94,768 | 13,529 | |||||||||
Smith & Nephew PLC | 583 | 9,893 | (30 | ) | ||||||||
SSE PLC | 1,244 | 31,904 | (1,891 | ) | ||||||||
Taylor Wimpey PLC | 27,709 | 76,847 | 3,960 | |||||||||
Telecity Group PLC | 40 | 689 | (43 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
266
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Travis Perkins PLC | 1,710 | $ | 46,722 | $ | 9,913 | |||||||
United Utilities Group PLC | 5,302 | 77,730 | (3,469 | ) | ||||||||
Whitbread PLC | 140 | 9,715 | 1,162 | |||||||||
WPP PLC | 1,288 | 27,665 | 1,246 | |||||||||
|
| |||||||||||
152,833 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 193,471 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
BHP Billiton PLC | (519 | ) | (12,097 | ) | 1,893 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Coca-Cola HBC AG | (112 | ) | (2,179 | ) | (225 | ) | ||||||
Glencore PLC | (669 | ) | (3,151 | ) | 468 | |||||||
|
| |||||||||||
243 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aberdeen Asset Management PLC | (2,214 | ) | (15,114 | ) | 1,070 | |||||||
Admiral Group PLC | (3,246 | ) | (66,639 | ) | (4,092 | ) | ||||||
Aggreko PLC | (541 | ) | (12,865 | ) | 645 | |||||||
Anglo American PLC | (5,898 | ) | (96,333 | ) | 11,128 | |||||||
Antofagasta PLC | (1,667 | ) | (18,869 | ) | 825 | |||||||
ASOS PLC | (1,963 | ) | (88,386 | ) | (31,292 | ) | ||||||
Barclays PLC | (352 | ) | (1,293 | ) | (150 | ) | ||||||
Booker Group PLC | (2,549 | ) | (6,048 | ) | (692 | ) | ||||||
British American Tobacco PLC | (797 | ) | (45,290 | ) | 2,378 | |||||||
Burberry Group PLC | (2,402 | ) | (63,692 | ) | 4,434 | |||||||
Capita PLC | (1,301 | ) | (25,142 | ) | (137 | ) | ||||||
Centrica PLC | (32,122 | ) | (133,355 | ) | 65 | |||||||
Croda International PLC | (763 | ) | (28,364 | ) | (4,627 | ) | ||||||
Diageo PLC | (4,442 | ) | (125,626 | ) | (3,013 | ) | ||||||
Drax Group PLC | (23,758 | ) | (153,084 | ) | 23,143 | |||||||
Experian PLC | (5,544 | ) | (95,986 | ) | (4,851 | ) | ||||||
GlaxoSmithKline PLC | (1,476 | ) | (34,172 | ) | 3,483 | |||||||
Hargreaves Lansdown PLC | (7,800 | ) | (124,113 | ) | (17,208 | ) | ||||||
ICAP PLC | (1,020 | ) | (7,254 | ) | (1,230 | ) | ||||||
IMI PLC | (4,996 | ) | (99,281 | ) | 10,964 | |||||||
Informa PLC | (392 | ) | (3,026 | ) | (341 | ) | ||||||
Intertek Group PLC | (751 | ) | (31,348 | ) | 2,472 | |||||||
Kazakhmys PLC | (14,384 | ) | (50,626 | ) | 4,707 | |||||||
Ladbrokes PLC | (602 | ) | (1,164 | ) | (64 | ) | ||||||
Lloyds Banking Group PLC | (28,107 | ) | (32,790 | ) | (4,935 | ) | ||||||
Lonmin PLC | (6 | ) | – | (11 | ) | |||||||
Melrose Industries PLC | (15,574 | ) | (68,446 | ) | 7,914 | |||||||
Ocado Group PLC | (8,437 | ) | (48,193 | ) | (10,871 | ) | ||||||
Old Mutual PLC | (18,764 | ) | (60,185 | ) | 790 | |||||||
Petrofac Ltd. | (1,996 | ) | (25,628 | ) | (3,415 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Premier Oil PLC | (3,856 | ) | $ | (8,415 | ) | $ | (615 | ) | ||||
Prudential PLC | (111 | ) | (2,838 | ) | 163 | |||||||
Rio Tinto PLC | (16 | ) | (749 | ) | 91 | |||||||
Rolls-Royce Holdings PLC | (39,330 | ) | (3 | ) | (59 | ) | ||||||
Royal Bank of Scotland Group PLC | (140 | ) | (773 | ) | (1 | ) | ||||||
RSA Insurance Group PLC | (1,886 | ) | (13,366 | ) | 1,606 | |||||||
SABMiller PLC | (829 | ) | (46,536 | ) | 3,552 | |||||||
Serco Group PLC | (29,951 | ) | (65,577 | ) | 10,037 | |||||||
Smiths Group PLC | (522 | ) | (9,402 | ) | 149 | |||||||
Spirax-Sarco Engineering PLC | (567 | ) | (26,348 | ) | (3,893 | ) | ||||||
Sports Direct International PLC | (3,281 | ) | (36,206 | ) | (786 | ) | ||||||
St. James’s Place PLC | (6,530 | ) | (82,778 | ) | (10,076 | ) | ||||||
Standard Chartered PLC | (60 | ) | (1,023 | ) | 62 | |||||||
Standard Life PLC | (3,932 | ) | (30,456 | ) | 3,038 | |||||||
Tesco PLC | (66,441 | ) | (229,384 | ) | 8,017 | |||||||
Thomas Cook Group PLC | (16,708 | ) | (37,860 | ) | 1,946 | |||||||
UBM PLC | (3,309 | ) | (25,006 | ) | (2,797 | ) | ||||||
Vedanta Resources PLC | (5,539 | ) | (48,765 | ) | 3,529 | |||||||
Vodafone Group PLC | (11,133 | ) | (39,684 | ) | (928 | ) | ||||||
Weir Group PLC/The | (797 | ) | (23,799 | ) | 2,557 | |||||||
William Hill PLC | (1,013 | ) | (5,715 | ) | (702 | ) | ||||||
WM Morrison Supermarkets PLC | (10,491 | ) | (29,865 | ) | 83 | |||||||
|
| |||||||||||
2,062 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 4,198 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 197,669 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 29,155 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 226,824 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
267
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short positions and pays the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps. | 1-12 months maturity ranging from 07/17/2015 - 06/14/2016 | $24,900 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2015.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Aeroports de Paris | 659 | $ | 72,696 | $ | 1,746 | |||||||
Atos SE | 222 | 15,048 | 1,540 | |||||||||
AXA SA | 1,180 | 30,537 | (622 | ) | ||||||||
Bouygues SA | 159 | 6,482 | (505 | ) | ||||||||
Cap Gemini SA | 296 | 19,899 | 6,361 | |||||||||
Christian Dior SE | 304 | 48,093 | 11,420 | |||||||||
Cie Generale des Etablissements Michelin | 635 | 55,856 | 10,961 | |||||||||
Credit Agricole SA | 2,267 | 26,742 | 7,104 | |||||||||
Dassault Systemes | 348 | 20,458 | 4,805 | |||||||||
Electricite de France SA | 2,352 | 61,134 | (8,523 | ) | ||||||||
Havas SA | 797 | 6,825 | (173 | ) | ||||||||
Imerys SA | 1,156 | 77,479 | 11,202 | |||||||||
Lagardere SCA | 985 | 24,158 | 4,664 | |||||||||
L’Oreal SA | 530 | 96,442 | (1,614 | ) | ||||||||
Neopost SA | 293 | 15,187 | (2,578 | ) | ||||||||
Orange SA | 1,577 | 22,194 | 2,177 | |||||||||
Publicis Groupe SA | 170 | 10,991 | 1,610 | |||||||||
Sanofi | 349 | 31,208 | 3,318 | |||||||||
SCOR SE | 2,777 | 75,777 | 22,422 | |||||||||
Societe BIC SA | 431 | 51,372 | 17,376 | |||||||||
Societe Generale SA | 647 | 31,409 | (1,049 | ) | ||||||||
Teleperformance | 10 | 748 | (41 | ) | ||||||||
Thales SA | 546 | 26,258 | 6,731 | |||||||||
Vinci SA | 931 | 47,895 | 6,138 | |||||||||
Vivendi SA | 27 | 664 | 20 | |||||||||
|
| |||||||||||
104,490 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 104,490 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Airbus Group SE | (259 | ) | (14,477 | ) | (2,394 | ) | ||||||
Arkema SA | (626 | ) | (39,374 | ) | (5,878 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Bollore SA | (4,193 | ) | $ | (23,441 | ) | $ | 1,011 | |||||
Bureau Veritas SA | (1,302 | ) | (26,332 | ) | (3,682 | ) | ||||||
Carrefour SA | (108 | ) | (3,003 | ) | (468 | ) | ||||||
Casino Guichard Perrachon SA | (17 | ) | (1,437 | ) | 147 | |||||||
Cie de Saint-Gobain | (1,688 | ) | (68,359 | ) | (7,840 | ) | ||||||
Edenred | (628 | ) | (15,352 | ) | (166 | ) | ||||||
Etablissements Maurel et Prom | (3,931 | ) | (33,799 | ) | 4,538 | |||||||
Hermes International | (50 | ) | (18,634 | ) | (35 | ) | ||||||
Iliad SA | (133 | ) | (31,055 | ) | 1,483 | |||||||
JCDecaux SA | (478 | ) | (15,101 | ) | (4,888 | ) | ||||||
Peugeot SA | (5,175 | ) | (58,116 | ) | (48,602 | ) | ||||||
Plastic Omnium SA | (1,059 | ) | (29,839 | ) | 2,748 | |||||||
Remy Cointreau SA | (1,070 | ) | (70,331 | ) | (6,972 | ) | ||||||
Renault SA | (465 | ) | (31,085 | ) | (17,669 | ) | ||||||
Societe Television Francaise 1 | (1,494 | ) | (19,286 | ) | (6,417 | ) | ||||||
Technip SA | (16 | ) | (1,055 | ) | 64 | |||||||
Vallourec SA | (6,100 | ) | (159,435 | ) | 34,814 | |||||||
Veolia Environnement SA | (1,646 | ) | (25,433 | ) | (8,268 | ) | ||||||
|
| |||||||||||
(68,474 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (68,474 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 36,016 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (11,116 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 24,900 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
268
Consolidated Schedule of Investments | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Barclays Capital | ||||||||||
Cash | $— | $1,017,418 | $1,017,418 | |||||||
| ||||||||||
Citibank | ||||||||||
Money Market Funds | 120,002 | — | 120,002 | |||||||
| ||||||||||
Goldman Sachs | ||||||||||
Cash | — | 523,891 | 523,891 | |||||||
Money Market Funds | 2,940,000 | — | 2,940,000 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | 237,366 | 237,366 | |||||||
| ||||||||||
Morgan Stanley and Co., International PLC | ||||||||||
Cash | — | 8,340 | 8,340 | |||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2015 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
Goldman Sachs | ||||||||||
Cash | $— | $59,613 | $59,613 | |||||||
| ||||||||||
J.P. Morgan | ||||||||||
Cash | — | 209,222 | 209,222 | |||||||
| ||||||||||
Morgan Stanley and Co., International PLC | ||||||||||
Cash | — | 177,105 | 177,105 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
269
Statements of Assets and Liabilities | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY MARKET NEUTRAL FUND | AQR GLOBAL MACRO FUND** | AQR LONG-SHORT EQUITY FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 2,335,607,342 | $ | 26,986,057 | $ | 100,881,358 | $ | 129,470,651 | ||||||||
Investments in securities, at value | $ | 2,226,434,848 | $ | 26,967,419 | $ | 100,892,241 | $ | 130,085,915 | ||||||||
Cash | 11,681,560 | — | 6,336 | 23,253 | ||||||||||||
Foreign currency, at value‡ | 2,290,151 | 65,530 | 21,646 | 298,933 | ||||||||||||
Due from brokers | 139,604,308 | 8,761,461 | 1,545,396 | 18,008,925 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 72,444 | 603 | — | 250,683 | ||||||||||||
OTC swaps, at value | 13,263,077 | 1,245,822 | — | 3,174,234 | ||||||||||||
Deposits with brokers for futures contracts | 5,235,010 | 169,727 | 6,567,275 | 3,453,824 | ||||||||||||
Variation margin on derivative instruments | 170,412 | 11,184 | 350,135 | 12,439 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 164,089,550 | — | 9,976 | 7,935,139 | ||||||||||||
Foreign tax reclaim | 64,372 | 6,270 | — | 22,338 | ||||||||||||
Dividends and interest | 10,067,366 | 1,193 | — | 6,684 | ||||||||||||
Capital shares sold | 3,648,027 | 335,976 | 221,954 | 1,564,232 | ||||||||||||
Prepaid expenses | 111,295 | 40,607 | 46,043 | 44,908 | ||||||||||||
Total Assets | 2,576,732,420 | 37,605,792 | 109,661,002 | 164,881,507 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Securities sold short, at value (proceeds $862,652,411, $8,870,185, $— and $30,127,140, respectively) | 839,990,964 | 8,789,405 | — | 30,379,366 | ||||||||||||
Options written, at value (proceeds $2,596,673, $—, $— and $— respectively) | 285,932 | — | — | — | ||||||||||||
Due to custodian | — | 406,177 | — | — | ||||||||||||
Due to brokers | — | — | 70,661 | 190,000 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 17,268 | — | 47,381 | — | ||||||||||||
OTC swaps, at value | 127,228 | — | 745,883 | — | ||||||||||||
Variation margin on derivative instruments | 420,214 | — | 441,068 | — | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 132,186,424 | — | 9,977 | 9,442,386 | ||||||||||||
Accrued investment advisory fees | 1,190,729 | 8,567 | 109,423 | 106,467 | ||||||||||||
Accrued distribution fees—Class N | 66,484 | 1,737 | 16,616 | 3,602 | ||||||||||||
Accrued Trustee fees | — | 65 | 245 | 112 | ||||||||||||
Capital shares redeemed | 2,662,551 | 119 | 101,761 | 85,801 | ||||||||||||
Dividends and interest payable on securities sold short | 1,328,440 | 10,455 | — | 34,656 | ||||||||||||
Other accrued expenses and liabilities | 991,157 | 55,816 | 87,383 | 83,396 | ||||||||||||
Total Liabilities | 979,267,391 | 9,272,341 | 1,630,398 | 40,325,786 | ||||||||||||
Net Assets | $ | 1,597,465,029 | $ | 28,333,451 | $ | 108,030,604 | $ | 124,555,721 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 1,808,933,407 | $ | 27,710,295 | $ | 109,545,727 | $ | 121,724,754 | ||||||||
Undistributed (accumulated) net investment income (loss) | 353,614 | (441,724 | ) | (1,801,915 | ) | (3,934,932 | ) | |||||||||
Undistributed (accumulated) net realized gain (loss) | (141,902,173 | ) | (202,470 | ) | 2,697,261 | 4,143,030 | ||||||||||
Net unrealized appreciation (depreciation) | (69,919,819 | ) | 1,267,350 | (2,410,469 | ) | 2,622,869 | ||||||||||
Net Assets | $ | 1,597,465,029 | $ | 28,333,451 | $ | 108,030,604 | $ | 124,555,721 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 1,278,279,254 | $ | 16,263,606 | $ | 28,015,385 | $ | 105,298,042 | ||||||||
Class N | 318,273,019 | 8,715,296 | 79,912,962 | 17,863,706 | ||||||||||||
Class R6 | 912,756 | 3,354,549 | 102,257 | 1,393,973 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 126,135,917 | 1,556,297 | 2,824,825 | 9,278,903 | ||||||||||||
Class N | 31,550,091 | 834,924 | 8,079,602 | 1,579,427 | ||||||||||||
Class R6 | 90,098 | 320,778 | 10,307 | 122,737 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 10.13 | $ | 10.45 | $ | 9.92 | $ | 11.35 | ||||||||
Class N | $ | 10.09 | $ | 10.44 | $ | 9.89 | $ | 11.31 | ||||||||
Class R6 | $ | 10.13 | $ | 10.46 | $ | 9.92 | $ | 11.36 | ||||||||
‡ Foreign currency at cost | $ | 2,350,944 | $ | 66,626 | $ | 21,639 | $ | 299,611 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
270
Statements of Assets and Liabilities | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND** | AQR MANAGED FUTURES STRATEGY HV FUND** | AQR MULTI- STRATEGY ALTERNATIVE FUND** | AQR RISK- BALANCED COMMODITIES STRATEGY FUND** | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 8,101,257,955 | $ | 236,657,293 | $ | 1,766,224,035 | $ | 77,087,685 | ||||||||
Investments in securities, at value | $ | 8,102,206,883 | $ | 236,674,190 | $ | 1,821,736,950 | $ | 77,094,740 | ||||||||
Cash | 370,584 | 17,535 | 1,068,308 | — | ||||||||||||
Foreign currency, at value‡ | 752,066 | 49,224 | 18,804,349 | — | ||||||||||||
Due from brokers | 193,326,021 | 4,653,245 | 414,171,204 | 54 | ||||||||||||
OTC swaps, at value | — | — | 57,837,192 | 476,135 | ||||||||||||
Deposits with brokers for futures contracts | 201,911,598 | 17,976,348 | 82,294,766 | 2,408,259 | ||||||||||||
Variation margin on derivative instruments | 9,583,237 | 435,737 | 2,172,211 | 172,466 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 6,157,365 | 281,888 | 13,617,537 | — | ||||||||||||
Foreign tax reclaim | — | — | 1,728,357 | — | ||||||||||||
Dividends and interest | 6,906 | — | 3,136,937 | 269 | ||||||||||||
Capital shares sold | 26,735,925 | 359,990 | 6,842,298 | 4,505,308 | ||||||||||||
Prepaid expenses | 335,475 | 45,908 | 104,830 | 37,098 | ||||||||||||
Total Assets | 8,541,386,060 | 260,494,065 | 2,423,514,939 | 84,694,329 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Securities sold short, at value (proceeds $—, $—, $443,226,481 and $—, respectively) | — | — | 465,768,443 | — | ||||||||||||
Due to brokers | 7,381,846 | 332,435 | 2,691,638 | 238,319 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 40,331,364 | 1,870,902 | 352,586 | — | ||||||||||||
OTC swaps, at value | 100,188,375 | 4,868,658 | 7,855,826 | 902,268 | ||||||||||||
Deposits from brokers for futures contracts | 2,254,910 | 139,208 | 298,301 | — | ||||||||||||
Variation margin on derivative instruments | 16,872,600 | 677,223 | 2,617,137 | 24,288 | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 6,157,883 | 281,912 | 31,222,973 | — | ||||||||||||
Accrued investment advisory fees | 7,314,467 | 299,579 | 2,823,705 | 20,202 | ||||||||||||
Accrued distribution fees—Class N | 301,220 | 3,594 | 17,649 | 638 | ||||||||||||
Accrued Trustee fees | 1,806 | 72 | 97 | — | ||||||||||||
Capital shares redeemed | 7,918,359 | 495,747 | 1,053,119 | 14,114 | ||||||||||||
Dividends and interest payable on securities sold short | — | — | 475,456 | — | ||||||||||||
Other accrued expenses and liabilities | 3,725,228 | 153,620 | 821,746 | 116,354 | ||||||||||||
Total Liabilities | 192,448,058 | 9,122,950 | 515,998,676 | 1,316,183 | ||||||||||||
Net Assets | $ | 8,348,938,002 | $ | 251,371,115 | $ | 1,907,516,263 | $ | 83,378,146 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 8,547,326,291 | $ | 251,944,430 | $ | 1,962,685,212 | $ | 98,811,262 | ||||||||
Undistributed (accumulated) net investment income (loss) | (401,853,005 | ) | (14,961,730 | ) | (130,820,500 | ) | (3,316,250 | ) | ||||||||
Undistributed (accumulated) net realized gain (loss) | 375,562,506 | 22,597,224 | 4,063,186 | (10,900,178 | ) | |||||||||||
Net unrealized appreciation (depreciation) | (172,097,790 | ) | (8,208,809 | ) | 71,588,365 | (1,216,688 | ) | |||||||||
Net Assets | $ | 8,348,938,002 | $ | 251,371,115 | $ | 1,907,516,263 | $ | 83,378,146 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 6,849,936,237 | $ | 121,146,109 | $ | 1,768,572,317 | $ | 64,240,377 | ||||||||
Class N | 1,435,525,746 | 16,455,911 | 83,700,353 | 3,154,591 | ||||||||||||
Class R6 | 63,476,019 | 113,769,095 | 55,243,593 | 15,983,178 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 647,058,822 | 10,869,156 | 180,755,394 | 10,068,127 | ||||||||||||
Class N | 136,878,792 | 1,481,134 | 8,581,129 | 498,110 | ||||||||||||
Class R6 | 5,997,027 | 10,206,160 | 5,645,090 | 2,501,479 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 10.59 | $ | 11.15 | $ | 9.78 | $ | 6.38 | ||||||||
Class N | $ | 10.49 | $ | 11.11 | $ | 9.75 | $ | 6.33 | ||||||||
Class R6 | $ | 10.58 | $ | 11.15 | $ | 9.79 | $ | 6.39 | ||||||||
‡ Foreign currency at cost | $ | 704,335 | $ | 48,640 | $ | 18,087,712 | $ | — |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
271
Statements of Assets and Liabilities | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND** | AQR RISK PARITY II HV FUND** | AQR RISK PARITY II MV FUND** | AQR STYLE PREMIA ALTERNATIVE FUND** | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 611,714,592 | $ | 73,777,204 | $ | 97,958,046 | $ | 1,164,490,928 | ||||||||
Investments in securities, at value | $ | 603,373,149 | $ | 72,692,147 | $ | 96,465,085 | $ | 1,175,751,829 | ||||||||
Cash | — | 2,106 | 13,127 | 534,801 | ||||||||||||
Foreign currency, at value‡ | 1,791,300 | 115,689 | 110,215 | 2,043,402 | ||||||||||||
Due from brokers | 21,762,310 | 544,836 | 466,354 | 958,619 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 174,551 | ||||||||||||
OTC swaps, at value | 250,337 | 9,331 | 36,594 | 5,886,176 | ||||||||||||
Deposits with brokers for futures contracts | 23,119,644 | 4,113,451 | 4,206,974 | 82,573,339 | ||||||||||||
Variation margin on derivative instruments | 4,336,042 | 397,171 | 364,742 | 2,060,399 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 312,550 | 41,743 | 55,492 | 2,264,286 | ||||||||||||
Foreign tax reclaim | — | — | — | 519,475 | ||||||||||||
Dividends and interest | 668,952 | 93,075 | 102,174 | 243,670 | ||||||||||||
Capital shares sold | 477,562 | 46,460 | 59,295 | 5,492,161 | ||||||||||||
Prepaid expenses | 45,242 | 29,596 | 29,223 | 54,370 | ||||||||||||
Total Assets | 656,137,088 | 78,085,605 | 101,909,275 | 1,278,557,078 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Securities sold short, at value (proceeds $—, $—, $— and $342,663,271, respectively) | — | — | — | 346,984,965 | ||||||||||||
Due to custodian | 127,665 | — | — | — | ||||||||||||
Reverse repurchase agreements, at value | — | 13,801,951 | — | — | ||||||||||||
Due to brokers | 921,713 | 123,317 | 137,123 | 3,146,654 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 991,884 | 111,441 | 111,632 | — | ||||||||||||
OTC swaps, at value | 2,619,874 | 142,026 | 173,277 | 1,678,870 | ||||||||||||
Deposits from brokers for futures contracts | 199,743 | 59,529 | 79,812 | — | ||||||||||||
Variation margin on derivative instruments | 113,021 | 47,190 | 52,118 | 3,194,008 | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 312,553 | 41,742 | 55,490 | 2,264,397 | ||||||||||||
Accrued investment advisory fees | 399,757 | 35,808 | 46,560 | 1,006,051 | ||||||||||||
Accrued distribution fees—Class N | 7,552 | 2,091 | 1,673 | 7,446 | ||||||||||||
Accrued Trustee fees | 15 | — | — | 277 | ||||||||||||
Capital shares redeemed | 1,622,944 | 38,464 | — | 722,047 | ||||||||||||
Dividends and interest payable on securities sold short | — | — | — | 341,051 | ||||||||||||
Interest payable for reverse repurchase agreements | — | 1,702 | — | — | ||||||||||||
Other accrued expenses and liabilities | 283,912 | 101,133 | 105,715 | 272,016 | ||||||||||||
Total Liabilities | 7,600,633 | 14,506,394 | 763,400 | 359,617,782 | ||||||||||||
Net Assets | $ | 648,536,455 | $ | 63,579,211 | $ | 101,145,875 | $ | 918,939,296 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 645,356,916 | $ | 63,052,065 | $ | 100,078,949 | $ | 942,774,192 | ||||||||
Undistributed (accumulated) net investment income (loss) | (1,237,161 | ) | 359,723 | 523,554 | (31,476,217 | ) | ||||||||||
Undistributed (accumulated) net realized gain (loss) | 24,468,947 | 2,762,505 | 3,526,394 | 3,276,068 | ||||||||||||
Net unrealized appreciation (depreciation) | (20,052,247 | ) | (2,595,082 | ) | (2,983,022 | ) | 4,365,253 | |||||||||
Net Assets | $ | 648,536,455 | $ | 63,579,211 | $ | 101,145,875 | $ | 918,939,296 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 608,852,537 | $ | 50,745,840 | $ | 92,865,940 | $ | 713,080,236 | ||||||||
Class N | 36,498,386 | 10,002,810 | 8,182,053 | 36,786,740 | ||||||||||||
Class R6 | 3,185,532 | 2,830,561 | 97,882 | 169,072,320 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 59,183,881 | 5,213,879 | 9,263,363 | 73,385,911 | ||||||||||||
Class N | 3,550,885 | 1,028,158 | 819,789 | 3,787,640 | ||||||||||||
Class R6 | 309,668 | 290,827 | 9,763 | 17,382,620 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 10.29 | $ | 9.73 | $ | 10.03 | $ | 9.72 | ||||||||
Class N | $ | 10.28 | $ | 9.73 | $ | 9.98 | $ | 9.71 | ||||||||
Class R6 | $ | 10.29 | $ | 9.73 | $ | 10.03 | $ | 9.73 | ||||||||
‡ Foreign currency at cost | $ | 1,570,827 | $ | 116,159 | $ | 110,619 | $ | 1,994,945 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
272
Statements of Assets and Liabilities | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND** | ||||
ASSETS: | ||||
Investments in securities, at cost | $ | 47,316,960 | ||
Investments in securities, at value | $ | 47,912,580 | ||
Cash | 39,671 | |||
Foreign currency, at value‡ | 124,630 | |||
Due from brokers | 1,125,836 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 8,240 | |||
OTC swaps, at value | 760,082 | |||
Deposits with brokers for futures contracts | 2,067,940 | |||
Variation margin on derivative instruments | 58,990 | |||
Receivables: | ||||
Securities sold | 38,962 | |||
Foreign tax reclaim | 5,873 | |||
Dividends and interest | 6,478 | |||
Capital shares sold | 15,000 | |||
Prepaid expenses | 38,826 | |||
Total Assets | 52,203,108 | |||
LIABILITIES: | ||||
Securities sold short, at value (proceeds $8,111,988) | 8,267,438 | |||
Due to brokers | 89,737 | |||
OTC swaps, at value | 15,653 | |||
Variation margin on derivative instruments | 91,107 | |||
Payables: | ||||
Securities purchased | 38,964 | |||
Accrued investment advisory fees | 889 | |||
Accrued distribution fees—Class N | 2,076 | |||
Dividends and interest payable on securities sold short | 6,814 | |||
Other accrued expenses and liabilities | 70,865 | |||
Total Liabilities | 8,583,543 | |||
Net Assets | $ | 43,619,565 | ||
NET ASSETS CONSIST OF: | ||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 44,210,114 | ||
Undistributed (accumulated) net investment income (loss) | (966,597 | ) | ||
Undistributed (accumulated) net realized gain (loss) | (624,289 | ) | ||
Net unrealized appreciation (depreciation) | 1,000,337 | |||
Net Assets | $ | 43,619,565 | ||
NET ASSETS: | ||||
Class I | $ | 13,016,003 | ||
Class N | 10,184,995 | |||
Class R6 | 20,418,567 | |||
SHARES OUTSTANDING: | ||||
Class I | 1,286,501 | |||
Class N | 1,008,533 | |||
Class R6 | 2,017,053 | |||
NET ASSET VALUE: | ||||
Class I | $ | 10.12 | ||
Class N | $ | 10.10 | ||
Class R6 | $ | 10.12 | ||
‡ Foreign currency at cost | $ | 122,951 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
273
Statements of Operations | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY MARKET NEUTRAL FUND | AQR GLOBAL MACRO FUND** | AQR LONG-SHORT EQUITY FUND | |||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $11,430,552 | $158,226 | $— | $451,272 | ||||||||||||
Interest income | 18,748,925 | 547 | 3,768 | 3,526 | ||||||||||||
Total Income | 30,179,477 | 158,773 | 3,768 | 454,798 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 9,219,153 | 104,525 | 361,553 | 462,959 | ||||||||||||
Custody fees | 81,089 | 1,986 | 8,309 | 3,707 | ||||||||||||
Administration & accounting fees | 264,738 | 3,282 | 8,383 | 14,908 | ||||||||||||
Legal fees | 78,548 | 9,647 | 6,966 | 2,071 | ||||||||||||
Audit & tax fees | 121,109 | 28,056 | 36,882 | 24,050 | ||||||||||||
Shareholder reporting fees | 135,707 | 1,343 | 2,591 | 4,451 | ||||||||||||
Transfer agent fees | 965,343 | 10,135 | 11,554 | 26,314 | ||||||||||||
Trustee fees | 46,988 | 319 | 1,102 | 1,560 | ||||||||||||
Offering costs | — | 16,567 | 23,348 | — | ||||||||||||
Distribution fees—Class N | 530,255 | 6,722 | 29,334 | 17,368 | ||||||||||||
Dividends and interest on securities sold short | 10,118,629 | 139,093 | — | 325,920 | ||||||||||||
Registration fees | 161,048 | 30,007 | 27,155 | 24,789 | ||||||||||||
Pricing fee | 131,353 | 10,661 | 14,014 | 15,474 | ||||||||||||
Other expenses | 95,135 | 1,959 | 3,451 | 4,085 | ||||||||||||
Total Expenses | 21,949,095 | 364,302 | 534,642 | 927,656 | ||||||||||||
Less fee waivers and/or reimbursements | (179,079 | ) | (96,520 | ) | (85,570 | ) | (36,755 | ) | ||||||||
Net Expenses | 21,770,016 | 267,782 | 449,072 | 890,901 | ||||||||||||
Net Investment Income (Loss) | 8,409,461 | (109,009 | ) | (445,304 | ) | (436,103 | ) | |||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | 13,497,339 | 50,319 | 5,934 | 133,213 | ||||||||||||
Foreign currency and foreign currency transactions | (228,396 | ) | (7,949 | ) | 39,050 | (30,617 | ) | |||||||||
Forward foreign currency exchange contracts | 11,912,111 | 45,242 | 593,737 | (571,265 | ) | |||||||||||
Futures contracts | (13,113,850 | ) | (35,607 | ) | 1,276,602 | 2,477,787 | ||||||||||
Securities sold short | (58,208,661 | ) | (30,737 | ) | — | (259,555 | ) | |||||||||
Swap contracts | 1,642,670 | (228,855 | ) | 222,106 | 2,950,811 | |||||||||||
Written options | 435,375 | — | — | — | ||||||||||||
Net realized gain (loss) | (44,063,412 | ) | (207,587 | ) | 2,137,429 | 4,700,374 | ||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 6,405,077 | (9,827 | ) | 10,883 | 615,264 | |||||||||||
Foreign currency and foreign currency translations | 281,840 | (2,568 | ) | (24,375 | ) | 16,295 | ||||||||||
Forward foreign currency exchange contracts | (6,410,907 | ) | (6,608 | ) | (285,449 | ) | 396,318 | |||||||||
Futures contracts | 12,955,335 | (27,921 | ) | (1,827,336 | ) | (1,989,805 | ) | |||||||||
Securities sold short | 27,778,385 | 61,397 | — | (252,226 | ) | |||||||||||
Swap contracts | (6,752,467 | ) | 916,015 | (1,076,172 | ) | (349,717 | ) | |||||||||
Written options | 712,434 | — | — | — | ||||||||||||
Net change in unrealized appreciation (depreciation) | 34,969,697 | 930,488 | (3,202,449 | ) | (1,563,871 | ) | ||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (9,093,715 | ) | 722,901 | (1,065,020 | ) | 3,136,503 | ||||||||||
Net increase (decrease) in net assets resulting from operations | $(684,254 | ) | $613,892 | $(1,510,324 | ) | $2,700,400 | ||||||||||
† Net of foreign taxes withheld of | $48,069 | $22,434 | $— | $76,333 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
274
Statements of Operations | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND** | AQR MANAGED FUTURES STRATEGY HV FUND** | AQR MULTI- STRATEGY ALTERNATIVE FUND** | AQR RISK- BALANCED COMMODITIES STRATEGY FUND** | |||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $32,988 | $2 | $3,705,141 | $1,165 | ||||||||||||
Interest income | 2,473,589 | 36,129 | 4,653,274 | 3,179 | ||||||||||||
Total Income | 2,506,577 | 36,131 | 8,358,415 | 4,344 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 41,758,767 | 1,756,293 | 15,734,932 | 279,439 | ||||||||||||
Custody fees | 433,727 | 8,731 | 119,967 | 6,380 | ||||||||||||
Administration & accounting fees | 1,539,422 | 46,667 | 337,785 | 13,405 | ||||||||||||
Legal fees | 113,199 | 3,602 | 34,117 | 1,439 | ||||||||||||
Audit & tax fees | 61,322 | 59,455 | 112,583 | 59,987 | ||||||||||||
Shareholder reporting fees | 550,484 | 16,367 | 115,377 | 4,610 | ||||||||||||
Transfer agent fees | 3,741,018 | 69,892 | 614,965 | 35,628 | ||||||||||||
Trustee fees | 175,532 | 5,201 | 38,657 | 1,473 | ||||||||||||
Distribution fees—Class N | 1,763,856 | 19,420 | 109,033 | 4,417 | ||||||||||||
Dividends and interest on securities sold short | — | — | 3,763,871 | — | ||||||||||||
Recoupment of waiver | 15,571 | — | 81,767 | — | ||||||||||||
Registration fees | 185,708 | 25,253 | 63,161 | 42,536 | ||||||||||||
Pricing fee | — | — | 13,008 | — | ||||||||||||
Other expenses | 235,809 | 8,603 | 50,679 | 3,851 | ||||||||||||
Total Expenses | 50,574,415 | 2,019,484 | 21,189,902 | 453,165 | ||||||||||||
Less fee waivers and/or reimbursements | — | (26,151 | ) | (14,841 | ) | (106,813 | ) | |||||||||
Net Expenses | 50,574,415 | 1,993,333 | 21,175,061 | 346,352 | ||||||||||||
Net Investment Income (Loss) | (48,067,838 | ) | (1,957,202 | ) | (12,816,646 | ) | (342,008 | ) | ||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | 37,436 | 1,153 | 56,650,020 | (376 | ) | |||||||||||
Foreign currency and foreign currency transactions | (1,246,473 | ) | (26,426 | ) | (3,753,890 | ) | — | |||||||||
Forward foreign currency exchange contracts | 69,455,380 | 1,935,088 | (16,201,326 | ) | — | |||||||||||
Futures contracts | 363,292,585 | 14,635,277 | (2,451,974 | ) | (2,455,072 | ) | ||||||||||
Securities sold short | — | — | (49,323,627 | ) | — | |||||||||||
Swap contracts | (38,941,979 | ) | 300,504 | 46,880,450 | (8,432,100 | ) | ||||||||||
Written options | — | — | 103,616 | — | ||||||||||||
Net realized gain (loss) | 392,596,949 | 16,845,596 | 31,903,269 | (10,887,548 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 654,499 | 13,533 | (30,723,137 | ) | 7,053 | |||||||||||
Foreign currency and foreign currency translations | 727,463 | 29,619 | (140,611 | ) | — | |||||||||||
Forward foreign currency exchange contracts | (106,898,915 | ) | (4,610,478 | ) | (5,424,810 | ) | — | |||||||||
Futures contracts | (242,279,184 | ) | (9,533,125 | ) | (2,543,571 | ) | (75,439 | ) | ||||||||
Securities sold short | — | — | 46,883,668 | — | ||||||||||||
Swap contracts | (106,095,048 | ) | (6,985,603 | ) | (29,295,195 | ) | 4,935,410 | |||||||||
Written options | — | — | 135,144 | — | ||||||||||||
Net change in unrealized appreciation (depreciation) | (453,891,185 | ) | (21,086,054 | ) | (21,108,512 | ) | 4,867,024 | |||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (61,294,236 | ) | (4,240,458 | ) | 10,794,757 | (6,020,524 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | $(109,362,074 | ) | $(6,197,660 | ) | $(2,021,889 | ) | $(6,362,532 | ) | ||||||||
† Net of foreign taxes withheld of | $— | $— | $168,135 | $— |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
275
Statements of Operations | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND** | AQR RISK PARITY II HV FUND** | AQR RISK PARITY II MV FUND** | AQR STYLE PREMIA ALTERNATIVE FUND** | |||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $6,287 | $94 | $287 | $4,919,890 | ||||||||||||
Interest income | 297,024 | 59,018 | 11,465 | 15,639 | ||||||||||||
Total Income | 303,311 | 59,112 | 11,752 | 4,935,529 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 2,446,635 | 294,709 | 395,655 | 4,726,222 | ||||||||||||
Custody fees | 32,513 | 10,287 | 7,959 | 9,348 | ||||||||||||
Administration & accounting fees | 128,417 | 11,880 | 20,879 | 128,258 | ||||||||||||
Legal fees | 15,565 | 1,647 | 2,924 | 19,954 | ||||||||||||
Audit & tax fees | 76,108 | 59,987 | 59,987 | 52,864 | ||||||||||||
Shareholder reporting fees | 44,455 | 4,097 | 7,171 | 42,692 | ||||||||||||
Transfer agent fees | 204,560 | 18,868 | 46,513 | 87,906 | ||||||||||||
Trustee fees | 15,317 | 1,342 | 2,437 | 14,086 | ||||||||||||
Distribution fees—Class N | 46,652 | 12,178 | 10,304 | 40,878 | ||||||||||||
Dividends and interest on securities sold short and reverse repurchase agreements | — | 8,987 | — | 4,083,740 | ||||||||||||
Recoupment of waiver | — | — | — | 74,349 | ||||||||||||
Registration fees | 68,881 | 23,912 | 33,602 | 42,509 | ||||||||||||
Pricing fee | 759 | 4 | 4 | 16,121 | ||||||||||||
Other expenses | 23,905 | 3,068 | 5,172 | 15,100 | ||||||||||||
Total Expenses | 3,103,767 | 450,966 | 592,607 | 9,354,027 | ||||||||||||
Less fee waivers and/or reimbursements | (516 | ) | (73,435 | ) | (80,049 | ) | (35,651 | ) | ||||||||
Net Expenses | 3,103,251 | 377,531 | 512,558 | 9,318,376 | ||||||||||||
Net Investment Income (Loss) | (2,799,940 | ) | (318,419 | ) | (500,806 | ) | (4,382,847 | ) | ||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | (107,822 | ) | 9,876 | (146,549 | ) | 230,678 | ||||||||||
Foreign currency and foreign currency transactions | (483,386 | ) | (16,551 | ) | (9,514 | ) | (9,734 | ) | ||||||||
Forward foreign currency exchange contracts | 2,576,781 | 737,948 | 1,054,882 | (19,164,630 | ) | |||||||||||
Futures contracts | 13,686,701 | 2,096,375 | 3,253,780 | 22,355,086 | ||||||||||||
Securities sold short | — | — | — | (6,009,972 | ) | |||||||||||
Swap contracts | 5,512,129 | (593,581 | ) | (1,315,468 | ) | 12,590,881 | ||||||||||
Net realized gain (loss) | 21,184,403 | 2,234,067 | 2,837,131 | 9,992,309 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | (1,763,001 | ) | (227,516 | ) | (130,481 | ) | 20,246,283 | |||||||||
Foreign currency and foreign currency translations | 1,089,891 | 2,451 | 20,179 | 30,970 | ||||||||||||
Forward foreign currency exchange contracts | 891,662 | (249,205 | ) | (315,425 | ) | (2,288,203 | ) | |||||||||
Futures contracts | (9,255,735 | ) | (1,968,882 | ) | (2,423,742 | ) | (3,917,337 | ) | ||||||||
Securities sold short | — | — | — | (12,651,239 | ) | |||||||||||
Swap contracts | (470,206 | ) | 1,434,793 | 2,280,414 | (12,173,604 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | (9,507,389 | ) | (1,008,359 | ) | (569,055 | ) | (10,753,130 | ) | ||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 11,677,014 | 1,225,708 | 2,268,076 | (760,821 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | $8,877,074 | $907,289 | $1,767,270 | $(5,143,668 | ) | |||||||||||
† Net of foreign taxes withheld of | $— | $— | $— | $693,476 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
276
Statements of Operations | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND** | ||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 | ||||
INVESTMENT INCOME: | ||||
Dividend income† | $146,234 | |||
Interest income | 1,158 | |||
Total Income | 147,392 | |||
EXPENSES: | ||||
Investment advisory fees | 149,176 | |||
Custody fees | 534 | |||
Administration & accounting fees | 8,781 | |||
Legal fees | 10,688 | |||
Audit & tax fees | 57,287 | |||
Shareholder reporting fees | 3,789 | |||
Transfer agent fees | 15,471 | |||
Trustee fees | 999 | |||
Offering costs | 20,512 | |||
Distribution fees—Class N | 12,130 | |||
Dividends and interest on securities sold short | 121,335 | |||
Registration fees | 31,057 | |||
Pricing fee | 11,040 | |||
Other expenses | 5,119 | |||
Total Expenses | 447,918 | |||
Less fee waivers and/or reimbursements | (129,395 | ) | ||
Net Expenses | 318,523 | |||
Net Investment Income (Loss) | (171,131 | ) | ||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||
Net realized gain (loss) from: | ||||
Investments in securities | 111,678 | |||
Foreign currency and foreign currency transactions | 1,078 | |||
Forward foreign currency exchange contracts | (1,101,495 | ) | ||
Futures contracts | 602,595 | |||
Securities sold short | (398,218 | ) | ||
Swap contracts | (388,326 | ) | ||
Net realized gain (loss) | (1,172,688 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in securities | 1,077,462 | |||
Foreign currency and foreign currency translations | 2,983 | |||
Forward foreign currency exchange contracts | (87,953 | ) | ||
Futures contracts | (67,550 | ) | ||
Securities sold short | (649,531 | ) | ||
Swap contracts | 398,351 | |||
Net change in unrealized appreciation (depreciation) | 673,762 | |||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (498,926 | ) | ||
Net increase (decrease) in net assets resulting from operations | $(670,057 | ) | ||
† Net of foreign taxes withheld of | $22,347 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
277
Statements of Changes in Net Assets | June 30, 2015 |
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY MARKET NEUTRAL FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE PERIOD 12/31/14 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $8,409,461 | $55,467,850 | $(109,009 | ) | $(13,080 | ) | ||||||||||
Net realized gain (loss) | (44,063,412 | ) | (75,174,297 | ) | (207,587 | ) | (14,861 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 34,969,697 | (126,353,990 | ) | 930,488 | 336,862 | |||||||||||
Net increase (decrease) in net assets resulting from operations | (684,254 | ) | (146,060,437 | ) | 613,892 | 308,921 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (30,805,978 | ) | — | (84,782 | ) | ||||||||||
Class N | — | (11,376,648 | ) | — | (66,536 | ) | ||||||||||
Class R6 | — | (1,920 | ) | — | (176,241 | ) | ||||||||||
Total | — | (42,184,546 | ) | — | (327,559 | ) | ||||||||||
Return of capital: | ||||||||||||||||
Class I | — | — | — | (708 | ) | |||||||||||
Class N | — | — | — | (613 | ) | |||||||||||
Class R6 | — | — | — | (1,779 | ) | |||||||||||
Total | — | — | — | (3,100 | ) | |||||||||||
Total distributions | — | (42,184,546 | ) | — | (330,659 | ) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 258,382,143 | 761,610,218 | 18,752,588 | 1,787,490 | ||||||||||||
Reinvestment of distributions | — | 23,069,874 | — | 85,490 | ||||||||||||
Cost of shares redeemed | (527,065,388 | ) | (978,469,368 | ) | (4,192,123 | ) | (412,526 | ) | ||||||||
Net increase (decrease) from capital transactions | (268,683,245 | ) | (193,789,276 | ) | 14,560,465 | 1,460,454 | ||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 41,808,650 | 197,396,546 | 8,463,379 | 1,175,276 | ||||||||||||
Reinvestment of distributions | — | 10,346,737 | — | 67,149 | ||||||||||||
Cost of shares redeemed | (401,104,467 | ) | (313,338,405 | ) | (1,192,916 | ) | (530 | ) | ||||||||
Net increase (decrease) from capital transactions | (359,295,817 | ) | (105,595,122 | ) | 7,270,463 | 1,241,895 | ||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 878,692 | 100,000 | (a) | — | 3,030,000 | |||||||||||
Reinvestment of distributions | — | 1,920 | — | 178,020 | ||||||||||||
Cost of shares redeemed | (58,237 | ) | — | — | — | |||||||||||
Net increase (decrease) from capital transactions | 820,455 | 101,920 | — | 3,208,020 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (627,158,607 | ) | (299,282,478 | ) | 21,830,928 | 5,910,369 | ||||||||||
Total increase (decrease) in net assets | (627,842,861 | ) | (487,527,461 | ) | 22,444,820 | 5,888,631 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 2,225,307,890 | 2,712,835,351 | 5,888,631 | — | ||||||||||||
End of period | $1,597,465,029 | $2,225,307,890 | $28,333,451 | $5,888,631 | ||||||||||||
Undistributed accumulated net investment income (loss) | $353,614 | $(8,055,847 | ) | $(441,724 | ) | $(332,715 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 279) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
278
Statements of Changes in Net Assets | June 30, 2015 |
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY MARKET NEUTRAL FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE PERIOD 12/31/14 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 152,568,773 | 172,057,279 | 144,471 | — | ||||||||||||
Shares sold | 25,487,844 | 69,963,023 | 1,825,673 | 177,332 | ||||||||||||
Shares issued on reinvestment of distributions | — | 2,279,632 | — | 8,506 | ||||||||||||
Shares redeemed | (51,920,700 | ) | (91,731,161 | ) | (413,847 | ) | (41,367 | ) | ||||||||
Shares outstanding, end of period | 126,135,917 | 152,568,773 | 1,556,297 | 144,471 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 67,172,038 | 76,969,086 | 123,239 | — | ||||||||||||
Shares sold | 4,138,725 | 18,245,229 | 826,733 | 116,610 | ||||||||||||
Shares issued on reinvestment of distributions | — | 1,025,444 | — | 6,682 | ||||||||||||
Shares redeemed | (39,760,672 | ) | (29,067,721 | ) | (115,048 | ) | (53 | ) | ||||||||
Shares outstanding, end of period | 31,550,091 | 67,172,038 | 834,924 | 123,239 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 9,281 | — | (a) | 320,778 | — | |||||||||||
Shares sold | 86,554 | 9,091 | — | 303,065 | ||||||||||||
Shares issued on reinvestment of distributions | — | 190 | — | 17,713 | ||||||||||||
Shares redeemed | (5,737 | ) | — | — | — | |||||||||||
Shares outstanding, end of period | 90,098 | 9,281 | 320,778 | 320,778 |
* | Commencement of operations. |
(a) | Commencement of offering class of shares effective September 2, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
279
Statements of Changes in Net Assets | June 30, 2015 |
AQR GLOBAL MACRO FUND** | AQR LONG-SHORT EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE PERIOD 4/08/14*- 12/31/14 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(445,304 | ) | $(328,106 | ) | $(436,103 | ) | $(258,798 | ) | ||||||||
Net realized gain (loss) | 2,137,429 | (295,608 | ) | 4,700,374 | (18,912 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | (3,202,449 | ) | 791,980 | (1,563,871 | ) | 3,842,313 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (1,510,324 | ) | 168,266 | 2,700,400 | 3,564,603 | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | — | — | (2,729,179 | ) | |||||||||||
Class N | — | — | — | (654,639 | ) | |||||||||||
Class R6 | — | — | — | (27,208 | ) | |||||||||||
Total | — | — | — | (3,411,026 | ) | |||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (63,628 | ) | — | (354,882 | ) | ||||||||||
Class N | — | (1,903 | ) | — | (84,612 | ) | ||||||||||
Class R6 | — | (187 | ) | — | (3,512 | ) | ||||||||||
Total | — | (65,718 | ) | — | (443,006 | ) | ||||||||||
Return of capital: | ||||||||||||||||
Class I | — | — | — | (117,680 | ) | |||||||||||
Class N | — | — | — | (18,740 | ) | |||||||||||
Class R6 | — | — | — | (1,022 | ) | |||||||||||
Total | — | — | — | (137,442 | ) | |||||||||||
Total distributions | — | (65,718 | ) | — | (3,991,474 | ) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 4,378,206 | 48,818,406 | 67,100,478 | 43,091,168 | ||||||||||||
Reinvestment of distributions | — | 62,389 | — | 3,161,208 | ||||||||||||
Cost of shares redeemed | (11,909,291 | ) | (13,522,273 | ) | (7,641,654 | ) | (7,568,381 | ) | ||||||||
Net increase (decrease) from capital transactions | (7,531,085 | ) | 35,358,522 | 59,458,824 | 38,683,995 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 83,420,848 | 1,083,274 | 10,822,164 | 11,177,580 | ||||||||||||
Reinvestment of distributions | — | 1,903 | — | 749,097 | ||||||||||||
Cost of shares redeemed | (2,967,404 | ) | (27,865 | ) | (4,148,667 | ) | (2,007,478 | ) | ||||||||
Net increase (decrease) from capital transactions | 80,453,444 | 1,057,312 | 6,673,497 | 9,919,199 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | — | 100,000 | (a) | 1,075,481 | 417,885 | (a) | ||||||||||
Reinvestment of distributions | — | 187 | — | 31,742 | ||||||||||||
Cost of shares redeemed | — | — | (134,628 | ) | — | |||||||||||
Net increase (decrease) from capital transactions | — | 100,187 | 940,853 | 449,627 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 72,922,359 | 36,516,021 | 67,073,174 | 49,052,821 | ||||||||||||
Total increase (decrease) in net assets | 71,412,035 | 36,618,569 | 69,773,574 | 48,625,950 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 36,618,569 | — | 54,782,147 | 6,156,197 | ||||||||||||
End of period | $108,030,604 | $36,618,569 | $124,555,721 | $54,782,147 | ||||||||||||
Undistributed accumulated net investment income (loss) | $(1,801,915 | ) | $(1,356,611 | ) | $(3,934,932 | ) | $(3,498,829 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 281) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
280
Statements of Changes in Net Assets | June 30, 2015 |
AQR GLOBAL MACRO FUND** | AQR LONG-SHORT EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE PERIOD 4/08/14*- 12/31/14 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 3,569,196 | — | 4,018,314 | 513,771 | ||||||||||||
Shares sold | 435,261 | 4,933,146 | 5,942,264 | 3,887,179 | ||||||||||||
Shares issued on reinvestment of distributions | — | 6,308 | — | 288,168 | ||||||||||||
Shares redeemed | (1,179,632 | ) | (1,370,258 | ) | (681,675 | ) | (670,804 | ) | ||||||||
Shares outstanding, end of period | 2,824,825 | 3,569,196 | 9,278,903 | 4,018,314 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 105,875 | — | 985,542 | 89,144 | ||||||||||||
Shares sold | 8,269,109 | 108,567 | 965,225 | 1,003,577 | ||||||||||||
Shares issued on reinvestment of distributions | — | 193 | — | 68,411 | ||||||||||||
Shares redeemed | (295,382 | ) | (2,885 | ) | (371,340 | ) | (175,590 | ) | ||||||||
Shares outstanding, end of period | 8,079,602 | 105,875 | 1,579,427 | 985,542 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 10,307 | — | (a) | 39,315 | — | (a) | ||||||||||
Shares sold | — | 10,288 | 95,259 | 36,421 | ||||||||||||
Shares issued on reinvestment of distributions | — | 19 | — | 2,894 | ||||||||||||
Shares redeemed | — | — | (11,837 | ) | — | |||||||||||
Shares outstanding, end of period | 10,307 | 10,307 | 122,737 | 39,315 |
* | Commencement of operations. |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
(a) | Commencement of offering class of shares effective September 2, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
281
Statements of Changes in Net Assets | June 30, 2015 |
AQR MANAGED FUTURES STRATEGY FUND** | AQR MANAGED FUTURES STRATEGY HV FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(48,067,838 | ) | $(78,263,966 | ) | $(1,957,202 | ) | $(2,137,166 | ) | ||||||||
Net realized gain (loss) | 392,596,949 | 682,159,727 | 16,845,596 | 27,982,546 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (453,891,185 | ) | 25,849,767 | (21,086,054 | ) | 10,799,494 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (109,362,074 | ) | 629,745,528 | (6,197,660 | ) | 36,644,874 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (220,437,134 | ) | — | (13,390,213 | ) | ||||||||||
Class N | — | (46,941,973 | ) | — | (636,578 | ) | ||||||||||
Class R6 | — | (4,374 | ) | — | (8,393 | ) | ||||||||||
Total | — | (267,383,481 | ) | — | (14,035,184 | ) | ||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (263,407,986 | ) | — | (4,057,424 | ) | ||||||||||
Class N | — | (60,693,546 | ) | — | (198,548 | ) | ||||||||||
Class R6 | — | (5,125 | ) | — | (2,529 | ) | ||||||||||
Total | — | (324,106,657 | ) | — | (4,258,501 | ) | ||||||||||
Total distributions | — | (591,490,138 | ) | — | (18,293,685 | ) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 2,130,126,079 | 2,628,023,103 | 69,924,711 | 186,205,825 | ||||||||||||
Reinvestment of distributions | — | 376,407,901 | — | 12,480,048 | ||||||||||||
Cost of shares redeemed | (822,408,138 | ) | (1,916,986,986 | ) | (93,179,170 | ) | (106,972,499 | ) | ||||||||
Net increase (decrease) from capital transactions | 1,307,717,941 | 1,087,444,018 | (23,254,459 | ) | 91,713,374 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 332,577,590 | 501,774,445 | 13,046,682 | 9,131,352 | ||||||||||||
Reinvestment of distributions | — | 106,513,303 | — | 835,126 | ||||||||||||
Cost of shares redeemed | (194,864,542 | ) | (703,673,411 | ) | (5,311,684 | ) | (2,754,447 | ) | ||||||||
Net increase (decrease) from capital transactions | 137,713,048 | (95,385,663 | ) | 7,734,998 | 7,212,031 | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 69,995,457 | 100,000 | (a) | 72,191,100 | 45,055,679 | (a) | ||||||||||
Reinvestment of distributions | — | 9,499 | — | 10,922 | ||||||||||||
Cost of shares redeemed | (1,815,923 | ) | — | (167,464 | ) | — | ||||||||||
Net increase (decrease) from capital transactions | 68,179,534 | 109,499 | 72,023,636 | 45,066,601 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,513,610,523 | 992,167,854 | 56,504,175 | 143,992,006 | ||||||||||||
Total increase (decrease) in net assets | 1,404,248,449 | 1,030,423,244 | 50,306,515 | 162,343,195 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 6,944,689,553 | 5,914,266,309 | 201,064,600 | 38,721,405 | ||||||||||||
End of period | $8,348,938,002 | $6,944,689,553 | $251,371,115 | $201,064,600 | ||||||||||||
Undistributed accumulated net investment income (loss) | $(401,853,005 | ) | $(353,785,167 | ) | $(14,961,730 | ) | $(13,004,528 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 283) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
282
Statements of Changes in Net Assets | June 30, 2015 |
AQR MANAGED FUTURES STRATEGY FUND** | AQR MANAGED FUTURES STRATEGY HV FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 530,096,760 | 425,328,151 | 13,022,456 | 3,432,251 | ||||||||||||
Shares sold | 190,865,113 | 256,868,757 | 5,759,160 | 18,621,473 | ||||||||||||
Shares issued on reinvestment of distributions | — | 36,088,959 | — | 1,142,862 | ||||||||||||
Shares redeemed | (73,903,051 | ) | (188,189,107 | ) | (7,912,460 | ) | (10,174,130 | ) | ||||||||
Shares outstanding, end of period | 647,058,822 | 530,096,760 | 10,869,156 | 13,022,456 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 124,354,461 | 133,922,115 | 835,483 | 152,311 | ||||||||||||
Shares sold | 30,115,911 | 49,711,170 | 1,088,167 | 867,382 | ||||||||||||
Shares issued on reinvestment of distributions | — | 10,291,143 | — | 76,617 | ||||||||||||
Shares redeemed | (17,591,580 | ) | (69,569,967 | ) | (442,516 | ) | (260,827 | ) | ||||||||
Shares outstanding, end of period | 136,878,792 | 124,354,461 | 1,481,134 | 835,483 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 10,639 | — | (a) | 4,047,305 | — | (a) | ||||||||||
Shares sold | 6,148,418 | 9,728 | 6,173,113 | 4,046,305 | ||||||||||||
Shares issued on reinvestment of distributions | — | 911 | — | 1,000 | ||||||||||||
Shares redeemed | (162,030 | ) | — | (14,258 | ) | — | ||||||||||
Shares outstanding, end of period | 5,997,027 | 10,639 | 10,206,160 | 4,047,305 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
(a) | Commencement of offering class of shares effective September 2, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
283
Statements of Changes in Net Assets | June 30, 2015 |
AQR MULTI-STRATEGY ALTERNATIVE FUND** | AQR RISK-BALANCED COMMODITIES STRATEGY FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(12,816,646 | ) | $(22,634,499 | ) | $(342,008 | ) | $(546,638 | ) | ||||||||
Net realized gain (loss) | 31,903,269 | 152,291,322 | (10,887,548 | ) | (8,047,811 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | (21,108,512 | ) | (21,553,831 | ) | 4,867,024 | (5,345,941 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | (2,021,889 | ) | 108,102,992 | (6,362,532 | ) | (13,940,390 | ) | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (103,622,431 | ) | — | — | |||||||||||
Class N | — | (5,415,268 | ) | — | — | |||||||||||
Class R6 | — | (7,433 | ) | — | — | |||||||||||
Total | — | (109,045,132 | ) | — | — | |||||||||||
Total distributions | — | (109,045,132 | ) | — | — | |||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 507,579,073 | 590,215,635 | 33,434,572 | 69,600,700 | ||||||||||||
Reinvestment of distributions | — | 88,204,896 | — | — | ||||||||||||
Cost of shares redeemed | (180,826,656 | ) | (687,354,210 | ) | (11,036,439 | ) | (40,288,267 | ) | ||||||||
Net increase (decrease) from capital transactions | 326,752,417 | (8,933,679 | ) | 22,398,133 | 29,312,433 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 19,159,580 | 47,448,202 | 1,254,857 | 12,707,985 | ||||||||||||
Reinvestment of distributions | — | 5,370,558 | — | — | ||||||||||||
Cost of shares redeemed | (20,032,522 | ) | (43,303,801 | ) | (2,533,254 | ) | (9,284,044 | ) | ||||||||
Net increase (decrease) from capital transactions | (872,942 | ) | 9,514,959 | (1,278,397 | ) | 3,423,941 | ||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 21,396,299 | 35,242,596 | (a) | 2,586,228 | 15,656,186 | (a) | ||||||||||
Reinvestment of distributions | — | 7,433 | — | — | ||||||||||||
Cost of shares redeemed | (1,244,757 | ) | — | (654,046 | ) | — | ||||||||||
Net increase (decrease) from capital transactions | 20,151,542 | 35,250,029 | 1,932,182 | 15,656,186 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 346,031,017 | 35,831,309 | 23,051,918 | 48,392,560 | ||||||||||||
Total increase (decrease) in net assets | 344,009,128 | 34,889,169 | 16,689,386 | 34,452,170 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,563,507,135 | 1,528,617,966 | 66,688,760 | 32,236,590 | ||||||||||||
End of period | $1,907,516,263 | $1,563,507,135 | $83,378,146 | $66,688,760 | ||||||||||||
Undistributed accumulated net investment income (loss) | $(130,820,500 | ) | $(118,003,854 | ) | $(3,316,250 | ) | $(2,974,242 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 285) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
284
Statements of Changes in Net Assets | June 30, 2015 |
AQR MULTI-STRATEGY ALTERNATIVE FUND** | AQR RISK-BALANCED COMMODITIES STRATEGY FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 147,968,675 | 148,651,004 | 6,649,535 | 3,422,135 | ||||||||||||
Shares sold | 51,027,159 | 60,196,339 | 5,088,156 | 8,654,189 | ||||||||||||
Shares issued on reinvestment of distributions | — | 9,130,942 | — | — | ||||||||||||
Shares redeemed | (18,240,440 | ) | (70,009,610 | ) | (1,669,564 | ) | (5,426,789 | ) | ||||||||
Shares outstanding, end of period | 180,755,394 | 147,968,675 | 10,068,127 | 6,649,535 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 8,674,153 | 7,646,878 | 686,315 | 467,151 | ||||||||||||
Shares sold | 1,930,676 | 4,877,478 | 192,244 | 1,401,956 | ||||||||||||
Shares issued on reinvestment of distributions | — | 557,112 | — | — | ||||||||||||
Shares redeemed | (2,023,700 | ) | (4,407,315 | ) | (380,449 | ) | (1,182,792 | ) | ||||||||
Shares outstanding, end of period | 8,581,129 | 8,674,153 | 498,110 | 686,315 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 3,611,564 | — | (a) | 2,214,833 | — | (a) | ||||||||||
Shares sold | 2,159,032 | 3,610,795 | 388,515 | 2,214,833 | ||||||||||||
Shares issued on reinvestment of distributions | — | 769 | — | — | ||||||||||||
Shares redeemed | (125,506 | ) | — | (101,869 | ) | — | ||||||||||
Shares outstanding, end of period | 5,645,090 | 3,611,564 | 2,501,479 | 2,214,833 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
(a) | Commencement of offering class of shares effective September 2, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
285
Statements of Changes in Net Assets | June 30, 2015 |
AQR RISK PARITY FUND** | AQR RISK PARITY II HV FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(2,799,940 | ) | $(2,906,307 | ) | $(318,419 | ) | $(130,646 | ) | ||||||||
Net realized gain (loss) | 21,184,403 | 86,083,279 | 2,234,067 | 5,493,583 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (9,507,389 | ) | (23,418,545 | ) | (1,008,359 | ) | (1,961,715 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 8,877,074 | 59,758,427 | 907,289 | 3,401,222 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (15,918,499 | ) | — | (210,221 | ) | ||||||||||
Class N | — | (829,910 | ) | — | (9,382 | ) | ||||||||||
Class R6 | — | (2,479 | ) | — | (567 | ) | ||||||||||
Total | — | (16,750,888 | ) | — | (220,170 | ) | ||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (60,212,532 | ) | — | (4,493,162 | ) | ||||||||||
Class N | — | (3,765,221 | ) | — | (889,329 | ) | ||||||||||
Class R6 | — | (9,157 | ) | — | (10,388 | ) | ||||||||||
Total | — | (63,986,910 | ) | — | (5,392,879 | ) | ||||||||||
Total distributions | — | (80,737,798 | ) | — | (5,613,049 | ) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 97,551,375 | 152,916,166 | 22,127,813 | 36,625,458 | ||||||||||||
Reinvestment of distributions | — | 73,481,484 | — | 4,581,805 | ||||||||||||
Cost of shares redeemed | (81,129,996 | ) | (476,525,839 | ) | (14,596,199 | ) | (14,267,310 | ) | ||||||||
Net increase (decrease) from capital transactions | 16,421,379 | (250,128,189 | ) | 7,531,614 | 26,939,953 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 3,520,176 | 11,002,195 | 3,910,500 | 2,602,504 | ||||||||||||
Reinvestment of distributions | — | 4,401,999 | — | 898,711 | ||||||||||||
Cost of shares redeemed | (3,722,227 | ) | (58,203,755 | ) | (1,808,362 | ) | (4,362,269 | ) | ||||||||
Net increase (decrease) from capital transactions | (202,051 | ) | (42,799,561 | ) | 2,102,138 | (861,054 | ) | |||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 3,439,017 | 100,000 | (a) | 3,081,553 | 100,000 | (a) | ||||||||||
Reinvestment of distributions | — | 11,636 | — | 10,955 | ||||||||||||
Cost of shares redeemed | (253,770 | ) | — | (250,448 | ) | — | ||||||||||
Net increase (decrease) from capital transactions | 3,185,247 | 111,636 | 2,831,105 | 110,955 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 19,404,575 | (292,816,114 | ) | 12,464,857 | 26,189,854 | |||||||||||
Total increase (decrease) in net assets | 28,281,649 | (313,795,485 | ) | 13,372,146 | 23,978,027 | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 620,254,806 | 934,050,291 | 50,207,065 | 26,229,038 | ||||||||||||
End of period | $648,536,455 | $620,254,806 | $63,579,211 | $50,207,065 | ||||||||||||
Undistributed accumulated net investment income (loss) | $(1,237,161 | ) | $1,562,779 | $359,723 | $678,142 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 287) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
286
Statements of Changes in Net Assets | June 30, 2015 |
AQR RISK PARITY FUND** | AQR RISK PARITY II HV FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 57,585,796 | 79,392,512 | 4,427,252 | 1,780,470 | ||||||||||||
Shares sold | 9,325,667 | 13,463,455 | 2,231,430 | 3,475,987 | ||||||||||||
Shares issued on reinvestment of distributions | — | 7,232,430 | — | 477,769 | ||||||||||||
Shares redeemed | (7,727,582 | ) | (42,502,601 | ) | (1,444,803 | ) | (1,306,974 | ) | ||||||||
Shares outstanding, end of period | 59,183,881 | 57,585,796 | 5,213,879 | 4,427,252 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 3,571,499 | 7,343,876 | 819,606 | 877,168 | ||||||||||||
Shares sold | 333,855 | 966,513 | 388,959 | 249,127 | ||||||||||||
Shares issued on reinvestment of distributions | — | 433,268 | — | 93,616 | ||||||||||||
Shares redeemed | (354,469 | ) | (5,172,158 | ) | (180,407 | ) | (400,305 | ) | ||||||||
Shares outstanding, end of period | 3,550,885 | 3,571,499 | 1,028,158 | 819,606 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 9,472 | — | (a) | 9,937 | — | (a) | ||||||||||
Shares sold | 324,207 | 8,327 | 305,982 | 8,795 | ||||||||||||
Shares issued on reinvestment of distributions | — | 1,145 | — | 1,142 | ||||||||||||
Shares redeemed | (24,011 | ) | — | (25,092 | ) | — | ||||||||||
Shares outstanding, end of period | 309,668 | 9,472 | 290,827 | 9,937 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
(a) | Commencement of offering class of shares effective September 2, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
287
Statements of Changes in Net Assets | June 30, 2015 |
AQR RISK PARITY II MV FUND** | AQR STYLE PREMIA ALTERNATIVE FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(500,806 | ) | $(294,310 | ) | $(4,382,847 | ) | $(4,735,914 | ) | ||||||||
Net realized gain (loss) | 2,837,131 | 6,194,745 | 9,992,309 | 49,452,901 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (569,055 | ) | (2,721,264 | ) | (10,753,130 | ) | 14,840,794 | |||||||||
Net increase (decrease) in net assets resulting from operations | 1,767,270 | 3,179,171 | (5,143,668 | ) | 59,557,781 | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (165,150 | ) | — | (44,246,577 | ) | ||||||||||
Class N | — | — | — | (2,622,452 | ) | |||||||||||
Class R6 | — | (232 | ) | — | (3,291,780 | ) | ||||||||||
Total | — | (165,382 | ) | — | (50,160,809 | ) | ||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (6,594,470 | ) | — | (14,958,495 | ) | ||||||||||
Class N | — | (477,309 | ) | — | (680,314 | ) | ||||||||||
Class R6 | — | (6,436 | ) | — | (300,202 | ) | ||||||||||
Total | — | (7,078,215 | ) | — | (15,939,011 | ) | ||||||||||
Total distributions | — | (7,243,597 | ) | — | (66,099,820 | ) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 12,987,303 | 89,277,763 | 427,882,130 | 576,188,151 | ||||||||||||
Reinvestment of distributions | — | 5,960,913 | — | 52,644,301 | ||||||||||||
Cost of shares redeemed | (28,273,234 | ) | (22,497,423 | ) | (97,512,017 | ) | (589,197,151 | ) | ||||||||
Cost of shares redeemed on in kind | — | — | — | (52,771,157 | ) | |||||||||||
Net increase (decrease) from capital transactions | (15,285,931 | ) | 72,741,253 | 330,370,113 | (13,135,856 | ) | ||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 1,487,147 | 6,316,708 | 15,288,434 | 19,158,791 | ||||||||||||
Reinvestment of distributions | — | 477,309 | — | 3,302,766 | ||||||||||||
Cost of shares redeemed | (1,187,327 | ) | (8,457,919 | ) | (4,613,115 | ) | (11,013,561 | ) | ||||||||
Net increase (decrease) from capital transactions | 299,820 | (1,663,902 | ) | 10,675,319 | 11,447,996 | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | — | 100,000 | (a) | 94,133,317 | 74,748,363 | (a) | ||||||||||
Reinvestment of distributions | — | 6,668 | — | 3,591,982 | ||||||||||||
Cost of shares redeemed | — | — | (228,663 | ) | (192,537 | ) | ||||||||||
Net increase (decrease) from capital transactions | — | 106,668 | 93,904,654 | 78,147,808 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (14,986,111 | ) | 71,184,019 | 434,950,086 | 76,459,948 | |||||||||||
Total increase (decrease) in net assets | (13,218,841 | ) | 67,119,593 | 429,806,418 | 69,917,909 | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 114,364,716 | 47,245,123 | 489,132,878 | 419,214,969 | ||||||||||||
End of period | $101,145,875 | $114,364,716 | $918,939,296 | $489,132,878 | ||||||||||||
Undistributed accumulated net investment income (loss) | $523,554 | $1,024,360 | $(31,476,217 | ) | $(27,093,370 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 289) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
288
Statements of Changes in Net Assets | June 30, 2015 |
AQR RISK PARITY II MV FUND** | AQR STYLE PREMIA ALTERNATIVE FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2014 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 10,758,104 | 3,779,116 | 39,308,249 | 39,620,574 | ||||||||||||
Shares sold | 1,275,828 | 8,554,703 | 44,268,059 | 56,129,013 | ||||||||||||
Shares issued on reinvestment of distributions | — | 600,898 | — | 5,292,887 | ||||||||||||
Shares redeemed | (2,770,569 | ) | (2,176,613 | ) | (10,190,397 | ) | (56,706,868 | ) | ||||||||
Shares redeemed in kind | — | — | — | (5,027,357 | ) | |||||||||||
Shares outstanding, end of period | 9,263,363 | 10,758,104 | 73,385,911 | 39,308,249 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 790,138 | 940,172 | 2,694,354 | 1,568,834 | ||||||||||||
Shares sold | 146,972 | 606,458 | 1,571,598 | 1,868,292 | ||||||||||||
Shares issued on reinvestment of distributions | — | 48,262 | — | 333,070 | ||||||||||||
Shares redeemed | (117,321 | ) | (804,754 | ) | (478,312 | ) | (1,075,842 | ) | ||||||||
Shares outstanding, end of period | 819,789 | 790,138 | 3,787,640 | 2,694,354 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 9,763 | — | (a) | 7,587,508 | — | (a) | ||||||||||
Shares sold | — | 9,091 | 9,818,705 | 7,239,589 | ||||||||||||
Shares issued on reinvestment of distributions | — | 672 | — | 365,410 | ||||||||||||
Shares redeemed | — | — | (23,593 | ) | (17,491 | ) | ||||||||||
Shares outstanding, end of period | 9,763 | 9,763 | 17,382,620 | 7,587,508 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
(a) | Commencement of offering class of shares effective September 2, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
289
Statements of Changes in Net Assets | June 30, 2015 |
AQR STYLE PREMIA ALTERNATIVE LV FUND** | ||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE PERIOD 12/31/14 | |||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $(171,131 | ) | $(37,387 | ) | ||||
Net realized gain (loss) | (1,172,688 | ) | 482,110 | |||||
Net change in unrealized appreciation (depreciation) | 673,762 | 326,575 | ||||||
Net increase (decrease) in net assets resulting from operations | (670,057 | ) | 771,298 | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income: | ||||||||
Class I | — | (38,445 | ) | |||||
Class N | — | (75,553 | ) | |||||
Class R6 | — | (218,868 | ) | |||||
Total | — | (332,866 | ) | |||||
Net realized gain: | ||||||||
Class I | — | (13,618 | ) | |||||
Class N | — | (27,510 | ) | |||||
Class R6 | — | (76,360 | ) | |||||
Total | — | (117,488 | ) | |||||
Total distributions | — | (450,354 | ) | |||||
CAPITAL TRANSACTIONS: | ||||||||
CLASS I | ||||||||
Proceeds from shares sold | 12,134,405 | 28,178,979 | ||||||
Reinvestment of distributions | — | 52,063 | ||||||
Cost of shares redeemed | (26,782,598 | ) | (140,561 | ) | ||||
Net increase (decrease) from capital transactions | (14,648,193 | ) | 28,090,481 | |||||
CLASS N | ||||||||
Proceeds from shares sold | 2,037,167 | 8,671,505 | ||||||
Reinvestment of distributions | — | 103,063 | ||||||
Cost of shares redeemed | (358,254 | ) | (115,319 | ) | ||||
Net increase (decrease) from capital transactions | 1,678,913 | 8,659,249 | ||||||
CLASS R6 | ||||||||
Proceeds from shares sold | — | 23,000,000 | ||||||
Reinvestment of distributions | — | 295,228 | ||||||
Cost of shares redeemed | (3,107,000 | ) | — | |||||
Net increase (decrease) from capital transactions | (3,107,000 | ) | 23,295,228 | |||||
Net increase (decrease) in net assets resulting from capital transactions | (16,076,280 | ) | 60,044,958 | |||||
Total increase (decrease) in net assets | (16,746,337 | ) | 60,365,902 | |||||
NET ASSETS: | ||||||||
Beginning of period | 60,365,902 | — | ||||||
End of period | $43,619,565 | $60,365,902 | ||||||
Undistributed accumulated net investment income (loss) | $(966,597 | ) | $(795,466 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 291) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
290
Statements of Changes in Net Assets | June 30, 2015 |
AQR STYLE PREMIA ALTERNATIVE LV FUND** | ||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | FOR THE PERIOD 12/31/14 | |||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||
CLASS I | ||||||||
Shares outstanding, beginning of period | 2,760,295 | — | ||||||
Shares sold | 1,202,449 | 2,768,876 | ||||||
Shares issued on reinvestment of distributions | — | 5,114 | ||||||
Shares redeemed | (2,676,243 | ) | (13,695 | ) | ||||
Shares outstanding, end of period | 1,286,501 | 2,760,295 | ||||||
CLASS N | ||||||||
Shares outstanding, beginning of period | 843,532 | — | ||||||
Shares sold | 200,667 | 844,737 | ||||||
Shares issued on reinvestment of distributions | — | 10,134 | ||||||
Shares redeemed | (35,666 | ) | (11,339 | ) | ||||
Shares outstanding, end of period | 1,008,533 | 843,532 | ||||||
CLASS R6 | ||||||||
Shares outstanding, beginning of period | 2,329,001 | — | ||||||
Shares sold | — | 2,300,000 | ||||||
Shares issued on reinvestment of distributions | — | 29,001 | ||||||
Shares redeemed | (311,948 | ) | — | |||||
Shares outstanding, end of period | 2,017,053 | 2,329,001 |
* | Commencement of operations. |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
291
Statements of Cash Flows | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY MARKET NEUTRAL FUND | AQR LONG-SHORT EQUITY FUND | AQR MULTI- STRATEGY ALTERNATIVE FUND** | |||||||||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (684,254 | ) | $ | 613,892 | $ | 2,700,400 | $ | (2,021,889 | ) | ||||||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities: | ||||||||||||||||
Payments to purchase securities | (1,767,170,971 | ) | (7,937,631 | ) | (38,867,101 | ) | (477,499,614 | ) | ||||||||
Payments to cover short securities | (944,284,586 | ) | (3,085,280 | ) | (11,856,435 | ) | (306,395,925 | ) | ||||||||
Proceeds from sale of securities | 2,224,113,068 | 460,934 | 2,765,206 | 586,793,250 | ||||||||||||
Proceeds from securities sold short | 848,401,785 | 10,043,288 | 41,724,020 | 343,253,915 | ||||||||||||
Proceeds from written options | 698,973 | — | — | — | ||||||||||||
Payments to close written options | (7,057 | ) | — | — | (821 | ) | ||||||||||
(Purchases) sales of short-term investments, net | 168,681,947 | (14,059,355 | ) | (43,404,937 | ) | (553,912,105 | ) | |||||||||
Realized (gain) loss on investments in securities | (13,497,339 | ) | (50,319 | ) | (133,213 | ) | (56,650,020 | ) | ||||||||
Realized (gain) loss on securities sold short | 58,208,661 | 30,737 | 259,555 | 49,323,627 | ||||||||||||
Realized (gain) loss on written options | (435,375 | ) | — | — | (103,616 | ) | ||||||||||
Realized (gain) loss on paydowns | (20,718 | ) | — | — | — | |||||||||||
Change in unrealized (appreciation) depreciation on investments in securities | (6,405,077 | ) | 9,827 | (615,264 | ) | 30,723,137 | ||||||||||
Change in unrealized (appreciation) depreciation on securities sold short | (27,778,385 | ) | (61,397 | ) | 252,226 | (46,883,668 | ) | |||||||||
Change in unrealized (appreciation) depreciation on written options | (712,434 | ) | — | — | (135,144 | ) | ||||||||||
Amortization (accretion) of bond premium (discount) | (376,921 | ) | (543 | ) | (3,526 | ) | (65,761 | ) | ||||||||
(Increases) decreases in operating assets: | ||||||||||||||||
Due from brokers | 122,368,080 | (6,779,792 | ) | (17,517,779 | ) | 128,603,336 | ||||||||||
Due from custodian | 2,320,125 | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 6,393,639 | 6,608 | (250,683 | ) | 5,072,224 | |||||||||||
OTC swaps, at value | 10,351,670 | (916,015 | ) | 316,881 | 26,556,907 | |||||||||||
Deposits with brokers for futures contracts | (4,925,207 | ) | (169,727 | ) | (2,523,583 | ) | (80,005,088 | ) | ||||||||
Variation margin on derivative instruments | (170,412 | ) | (11,184 | ) | (12,439 | ) | (2,172,211 | ) | ||||||||
Receivable for securities sold | (144,641,094 | ) | 6,194 | (7,878,390 | ) | (11,972,622 | ) | |||||||||
Foreign tax reclaim | 38,473 | (6,174 | ) | (22,338 | ) | (542,460 | ) | |||||||||
Dividends and interest | 3,289,651 | (1,161 | ) | (6,529 | ) | (1,201,130 | ) | |||||||||
Expense reimbursement due from Advisor | — | 22,189 | — | — | ||||||||||||
Prepaid expenses | 145,553 | 21,754 | (16,592 | ) | 7,343 | |||||||||||
Increases (decreases) in operating liabilities | ||||||||||||||||
Due to brokers | (11,290,000 | ) | — | 190,000 | (6,134,262 | ) | ||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 17,268 | — | (145,635 | ) | 352,586 | |||||||||||
OTC swaps, at value | (13,408,483 | ) | — | — | 5,521,280 | |||||||||||
Deposits from brokers for futures contracts | (12,413,572 | ) | (7,134 | ) | — | (8,724,645 | ) | |||||||||
Variation margin on derivative instruments | 420,214 | — | — | 2,617,137 | ||||||||||||
Payable for securities purchased | 118,485,933 | (6,171 | ) | 9,385,635 | 30,180,449 | |||||||||||
Accrued investment advisory fees | (756,890 | ) | 8,567 | 80,893 | 523,399 | |||||||||||
Accrued distribution fees—Class N | (80,351 | ) | 1,487 | 1,439 | 338 | |||||||||||
Accrued Trustees fees | — | 40 | 112 | 97 | ||||||||||||
Dividends and Interest payable on securities sold short and reverse repurchase agreements | 11,572 | 9,691 | 34,656 | 119,472 | ||||||||||||
Other accrued expenses and liabilities | (306,711 | ) | 18,163 | 10,777 | 67,678 | |||||||||||
Net cash used in operating activities | $ | 614,580,775 | $ | (21,838,512 | ) | $ | (65,532,644 | ) | $ | (344,704,806 | ) | |||||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||||||||||||||
Proceeds from shares sold | 299,855,378 | 26,892,491 | 77,796,593 | 549,078,148 | ||||||||||||
Payments on shares redeemed | (935,894,354 | ) | (5,384,920 | ) | (12,075,638 | ) | (205,827,483 | ) | ||||||||
Due to custodian | — | 371,841 | (3,597 | ) | — | |||||||||||
Net cash provided by financing activities | $ | (636,038,976 | ) | $ | 21,879,412 | $ | 65,717,358 | $ | 343,250,665 | |||||||
Net change in cash and foreign currency | (21,458,201 | ) | 40,900 | 184,714 | (1,454,141 | ) | ||||||||||
Cash, beginning of period | 35,429,912 | 24,630 | 137,472 | 21,326,798 | ||||||||||||
Cash, end of period | $ | 13,971,711 | $ | 65,530 | $ | 322,186 | $ | 19,872,657 |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $4,576,987, $21,714, $51,065 and $873,618 respectively.
** | Consolidated financial statements, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
292
Statements of Cash Flows | June 30, 2015 (Unaudited) |
AQR RISK PARITY II HV FUND** | AQR STYLE PREMIA ALTERNATIVE FUND** | AQR STYLE PREMIA ALTERNATIVE LV FUND** | ||||||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 907,289 | $ | (5,143,668 | ) | $ | (670,057 | ) | ||||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities: | ||||||||||||
Payments to purchase securities | (27,190,742 | ) | (255,984,170 | ) | (2,951,246 | ) | ||||||
Payments to cover short securities | — | (69,659,968 | ) | (7,193,320 | ) | |||||||
Proceeds from sale of securities | 8,628,044 | 41,233,851 | 6,757,479 | |||||||||
Proceeds from securities sold short | — | 236,420,781 | 3,712,731 | |||||||||
(Purchases) sales of short-term investments, net | (4,982,009 | ) | (355,860,823 | ) | 16,954,102 | |||||||
Realized (gain) loss on investments in securities | (9,876 | ) | (230,678 | ) | (111,678 | ) | ||||||
Realized (gain) loss on securities sold short | — | 6,009,972 | 398,218 | |||||||||
Change in unrealized (appreciation) depreciation on investments in securities | 227,516 | (20,246,283 | ) | (1,077,462 | ) | |||||||
Change in unrealized (appreciation) depreciation on securities sold short | — | 12,651,239 | 649,531 | |||||||||
Amortization (accretion) of bond premium (discount) | 95,477 | (18,386 | ) | (1,158 | ) | |||||||
(Increases) decreases in operating assets: | ||||||||||||
Due from brokers | 1,116,811 | 35,722,639 | 3,516,818 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 137,764 | 2,288,203 | 87,953 | |||||||||
OTC swaps, at value | 567,770 | 11,181,750 | (414,004 | ) | ||||||||
Deposits with brokers for futures contracts | (2,914,668 | ) | (80,335,057 | ) | (1,930,793 | ) | ||||||
Variation margin on derivative instruments | (397,171 | ) | (2,060,399 | ) | (58,990 | ) | ||||||
Receivable for securities sold | (34,281 | ) | (698,607 | ) | 3,650,460 | |||||||
Foreign tax reclaim | — | (241,640 | ) | (5,250 | ) | |||||||
Dividends and interest | (44,646 | ) | (97,846 | ) | 284 | |||||||
Due from investment advisor | — | — | 16,780 | |||||||||
Prepaid expenses | 1,644 | (2,566 | ) | 25,693 | ||||||||
Increases (decreases) in operating liabilities | ||||||||||||
Due to brokers | (189,421 | ) | (689,519 | ) | 87,537 | |||||||
Unrealized depreciation on forward foreign currency exchange contracts | 111,441 | — | — | |||||||||
OTC swaps, at value | (2,002,563 | ) | 991,855 | 15,653 | ||||||||
Deposits from brokers for futures contracts | (432,710 | ) | (5,395,985 | ) | (266,727 | ) | ||||||
Variation margin on derivative instruments | 47,190 | 3,194,008 | 91,107 | |||||||||
Payable for securities purchased | 34,278 | 1,388,288 | (3,684,792 | ) | ||||||||
Accrued investment advisory fees | 14,305 | 580,038 | 889 | |||||||||
Accrued distribution fees—Class N | 375 | 2,056 | 318 | |||||||||
Accrued Trustees fees | — | 277 | (72 | ) | ||||||||
Dividends on securities sold short | — | 178,239 | — | |||||||||
Dividends and Interest payable on securities sold short and reverse repurchase agreements | 1,702 | — | 910 | |||||||||
Other accrued expenses and liabilities | (22,279 | ) | 73,038 | (64,252 | ) | |||||||
Net cash used in operating activities | $ | (26,328,760 | ) | $ | (444,749,361 | ) | $ | 17,536,662 | ||||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||||||||||
Proceeds from shares sold | 29,281,479 | 588,385,229 | 14,364,368 | |||||||||
Net change in reverse repurchase agreements | 13,801,951 | — | — | |||||||||
Payments on shares redeemed | (16,680,896 | ) | (141,753,645 | ) | (30,274,056 | ) | ||||||
Due to custodian | — | — | (1,462,673 | ) | ||||||||
Net cash provided by financing activities | $ | 26,402,534 | $ | 446,631,584 | $ | (17,372,361 | ) | |||||
Net change in cash and foreign currency | 73,774 | 1,882,223 | 164,301 | |||||||||
Cash, beginning of period | 44,021 | 695,980 | — | |||||||||
Cash, end of period | $ | 117,795 | $ | 2,578,203 | $ | 164,301 |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $8,987, $969,566 and $33,649 respectively.
** | Consolidated financial statements, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
293
Financial Highlights | June 30, 2015 |
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return Capital | Total Distributions | |||||||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.14 | 0.05 | (0.06 | ) | (0.01 | ) | — | — | — | — | ||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.91 | 0.23 | (0.80 | ) | (0.57 | ) | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.05 | 0.17 | 0.02 | 0.19 | (0.18 | ) | (0.06 | ) | (0.09 | ) | (0.33 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.89 | 0.10 | 6 | 0.24 | 0.34 | (0.13 | ) | (0.05 | ) | — | (0.18 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | $11.15 | 0.13 | (0.02 | ) | 0.11 | (0.09 | ) | (0.28 | ) | — | (0.37 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010†,^ | $10.80 | 0.06 | 0.46 | 0.52 | (0.04 | ) | (0.13 | ) | — | (0.17 | ) | |||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.10 | 0.03 | (0.04 | ) | (0.01 | ) | — | — | — | — | ||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.87 | 0.21 | (0.81 | ) | (0.60 | ) | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.01 | 0.13 | 0.04 | 0.17 | (0.16 | ) | (0.06 | ) | (0.09 | ) | (0.31 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.85 | 0.06 | 6 | 0.24 | 0.30 | (0.09 | ) | (0.05 | ) | — | (0.14 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $11.12 | 0.10 | (0.02 | ) | 0.08 | (0.07 | ) | (0.28 | ) | — | (0.35 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010†,^ | $10.78 | 0.05 | 0.43 | 0.48 | (0.01 | ) | (0.13 | ) | — | (0.14 | ) | |||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.13 | 0.08 | (0.08 | ) | — | — | — | — | — | |||||||||||||||||||||||
FOR THE PERIOD 9/02/148—12/31/14 | $11.00 | 0.16 | (0.82 | ) | (0.66 | ) | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||
AQR EQUITY MARKET NEUTRAL FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.01 | (0.05 | ) | 0.49 | 0.44 | — | — | — | — | |||||||||||||||||||||||
FOR THE PERIOD 10/07/1410—12/31/14 | $10.00 | (0.02 | ) | 0.62 | 0.60 | (0.59 | ) | — | (0.00 | )13 | (0.59 | ) | ||||||||||||||||||||
AQR EQUITY MARKET NEUTRAL FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.01 | (0.06 | ) | 0.49 | 0.43 | — | — | — | — | |||||||||||||||||||||||
FOR THE PERIOD 10/07/1410—12/31/14 | $10.00 | (0.03 | ) | 0.62 | 0.59 | (0.58 | ) | — | (0.00 | )13 | (0.58 | ) | ||||||||||||||||||||
AQR EQUITY MARKET NEUTRAL FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.01 | (0.08 | ) | 0.53 | 0.45 | — | — | — | — | |||||||||||||||||||||||
FOR THE PERIOD 10/07/1410—12/31/14 | $10.00 | (0.02 | ) | 0.62 | 0.60 | (0.59 | ) | — | (0.00 | )13 | (0.59 | ) | ||||||||||||||||||||
AQR GLOBAL MACRO FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.94 | (0.08 | ) | 0.06 | 11 | (0.02 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 4/08/1410—12/31/14 | $10.00 | (0.10 | ) | 0.06 | (0.04 | ) | — | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||
AQR GLOBAL MACRO FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.92 | (0.07 | ) | 0.04 | 11 | (0.03 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 4/08/1410—12/31/14 | $10.00 | (0.12 | ) | 0.06 | (0.06 | ) | — | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||
AQR GLOBAL MACRO FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.94 | (0.07 | ) | 0.05 | 11 | (0.02 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 9/02/148—12/31/14 | $9.72 | (0.04 | ) | 0.28 | 0.24 | — | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||
AQR LONG-SHORT EQUITY FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.87 | (0.05 | ) | 0.53 | 0.48 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.21 | (0.14 | ) | 1.67 | 1.53 | (0.74 | ) | (0.10 | ) | (0.03 | ) | (0.87 | ) | |||||||||||||||||||
FOR THE PERIOD 7/16/1310—12/31/13 | $10.00 | (0.06 | ) | 1.17 | 1.11 | (0.67 | ) | (0.23 | ) | — | (0.90 | ) | ||||||||||||||||||||
AQR LONG-SHORT EQUITY FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.84 | (0.08 | ) | 0.55 | 0.47 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.21 | (0.20 | ) | 1.70 | 1.50 | (0.74 | ) | (0.10 | ) | (0.03 | ) | (0.87 | ) | |||||||||||||||||||
FOR THE PERIOD 7/16/1310—12/31/13 | $10.00 | (0.07 | ) | 1.17 | 1.10 | (0.66 | ) | (0.23 | ) | — | (0.89 | ) | ||||||||||||||||||||
AQR LONG-SHORT EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.87 | (0.07 | ) | 0.56 | 0.49 | — | — | — | — | |||||||||||||||||||||||
FOR THE PERIOD 9/02/148—12/31/14 | $11.05 | (0.08 | ) | 0.78 | 0.70 | (0.75 | ) | (0.10 | ) | (0.03 | ) | (0.88 | ) |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
294
Financial Highlights | June 30, 2015 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of and/or Waivers Interest Expense)4 | Expenses, Before Reimbursements and/or Waivers4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||
$10.13 | (0.10 | )% | $1,278,279 | 2.30 | % | 1.20 | % | 2.32 | % | 1.03 | % | 136 | % | |||||||||||||||||||
$10.14 | (5.25 | )% | $1,546,685 | 1.88 | % | 1.20 | % | 1.88 | % | 2.07 | % | 380 | % | |||||||||||||||||||
$10.91 | 1.75 | % | $1,876,481 | 1.64 | % | 1.20 | % | 1.64 | % | 1.52 | % | 349 | % | |||||||||||||||||||
$11.05 | 3.13 | % | $1,752,724 | 2.30 | % | 1.21 | % | 2.32 | % | 0.88 | %6 | 312 | % | |||||||||||||||||||
$10.89 | 0.99 | % | $1,456,748 | 2.75 | % | 1.20 | % | 2.84 | % | 1.18 | % | 298 | % | |||||||||||||||||||
$11.15 | 4.81 | %7 | $824,238 | 2.59 | % | 1.20 | % | 2.62 | % | 1.13 | % | 361 | % | |||||||||||||||||||
$10.09 | (0.10 | )% | $318,273 | 2.56 | % | 1.46 | % | 2.57 | % | 0.51 | % | 136 | % | |||||||||||||||||||
$10.10 | (5.51 | )% | $678,528 | 2.12 | % | 1.44 | % | 2.12 | % | 1.99 | % | 380 | % | |||||||||||||||||||
$10.87 | 1.51 | % | $836,355 | 1.88 | % | 1.44 | % | 1.88 | % | 1.21 | % | 349 | % | |||||||||||||||||||
$11.01 | 2.83 | % | $761,371 | 2.62 | % | 1.52 | % | 2.62 | % | 0.57 | %6 | 312 | % | |||||||||||||||||||
$10.85 | 0.68 | % | $651,791 | 3.05 | % | 1.50 | % | 3.08 | % | 0.89 | % | 298 | % | |||||||||||||||||||
$11.12 | 4.52 | %7 | $382,758 | 2.89 | % | 1.50 | % | 2.92 | % | 0.85 | % | 361 | % | |||||||||||||||||||
$10.13 | 0.00 | % | $913 | 2.20 | % | 1.10 | % | 2.23 | % | 1.54 | % | 136 | % | |||||||||||||||||||
$10.13 | (5.99 | )% | $94 | 1.94 | % | 1.10 | % | 1.94 | % | 4.69 | % | 380 | % | |||||||||||||||||||
$10.45 | 4.40 | % | $16,264 | 2.77 | % | 1.30 | % | 3.60 | %9 | (1.01 | )% | 158 | % | |||||||||||||||||||
$10.01 | 5.93 | % | $1,445 | 1.63 | % | 1.30 | % | 4.57 | %9 | (1.04 | )% | 152 | % | |||||||||||||||||||
$10.44 | 4.30 | % | $8,715 | 3.02 | % | 1.55 | % | 3.88 | %9 | (1.19 | )% | 158 | % | |||||||||||||||||||
$10.01 | 5.88 | % | $1,233 | 1.88 | % | 1.55 | % | 4.83 | %9 | (1.29 | )% | 152 | % | |||||||||||||||||||
$10.46 | 4.50 | % | $3,355 | 2.67 | % | 1.20 | % | 3.98 | %9 | (1.50 | )% | 158 | % | |||||||||||||||||||
$10.01 | 5.95 | % | $3,210 | 1.53 | % | 1.20 | % | 4.49 | %9 | (0.95 | )% | 152 | % | |||||||||||||||||||
$9.92 | (0.20 | )% | $28,015 | 1.45 | % | 1.45 | % | 1.86 | %9 | (1.60 | )% | 0 | % | |||||||||||||||||||
$9.94 | (0.42 | )% | $35,466 | 1.45 | % | 1.45 | % | 2.24 | %9 | (1.44 | )% | 0 | % | |||||||||||||||||||
$9.89 | (0.30 | )% | $79,913 | 1.70 | % | 1.70 | % | 1.74 | %9 | (1.46 | )% | 0 | % | |||||||||||||||||||
$9.92 | (0.62 | )% | $1,050 | 1.70 | % | 1.70 | % | 2.49 | %9 | (1.69 | )% | 0 | % | |||||||||||||||||||
$9.92 | (0.20 | )% | $102 | 1.35 | % | 1.35 | % | 1.82 | %9 | (1.47 | )% | 0 | % | |||||||||||||||||||
$9.94 | 2.45 | % | $102 | 1.35 | % | 1.35 | % | 2.02 | %9 | (1.37 | )% | 0 | % | |||||||||||||||||||
$11.35 | 4.42 | % | $105,298 | 2.08 | % | 1.30 | % | 2.16 | % | (0.97 | )% | 190 | % | |||||||||||||||||||
$10.87 | 14.91 | % | $43,667 | 1.30 | % | 1.30 | % | 2.34 | % | (1.26 | )% | 0 | % | |||||||||||||||||||
$10.21 | 11.17 | % | $5,246 | 1.30 | % | 1.30 | % | 3.56 | %9 | (1.29 | )% | 0 | % | |||||||||||||||||||
$11.31 | 4.34 | % | $17,864 | 2.33 | % | 1.55 | % | 2.42 | % | (1.35 | )% | 190 | % | |||||||||||||||||||
$10.84 | 14.55 | % | $10,688 | 1.55 | % | 1.55 | % | 2.46 | % | (1.81 | )% | 0 | % | |||||||||||||||||||
$10.21 | 11.04 | % | $910 | 1.55 | % | 1.55 | % | 5.49 | %9 | (1.54 | )% | 0 | % | |||||||||||||||||||
$11.36 | 4.51 | % | $1,394 | 1.98 | % | 1.20 | % | 2.12 | % | (1.20 | )% | 190 | % | |||||||||||||||||||
$10.87 | 6.19 | % | $427 | 1.20 | % | 1.20 | % | 1.99 | % | (2.21 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
295
Financial Highlights | June 30, 2015 |
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | ||||||||||||||||||||||
AQR MANAGED FUTURES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.63 | (0.06 | ) | 0.02 | 11 | (0.04 | ) | — | — | — | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.59 | (0.12 | ) | 1.13 | 1.01 | (0.44 | ) | (0.53 | ) | (0.97 | ) | |||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.78 | (0.12 | ) | 1.04 | 0.92 | — | (0.11 | ) | (0.11 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.57 | (0.12 | ) | 0.40 | 0.28 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $10.30 | (0.12 | ) | (0.53 | ) | (0.65 | ) | (0.04 | ) | (0.04 | ) | (0.08 | ) | |||||||||||||||
FOR THE PERIOD 1/06/1010—12/31/10† | $10.00 | (0.12 | ) | 0.66 | 0.54 | (0.09 | ) | (0.15 | ) | (0.24 | ) | |||||||||||||||||
AQR MANAGED FUTURES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.54 | (0.08 | ) | 0.03 | 11 | (0.05 | ) | — | — | — | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.51 | (0.15 | ) | 1.11 | 0.96 | (0.40 | ) | (0.53 | ) | (0.93 | ) | |||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.73 | (0.15 | ) | 1.04 | 0.89 | — | (0.11 | ) | (0.11 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.55 | (0.14 | ) | 0.39 | 0.25 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $10.28 | (0.15 | ) | (0.52 | ) | (0.67 | ) | (0.02 | ) | (0.04 | ) | (0.06 | ) | |||||||||||||||
FOR THE PERIOD 1/06/1010—12/31/10† | $10.00 | (0.15 | ) | 0.66 | 0.51 | (0.08 | ) | (0.15 | ) | (0.23 | ) | |||||||||||||||||
AQR MANAGED FUTURES STRATEGY FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.62 | (0.04 | ) | 0.00 | 11,13 | (0.04 | ) | — | — | — | ||||||||||||||||||
FOR THE PERIOD 9/02/148-12/31/14 | $10.28 | (0.04 | ) | 1.36 | 1.32 | (0.45 | ) | (0.53 | ) | (0.98 | ) | |||||||||||||||||
AQR MANAGED FUTURES STRATEGY HV FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $11.23 | (0.10 | ) | 0.02 | 11 | (0.08 | ) | — | — | — | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.80 | (0.17 | ) | 1.72 | 1.55 | (0.86 | ) | (0.26 | ) | (1.12 | ) | |||||||||||||||||
FOR THE PERIOD 7/16/1310—12/31/13 | $10.00 | (0.08 | ) | 0.89 | 0.81 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $11.21 | (0.11 | ) | 0.01 | 11 | (0.10 | ) | — | — | — | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.79 | (0.19 | ) | 1.71 | 1.52 | (0.84 | ) | (0.26 | ) | (1.10 | ) | |||||||||||||||||
FOR THE PERIOD 7/16/1310—12/31/13 | $10.00 | (0.09 | ) | 0.89 | 0.80 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $11.23 | (0.09 | ) | 0.01 | 11 | (0.08 | ) | — | — | — | ||||||||||||||||||
FOR THE PERIOD 9/02/148-12/31/14 | $10.33 | (0.06 | ) | 2.09 | 2.03 | (0.87 | ) | (0.26 | ) | (1.13 | ) | |||||||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.76 | (0.07 | ) | 0.09 | 0.02 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.78 | (0.14 | ) | 0.85 | 0.71 | (0.73 | ) | — | (0.73 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.90 | (0.17 | ) | 0.61 | 0.44 | (0.44 | ) | (0.12 | ) | (0.56 | ) | |||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.70 | (0.17 | ) | 0.40 | 0.23 | (0.01 | ) | (0.02 | ) | (0.03 | ) | |||||||||||||||||
FOR THE PERIOD 7/18/1110—12/31/11 | $10.00 | (0.05 | ) | (0.21 | ) | (0.26 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.74 | (0.09 | ) | 0.10 | 0.01 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.76 | (0.17 | ) | 0.85 | 0.68 | (0.70 | ) | — | (0.70 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.89 | (0.20 | ) | 0.61 | 0.41 | (0.42 | ) | (0.12 | ) | (0.54 | ) | |||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.69 | (0.23 | ) | 0.45 | 0.22 | — | (0.02 | ) | (0.02 | ) | ||||||||||||||||||
FOR THE PERIOD 7/18/1110—12/31/11 | $10.00 | (0.06 | ) | (0.21 | ) | (0.27 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.75 | (0.06 | ) | 0.10 | 0.04 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 9/02/148—12/31/14 | $9.88 | (0.11 | ) | 0.71 | 0.60 | (0.73 | ) | — | (0.73 | ) |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
296
Financial Highlights | June 30, 2015 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of and/or Waivers Interest Expense)4 | Expenses, Before Reimbursements and/or Waivers4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||
$10.59 | (0.38 | )% | $6,849,936 | 1.22 | % | 1.22 | % | 1.22 | % | (1.16 | )% | 0 | % | |||||||||||||||||||
$10.63 | 9.69 | % | $5,633,607 | 1.23 | % | 1.23 | % | 1.23 | % | (1.20 | )% | 0 | % | |||||||||||||||||||
$10.59 | 9.40 | % | $4,506,181 | 1.23 | % | 1.23 | % | 1.23 | % | (1.22 | )% | 0 | % | |||||||||||||||||||
$9.78 | 2.99 | % | $2,136,959 | 1.25 | % | 1.25 | % | 1.25 | % | (1.24 | )% | 0 | % | |||||||||||||||||||
$9.57 | (6.37 | )% | $1,078,662 | 1.25 | % | 1.25 | % | 1.30 | % | (1.22 | )% | 0 | % | |||||||||||||||||||
$10.30 | 5.41 | % | $657,237 | 1.25 | % | 1.25 | % | 1.28 | % | (1.27 | )% | 0 | % | |||||||||||||||||||
$10.49 | (0.47 | )% | $1,435,526 | 1.49 | % | 1.49 | % | 1.49 | % | (1.43 | )% | 0 | % | |||||||||||||||||||
$10.54 | 9.34 | % | $1,310,969 | 1.50 | % | 1.50 | % | 1.50 | % | (1.47 | )% | 0 | % | |||||||||||||||||||
$10.51 | 9.14 | % | $1,408,085 | 1.50 | % | 1.50 | % | 1.50 | % | (1.48 | )% | 0 | % | |||||||||||||||||||
$9.73 | 2.68 | % | $527,318 | 1.50 | % | 1.50 | % | 1.52 | % | (1.48 | )% | 0 | % | |||||||||||||||||||
$9.55 | (6.59 | )% | $476,854 | 1.50 | % | 1.50 | % | 1.57 | % | (1.47 | )% | 0 | % | |||||||||||||||||||
$10.28 | 5.12 | % | $271,043 | 1.50 | % | 1.50 | % | 1.56 | % | (1.54 | )% | 0 | % | |||||||||||||||||||
$10.58 | (0.38 | )% | $63,476 | 1.14 | % | 1.14 | % | 1.14 | % | (0.81 | )% | 0 | % | |||||||||||||||||||
$10.62 | 12.99 | % | $113 | 1.15 | % | 1.15 | % | 1.16 | % | (1.11 | )% | 0 | % | |||||||||||||||||||
$11.15 | (0.71 | )% | $121,146 | 1.65 | % | 1.65 | % | 1.66 | % | (1.62 | )% | 0 | % | |||||||||||||||||||
$11.23 | 14.68 | % | $146,261 | 1.65 | % | 1.65 | % | 1.76 | %9 | (1.62 | )% | 0 | % | |||||||||||||||||||
$10.80 | 8.14 | % | $37,078 | 1.68 | % | 1.65 | % | 2.51 | %9 | (1.66 | )% | 0 | % | |||||||||||||||||||
$11.11 | (0.89 | )% | $16,456 | 1.90 | % | 1.90 | % | 1.95 | % | (1.87 | )% | 0 | % | |||||||||||||||||||
$11.21 | 14.37 | % | $9,367 | 1.90 | % | 1.90 | % | 2.12 | %9 | (1.88 | )% | 0 | % | |||||||||||||||||||
$10.79 | 8.04 | % | $1,644 | 1.93 | % | 1.90 | % | 4.03 | %9 | (1.92 | )% | 0 | % | |||||||||||||||||||
$11.15 | (0.71 | )% | $113,769 | 1.55 | % | 1.55 | % | 1.60 | % | (1.52 | )% | 0 | % | |||||||||||||||||||
$11.23 | 19.94 | % | $45,436 | 1.55 | % | 1.55 | % | 1.68 | % | (1.52 | )% | 0 | % | |||||||||||||||||||
$9.78 | 0.20 | % | $1,768,572 | 2.41 | % | 1.98 | % | 2.41 | % | (1.46 | )% | 106 | %�� | |||||||||||||||||||
$9.76 | 7.31 | % | $1,443,799 | 3.65 | % | 1.98 | % | 3.67 | % | (1.46 | )% | 204 | % | |||||||||||||||||||
$9.78 | 4.46 | % | $1,453,977 | 3.34 | % | 1.98 | % | 3.37 | % | (1.67 | )% | 137 | % | |||||||||||||||||||
$9.90 | 2.36 | % | $808,262 | 3.52 | % | 1.98 | % | 3.60 | % | (1.73 | )% | 208 | % | |||||||||||||||||||
$9.70 | (2.57 | )%12 | $257,168 | 2.23 | % | 1.98 | % | 2.59 | % | (1.09 | )% | 133 | % | |||||||||||||||||||
$9.75 | 0.10 | % | $83,700 | 2.66 | % | 2.23 | % | 2.68 | % | (1.77 | )% | 106 | % | |||||||||||||||||||
$9.74 | 7.03 | % | $84,480 | 3.91 | % | 2.23 | % | 3.96 | % | (1.75 | )% | 204 | % | |||||||||||||||||||
$9.76 | 4.16 | % | $74,641 | 3.59 | % | 2.23 | % | 3.66 | % | (1.95 | )% | 137 | % | |||||||||||||||||||
$9.89 | 2.22 | % | $43,104 | 3.76 | % | 2.23 | % | 3.93 | % | (2.32 | )% | 208 | % | |||||||||||||||||||
$9.69 | (2.73 | )%12 | $44,676 | 2.48 | % | 2.23 | % | 2.85 | % | (1.37 | )% | 133 | % | |||||||||||||||||||
$9.79 | 0.41 | % | $55,244 | 2.31 | % | 1.88 | % | 2.33 | % | (1.16 | )% | 106 | % | |||||||||||||||||||
$9.75 | 6.19 | % | $35,228 | 3.14 | % | 1.88 | % | 3.21 | % | (3.41 | )% | 204 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
297
Financial Highlights | June 30, 2015 |
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | ||||||||||||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $6.98 | (0.03 | ) | (0.57 | ) | (0.60 | ) | — | — | — | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $8.29 | (0.08 | ) | (1.23 | ) | (1.31 | ) | — | — | — | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.87 | (0.09 | ) | (1.49 | ) | (1.58 | ) | — | — | — | ||||||||||||||||||
FOR THE PERIOD 7/09/1210—12/31/12 | $10.00 | (0.05 | ) | (0.08 | ) | (0.13 | ) | — | — | — | ||||||||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $6.94 | (0.04 | ) | (0.57 | ) | (0.61 | ) | — | — | — | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $8.27 | (0.11 | ) | (1.22 | ) | (1.33 | ) | — | — | — | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.86 | (0.11 | ) | (1.48 | ) | (1.59 | ) | — | — | — | ||||||||||||||||||
FOR THE PERIOD 7/09/1210—12/31/12 | $10.00 | (0.06 | ) | (0.08 | ) | (0.14 | ) | — | — | — | ||||||||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $6.99 | (0.03 | ) | (0.57 | ) | (0.60 | ) | — | — | — | ||||||||||||||||||
FOR THE PERIOD 9/02/148—12/31/14 | $8.60 | (0.02 | ) | (1.59 | ) | (1.61 | ) | — | — | — | ||||||||||||||||||
AQR RISK PARITY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.14 | (0.04 | ) | 0.19 | 0.15 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.77 | (0.04 | ) | 0.81 | 0.77 | (0.30 | ) | (1.10 | ) | (1.40 | ) | |||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.49 | (0.07 | ) | 0.08 | 11 | 0.01 | (0.27 | ) | (0.46 | ) | (0.73 | ) | ||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.62 | — | 1.49 | 1.49 | (0.14 | ) | (0.48 | ) | (0.62 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $10.28 | 0.04 | 0.51 | 0.55 | (0.21 | ) | (0.00 | )13 | (0.21 | ) | ||||||||||||||||||
FOR THE PERIOD 9/30/1010—12/31/10 | $10.00 | 0.02 | 0.38 | 0.40 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
AQR RISK PARITY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.14 | (0.06 | ) | 0.20 | 0.14 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.76 | (0.07 | ) | 0.80 | 0.73 | (0.25 | ) | (1.10 | ) | (1.35 | ) | |||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.47 | (0.11 | ) | 0.08 | 11 | (0.03 | ) | (0.22 | ) | (0.46 | ) | (0.68 | ) | |||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.59 | (0.03 | ) | 1.50 | 1.47 | (0.11 | ) | (0.48 | ) | (0.59 | ) | |||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $10.27 | 0.03 | 0.49 | 0.52 | (0.20 | ) | (0.00 | )13 | (0.20 | ) | ||||||||||||||||||
FOR THE PERIOD 9/30/1010—12/31/10† | $10.00 | 0.01 | 0.38 | 0.39 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
AQR RISK PARITY FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.14 | (0.01 | ) | 0.16 | 0.15 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 9/02/148—12/31/14 | $12.01 | (0.04 | ) | (0.43 | )11 | (0.47 | ) | (0.30 | ) | (1.10 | ) | (1.40 | ) | |||||||||||||||
AQR RISK PARITY II HV FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.55 | (0.05 | ) | 0.23 | 0.18 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.87 | (0.03 | ) | 0.95 | 0.92 | (0.06 | ) | (1.18 | ) | (1.24 | ) | |||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.21 | (0.06 | ) | (0.23 | ) | (0.29 | ) | (0.03 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
FOR THE PERIOD 11/05/1210—12/31/12 | $10.00 | 0.01 | 0.23 | 0.24 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||
AQR RISK PARITY II HV FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.56 | (0.06 | ) | 0.23 | 0.17 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.86 | (0.04 | ) | 0.93 | 0.89 | (0.01 | ) | (1.18 | ) | (1.19 | ) | |||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.23 | (0.09 | ) | (0.23 | ) | (0.32 | ) | (0.03 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
FOR THE PERIOD 11/05/1210—12/31/12 | $10.00 | (0.01 | ) | 0.25 | 0.24 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
AQR RISK PARITY II HV FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.55 | 0.00 | 13 | 0.18 | 0.18 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 9/02/148—12/31/14 | $11.37 | (0.05 | ) | (0.53 | )11 | (0.58 | ) | (0.06 | ) | (1.18 | ) | (1.24 | ) |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
298
Financial Highlights | June 30, 2015 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of and/or Waivers Interest Expense)4 | Expenses, Before Reimbursements and/or Waivers4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||
$6.38 | (8.60 | )% | $64,240 | 1.00 | % | 1.00 | % | 1.31 | % | (0.99 | )% | 0 | % | |||||||||||||||||||
$6.98 | (15.80 | )% | $46,443 | 1.01 | % | 1.01 | % | 1.34 | % | (1.00 | )% | 0 | % | |||||||||||||||||||
$8.29 | (16.01 | )% | $28,375 | 1.05 | % | 1.05 | % | 1.32 | % | (1.05 | )% | 0 | % | |||||||||||||||||||
$9.87 | (1.30 | )% | $63,331 | 1.05 | % | 1.05 | % | 1.72 | % | (1.04 | )% | 0 | % | |||||||||||||||||||
$6.33 | (8.79 | )% | $3,155 | 1.25 | % | 1.25 | % | 1.55 | % | (1.24 | )% | 0 | % | |||||||||||||||||||
$6.94 | (16.08 | )% | $4,764 | 1.26 | % | 1.26 | % | 1.59 | % | (1.25 | )% | 0 | % | |||||||||||||||||||
$8.27 | (16.13 | )% | $3,861 | 1.30 | % | 1.30 | % | 1.70 | % | (1.28 | )% | 0 | % | |||||||||||||||||||
$9.86 | (1.40 | )% | $2,206 | 1.30 | % | 1.30 | % | 4.00 | % | (1.30 | )% | 0 | % | |||||||||||||||||||
$6.39 | (8.58 | )% | $15,983 | 0.90 | % | 0.90 | % | 1.20 | % | (0.89 | )% | 0 | % | |||||||||||||||||||
$6.99 | (18.72 | )% | $15,482 | 0.90 | % | 0.90 | % | 1.31 | % | (0.89 | )% | 0 | % | |||||||||||||||||||
$10.29 | 1.48 | % | $608,853 | 0.94 | % | 0.94 | % | 0.94 | % | (0.84 | )% | 23 | % | |||||||||||||||||||
$10.14 | 7.04 | % | $583,927 | 0.90 | % | 0.90 | % | 0.90 | % | (0.34 | )% | 94 | % | |||||||||||||||||||
$10.77 | 0.12 | % | $855,024 | 0.89 | % | 0.88 | % | 0.89 | % | (0.64 | )% | 167 | % | |||||||||||||||||||
$11.49 | 14.05 | % | $868,661 | 0.95 | % | 0.95 | % | 0.95 | % | (0.03 | )% | 72 | % | |||||||||||||||||||
$10.62 | 5.45 | %14 | $337,526 | 0.95 | % | 0.95 | % | 1.06 | % | 0.41 | % | 66 | % | |||||||||||||||||||
$10.28 | 3.98 | % | $12,748 | 0.95 | % | 0.95 | % | 3.80 | % | 0.44 | % | 19 | % | |||||||||||||||||||
$10.28 | 1.38 | % | $36,498 | 1.20 | % | 1.20 | % | 1.20 | % | (1.13 | )% | 23 | % | |||||||||||||||||||
$10.14 | 6.69 | % | $36,232 | 1.20 | % | 1.20 | % | 1.20 | % | (0.65 | )% | 94 | % | |||||||||||||||||||
$10.76 | (0.23 | )% | $79,026 | 1.20 | % | 1.20 | % | 1.20 | % | (0.92 | )% | 167 | % | |||||||||||||||||||
$11.47 | 13.89 | % | $170,953 | 1.20 | % | 1.20 | % | 1.23 | % | (0.26 | )% | 72 | % | |||||||||||||||||||
$10.59 | 5.12 | %14 | $51,560 | 1.20 | % | 1.20 | % | 1.42 | % | 0.30 | % | 66 | % | |||||||||||||||||||
$10.27 | 3.88 | % | $11,235 | 1.20 | % | 1.20 | % | 3.96 | % | 0.22 | % | 19 | % | |||||||||||||||||||
$10.29 | 1.48 | % | $3,186 | 0.85 | % | 0.85 | % | 0.88 | % | (0.14 | )% | 23 | % | |||||||||||||||||||
$10.14 | (3.96 | )% | $96 | 0.85 | % | 0.85 | % | 0.86 | % | (0.99 | )% | 94 | % | |||||||||||||||||||
$9.73 | 1.88 | % | $50,746 | 1.18 | % | 1.15 | % | 1.41 | % | (1.05 | )% | 26 | % | |||||||||||||||||||
$9.55 | 9.23 | % | $42,279 | 1.20 | % | 1.15 | % | 1.54 | % | (0.28 | )% | 108 | % | |||||||||||||||||||
$9.87 | (2.83 | )% | $17,577 | 1.23 | % | 1.15 | % | 1.85 | % | (0.62 | )% | 257 | % | |||||||||||||||||||
$10.21 | 2.44 | % | $16,254 | 1.28 | % | 1.15 | % | 2.26 | % | 0.53 | % | 0 | % | |||||||||||||||||||
$9.73 | 1.78 | % | $10,003 | 1.43 | % | 1.40 | % | 1.71 | % | (1.11 | )% | 26 | % | |||||||||||||||||||
$9.56 | 9.02 | % | $7,834 | 1.45 | % | 1.40 | % | 1.86 | % | (0.37 | )% | 108 | % | |||||||||||||||||||
$9.86 | (3.12 | )% | $8,652 | 1.48 | % | 1.40 | % | 2.22 | % | (0.84 | )% | 257 | % | |||||||||||||||||||
$10.23 | 2.38 | % | $5,805 | 1.53 | % | 1.40 | % | 3.44 | % | (0.62 | )% | 0 | % | |||||||||||||||||||
$9.73 | 1.88 | % | $2,831 | 1.08 | % | 1.05 | % | 1.37 | % | 0.05 | % | 26 | % | |||||||||||||||||||
$9.55 | (5.10 | )% | $95 | 1.10 | % | 1.05 | % | 1.47 | % | (1.49 | )% | 108 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
299
Financial Highlights | June 30, 2015 |
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | ||||||||||||||||||||||
AQR RISK PARITY II MV FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.90 | (0.05 | ) | 0.18 | 0.13 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.02 | (0.04 | ) | 0.65 | 0.61 | (0.02 | ) | (0.71 | ) | (0.73 | ) | |||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.17 | (0.06 | ) | (0.08 | ) | (0.14 | ) | (0.01 | ) | (0.00 | )13 | (0.01 | ) | |||||||||||||||
FOR THE PERIOD 11/05/1210—12/31/12 | $10.00 | — | 0.19 | 0.19 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
AQR RISK PARITY II MV FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.87 | (0.06 | ) | 0.17 | 0.11 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.99 | (0.06 | ) | 0.65 | 0.59 | — | (0.71 | ) | (0.71 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.18 | (0.07 | ) | (0.11 | ) | (0.18 | ) | (0.01 | ) | (0.00 | )13 | (0.01 | ) | |||||||||||||||
FOR THE PERIOD 11/05/1210—12/31/12 | $10.00 | — | 0.18 | 0.18 | — | — | — | |||||||||||||||||||||
AQR RISK PARITY II MV FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.89 | (0.04 | ) | 0.18 | 0.14 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 9/02/148-12/31/14 | $11.00 | (0.04 | ) | (0.33 | )11 | (0.37 | ) | (0.03 | ) | (0.71 | ) | (0.74 | ) | |||||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.86 | (0.06 | ) | (0.08 | ) | (0.14 | ) | — | — | — | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.18 | (0.10 | ) | 1.24 | 1.14 | (1.16 | ) | (0.30 | ) | (1.46 | ) | |||||||||||||||||
FOR THE PERIOD 10/30/1310—12/31/13 | $10.00 | (0.03 | ) | 0.44 | 0.41 | (0.20 | ) | (0.03 | ) | (0.23 | ) | |||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.87 | (0.07 | ) | (0.09 | ) | (0.16 | ) | — | — | — | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.18 | (0.16 | ) | 1.28 | 1.12 | (1.13 | ) | (0.30 | ) | (1.43 | ) | |||||||||||||||||
FOR THE PERIOD 10/30/1310—12/31/13 | $10.00 | (0.04 | ) | 0.45 | 0.41 | (0.20 | ) | (0.03 | ) | (0.23 | ) | |||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $9.87 | (0.06 | ) | (0.08 | ) | (0.14 | ) | — | — | — | ||||||||||||||||||
FOR THE PERIOD 9/02/148—12/31/14 | $10.35 | (0.07 | ) | 0.86 | 0.79 | (1.16 | ) | (0.11 | ) | (1.27 | ) | |||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.18 | (0.04 | ) | (0.02 | ) | (0.06 | ) | — | — | — | ||||||||||||||||||
FOR THE PERIOD 9/17/1410—12/31/14 | $10.00 | (0.02 | ) | 0.32 | 0.30 | (0.09 | ) | (0.03 | ) | (0.12 | ) | |||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.17 | (0.05 | ) | (0.02 | ) | (0.07 | ) | — | — | — | ||||||||||||||||||
FOR THE PERIOD 9/17/1410—12/31/14 | $10.00 | (0.03 | ) | 0.32 | 0.29 | (0.09 | ) | (0.03 | ) | (0.12 | ) | |||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2015 (Unaudited) | $10.17 | (0.03 | ) | (0.02 | ) | (0.05 | ) | — | — | — | ||||||||||||||||||
FOR THE PERIOD 9/17/1410—12/31/14 | $10.00 | (0.01 | ) | 0.31 | 0.30 | (0.10 | ) | (0.03 | ) | (0.13 | ) |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
300
Financial Highlights | June 30, 2015 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of and/or Waivers Interest Expense)4 | Expenses, Before Reimbursements and/or Waivers4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||
$10.03 | 1.31 | % | $92,866 | 0.95 | % | 0.95 | % | 1.10 | % | (0.94 | )% | 31 | % | |||||||||||||||||||
$9.90 | 6.04 | % | $106,473 | 0.95 | % | 0.95 | % | 1.12 | % | (0.34 | )% | 128 | % | |||||||||||||||||||
$10.02 | (1.32 | )% | $37,848 | 0.95 | % | 0.95 | % | 1.18 | % | (0.61 | )% | 234 | % | |||||||||||||||||||
$10.17 | 1.87 | % | $29,993 | 0.95 | % | 0.95 | % | 2.07 | % | 0.18 | % | 0 | % | |||||||||||||||||||
$9.98 | 1.11 | % | $8,182 | 1.20 | % | 1.20 | % | 1.38 | % | (1.11 | )% | 31 | % | |||||||||||||||||||
$9.87 | 5.87 | % | $7,795 | 1.20 | % | 1.20 | % | 1.44 | % | (0.54 | )% | 128 | % | |||||||||||||||||||
$9.99 | (1.71 | )% | $9,397 | 1.20 | % | 1.20 | % | 1.59 | % | (0.71 | )% | 234 | % | |||||||||||||||||||
$10.18 | 1.80 | % | $2,259 | 1.20 | % | 1.20 | % | 2.81 | % | (0.29 | )% | 0 | % | |||||||||||||||||||
$10.03 | 1.42 | % | $98 | 0.85 | % | 0.85 | % | 1.03 | % | (0.77 | )% | 31 | % | |||||||||||||||||||
$9.89 | (3.44 | )% | $97 | 0.85 | % | 0.85 | % | 1.03 | % | (1.13 | )% | 128 | % | |||||||||||||||||||
$9.72 | (1.42 | )% | $713,080 | 2.66 | % | 1.50 | % | 2.66 | % | (1.26 | )% | 87 | % | |||||||||||||||||||
$9.86 | 11.30 | % | $387,666 | 2.56 | % | 1.50 | % | 2.56 | % | (0.95 | )% | 145 | % | |||||||||||||||||||
$10.18 | 4.08 | % | $403,243 | 2.07 | % | 1.50 | % | 2.11 | %9 | (1.77 | )% | 133 | % | |||||||||||||||||||
$9.71 | (1.62 | )% | $36,787 | 2.92 | % | 1.75 | % | 2.97 | % | (1.55 | )% | 87 | % | |||||||||||||||||||
$9.87 | 11.08 | % | $26,594 | 2.81 | % | 1.75 | % | 2.92 | % | (1.50 | )% | 145 | % | |||||||||||||||||||
$10.18 | 4.05 | % | $15,972 | 2.44 | % | 1.75 | % | 2.70 | %9 | (2.05 | )% | 133 | % | |||||||||||||||||||
$9.73 | (1.42 | )% | $169,072 | 2.57 | % | 1.40 | % | 2.62 | % | (1.15 | )% | 87 | % | |||||||||||||||||||
$9.87 | 7.67 | % | $74,872 | 2.46 | % | 1.40 | % | 2.57 | % | (1.94 | )% | 145 | % | |||||||||||||||||||
$10.12 | (0.59 | )% | $13,016 | 1.38 | % | 0.85 | % | 1.86 | %9 | (0.81 | )% | 91 | % | |||||||||||||||||||
$10.18 | 3.07 | % | $28,094 | 1.01 | % | 0.85 | % | 1.49 | %9 | (0.68 | )% | 191 | % | |||||||||||||||||||
$10.10 | (0.69 | )% | $10,185 | 1.63 | % | 1.10 | % | 2.15 | %9 | (0.95 | )% | 91 | % | |||||||||||||||||||
$10.17 | 2.94 | % | $8,577 | 1.32 | % | 1.10 | % | 1.92 | %9 | (0.91 | )% | 191 | % | |||||||||||||||||||
$10.12 | (0.49 | )% | $20,419 | 1.28 | % | 0.75 | % | 1.83 | %9 | (0.60 | )% | 91 | % | |||||||||||||||||||
$10.17 | 2.98 | % | $23,695 | 1.00 | % | 0.75 | % | 1.75 | %9 | (0.32 | )% | 191 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
301
Financial Highlights | June 30, 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 the SEC method. |
1 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
2 | 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. |
3 | 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. |
4 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
5 | Portfolio turnover is not annualized. |
6 | For the period ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR Diversified Arbitrage Fund—Class I | $0.08 | 0.73 | % | |||||
AQR Diversified Arbitrage Fund—Class N | 0.04 | 0.42 |
7 | For the year ended December 31, 2010, the Advisor contributed $544,199 into the Fund to compensate the Fund for a loss incurred due to trade processing errors. The impact of the Advisor’s contribution increased the total return by 0.08%. |
8 | Commencement of offering of shares. |
9 | Certain expenses incurred by the Fund were not annualized for the period. |
10 | Commencement of operations. |
11 | 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. |
12 | For the year ended December 31, 2011, the Adviser contributed $208,438 into the Fund to compensate the Fund for a loss incurred due to a trade processing error. The impact of the Adviser’s contribution increased the Fund’s total return by 0.14%. |
13 | Amount is less than $.005 per share. |
14 | For the year ended December 31, 2011, a service provider contributed $354,026 into the Fund to compensate the Fund for a loss incurred due to a valuation error. The impact of this contribution increased the Fund’s total return by 0.21%. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
302
Notes to Financial Statements | June 30, 2015 (Unaudited) |
1. Organization
AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”). As of June 30, 2015, the Trust consists of thirty-three active series, thirteen of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund. The remaining active series, which have a separate fiscal year-end of September 30th, are reported in a separate book. AQR Capital Management, LLC (the “Advisor”) serves as the investment advisor of each Fund. The Advisor has retained CNH Partners, LLC (the “Sub-Advisor”), an affiliate of the Advisor, to serve as an investment sub-advisor to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.
The investment objective of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Global Macro Fund, the AQR Managed Futures Strategy Fund, the AQR Managed Futures Strategy HV Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund is to seek positive absolute returns. The investment objective of the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II HV Fund and the AQR Risk Parity II MV Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each of these funds offer Class I, Class N, and Class R6 shares.
2. Consolidation of Subsidiaries
The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows, where applicable, and the Financial Highlights of the AQR Global Macro Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund (“CFC Funds”) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Managed Futures Strategy Offshore Fund Ltd., AQR Managed Futures Strategy HV Offshore Fund Ltd., AQR Multi-Strategy Alternative Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Style Premia Alternative Offshore Fund Ltd., and AQR Style Premia Alternative LV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation for the CFC Funds.
The CFC Funds may each invest up to 25% of their total assets in its respective Subsidiary, each of which acts as an investment vehicle in order to affect certain investment strategies consistent with the CFC Funds’ investment objectives and policies. The CFC Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.
INCEPTION DATE OF SUBSIDIARY | SUBSIDIARY NET ASSETS AT JUNE 30, 2015 | % OF TOTAL NET ASSETS AT JUNE 30, 2015 | NET REALIZED GAIN(LOSS) ON INVESTMENTS HELD IN SUBSIDIARY | |||||||||||||
AQR Global Macro Offshore Fund Ltd. | April 8, 2014 | $ | 24,205,391 | 22.5 | % | $ | 390,731 | |||||||||
AQR Managed Futures Strategy Offshore Fund Ltd. | January 6, 2010 | 1,903,130,991 | 22.8 | % | 128,627,181 | |||||||||||
AQR Managed Futures Strategy HV Offshore Fund Ltd. | July 16, 2013 | 56,269,423 | 22.4 | % | 5,517,474 | |||||||||||
AQR Multi-Strategy Alternative Offshore Fund Ltd. | July 18, 2011 | 299,803,883 | 15.8 | % | 9,197,690 | |||||||||||
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd. | July 9, 2012 | 18,804,402 | 23.8 | % | (9,467,877 | ) | ||||||||||
AQR Risk Parity Offshore Fund Ltd. | September 30, 2010 | 130,402,130 | 20.1 | % | (13,316,130 | ) | ||||||||||
AQR Risk Parity II HV Offshore Fund Ltd. | November 5, 2012 | 14,889,516 | 23.4 | % | (1,839,299 | ) | ||||||||||
AQR Risk Parity II MV Offshore Fund Ltd. | November 5, 2012 | 15,822,378 | 15.6 | % | (2,682,029 | ) | ||||||||||
AQR Style Premia Alternative Offshore Fund Ltd. | October 30, 2013 | 209,129,076 | 22.9 | % | 3,829,622 | |||||||||||
AQR Style Premia Alternative LV Offshore Fund Ltd. | September 17, 2014 | 9,847,234 | 22.6 | % | 192,993 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
303
Notes to Financial Statements | June 30, 2015 (Unaudited) |
3. Significant Accounting Policies
The following summarizes the significant accounting policies of the Funds:
Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Advisor to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.
Cash and Cash Equivalents: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.
Due to/from Brokers: Due to/from brokers 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 period. 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.
Multi-class Operations: Each class of shares offered by the Trust has equal rights as to assets and voting privileges (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). 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.
Offering Cost: 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.
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
304
Notes to Financial Statements | June 30, 2015 (Unaudited) |
Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, 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 June 30, 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.
For federal tax purposes, taxable income for each CFC Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“the Code”) and each Subsidiary’s taxable income is included in the calculation of the relevant CFC Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the CFC Funds either in the current period or future periods. Each of the Subsidiaries has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.
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. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on the Fund’s annual financial statements presented under GAAP.
Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.
Indemnification: In the normal course of business, the Funds may enter into various agreements that provide for general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as any potential exposure involves future claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.
4. Securities and Other Investments
Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if they had invested in that company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, entail less risk than the corporation’s common stock. The Funds may attempt to hedge some of their investments in convertible debt securities by selling short the issuer’s common stock. The premiums attributable to the conversion feature are not amortized.
High Yield Securities: Certain Funds invest in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.
Inflation-Indexed Bonds: Certain Funds may invest into Inflation-indexed bonds which are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index.
Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When one of the Funds purchases a loan participation, the Fund typically enters into a contractual relationship with the lender or a third party selling such
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
305
Notes to Financial Statements | June 30, 2015 (Unaudited) |
participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing on such collateral or have its interest subordinated to other indebtedness of the obligor.
The Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded loan commitments are marked to market daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.
As of June 30, 2015, AQR Diversified Arbitrage Fund’s unfunded commitment was as follows:
LOAN TYPE | BORROWER | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT | VALUE | |||||||||||||
Term Loan | GT Advanced Technologies Inc., Debtor-in-Possession (3) | 3.0 | % PIK, 9.5% | 6/29/2016 | $ | 3,292,841 | $ | 3,194,056 |
(3) | Level 3 security (See note 5). |
Defaulted Securities: The AQR Diversified Arbitrage Fund held defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. The securities have been identified on the Schedule of Investments. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable.
Securities Sold Short: Certain Funds sell securities they do not own as a hedge against some of their long positions and/or in anticipation of a decline in the market value of that security (short sale). When one of the Funds makes a short sale, it must borrow the security sold short and deliver it to the broker through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.
The Funds are required to pledge cash or securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with the broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
306
Notes to Financial Statements | June 30, 2015 (Unaudited) |
The net amount of fees incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:
FUND | ||||
AQR Diversified Arbitrage Fund | $ | 2,550,086 | ||
AQR Equity Market Neutral Fund | 17,432 | |||
AQR Long-Short Equity Fund | 43,401 | |||
AQR Multi-Strategy Alternative Fund | 526,303 | |||
AQR Style Premia Alternative Fund | 606,054 | |||
AQR Style Premia Alternative LV Fund | 21,609 |
Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. 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. As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty.
Customer Account Agreements govern cleared derivatives transactions and exchange traded futures and options 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 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 for OTC derivatives 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.
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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.
Upon entering into an exchange traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for futures contracts on the Statements of Assets and Liabilities. Exchange traded futures or centrally cleared swaps are marked to market daily and based on such movements in the price of the contracts, in an appropriate payable or receivable for the daily change in value (“variation margin”). Variation margin is exchanged daily, but may not be netted between futures and cleared derivatives.
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 variation margin on the Statements of Assets and Liabilities. 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.
Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the OTC market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received (paid) by a Fund are recorded as realized gains (losses) on swap contracts in the Statements of Operations.
The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly, including: market risk related to unfavorable changes in interest rates or in the price(s) of the underlying security(ies); credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Funds to close out their position(s).
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
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Notes to Financial Statements | June 30, 2015 (Unaudited) |
Total Return Basket Swaps: Certain Funds may enter into an equity basket swap agreement to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Funds and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Funds and the counterparty. A change in the market value of a total return basket swap contract is recognized as a change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as realized gains (losses) on swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Credit Default Swap Contracts: Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up-front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Such variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss on swap contracts in the Statements of Operations. Credit default contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.
Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of their investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Funds are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
Repurchase Agreements: Certain Funds may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve
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Notes to Financial Statements | June 30, 2015 (Unaudited) |
procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price. Repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are included within each Fund’s Schedule of Investments.
Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements under the terms of a master repurchase agreement. A Fund sells a security that it holds to a counterparty with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made on reverse repurchase agreements are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited. Reverse repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after each Fund’s Schedule of Investments.
The collateral held in relation to the reverse repurchase agreements was in U.S. Treasury Inflation Protected Securities with a maturity of up to 30 days in the amount of $13,950,543.
Options: Certain Funds may write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, a Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject a Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject a Fund to risk of loss if the value of the security declines below the exercise price minus the put premium. A Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.
Transactions in call and put options written during the period for the AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund were as follows:
CALL OPTIONS | ||||||||
AQR DIVERSIFIED ARBITRAGE FUND | NUMBER OF SUBJECT | PREMIUM | ||||||
Options outstanding, December 31, 2014 | (5,716 | ) | $ | (2,340,132 | ) | |||
Options written | (8,311 | ) | (698,973 | ) | ||||
Options expired | 2,523 | 143,265 | ||||||
Options exercised | 4,004 | 299,167 | ||||||
Options outstanding, June 30, 2015 | (7,500 | ) | $ | (2,596,673 | ) | |||
CALL OPTIONS | ||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND | NUMBER OF SUBJECT | PREMIUM | ||||||
Options outstanding, December 31, 2014 | (829 | ) | $ | (104,437 | ) | |||
Options written | — | — | ||||||
Options terminated | — | — | ||||||
Options expired | — | — | ||||||
Options exercised | 829 | 104,437 | ||||||
Options outstanding, June 30, 2015 | — | $ | — |
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310
Notes to Financial Statements | June 30, 2015 (Unaudited) |
5. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular 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 (“Board”).
The Board has delegated responsibility for applying approved valuation policies to the Advisor. The Advisor monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. 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 Advisor performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) monthly review of third party model prices against internal model prices, and (iv) review the quarterly results of back testing and reports for the Board on the results of fair value determinations.
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, securities or financial derivatives are valued at fair value, as determined in good faith by the VC in accordance with the valuation procedures approved by the Funds’ Board. 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.
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 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.
Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.
Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used. The valuation techniques used by the Funds to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.
Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market in which each security trades and are therefore considered Level 1.
An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore considered Level 2. In addition, equities traded outside of the Western Hemisphere are also considered Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Advisor determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depository Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time the Funds calculate their net asset value.
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Notes to Financial Statements | June 30, 2015 (Unaudited) |
Fixed income securities (other than certain short-term investments maturing in less than 60 days) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in less than 60 days are generally 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 may use one or more valuation techniques (e.g., the market approach, the income approach, or the cost approach), including proprietary models 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 estimated future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for 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, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. 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 fair value of the investment.
Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange that constitutes the principal market or, if no sales occurred on such date, at the “mid-market” price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.
OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.
The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.
The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services that aggregates valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.
Generally, a valuation model is used consistently for similar derivative types and model inputs, including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.
The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).
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Quantitative Information
The following tables represent each Funds’ valuation inputs as presented on the Schedule of Investments.
AQR DIVERSIFIED ARBITRAGE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 432,297,955 | $ | 132,956,930 | $ | 29,301,740 | $ | 594,556,625 | ||||||||
Convertible Preferred Stocks† | 217,379,990 | 37,423,742 | 25,728,672 | 280,532,404 | ||||||||||||
Corporate Bonds† | — | 64,256,469 | 27,273,549 | 91,530,018 | ||||||||||||
Convertible Bonds† | — | 683,015,187 | 208,339 | 683,223,526 | ||||||||||||
Closed End Funds | 93,974,632 | 1,068,720 | — | 95,043,352 | ||||||||||||
Loan Participations† | — | 7,555,977 | 1,813,641 | 9,369,618 | ||||||||||||
Preferred Stocks† | 2,194,969 | — | 661,944 | 2,856,913 | ||||||||||||
Rights† | 1,252,119 | 520,661 | 3,308,935 | 5,081,715 | ||||||||||||
Short-Term Investments | — | 118,237,229 | — | 118,237,229 | ||||||||||||
Warrants† | 15,550,966 | 6,660,029 | 738,663 | 22,949,658 | ||||||||||||
Money Market Funds | — | 320,729,249 | — | 320,729,249 | ||||||||||||
Purchased Options | 2,324,540 | — | — | 2,324,540 | ||||||||||||
Futures Contracts* | 1,163,154 | — | — | 1,163,154 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 72,444 | — | 72,444 | ||||||||||||
Total Return Basket Swap Contracts* | — | 12,649,048 | 614,029 | 13,263,077 | ||||||||||||
Total Assets | $ | 766,138,325 | $ | 1,385,145,685 | $ | 89,649,512 | $ | 2,240,933,522 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | (806,742,843 | ) | $ | — | $ | (453 | ) | $ | (806,743,296 | ) | |||||
Convertible Bonds (Sold Short)† | — | (28,612,188 | ) | — | (28,612,188 | ) | ||||||||||
U.S. Treasury Obligations (Sold Short) | — | (4,635,480 | ) | — | (4,635,480 | ) | ||||||||||
Written Options (Sold Short)* | (285,932 | ) | — | — | (285,932 | ) | ||||||||||
Futures Contracts* | (311,588 | ) | — | — | (311,588 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (17,268 | ) | — | (17,268 | ) | ||||||||||
Credit Default Swap Contracts* | — | (6,124,821 | ) | — | (6,124,821 | ) | ||||||||||
Total Return Basket Swap Contracts* | — | (127,228 | ) | — | (127,228 | ) | ||||||||||
Total Liabilities | $ | (807,340,363 | ) | $ | (39,516,985 | ) | $ | (453 | ) | $ | (846,857,801 | ) | ||||
AQR EQUITY MARKET NEUTRAL FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Common Stocks† | $ | 2,168,445 | $ | 7,330,988 | $ | — | $ | 9,499,433 | ||||||||
Preferred Stocks† | — | 72,259 | — | 72,259 | ||||||||||||
Short-Term Investments | — | 5,733,381 | — | 5,733,381 | ||||||||||||
Money Market Funds | — | 11,662,346 | — | 11,662,346 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 603 | — | 603 | ||||||||||||
Total Return Basket Swap Contracts* | — | 1,245,822 | — | 1,245,822 | ||||||||||||
Total Assets | $ | 2,168,445 | $ | 26,045,399 | $ | — | $ | 28,213,844 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | (2,582,539 | ) | $ | (6,206,866 | ) | $ | — | $ | (8,789,405 | ) | |||||
Futures Contracts* | (35,055 | ) | — | — | (35,055 | ) | ||||||||||
Total Liabilities | $ | (2,617,594 | ) | $ | (6,206,866 | ) | $ | — | $ | (8,824,460 | ) | |||||
AQR GLOBAL MACRO FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Short-Term Investments | $ | — | $ | 50,121,586 | $ | — | $ | 50,121,586 | ||||||||
Money Market Funds | — | 50,770,655 | — | 50,770,655 | ||||||||||||
Futures Contracts* | 68,760 | — | — | 68,760 | ||||||||||||
Total Assets | $ | 68,760 | $ | 100,892,241 | $ | — | $ | 100,961,001 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
313
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (1,503,154 | ) | $ | — | $ | — | $ | (1,503,154 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (47,381 | ) | — | (47,381 | ) | ||||||||||
Interest Rate Swap Contracts* | — | (2,125,257 | ) | — | (2,125,257 | ) | ||||||||||
Total Return Swap Contracts* | — | (745,883 | ) | — | (745,883 | ) | ||||||||||
Total Liabilities | $ | (1,503,154 | ) | $ | (2,918,521 | ) | $ | — | $ | (4,421,675 | ) | |||||
AQR LONG-SHORT EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Common Stocks† | $ | 10,063,012 | $ | 26,463,835 | $ | — | $ | 36,526,847 | ||||||||
Preferred Stocks† | — | 315,428 | — | 315,428 | ||||||||||||
Short-Term Investments | — | 37,301,971 | — | 37,301,971 | ||||||||||||
Money Market Funds | — | 55,941,669 | — | 55,941,669 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 250,683 | — | 250,683 | ||||||||||||
Total Return Basket Swap Contracts* | — | 3,210,718 | — | 3,210,718 | ||||||||||||
Total Assets | $ | 10,063,012 | $ | 123,484,304 | $ | — | $ | 133,547,316 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | (11,568,513 | ) | $ | (18,810,853 | ) | $ | — | $ | (30,379,366 | ) | |||||
Futures Contracts* | (1,059,564 | ) | — | — | (1,059,564 | ) | ||||||||||
Total Return Swap Contracts* | — | (36,484 | ) | — | (36,484 | ) | ||||||||||
Total Liabilities | $ | (12,628,077 | ) | $ | (18,847,337 | ) | $ | — | $ | (31,475,414 | ) | |||||
AQR MANAGED FUTURES STRATEGY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Short-Term Investments | $ | — | $ | 6,497,943,779 | $ | — | $ | 6,497,943,779 | ||||||||
Money Market Funds | — | 1,604,263,104 | — | 1,604,263,104 | ||||||||||||
Futures Contracts* | 21,564,868 | — | — | 21,564,868 | ||||||||||||
Total Assets | $ | 21,564,868 | $ | 8,102,206,883 | $ | — | $ | 8,123,771,751 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (54,380,236 | ) | $ | — | $ | — | $ | (54,380,236 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (40,331,364 | ) | — | (40,331,364 | ) | ||||||||||
Total Return Swap Contracts* | — | (100,188,375 | ) | — | (100,188,375 | ) | ||||||||||
Total Liabilities | $ | (54,380,236 | ) | $ | (140,519,739 | ) | $ | — | $ | (194,899,975 | ) | |||||
AQR MANAGED FUTURES STRATEGY HV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Short-Term Investments | $ | — | $ | 110,914,874 | $ | — | $ | 110,914,874 | ||||||||
Money Market Funds | — | 125,759,316 | — | 125,759,316 | ||||||||||||
Futures Contracts* | 1,124,109 | — | — | 1,124,109 | ||||||||||||
Total Assets | $ | 1,124,109 | $ | 236,674,190 | $ | — | $ | 237,798,299 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (2,622,244 | ) | $ | — | $ | — | $ | (2,622,244 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (1,870,902 | ) | — | (1,870,902 | ) | ||||||||||
Total Return Swap Contracts* | — | (4,868,658 | ) | — | (4,868,658 | ) | ||||||||||
Total Liabilities | $ | (2,622,244 | ) | $ | (6,739,560 | ) | $ | — | $ | (9,361,804 | ) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
314
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Common Stocks† | $ | 33,372,657 | $ | 4,061,868 | $ | 464,238 | $ | 37,898,763 | ||||||||
Convertible Preferred Stocks† | 147,086,993 | 2,596,677 | — | 149,683,670 | ||||||||||||
Corporate Bonds† | — | 3,348,219 | — | 3,348,219 | ||||||||||||
Convertible Bonds† | — | 423,924,024 | 425,340 | 424,349,364 | ||||||||||||
Short-Term Investments | — | 80,118,073 | — | 80,118,073 | ||||||||||||
Money Market Funds | — | 1,126,338,862 | — | 1,126,338,862 | ||||||||||||
Futures Contracts* | 663,881 | — | — | 663,881 | ||||||||||||
Credit Default Swap Contracts* | — | 3,796,207 | — | 3,796,207 | ||||||||||||
Total Return Basket Swap Contracts* | — | 55,507,583 | — | 55,507,583 | ||||||||||||
Total Return Swap Contracts* | — | 2,353,360 | — | 2,353,360 | ||||||||||||
Total Assets | $ | 181,123,531 | $ | 1,702,044,873 | $ | 889,578 | $ | 1,884,057,982 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | (465,339,675 | ) | $ | (428,768 | ) | $ | — | $ | (465,768,443 | ) | |||||
Futures Contracts* | (9,940,720 | ) | — | — | (9,940,720 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (352,586 | ) | — | (352,586 | ) | ||||||||||
Total Return Basket Swap Contracts* | — | (329,341 | ) | — | (329,341 | ) | ||||||||||
Total Return Swap Contracts* | — | (7,550,236 | ) | — | (7,550,236 | ) | ||||||||||
Total Liabilities | $ | (475,280,395 | ) | $ | (8,660,931 | ) | $ | — | $ | (483,941,326 | ) | |||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Short-Term Investments | $ | — | $ | 32,670,444 | $ | — | $ | 32,670,444 | ||||||||
Money Market Funds | — | 44,424,296 | — | 44,424,296 | ||||||||||||
Total Return Swap Contracts* | — | 476,135 | — | 476,135 | ||||||||||||
Total Assets | $ | — | $ | 77,570,875 | $ | — | $ | 77,570,875 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (797,610 | ) | $ | — | $ | — | $ | (797,610 | ) | ||||||
Total Return Swap Contracts* | — | (902,268 | ) | — | (902,268 | ) | ||||||||||
Total Liabilities | $ | (797,610 | ) | $ | (902,268 | ) | $ | — | $ | (1,699,878 | ) | |||||
AQR RISK PARITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Government Related Obligations | $ | — | $ | 115,832,683 | $ | — | $ | 115,832,683 | ||||||||
Short-Term Investments | — | 105,434,804 | — | 105,434,804 | ||||||||||||
U.S. Treasury Obligations | — | 158,141,173 | — | 158,141,173 | ||||||||||||
Money Market Funds | — | 223,964,489 | — | 223,964,489 | ||||||||||||
Futures Contracts* | 787,210 | — | — | 787,210 | ||||||||||||
Credit Default Swap Contracts* | — | 14,195,738 | — | 14,195,738 | ||||||||||||
Total Return Swap Contracts* | — | 250,337 | — | 250,337 | ||||||||||||
Total Assets | $ | 787,210 | $ | 617,819,224 | $ | — | $ | 618,606,434 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (5,231,992 | ) | $ | — | $ | — | $ | (5,231,992 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (991,884 | ) | — | (991,884 | ) | ||||||||||
Interest Rate Swap Contracts* | — | (3,875,412 | ) | — | (3,875,412 | ) | ||||||||||
Total Return Swap Contracts* | — | (2,559,033 | ) | — | (2,559,033 | ) | ||||||||||
Total Liabilities | $ | (5,231,992 | ) | $ | (7,426,329 | ) | $ | — | $ | (12,658,321 | ) | |||||
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
315
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR RISK PARITY II HV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Government Related Obligations | $ | — | $ | 15,951,263 | $ | — | $ | 15,951,263 | ||||||||
Short-Term Investments | — | 10,376,424 | — | 10,376,424 | ||||||||||||
U.S. Treasury Obligations | — | 23,272,969 | — | 23,272,969 | ||||||||||||
Money Market Funds | — | 23,091,491 | — | 23,091,491 | ||||||||||||
Futures Contracts* | 172,534 | — | — | 172,534 | ||||||||||||
Total Return Swap Contracts* | — | 9,331 | — | 9,331 | ||||||||||||
Total Assets | $ | 172,534 | $ | 72,701,478 | $ | — | $ | 72,874,012 | ||||||||
LIABILITIES | ||||||||||||||||
Reverse Repurchase Agreements (Sold Short) | $ | — | $ | (13,801,951 | ) | $ | — | $ | (13,801,951 | ) | ||||||
Futures Contracts* | (1,434,872 | ) | — | — | (1,434,872 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (111,441 | ) | — | (111,441 | ) | ||||||||||
Total Return Swap Contracts* | — | (142,026 | ) | — | (142,026 | ) | ||||||||||
Total Liabilities | $ | (1,434,872 | ) | $ | (14,055,418 | ) | $ | — | $ | (15,490,290 | ) | |||||
AQR RISK PARITY II MV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Government Related Obligations | $ | — | $ | 17,189,922 | $ | — | $ | 17,189,922 | ||||||||
Short-Term Investments | — | 16,958,648 | — | 16,958,648 | ||||||||||||
U.S. Treasury Obligations | — | 24,609,738 | — | 24,609,738 | ||||||||||||
Money Market Funds | — | 37,706,777 | — | 37,706,777 | ||||||||||||
Futures Contracts* | 118,565 | — | — | 118,565 | ||||||||||||
Total Return Swap Contracts* | — | 36,594 | — | 36,594 | ||||||||||||
Total Assets | $ | 118,565 | $ | 96,501,679 | $ | — | $ | 96,620,244 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (1,372,164 | ) | $ | — | $ | — | $ | (1,372,164 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (111,632 | ) | — | (111,632 | ) | ||||||||||
Total Return Swap Contracts* | — | (173,277 | ) | — | (173,277 | ) | ||||||||||
Total Liabilities | $ | (1,372,164 | ) | $ | (284,909 | ) | $ | — | $ | (1,657,073 | ) | |||||
AQR STYLE PREMIA ALTERNATIVE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Common Stocks† | $ | — | $ | 420,599,687 | $ | — | $ | 420,599,687 | ||||||||
Preferred Stocks† | — | 9,917,140 | — | 9,917,140 | ||||||||||||
Short-Term Investments | — | 194,473,995 | — | 194,473,995 | ||||||||||||
Money Market Funds | — | 550,761,007 | — | 550,761,007 | ||||||||||||
Futures Contracts* | 1,935,457 | — | — | 1,935,457 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 174,551 | — | 174,551 | ||||||||||||
Total Return Basket Swap Contracts* | — | 4,724,294 | — | 4,724,294 | ||||||||||||
Total Return Swap Contracts* | — | 1,201,797 | — | 1,201,797 | ||||||||||||
Total Assets | $ | 1,935,457 | $ | 1,181,852,471 | $ | — | $ | 1,183,787,928 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | — | $ | (346,939,391 | ) | $ | (28,980 | ) | $ | (346,968,371 | ) | |||||
Rights (Sold Short)† | — | (16,594 | ) | — | (16,594 | ) | ||||||||||
Futures Contracts* | (9,010,497 | ) | — | — | (9,010,497 | ) | ||||||||||
Total Return Swap Contracts* | — | (1,718,785 | ) | — | (1,718,785 | ) | ||||||||||
Total Liabilities | $ | (9,010,497 | ) | $ | (348,674,770 | ) | $ | (28,980 | ) | $ | (357,714,247 | ) | ||||
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
316
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Common Stocks† | $ | — | $ | 10,136,645 | $ | — | $ | 10,136,645 | ||||||||
Preferred Stocks† | — | 244,947 | — | 244,947 | ||||||||||||
Short-Term Investments | — | 12,246,677 | — | 12,246,677 | ||||||||||||
Money Market Funds | — | 25,284,311 | — | 25,284,311 | ||||||||||||
Futures Contracts* | 79,546 | — | — | 79,546 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 8,240 | — | 8,240 | ||||||||||||
Total Return Basket Swaps Contracts* | — | 718,806 | — | 718,806 | ||||||||||||
Total Return Swap Contracts* | — | 41,276 | — | 41,276 | ||||||||||||
Total Assets | $ | 79,546 | $ | 48,680,902 | $ | — | $ | 48,760,448 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | — | $ | (8,267,438 | ) | $ | — | $ | (8,267,438 | ) | ||||||
Futures Contracts* | (276,676 | ) | — | — | (276,676 | ) | ||||||||||
Total Return Swap Contracts* | — | (15,653 | ) | — | (15,653 | ) | ||||||||||
Total Liabilities | $ | (276,676 | ) | $ | (8,283,091 | ) | $ | — | $ | (8,559,767 | ) |
* | Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Credit default swaps, interest rate swaps and option contracts are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded and cleared derivatives. |
† | Please refer to the Schedule of Investments to view securities segregated by country. |
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, the AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund and AQR Multi-Strategy Alternative Fund had twenty-two investments, one investment and two investments, respectively, which transferred levels between 1 and 2. There were no transfers of investments between levels for any of the remaining Funds.
There were no Level 3 securities held at period end, except where noted in AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund. Securities classified as Level 3 in the Schedule of Investments are considered quantitatively insignificant in the aggregate for AQR Style Premia Alternative Fund.
The following tables include a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period for each Fund that held Level 3 securities that were considered quantitatively significant:
AQR DIVERSIFIED ARBITRAGE FUND | COMMON STOCK | CONVER TIBLE PREFERRED STOCK | LOAN PARTICI CORPORATE | CONVERTIBLE BOND | PREFERRED STOCK | RIGHTS | WARRANT | SHORT COMMON STOCKS | TOTAL RETURN BASKET SWAP CONTRACTS | |||||||||||||||||||||||||||
Balance as of December 31, 2014 | $ | 70,436,249 | $ | 24,872,000 | $ | 79,701,483 | $ | 354,963 | $ | 853,511 | $ | 3,286,022 | $ | 1,270,739 | $ | (453 | ) | $ | — | |||||||||||||||||
Net amortization/(accretion) | — | — | (108,109 | ) | 1,094 | — | — | — | — | — | ||||||||||||||||||||||||||
Realized gain/(loss) | 256,855 | — | (4,832,533 | ) | — | — | — | (27,116 | ) | — | — | |||||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | (953,071 | ) | 856,672 | (2,863,119 | ) | (180,218 | ) | (191,567 | ) | 73,131 | (1,490,547 | ) | — | (67,704 | ) | |||||||||||||||||||||
Purchases 1 | 4,665,316 | — | 6,924,440 | — | — | — | 1,408,680 | — | — | (a) | ||||||||||||||||||||||||||
Sales 2 | (29,894,062 | ) | — | (50,742,181 | ) | — | — | — | (480 | ) | — | — | ||||||||||||||||||||||||
Transfers in to Level 3 | 14,233,598 | — | 20,321,190 | 32,500 | — | — | 74,623 | — | 681,733 | |||||||||||||||||||||||||||
Transfers out of Level 3 | (29,443,145 | ) | — | (19,313,981 | ) | — | — | (50,218 | ) | (497,236 | ) | — | — | |||||||||||||||||||||||
Balance as of June 30, 2015 | $ | 29,301,740 | $ | 25,728,672 | $ | 29,087,190 | $ | 208,339 | $ | 661,944 | $ | 3,308,935 | $ | 738,663 | $ | (453 | ) | $ | 614,029 | |||||||||||||||||
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2015 | $ | (55,779 | ) | $ | 856,672 | $ | (14,080,916 | ) | $ | (180,218 | ) | $ | (191,567 | ) | $ | 73,131 | $ | (1,247,542 | ) | $ | — | $ | (67,704 | ) |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
317
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND | COMMON STOCK | CONVERTIBLE BOND | RIGHTS | |||||||||
Balance as of December 31, 2014 | $ | — | $ | — | $—(a) | |||||||
Net amortization/(accretion) | — | 3,846 | — | |||||||||
Realized gain/(loss) | 114,365 | — | — | |||||||||
Change in unrealized appreciation/(depreciation) | (287,468 | ) | (8,277 | ) | — | |||||||
Purchases 1 | — | — | — | |||||||||
Sales 2 | (412,279 | ) | — | — | (a) | |||||||
Transfers in to Level 3 | 1,049,620 | 429,771 | — | |||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Balance as of June 30, 2015 | $ | 464,238 | $ | 425,340 | $ | — | ||||||
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2015 | $ | (78,532 | ) | $ | (8,277 | ) | $ | — |
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action. |
(a) | Security has zero value. |
The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the Advisor’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
The significant unobservable inputs used in the fair value measurement of a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount, earnings multiples and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discounts, theoretical values, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.
At June 30, 2015, all of the investments classified within Level 3 of the fair value hierarchy held by the AQR Multi-Strategy Alternative Fund are valued by vendor pricing or brokers. The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended June 30, 2015 for the AQR Diversified Arbitrage Fund:
Quantitative Information about Level 3 Fair Value Measurements*
INVESTMENT TYPE | FAIR VALUE AT 06/30/15 | VALUATION METHODOLOGY | UNOBSERVABLE INPUT(S) | INPUT VALUE/RANGE | WEIGHTED AVERAGE | |||||||
Common Stocks | $541,094 | Enterprise Value Waterfall Analysis | Discount for Lack of Marketability** | 18.3%—24.1% | 21.7% | |||||||
Revenue Multiple | 1.05x—1.15x | 1.10x | ||||||||||
Multiple of EBITDA | 6.5x—7.5x | 7.0x | ||||||||||
Volatility | 44.8%—52.2% | 47.9% | ||||||||||
$1,621,980 | Fundamental Analysis | Discount for Lack of Marketability** | 19.5% | N/A | ||||||||
Volatility | 36.2% | N/A | ||||||||||
$1,624,585 | Probability Weighted Expected Return | Discount for Lack of Marketability** | 43.5% | N/A | ||||||||
Equity Cost of Capital | 25.0% | N/A | ||||||||||
Scenario Probability | 55.0% | N/A | ||||||||||
Volatility | 83.3% | N/A | ||||||||||
Convertible Bonds | $154,804 | Liquidation Analysis | Recovery Probability | 2.5%—5.9% | 4.5% | |||||||
Discount for Lack of Marketability** | 1.7% | N/A | ||||||||||
Volatility | 30.5% | N/A | ||||||||||
Expected Remaining Distributions | 4.7% | N/A | ||||||||||
Liquidation Cost (% of capital) | 28.1% | N/A |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
318
Notes to Financial Statements | June 30, 2015 (Unaudited) |
INVESTMENT TYPE | FAIR VALUE AT 06/30/15 | VALUATION METHODOLOGY | UNOBSERVABLE INPUT(S) | INPUT VALUE/RANGE | WEIGHTED AVERAGE | |||||||
Convertible Preferred Stocks | $25,727,751 | Discounted Cash Flow Analysis | Discount Rate | 5.4% | N/A | |||||||
$1,188,219 | Options Pricing Model | Multiple of EBITDA | 3.3x—3.8x | 3.6x | ||||||||
Discount Rate | 16.5%—18.5% | 17.5% | ||||||||||
Asset Volatility | 38.3% | N/A | ||||||||||
Equity Volatility | 43.8% | N/A | ||||||||||
Discount for Lack of Marketability** | 23.5% | N/A | ||||||||||
Corporate Bonds | $47,102 | Income Approach | Discount Rate | 13.8% | N/A | |||||||
Multiple of EBITDA | 5.5x—6.5x | 6.0x | ||||||||||
$27,650 | Liquidation Analysis | Recovery Probability | 2.5% | N/A | ||||||||
Liquidation Cost (% of capital) | 28.1% | N/A | ||||||||||
Preferred Stocks | $661,944 | Enterprise Value Waterfall Analysis | Discount for Lack of Marketability** | 7.5% | N/A | |||||||
Multiple of Net Income | 4.8x—5.8x | 5.3x | ||||||||||
Volatility | 43.9% | N/A | ||||||||||
Rights | $275,280 | Options Pricing Model | Discount for Lack of Marketability** | 39.6% | N/A | |||||||
Volatility | 75.0% | N/A | ||||||||||
$3,030,819 | Probability Weighted Expected Return | Discount for Lack of Marketability** | 14.0%—39.6% | 16.8% | ||||||||
Equity Cost of Capital | 12.7%—21.0% | 13.7% | ||||||||||
Scenario Probability | 10.0%—75.0% | 28.9% | ||||||||||
Volatility | 48.6%—79.9% | 62.1% | ||||||||||
Total Return Basket Swaps | $614,029 | Liquidation Analysis | Discount for Lack of Marketability** | 7.5% | N/A | |||||||
Liquidation Cost (% of capital) | 14.3%—47.1% | 30.7% | ||||||||||
Volatility | 43.9% | N/A | ||||||||||
Warrants | $98,477 | Options Pricing Model | Multiple of EBITDA | 3.3x—3.8x | 3.6x | |||||||
Discount Rate | 16.5%—18.5% | 17.5% | ||||||||||
Asset Volatility | 38.3% | N/A | ||||||||||
Discount for Lack of Marketability** | 21.1%—34.1% | 23.5% | ||||||||||
Volatility | 43.8%—117.5% | 43.9% |
* | The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2015, the value of these securities was $54,035,325. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 5. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events. |
** | Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
319
Notes to Financial Statements | June 30, 2015 (Unaudited) |
6. Federal Income Tax Matters
At June 30, 2015, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:
FUND | COST OF INVESTMENTS | GROSS UNREALIZED APPRECIATION | GROSS UNREALIZED DEPRECIATION | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
AQR Diversified Arbitrage Fund | $ | 2,339,262,750 | $ | 109,028,660 | $ | (221,856,562 | ) | $ | (112,827,902 | ) | ||||||
AQR Equity Market Neutral Fund | 26,987,329 | 399,559 | (419,469 | ) | (19,910 | ) | ||||||||||
AQR Global Macro Fund | 100,881,358 | 10,883 | — | 10,883 | ||||||||||||
AQR Long-Short Equity Fund | 129,470,818 | 1,591,244 | (976,147 | ) | 615,097 | |||||||||||
AQR Managed Futures Strategy Fund | 8,101,257,955 | 950,866 | (1,938 | ) | 948,928 | |||||||||||
AQR Managed Futures Strategy HV Fund | 236,657,293 | 16,897 | — | 16,897 | ||||||||||||
AQR Multi-Strategy Alternative Fund | 1,768,910,741 | 71,230,402 | (18,404,193 | ) | 52,826,209 | |||||||||||
AQR Risk-Balanced Commodities Strategy Fund | 77,087,685 | 7,055 | — | 7,055 | ||||||||||||
AQR Risk Parity Fund | 614,049,421 | — | (10,676,272 | ) | (10,676,272 | ) | ||||||||||
AQR Risk Parity II HV Fund | 73,995,213 | — | (1,303,066 | ) | (1,303,066 | ) | ||||||||||
AQR Risk Parity II MV Fund | 98,343,986 | — | (1,878,901 | ) | (1,878,901 | ) | ||||||||||
AQR Style Premia Alternative Fund | 1,164,565,139 | 24,155,854 | (12,969,164 | ) | 11,186,690 | |||||||||||
AQR Style Premia Alternative LV Fund | 47,317,700 | 825,759 | (230,879 | ) | 594,880 |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, mark to market on passive foreign investment companies (“PFIC”), non-taxable dividends, and deemed taxable dividends.
As of December 31, 2014, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the U.S. Treasury regulations.
FUND | SHORT-TERM | LONG TERM | ||||||
AQR Diversified Arbitrage Fund | $ | 55,968,355 | $ | — | ||||
AQR Equity Market Neutral Fund | 1,143 | 2,606 | ||||||
AQR Risk-Balanced Commodities Strategy Fund | 12,630 | — |
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous law.
7. Investment Transactions
During the period ended June 30, 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 | SECURITIES SOLD SHORT | COVERS ON SECURITIES SOLD SHORT | ||||||||||||
AQR Diversified Arbitrage Fund | $ | 1,770,366,800 | $ | 2,107,926,726 | $ | 845,289,402 | $ | 877,703,829 | ||||||||
AQR Equity Market Neutral Fund | 7,934,660 | 455,203 | 10,041,311 | 3,080,619 | ||||||||||||
AQR Global Macro Fund | — | — | — | — | ||||||||||||
AQR Long-Short Equity Fund | 38,857,537 | 2,740,810 | 41,719,236 | 11,846,684 | ||||||||||||
AQR Managed Futures Strategy Fund | — | — | — | — | ||||||||||||
AQR Managed Futures Strategy HV Fund | — | — | — | — | ||||||||||||
AQR Multi-Strategy Alternative Fund | 475,676,262 | 564,556,483 | 343,253,914 | 290,189,656 | ||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | — | — | — | — | ||||||||||||
AQR Risk Parity Fund | 125,230,723 | 57,030,443 | — | — | ||||||||||||
AQR Risk Parity II HV Fund | 26,939,799 | 8,445,265 | — | — | ||||||||||||
AQR Risk Parity II MV Fund | 23,296,630 | 11,240,096 | — | — | ||||||||||||
AQR Style Premia Alternative Fund | 255,947,666 | 41,036,330 | 236,375,302 | 69,399,484 | ||||||||||||
AQR Style Premia Alternative LV Fund | 2,948,119 | 6,753,315 | 3,711,931 | 7,179,776 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
320
Notes to Financial Statements | June 30, 2015 (Unaudited) |
During the period ended June 30, 2015, the Funds had purchases and sales of long-term U.S. Government obligations as follows:
FUND | PURCHASES | SALES | ||||||
AQR Diversified Arbitrage Fund | $ | 4,615,605 | $ | 2,876,573 | ||||
AQR Multi-Strategy Alternative Fund | — | 1,725,944 | ||||||
AQR Risk Parity Fund | 66,500,112 | 26,531,888 | ||||||
AQR Risk Parity II HV Fund | 15,178,917 | 3,824,686 | ||||||
AQR Risk Parity II MV Fund | 12,757,240 | 5,364,671 |
8. Derivative Instruments and Activities
Certain funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts held at June 30, 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 June 30, 2015.
ASSETS | LIABILITIES | |||||||||||||||||||||||||||
FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS* | SWAPS AT VALUE* | UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | UNREALIZED DEPRECIATION ON FUTURES CONTRACTS* | SWAPS AT VALUE* | UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN AT | |||||||||||||||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | $ | 814,958 | $ | 17,479,642 | $ | — | $ | — | $ | 4,862,215 | $ | — | $ | 285,932 | ||||||||||||||
AQR Equity Market Neutral Fund | 4,651 | 1,245,822 | — | 39,706 | — | — | — | |||||||||||||||||||||
AQR Global Macro Fund | 283,785 | 20,439 | — | 512,729 | 23,396 | — | — | |||||||||||||||||||||
AQR Long-Short Equity Fund | 53,970 | 3,210,718 | — | 1,113,534 | 36,484 | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | 4,500,663 | 14,681 | — | 60,265,882 | 7,154,536 | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 206,669 | 1,241 | — | 2,755,189 | 322,358 | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 2,801,645 | 62,509,438 | — | 7,815,085 | 7,809,273 | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | 13,352 | 10,514 | — | 2,623,906 | 906,574 | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 1,533 | 10,624 | — | 608,947 | 93,573 | — | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 1,494 | 9,993 | — | 580,954 | 180,271 | — | — | |||||||||||||||||||||
AQR Style Premia Alternative Fund | 3,795,440 | 7,325,547 | — | 7,715,941 | 4,320,038 | — | — | |||||||||||||||||||||
AQR Style Premia Alternative LV Fund | 72,630 | 764,077 | — | 206,312 | 60,924 | — | — | |||||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | — | 153,385 | — | — | 98,209 | — | |||||||||||||||||||||
AQR Equity Market Neutral Fund | — | — | 11,266 | — | — | 10,663 | — | |||||||||||||||||||||
AQR Global Macro Fund | — | — | 867,305 | — | — | 914,686 | — | |||||||||||||||||||||
AQR Long-Short Equity Fund | — | — | 260,953 | — | — | 10,270 | — | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | — | — | 132,823,854 | — | — | 173,155,218 | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | — | — | 6,105,165 | — | — | 7,976,067 | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | — | 13,966,003 | — | — | 14,318,589 | — | |||||||||||||||||||||
AQR Risk Parity Fund | — | — | 1,337,260 | — | — | 2,329,144 | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | — | — | 24,332 | — | — | 135,773 | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | — | — | 26,975 | — | — | 138,607 | — | |||||||||||||||||||||
AQR Style Premia Alternative Fund | — | — | 4,139,344 | — | — | 3,964,793 | — | |||||||||||||||||||||
AQR Style Premia Alternative LV Fund | — | — | 111,260 | — | — | 103,020 | — | |||||||||||||||||||||
Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | 348,196 | 614,029 | — | 311,588 | 95,607 | — | — | |||||||||||||||||||||
AQR Global Macro Fund | 341,021 | 5,717,127 | — | 1,013,984 | 7,842,384 | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | 20,028,738 | — | — | 10,915,120 | — | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 775,221 | — | — | 532,548 | — | — | — |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
321
Notes to Financial Statements | June 30, 2015 (Unaudited) |
ASSETS | LIABILITIES | |||||||||||||||||||||||||||
FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS* | SWAPS AT VALUE* | UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | UNREALIZED DEPRECIATION ON FUTURES CONTRACTS* | SWAPS AT VALUE* | UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN AT | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | $ | 1,544,483 | $ | — | $ | — | $ | 6,103,092 | $ | 108,026 | $ | — | $ | — | ||||||||||||||
AQR Risk Parity Fund | 140,830 | 440,971 | — | 2,577,737 | 4,316,383 | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 28,834 | — | — | 606,515 | — | — | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 32,604 | — | — | 564,157 | — | — | — | |||||||||||||||||||||
AQR Style Premia Alternative Fund | 5,829,545 | — | — | 6,038,622 | — | — | — | |||||||||||||||||||||
AQR Style Premia Alternative LV Fund | 150,222 | — | — | 140,348 | — | — | — | |||||||||||||||||||||
Credit Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | — | — | — | 6,124,821 | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | 3,796,207 | — | — | — | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | — | 16,558,275 | — | — | 2,362,537 | — | — | |||||||||||||||||||||
Commodity Risk Exposure: | ||||||||||||||||||||||||||||
AQR Global Macro Fund | 228,414 | 108,269 | — | 760,901 | 851,195 | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | 78,701,772 | 30,356,187 | — | 64,865,539 | 123,404,707 | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 3,479,804 | 1,543,489 | — | 2,672,092 | 6,091,030 | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 5,891,008 | 2,660,023 | — | 5,595,798 | 7,270,796 | — | — | |||||||||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | 1,747,546 | 7,974,313 | — | 2,545,156 | 8,400,446 | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | 1,672,473 | 6,081,537 | — | 1,069,794 | 7,494,173 | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 760,151 | 637,937 | — | 837,394 | 687,683 | — | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 769,920 | 801,298 | — | 912,506 | 767,703 | — | — | |||||||||||||||||||||
AQR Style Premia Alternative Fund | 2,304,175 | 2,601,291 | — | 5,249,638 | 1,399,494 | — | — | |||||||||||||||||||||
AQR Style Premia Alternative LV Fund | 52,215 | 70,378 | — | 125,537 | 29,102 | — | — | |||||||||||||||||||||
Netting: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | (311,588 | ) | (11,082,643 | ) | (98,209 | ) | (311,588 | ) | (11,082,643 | ) | (98,209 | ) | — | |||||||||||||||
AQR Equity Market Neutral Fund | (4,651 | ) | — | (10,663 | ) | (4,651 | ) | — | (10,663 | ) | — | |||||||||||||||||
AQR Global Macro Fund | (853,220 | ) | (5,845,835 | ) | (867,305 | ) | (853,220 | ) | (5,845,835 | ) | (867,305 | ) | — | |||||||||||||||
AQR Long-Short Equity Fund | (53,970 | ) | (36,484 | ) | (10,270 | ) | (53,970 | ) | (36,484 | ) | (10,270 | ) | — | |||||||||||||||
AQR Managed Futures Strategy Fund | (103,231,173 | ) | (30,370,868 | ) | (132,823,854 | ) | (103,231,173 | ) | (30,370,868 | ) | (132,823,854 | ) | — | |||||||||||||||
AQR Managed Futures Strategy HV Fund | (4,461,694 | ) | (1,544,730 | ) | (6,105,165 | ) | (4,461,694 | ) | (1,544,730 | ) | (6,105,165 | ) | — | |||||||||||||||
AQR Multi-Strategy Alternative Fund | (10,237,136 | ) | (15,188,095 | ) | (13,966,003 | ) | (10,237,136 | ) | (15,188,095 | ) | (13,966,003 | ) | — | |||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | (1,747,546 | ) | (7,974,313 | ) | — | (1,747,546 | ) | (7,974,313 | ) | — | — | |||||||||||||||||
AQR Risk Parity Fund | (1,826,655 | ) | (15,079,667 | ) | (1,337,260 | ) | (1,826,655 | ) | (15,079,667 | ) | (1,337,260 | ) | — | |||||||||||||||
AQR Risk Parity II HV Fund | (790,518 | ) | (648,561 | ) | (24,332 | ) | (790,518 | ) | (648,561 | ) | (24,332 | ) | — | |||||||||||||||
AQR Risk Parity II MV Fund | (804,018 | ) | (811,291 | ) | (26,975 | ) | (804,018 | ) | (811,291 | ) | (26,975 | ) | — | |||||||||||||||
AQR Style Premia Alternative Fund | (11,929,160 | ) | (5,719,532 | ) | (3,964,793 | ) | (11,929,160 | ) | (5,719,532 | ) | (3,964,793 | ) | — | |||||||||||||||
AQR Style Premia Alternative LV Fund | (275,067 | ) | (90,026 | ) | (103,020 | ) | (275,067 | ) | (90,026 | ) | (103,020 | ) | — | |||||||||||||||
Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | 851,566 | 7,011,028 | 55,176 | — | — | — | 285,932 | |||||||||||||||||||||
AQR Equity Market Neutral Fund | — | 1,245,822 | 603 | 35,055 | — | — | — | |||||||||||||||||||||
AQR Global Macro Fund | — | — | — | 1,434,394 | 2,871,140 | 47,381 | — | |||||||||||||||||||||
AQR Long-Short Equity Fund | — | 3,174,234 | 250,683 | 1,059,564 | — | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | — | — | — | 32,815,368 | 100,188,375 | 40,331,364 | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | — | — | — | 1,498,135 | 4,868,658 | 1,870,902 | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | 53,777,573 | — | 9,276,839 | — | 352,586 | — | |||||||||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | — | — | — | 797,610 | 797,610 | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | — | 8,011,630 | — | 4,444,782 | — | 991,884 | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | — | — | — | 1,262,338 | 132,695 | 111,441 | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | — | — | — | 1,253,599 | 41,387 | 111,632 | — | |||||||||||||||||||||
AQR Style Premia Alternative Fund | — | 4,207,306 | 174,551 | 7,075,041 | — | — | — | |||||||||||||||||||||
AQR Style Premia Alternative LV Fund | — | 744,429 | 8,240 | 197,130 | — | — | — |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
322
Notes to Financial Statements | June 30, 2015 (Unaudited) |
* | May include cumulative appreciation (depreciation) of futures as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded derivatives. |
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 June 30, 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 | WRITTEN OPTIONS | FUTURES CONTRACTS | SWAP CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS | ||||||||||||||||||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | $ | (11,193,416 | ) | $ | 7,391,286 | $ | — | $ | 435,375 | $ | 12,992,806 | $ | (10,184,680 | ) | $ | — | $ | 712,434 | ||||||||||||||
AQR Equity Market Neutral Fund | (35,607 | ) | (228,855 | ) | — | — | (27,921 | ) | 916,015 | — | — | |||||||||||||||||||||
AQR Global Macro Fund | 169,351 | (92,984 | ) | — | — | (391,633 | ) | (8,986 | ) | — | — | |||||||||||||||||||||
AQR Long-Short Equity Fund | 2,477,787 | 2,950,811 | — | — | (1,989,805 | ) | (252,226 | ) | — | — | ||||||||||||||||||||||
AQR Managed Futures Strategy Fund | 164,955,053 | (26,910,046 | ) | — | — | (78,088,941 | ) | (13,839,149 | ) | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 7,272,856 | (1,222,642 | ) | — | — | (3,497,594 | ) | (608,349 | ) | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | (7,984,727 | ) | 27,495,211 | — | 103,616 | 3,114,867 | (6,749,292 | ) | — | 135,144 | ||||||||||||||||||||||
AQR Risk Parity Fund | 13,888,810 | 2,150,649 | — | — | (7,260,404 | ) | (1,484,246 | ) | — | — | ||||||||||||||||||||||
AQR Risk Parity II HV Fund | 2,735,742 | 297,226 | — | — | (1,354,444 | ) | (203,911 | ) | — | — | ||||||||||||||||||||||
AQR Risk Parity II MV Fund | 3,263,994 | 493,610 | — | — | (1,657,448 | ) | (310,484 | ) | — | — | ||||||||||||||||||||||
AQR Style Premia Alternative Fund | 18,891,478 | 12,988,991 | — | — | (172,293 | ) | (13,373,329 | ) | — | — | ||||||||||||||||||||||
AQR Style Premia Alternative LV Fund | 744,346 | (390,018 | ) | — | — | (26,125 | ) | 377,494 | — | — | ||||||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | — | 11,912,111 | — | — | — | (6,410,907 | ) | — | |||||||||||||||||||||||
AQR Equity Market Neutral Fund | — | — | 45,242 | — | — | — | (6,608 | ) | — | |||||||||||||||||||||||
AQR Global Macro Fund | — | — | 593,737 | — | — | — | (285,449 | ) | — | |||||||||||||||||||||||
AQR Long-Short Equity Fund | — | — | (571,265 | ) | — | — | — | 396,318 | — | |||||||||||||||||||||||
AQR Managed Futures Strategy Fund | — | — | 69,455,380 | — | — | — | (106,898,915 | ) | — | |||||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | — | — | 1,935,088 | — | — | — | (4,610,478 | ) | — | |||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | — | (16,201,326 | ) | — | — | — | (5,424,810 | ) | — | ||||||||||||||||||||||
AQR Risk Parity Fund | — | — | 2,576,781 | — | — | — | 891,662 | — | ||||||||||||||||||||||||
AQR Risk Parity II HV Fund | — | — | 737,948 | — | — | — | (249,205 | ) | — | |||||||||||||||||||||||
AQR Risk Parity II MV Fund | — | — | 1,054,882 | — | — | — | (315,425 | ) | — | |||||||||||||||||||||||
AQR Style Premia Alternative Fund | — | — | (19,164,630 | ) | — | — | — | (2,288,203 | ) | — | ||||||||||||||||||||||
AQR Style Premia Alternative LV Fund | — | — | (1,101,495 | ) | — | — | — | (87,953 | ) | — | ||||||||||||||||||||||
Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | (1,920,434 | ) | (91,748 | ) | — | — | (37,471 | ) | (320,366 | ) | — | — | ||||||||||||||||||||
AQR Global Macro Fund | 801,074 | 192,381 | — | — | (696,723 | ) | (236,392 | ) | — | — | ||||||||||||||||||||||
AQR Managed Futures Strategy Fund | 78,320,525 | 12,616,292 | — | — | (75,972,669 | ) | (2,864,195 | ) | — | — | ||||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 3,086,093 | 610,603 | — | — | (3,448,248 | ) | (1,513 | ) | — | — | ||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 4,774,034 | 5,818,794 | — | — | (3,711,717 | ) | (4,952,796 | ) | — | — | ||||||||||||||||||||||
AQR Risk Parity Fund | (392,122 | ) | 19,154,723 | — | — | (2,621,631 | ) | (13,411,797 | ) | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 249,937 | 1,200,333 | — | — | (1,029,433 | ) | (483,301 | ) | — | — | ||||||||||||||||||||||
AQR Risk Parity II MV Fund | 1,188,479 | 1,346,117 | — | — | (1,359,620 | ) | (457,135 | ) | — | — | ||||||||||||||||||||||
AQR Style Premia Alternative Fund | (7,396 | ) | (741,583 | ) | — | — | 1,077,229 | 147,948 | — | — | ||||||||||||||||||||||
AQR Style Premia Alternative LV Fund | (344,685 | ) | 90,088 | — | — | 150,894 | (19,252 | ) | — | — | ||||||||||||||||||||||
Credit Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | (5,656,868 | ) | — | — | — | 3,752,579 | — | — | |||||||||||||||||||||||
AQR Global Macro Fund | — | (8,749 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | 1,430,655 | — | — | — | (764,712 | ) | — | — | |||||||||||||||||||||||
AQR Risk Parity Fund | — | 6,972,345 | — | — | — | (4,640,308 | ) | — | — |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
323
Notes to Financial Statements | June 30, 2015 (Unaudited) |
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 | WRITTEN OPTIONS | FUTURES CONTRACTS | SWAP CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS | ||||||||||||||||||||||||
Commodity Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Global Macro Fund | $ | 306,177 | $ | 131,458 | $ | — | $ | — | $ | (738,980 | ) | $ | (830,794 | ) | $ | — | $ | — | ||||||||||||||
AQR Managed Futures Strategy Fund | 120,017,007 | (24,648,225 | ) | — | — | (88,217,574 | ) | (89,391,704 | ) | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 4,276,328 | 912,543 | — | — | (2,587,283 | ) | (6,375,741 | ) | — | — | ||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 758,719 | 12,135,790 | — | — | (1,946,721 | ) | (16,828,395 | ) | — | — | ||||||||||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | (2,455,072 | ) | (8,432,100 | ) | — | — | (75,439 | ) | 4,935,410 | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | 190,013 | (22,765,588 | ) | — | — | 626,300 | 19,066,145 | — | — | |||||||||||||||||||||||
AQR Risk Parity II HV Fund | (889,304 | ) | (2,091,140 | ) | — | — | 414,995 | 2,122,005 | — | — | ||||||||||||||||||||||
AQR Risk Parity II MV Fund | (1,198,693 | ) | (3,155,195 | ) | — | — | 593,326 | 3,048,033 | — | — | ||||||||||||||||||||||
AQR Style Premia Alternative Fund | 3,471,004 | 343,473 | — | — | (4,822,275 | ) | 1,051,777 | — | — | |||||||||||||||||||||||
AQR Style Premia Alternative LV Fund | 202,934 | (88,396 | ) | — | — | (192,319 | ) | 40,109 | — | — |
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 June 30, 2015.
AQR DIVERSIFIED ARBITRAGE FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | $ | 20,613 | $ | (20,613 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Credit Suisse International | Forward Foreign Currency | 124,294 | (51,850 | ) | 72,444 | — | — | 72,444 | ||||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 17,384,035 | (4,734,987 | ) | 12,649,048 | — | — | 12,649,048 | ||||||||||||||||||
J.P. Morgan | Total Return Basket Swap Contracts | 614,029 | — | 614,029 | — | — | 614,029 | |||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency | 8,478 | (8,478 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 18,151,449 | (4,815,928 | ) | 13,335,521 | — | — | 13,335,521 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
324
Notes to Financial Statements | June 30, 2015 (Unaudited) |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Basket Swaps Contracts | $ | 127,228 | $ | — | $ | 127,228 | $ | — | $ | (127,228 | ) | $ | — | ||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | 37,881 | (20,613 | ) | 17,268 | — | (17,268 | ) | — | |||||||||||||||||
Credit Suisse International | Forward Foreign Currency | 51,850 | (51,850 | ) | — | — | — | — | ||||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 4,734,987 | (4,734,987 | ) | — | — | — | — | ||||||||||||||||||
J.P. Morgan | Written Options | 285,932 | — | 285,932 | (285,932 | ) | — | — | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency | 8,478 | (8,478 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 5,246,356 | (4,815,928 | ) | 430,428 | (285,932 | ) | (144,496 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $87,112,275. |
AQR EQUITY MARKET NEUTRAL FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
Credit Suisse International | Forward Foreign Currency | $ | 11,266 | $ | (10,663 | ) | $ | 603 | $ | — | $ | — | $ | 603 | ||||||||||||
Morgan Stanley Capital Services, Inc. | Total Return Basket | 1,245,822 | — | 1,245,822 | — | — | 1,245,822 | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,257,088 | (10,663 | ) | 1,246,425 | — | — | 1,246,425 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
325
Notes to Financial Statements | June 30, 2015 (Unaudited) |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS STATEMENT | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | $ | 10,663 | $ | (10,663 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 10,663 | (10,663 | ) | — | — | — | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $4,510,0000. |
AQR GLOBAL MACRO FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS STATEMENT | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 20,439 | $ | (20,439 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 867,305 | (867,305 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 887,744 | (887,744 | ) | — | — | — | — | |||||||||||||||||||
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 | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 23,396 | $ | (20,439 | ) | $ | 2,957 | $ | — | $ | — | $ | 2,957 | ||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 914,686 | (867,305 | ) | 47,381 | — | (30,000 | ) | 17,381 | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 938,082 | (887,744 | ) | 50,338 | — | (30,000 | ) | 20,338 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
326
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR GLOBAL MACRO OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 108,269 | $ | (108,269 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 108,269 | (108,269 | ) | — | — | — | — | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 851,195 | $ | (108,269 | ) | $ | 742,926 | $ | — | $ | (742,926 | ) | $ | — | |||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 851,195 | (108,269 | ) | 742,926 | — | (742,926 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $107,074. |
AQR LONG-SHORT EQUITY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS THE STATEMENT | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
Citibank | Forward Foreign Currency Exchange Contracts | $ | 122,916 | $ | (2,878 | ) | $ | 120,038 | $ | — | $ | — | $ | 120,038 | ||||||||||||
Credit Suisse International | Forward Foreign Currency | 138,037 | (7,392 | ) | 130,645 | — | (130,645 | ) | — | |||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 2,510,894 | — | 2,510,894 | — | — | 2,510,894 | |||||||||||||||||||
Goldman Sachs | Total Return Basket Swaps Contracts | 699,824 | (36,484 | ) | 663,340 | — | — | 663,340 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 3,471,671 | (46,754 | ) | 3,424,917 | — | (130,645 | ) | 3,294,272 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
327
Notes to Financial Statements | June 30, 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 | $ | 2,878 | $ | (2,878 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Credit Suisse International | Forward Foreign Currency | 7,392 | (7,392 | ) | — | — | — | — | ||||||||||||||||||
Goldman Sachs | Total Return Swap Contracts | 36,484 | (36,484 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 46,754 | (46,754 | ) | — | — | — | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $59,355. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $27,873,548. |
AQR MANAGED FUTURES STRATEGY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS THE STATEMENT | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 14,681 | $ | (14,681 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | 66,136,968 | (66,136,968 | ) | — | — | — | — | ||||||||||||||||||
Credit Suisse International | Forward Foreign Currency | 66,686,886 | (66,686,886 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 132,838,535 | (132,838,535 | ) | — | — | — | — |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
328
Notes to Financial Statements | June 30, 2015 (Unaudited) |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF LIABILITIES THE STATEMENT | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 7,154,536 | $ | (14,681 | ) | $ | 7,139,855 | $ | — | $ | (7,139,855 | ) | $ | — | |||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | 86,702,168 | (66,136,968 | ) | 20,565,200 | — | (20,565,200 | ) | — | |||||||||||||||||
Credit Suisse International | Forward Foreign Currency | 86,453,050 | (66,686,886 | ) | 19,766,164 | — | (18,350,030 | ) | 1,416,134 | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 180,309,754 | (132,838,535 | ) | 47,471,219 | — | (46,055,085 | ) | 1,416,134 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $81,635,677. |
AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF | GROSS AMOUNTS OFFSET IN THE | NET AMOUNTS OF ASSETS THE STATEMENT | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 27,543,482 | $ | (27,543,482 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Merrill Lynch | Total Return Swap Contracts | 2,812,705 | (2,812,705 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 30,356,187 | (30,356,187 | ) | — | — | — | — |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF | GROSS AMOUNTS OFFSET IN THE | NET AMOUNTS OF LIABILITIES THE STATEMENT LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 119,175,182 | $ | (27,543,482 | ) | $ | 91,631,700 | $ | — | $ | (91,631,700 | ) | $ | — | |||||||||||
Merrill Lynch | Total Return Swap Contracts | 4,229,525 | (2,812,705 | ) | 1,416,820 | — | (1,416,820 | ) | — | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 123,404,707 | (30,356,187 | ) | 93,048,520 | — | (93,048,520 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $24,882,947. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
329
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 1,241 | $ | (1,241 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | 3,039,929 | (3,039,929 | ) | — | — | — | — | ||||||||||||||||||
Credit Suisse International | Forward Foreign Currency | 3,065,236 | (3,065,236 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 6,106,406 | (6,106,406 | ) | — | — | — | — | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 322,358 | $ | (1,241 | ) | $ | 321,117 | $ | — | $ | (321,117 | ) | $ | — | |||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | 3,993,616 | (3,039,929 | ) | 953,687 | — | (953,687 | ) | — | |||||||||||||||||
Credit Suisse International | Forward Foreign Currency | 3,982,451 | (3,065,236 | ) | 917,215 | — | (860,002 | ) | 57,213 | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 8,298,425 | (6,106,406 | ) | 2,192,019 | — | (2,134,806 | ) | 57,213 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,745,201. |
AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 1,500,718 | $ | (1,500,718 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Deutsche Bank | Total Return Swap Contracts | 42,771 | (42,771 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,543,489 | (1,543,489 | ) | — | — | — | — |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
330
Notes to Financial Statements | June 30, 2015 (Unaudited) |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 5,948,003 | $ | (1,500,718 | ) | $ | 4,447,285 | $ | — | $ | (4,447,285 | ) | $ | — | |||||||||||
Deutsche Bank | Total Return Swap Contracts | 143,027 | (42,771 | ) | 100,256 | — | (50,007 | ) | 50,249 | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 6,091,030 | (1,543,489 | ) | 4,547,541 | — | (4,497,292 | ) | 50,249 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $42,735. |
AQR MULTI-STRATEGY ALTERNATIVE FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | $ | 6,942,502 | $ | (6,942,502 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Credit Suisse International | Forward Foreign Currency | 7,022,064 | (7,022,064 | ) | — | — | — | — | ||||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 21,012,084 | (458,564 | ) | 20,553,520 | — | — | 20,553,520 | ||||||||||||||||||
Goldman Sachs | Total Return Basket Swaps Contracts | 4,042,549 | ||||||||||||||||||||||||
Total Return Swap Contracts | 53,827 | |||||||||||||||||||||||||
Total Goldman Sachs | 4,096,376 | (420,871 | ) | 3,675,505 | — | — | 3,675,505 | |||||||||||||||||||
J.P. Morgan | Total Return Basket Swap Contracts | 16,706,412 | (4,120,445 | ) | 12,585,967 | — | — | 12,585,967 | ||||||||||||||||||
Morgan Stanley and Co., International PLC | Total Return | 1,638,397 | (442,872 | ) | 1,195,525 | — | — | 1,195,525 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Total Return Basket | 19,056,169 | (387,329 | ) | 18,668,840 | — | — | 18,668,840 | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency | 1,437 | (1,437 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 76,475,441 | (19,796,084 | ) | 56,679,357 | — | — | 56,679,357 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
331
Notes to Financial Statements | June 30, 2015 (Unaudited) |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Basket Swap Contracts | $ | 329,341 | |||||||||||||||||||||||
Total Return Swap Contracts | 1,757,877 | |||||||||||||||||||||||||
Total Bank of America | 2,087,218 | $ | — | $ | 2,087,218 | $ | — | $ | (2,087,218 | ) | $ | — | ||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | 7,155,792 | (6,942,502 | ) | 213,290 | — | (439 | ) | 212,851 | |||||||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 7,161,360 | (7,022,064 | ) | 139,296 | — | (139,296 | ) | — | |||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 458,564 | (458,564 | ) | — | — | — | — | ||||||||||||||||||
Goldman Sachs | Total Return Basket Swaps Contracts | 343,293 | ||||||||||||||||||||||||
Total Return Swap Contracts | 77,578 | |||||||||||||||||||||||||
Total Goldman Sachs | 420,871 | (420,871 | ) | — | — | — | — | |||||||||||||||||||
J.P. Morgan | Total Return Basket Swap Contracts | 4,120,445 | (4,120,445 | ) | — | — | — | — | ||||||||||||||||||
Morgan Stanley and Co., International PLC |
Total Return Swap Contracts | 442,872 | (442,872 | ) | — | — | — | — | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
Total Return Basket Swaps Contracts | 387,329 | (387,329 | ) | — | — | — | — | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 1,437 | (1,437 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 22,235,888 | (19,796,084 | ) | 2,439,804 | — | (2,226,953 | ) | 212,851 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $517,018,991. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
332
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 1,217,874 | $ | (1,217,874 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Deutsche Bank | Total Return Swap Contracts | 150,325 | (118,568 | ) | 31,757 | — | — | 31,757 | ||||||||||||||||||
Merrill Lynch | Total Return Swap Contracts | 1,291,824 | (165,746 | ) | 1,126,078 | — | — | 1,126,078 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 2,660,023 | (1,502,188 | ) | 1,157,835 | — | — | 1,157,835 | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 6,986,482 | $ | (1,217,874 | ) | $ | 5,768,608 | $ | — | $ | (5,768,608 | ) | $ | — | |||||||||||
Deutsche Bank | Total Return Swap Contracts | 118,568 | (118,568 | ) | — | — | — | — | ||||||||||||||||||
Merrill Lynch | Total Return Swap Contracts | 165,746 | (165,746 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 7,270,796 | (1,502,188 | ) | 5,768,608 | — | (5,768,608 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,371,486. |
AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 6,864,830 | $ | (6,864,830 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Deutsche Bank | Total Return Swap Contracts | 1,109,483 | (633,348 | ) | 476,135 | — | — | 476,135 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 7,974,313 | (7,498,178 | ) | 476,135 | — | — | 476,135 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
333
Notes to Financial Statements | June 30, 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 (a) | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 7,767,098 | $ | (6,864,830 | ) | $ | 902,268 | $ | — | $ | (902,268 | ) | $ | — | |||||||||||
Deutsche Bank | Total Return Swap Contracts | 633,348 | (633,348 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 8,400,446 | (7,498,178 | ) | 902,268 | — | (902,268 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,787,858. |
AQR RISK PARITY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | $ | 641,967 | $ | (641,967 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Interest Rate Swap Contracts | 56,352 | (56,352 | ) | — | — | — | — | |||||||||||||||||||
Total CitiBank | 698,319 | (698,319 | ) | — | — | — | — | |||||||||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 695,293 | (695,293 | ) | — | — | — | — | ||||||||||||||||||
Morgan Stanley | Total Return Swap Contracts | 10,514 | (10,514 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,404,126 | (1,404,126 | ) | — | — | — | — |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
334
Notes to Financial Statements | June 30, 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 (a) | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 303,099 | $ | — | $ | 303,099 | $ | — | $ | (303,099 | ) | $ | — | ||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | 1,131,596 | (641,967 | ) | 489,629 | — | — | 489,629 | ||||||||||||||||||
Interest Rate Swap Contracts | 117,193 | (56,352 | ) | 60,841 | — | (60,841 | ) | — | ||||||||||||||||||
Total CitiBank | 1,248,789 | (698,319 | ) | 550,470 | — | (60,841 | ) | 489,629 | ||||||||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 1,197,548 | (695,293 | ) | 502,255 | — | (502,255 | ) | — | |||||||||||||||||
Goldman Sachs | Total Return Swaps Contracts | 77,466 | — | 77,466 | — | (77,466 | ) | — | ||||||||||||||||||
Morgan Stanley and Co., International PLC | Total Return Swaps Contracts | 526,009 | (10,514 | ) | 515,495 | — | (515,495 | ) | — | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 3,352,911 | (1,404,126 | ) | 1,948,785 | — | (1,459,156 | ) | 489,629 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $9,394,677. |
AQR RISK PARITY OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 4,874,660 | $ | (4,874,660 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Deutsche Bank | Total Return Swap Contracts | 222,586 | (222,586 | ) | — | — | — | — | ||||||||||||||||||
Merrill Lynch | Total Return Swap Contracts | 984,291 | (733,954 | ) | 250,337 | — | — | 250,337 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 6,081,537 | (5,831,200 | ) | 250,337 | — | — | 250,337 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
335
Notes to Financial Statements | June 30, 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 (a) | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 6,279,191 | $ | (4,874,660 | ) | $ | 1,404,531 | $ | — | $ | (1,404,531 | ) | $ | — | |||||||||||
Deutsche Bank | Total Return Swap Contracts | 481,028 | (222,586 | ) | 258,442 | — | (240,036 | ) | 18,406 | |||||||||||||||||
Merrill Lynch | Total Return Swap Contracts | 733,954 | (733,954 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 7,494,173 | (5,831,200 | ) | 1,662,973 | — | (1,644,567 | ) | 18,406 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $4,075,968. |
AQR RISK PARITY II HV FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | $ | 7,890 | $ | (7,890 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 16,442 | (16,442 | ) | — | — | — | — | ||||||||||||||||||
Goldman Sachs | Total Return Swap Contracts | 10,624 | (10,624 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 34,956 | (34,956 | ) | — | — | — | — |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
336
Notes to Financial Statements | June 30, 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 (a) | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 36,941 | $ | — | $ | 36,941 | $ | — | $ | — | $ | 36,941 | |||||||||||||
BNP Paribas | Reverse Repurchase Agreements | 1,278,650 | — | 1,278,650 | (1,278,650 | ) | — | — | ||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | 62,045 | (7,890 | ) | 54,155 | — | (54,155 | ) | — | |||||||||||||||||
Reverse Repurchase Agreements | 6,538,001 | — | 6,538,001 | (6,538,001 | ) | — | — | |||||||||||||||||||
Total CitiBank | 6,600,046 | (7,890 | ) | 6,592,156 | (6,538,001 | ) | (54,155 | ) | — | |||||||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 73,728 | (16,442 | ) | 57,286 | — | (57,286 | ) | — | |||||||||||||||||
Goldman Sachs | Total Return Swaps Contracts | 83,795 | (10,624 | ) | 73,171 | — | (73,171 | ) | — | |||||||||||||||||
J.P. Morgan | Reverse Repurchase Agreements | 5,985,300 | — | 5,985,300 | (5,985,300 | ) | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 14,058,460 | (34,956 | ) | 14,023,504 | (13,801,951 | ) | (184,612 | ) | 36,941 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $1,045,388. |
AQR RISK PARITY II HV OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
Barclays | Total Return Swap Contracts | $ | 14,486 | $ | (14,486 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
CitiBank | Total Return Swap Contracts | 422,126 | (422,126 | ) | — | — | — | — | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 201,325 | (191,994 | ) | 9,331 | — | — | 9,331 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 637,937 | (628,606 | ) | 9,331 | — | — | 9,331 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
337
Notes to Financial Statements | June 30, 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 (a) | NET AMOUNT | |||||||||||||||||||
Barclays | Total Return Swap Contracts | $ | 16,736 | $ | (14,486 | ) | $ | 2,250 | $ | — | $ | — | $ | 2,250 | ||||||||||||
CitiBank | Total Return Swap Contracts | 451,790 | (422,126 | ) | 29,664 | — | (29,664 | ) | — | |||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 191,994 | (191,994 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 660,520 | (628,606 | ) | 31,914 | — | (29,664 | ) | 2,250 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $450,363. |
AQR RISK PARITY II MV FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS STATEMENT | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | $ | 8,042 | $ | (8,042 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 18,933 | (18,933 | ) | — | — | — | — | ||||||||||||||||||
Goldman Sachs | Total Return Swap Contracts | 9,993 | (9,993 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 36,968 | (36,968 | ) | — | — | — | — | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS STATEMENT LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 51,651 | $ | — | $ | 51,651 | $ | — | $ | — | $ | 51,651 | |||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | 63,618 | (8,042 | ) | 55,576 | — | (55,576 | ) | — | |||||||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 74,989 | (18,933 | ) | 56,056 | — | (56,056 | ) | — | |||||||||||||||||
Goldman Sachs | Total Return Swaps Contracts | 128,620 | (9,993 | ) | 118,627 | — | (118,627 | ) | — | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 318,878 | (36,968 | ) | 281,910 | — | (230,259 | ) | 51,651 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $1,319,741. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
338
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR RISK PARITY II MV OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
Barclays Capital | Total Return Swap Contracts | $ | 19,315 | $ | (19,315 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
CitiBank | Total Return Swap Contracts | 550,352 | (540,354 | ) | 9,998 | — | — | 9,998 | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 231,631 | (205,035 | ) | 26,596 | — | — | 26,596 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 801,298 | (764,704 | ) | 36,594 | — | — | 36,594 | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS STATEMENT | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
Barclays Capital | Total Return Swap Contracts | $ | 22,314 | $ | (19,315 | ) | $ | 2,999 | $ | — | $ | — | $ | 2,999 | ||||||||||||
CitiBank | Total Return Swap Contracts | 540,354 | (540,354 | ) | — | — | — | — | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 205,035 | (205,035 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 767,703 | (764,704 | ) | 2,999 | — | — | 2,999 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $530,038. |
AQR STYLE PREMIA ALTERNATIVE FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 1,772,245 | $ | (1,772,245 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 4,139,345 | (3,964,794 | ) | 174,551 | — | — | 174,551 | ||||||||||||||||||
Goldman Sachs | Total Return Basket Swap Contracts | 5,553,302 | (868,923 | ) | 4,684,379 | — | — | 4,684,379 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 11,464,892 | (6,605,962 | ) | 4,858,930 | — | — | 4,858,930 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
339
Notes to Financial Statements | June 30, 2015 (Unaudited) |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 3,451,115 | $ | (1,772,245 | ) | $ | 1,678,870 | $ | — | $ | (1,678,870 | ) | $ | — | |||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 3,964,794 | (3,964,794 | ) | — | — | — | |||||||||||||||||||
Goldman Sachs | Total Return Basket Swaps Contracts | 829,008 | ||||||||||||||||||||||||
Total Return Swap Contracts | 39,915 | |||||||||||||||||||||||||
Total Goldman Sachs | 868,923 | (868,923 | ) | — | — | — | — | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 8,284,832 | (6,605,962 | ) | 1,678,870 | — | (1,678,870 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $150,821,204. |
AQR STYLE PREMIA ALTERNATIVE OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS OF ASSETS & | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 1,432,472 | $ | (1,383,331 | ) | $ | 49,141 | $ | — | $ | — | $ | 49,141 | ||||||||||||
Deutsche Bank | Total Return Swap Contracts | 1,168,819 | (16,163 | ) | 1,152,656 | — | — | 1,152,656 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 2,601,291 | (1,399,494 | ) | 1,201,797 | — | — | 1,201,797 | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 1,383,331 | $ | (1,383,331 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Deutsche Bank | Total Return Swap Contracts | 16,163 | (16,163 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,399,494 | (1,399,494 | ) | — | — | — | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $800,010. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
340
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 45,271 | $ | (45,271 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | 55,298 | (50,664 | ) | 4,634 | — | — | 4,634 | ||||||||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 55,962 | (52,356 | ) | 3,606 | — | — | 3,606 | ||||||||||||||||||
Goldman Sachs | Total Return Basket Swap Contracts | 718,806 | (2,601 | ) | 716,205 | — | — | 716,205 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 875,337 | (150,892 | ) | 724,445 | — | — | 724,445 | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
Bank of America | Total Return Swap Contracts | $ | 57,396 | $ | (45,271 | ) | $ | 12,125 | $ | — | $ | — | $ | 12,125 | ||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | 50,664 | (50,664 | ) | — | — | — | — | ||||||||||||||||||
Credit Suisse International | Forward Foreign Currency | 52,356 | (52,356 | ) | — | — | — | — | ||||||||||||||||||
Goldman Sachs | Total Return Swap Contracts | 2,601 | (2,601 | ) | — | — | — | — | ||||||||||||||||||
Morgan Stanley and Co., International PLC | Total Return | 927 | — | 927 | — | — | 927 | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 163,944 | (150,892 | ) | 13,052 | — | — | 13,052 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,060,002. |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
341
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 70,378 | $ | (29,102 | ) | $ | 41,276 | $ | — | $ | — | $ | 41,276 | ||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 70,378 | (29,102 | ) | 41,276 | — | — | 41,276 | |||||||||||||||||||
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 | NET AMOUNT | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | $ | 29,102 | $ | (29,102 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 29,102 | (29,102 | ) | — | — | — | — |
For the period ended June 30, 2015, the quarterly average values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY | AQR GLOBAL FUND | AQR LONG- SHORT FUND | AQR MANAGED FUND | AQR MANAGED FUTURES STRATEGY HV FUND | AQR MULTI- | AQR RISK- BALANCED COMMODITIES STRATEGY FUND | |||||||||||||||||||||||||
Futures Contracts: | ||||||||||||||||||||||||||||||||
Average Notional Balance—Long | $ | — | $ | 1,378,881 | $ | 350,346,087 | $ | 51,523,201 | $ | 31,408,184,510 | $ | 1,395,439,560 | $ | 2,711,218,419 | $ | 39,992,598 | ||||||||||||||||
Average Notional Balance—Short | 465,975,047 | 831,146 | 450,171,681 | 2,386,059 | 6,179,478,078 | 271,046,900 | 1,872,317,996 | 21,246,050 | ||||||||||||||||||||||||
Ending Notional Balance—Long | — | 2,242,643 | 733,971,332 | 75,617,323 | 26,096,801,757 | 1,185,930,173 | 3,375,703,063 | 63,266,400 | ||||||||||||||||||||||||
Ending Notional Balance—Short | 297,641,131 | 1,086,483 | 928,181,783 | 3,217,725 | 12,950,691,947 | 588,317,869 | 3,034,867,586 | 26,259,961 | ||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||||||||||||
Average Settlement Value—Purchased | 42,643,963 | 576,832 | 44,937,244 | 16,596,324 | 10,438,176,460 | 468,785,566 | 1,258,180,385 | — | ||||||||||||||||||||||||
Average Settlement Value—Sold | 113,491,832 | 1,060,132 | 46,021,235 | 3,482,718 | 13,935,155,541 | 623,789,407 | 1,533,490,121 | — | ||||||||||||||||||||||||
Ending Value—Purchased | 9,303,595 | 1,029,151 | 84,809,920 | 22,929,704 | 16,883,871,727 | 780,094,076 | 1,589,045,251 | — | ||||||||||||||||||||||||
Ending Value—Sold | 72,778,682 | 1,779,427 | 80,550,769 | 4,455,801 | 18,606,339,011 | 858,252,982 | 1,669,843,086 | — | ||||||||||||||||||||||||
Exchange-Traded Options: | ||||||||||||||||||||||||||||||||
Average Number of Contracts—Written | 7,314 | — | — | — | — | — | 829 | — | ||||||||||||||||||||||||
Ending Number of Contracts—Written | 7,500 | — | — | — | — | — | — | — |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
342
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY | AQR GLOBAL FUND | AQR LONG- SHORT FUND | AQR MANAGED FUND | AQR MANAGED FUTURES STRATEGY HV FUND | AQR MULTI- | AQR RISK- BALANCED COMMODITIES STRATEGY FUND | |||||||||||||||||||||||||
Credit Default Swaps: | ||||||||||||||||||||||||||||||||
Average Notional Balance—Buy Protection | $ | 164,941,667 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Average Notional Balance—Sell Protection | 25,525,000 | — | — | — | — | — | 60,883,333 | — | ||||||||||||||||||||||||
Ending Notional Balance—Buy Protection | 100,275,000 | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Ending Notional Balance—Sell Protection | — | — | — | — | — | — | 60,475,000 | — | ||||||||||||||||||||||||
Total Return Swaps: | ||||||||||||||||||||||||||||||||
Average Notional Balance—Long | — | — | 6,250,344 | 1,770,551 | 4,495,927,242 | 225,766,725 | 540,546,581 | 161,662,388 | ||||||||||||||||||||||||
Average Notional Balance—Short | — | — | 4,510,483 | — | 1,294,213,125 | 75,705,549 | 449,950,521 | 110,725,197 | ||||||||||||||||||||||||
Ending Notional Balance—Long | — | — | 3,803,670 | 2,575,198 | 843,397,855 | 41,005,276 | 106,460,173 | 156,070,145 | ||||||||||||||||||||||||
Ending Notional Balance—Short | — | — | 7,924,003 | — | 997,283,650 | 49,315,648 | 275,817,835 | 123,264,924 | ||||||||||||||||||||||||
Interest Rate-Related Swaps (Interest Rate Swaps): | ||||||||||||||||||||||||||||||||
Average Notional Balance—Pays Fixed rate | — | — | 415,567,918 | — | — | — | — | — | ||||||||||||||||||||||||
Average Notional Balance—Receives Fixed rate | — | — | 435,584,097 | — | — | — | — | — | ||||||||||||||||||||||||
Ending Notional Balance—Pays Fixed Rate | — | — | 745,051,809 | — | — | — | — | — | ||||||||||||||||||||||||
Ending Notional Balance—Receives Fixed Rate | — | — | 806,383,922 | — | — | — | — | — | ||||||||||||||||||||||||
Total Return Basket Swaps: | ||||||||||||||||||||||||||||||||
Average Notional of Underlying Positions—Long | 789,694,834 | 26,110,553 | — | 147,882,810 | — | — | 3,251,248,718 | — | ||||||||||||||||||||||||
Average Notional of Underlying Positions—Short | 274,578,887 | 25,174,151 | — | 140,521,019 | — | — | 2,691,704,024 | — | ||||||||||||||||||||||||
Ending Notional Balance—Long | 610,868,410 | 44,217,328 | — | 229,452,004 | — | — | 3,872,392,924 | — | ||||||||||||||||||||||||
Ending Notional Balance—Short | 197,341,056 | 42,049,639 | — | 215,532,752 | — | — | 3,274,489,443 | — |
AQR RISK PARITY FUND | AQR RISK PARITY II HV FUND | AQR RISK PARITY II MV FUND | AQR STYLE PREMIA ALTERNATIVE FUND | AQR STYLE PREMIA ALTERNATIVE LV FUND | ||||||||||||||||
Futures Contracts: | ||||||||||||||||||||
Average Notional Balance—Long | $ | 342,730,586 | $ | 109,133,661 | $ | 141,299,915 | $ | 2,578,222,488 | $ | 86,684,280 | ||||||||||
Average Notional Balance—Short | — | 8,142,778 | 10,249,674 | 2,215,858,244 | 76,230,443 | |||||||||||||||
Ending Notional Balance—Long | 588,205,363 | 137,677,626 | 143,713,445 | 3,870,516,448 | 96,418,144 | |||||||||||||||
Ending Notional Balance—Short | — | 8,406,341 | 9,193,478 | 3,536,841,892 | 86,600,338 | |||||||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||
Average Settlement Value—Purchased | 208,069,589 | 935,466 | 885,469 | 374,910,204 | 13,410,256 | |||||||||||||||
Average Settlement Value—Sold | 255,090,298 | 14,426,938 | 16,289,103 | 439,696,514 | 15,611,068 | |||||||||||||||
Ending Value—Purchased | 208,984,293 | 1,950,193 | 1,496,542 | 416,388,433 | 10,808,029 | |||||||||||||||
Ending Value—Sold | 258,011,994 | 17,948,262 | 18,829,000 | 484,923,776 | 12,625,430 | |||||||||||||||
Credit Default Swaps: | ||||||||||||||||||||
Average Notional Balance—Buy Protection | — | — | — | — | — | |||||||||||||||
Average Notional Balance—Sell Protection | 540,609,178 | — | — | — | — | |||||||||||||||
Ending Notional Balance—Buy Protection | — | — | — | — | — | |||||||||||||||
Ending Notional Balance—Sell Protection | 531,961,125 | — | — | — | — | |||||||||||||||
Total Return Swaps: | ||||||||||||||||||||
Average Notional Balance—Long | 639,031,184 | 63,023,352 | 61,590,126 | 252,953,836 | 9,969,452 | |||||||||||||||
Average Notional Balance—Short | 126,717,124 | 10,382,017 | 13,348,171 | 558,933,291 | 20,369,202 | |||||||||||||||
Ending Notional Balance—Long | 202,019,698 | 22,309,482 | 27,370,232 | 121,206,272 | 2,322,195 | |||||||||||||||
Ending Notional Balance—Short | 115,524,917 | 11,756,451 | 13,955,992 | 148,854,579 | 3,665,133 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
343
Notes to Financial Statements | June 30, 2015 (Unaudited) |
AQR RISK PARITY FUND | AQR RISK PARITY II HV FUND | AQR RISK PARITY II MV FUND | AQR STYLE PREMIA ALTERNATIVE FUND | AQR STYLE PREMIA ALTERNATIVE LV FUND | ||||||||||||||||
Interest Rate-Related Swaps (Interest Rate Swaps): | ||||||||||||||||||||
Average Notional Balance—Pays Fixed rate | $ | 79,419,811 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Average Notional Balance—Receives Fixed rate | 296,450,691 | — | — | — | — | |||||||||||||||
Ending Notional Balance—Pays Fixed Rate | 36,790,775 | — | — | — | — | |||||||||||||||
Ending Notional Balance—Receives Fixed Rate | 254,527,274 | — | — | — | — | |||||||||||||||
Total Return Basket Swaps: | ||||||||||||||||||||
Average Notional of Underlying Positions—Long | — | — | — | 702,125,127 | 23,851,303 | |||||||||||||||
Average Notional of Underlying Positions—Short | — | — | — | 575,229,934 | 19,565,648 | |||||||||||||||
Ending Notional Balance—Long | — | — | — | 1,054,813,290 | 24,518,233 | |||||||||||||||
Ending Notional Balance—Short | — | — | — | 873,891,024 | 20,686,262 |
* | Values as of each quarter end are used to calculate the average represented. |
9. Investment Advisory and Other Agreements
The Advisor serves as the investment advisor to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended, entered into by the Trust, on behalf of the Funds (the “Advisory Agreement”). Under the Advisory Agreement, the Advisor furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Advisor is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution. The Advisor provides persons satisfactory to the Funds’ Board 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 Diversified Arbitrage Fund | 1.00 | % | ||
AQR Equity Market Neutral Fund | 1.10 | |||
AQR Global Macro Fund | 1.25 | |||
AQR Long-Short Equity Fund | 1.10 | |||
AQR Managed Futures Strategy Fund | 1.05 | |||
AQR Managed Futures Strategy HV Fund | 1.45 | |||
AQR Multi-Strategy Alternative Fund | 1.80 | |||
AQR Risk-Balanced Commodities Strategy Fund | 0.80 | |||
AQR Risk Parity Fund | 0.75 | (a) | ||
AQR Risk Parity II HV Fund | 0.95 | (b) | ||
AQR Risk Parity II MV Fund | 0.75 | (c) | ||
AQR Style Premia Alternative Fund | 1.35 | |||
AQR Style Premia Alternative LV Fund | 0.65 |
(a) | The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion. |
(b) | The AQR Risk Parity II HV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.95% of the first $1 billion of net assets; the second tier charges 0.925% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.90% on net assets in excess of $3 billion. |
(c) | The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.75% of the first $1 billion of net assets; the second tier charges 0.725% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.70% on net assets in excess of $3 billion. |
The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2016 for Class I, 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 (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
344
Notes to Financial Statements | June 30, 2015 (Unaudited) |
costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR Diversified Arbitrage Fund | 1.20 | % | 1.45 | % | 1.10 | % | ||||||
AQR Equity Market Neutral Fund | 1.30 | 1.55 | 1.20 | |||||||||
AQR Global Macro Fund | 1.45 | 1.70 | 1.35 | |||||||||
AQR Long-Short Equity Fund | 1.30 | 1.55 | 1.20 | |||||||||
AQR Managed Futures Strategy Fund | 1.25 | 1.50 | 1.15 | |||||||||
AQR Managed Futures Strategy HV Fund | 1.65 | 1.90 | 1.55 | |||||||||
AQR Multi-Strategy Alternative Fund | 1.98 | 2.23 | 1.88 | |||||||||
AQR Risk-Balanced Commodities Strategy Fund | 1.00 | 1.25 | 0.90 | |||||||||
AQR Risk Parity Fund | 0.95 | 1.20 | 0.85 | |||||||||
AQR Risk Parity II HV Fund | 1.15 | 1.40 | 1.05 | |||||||||
AQR Risk Parity II MV Fund | 0.95 | 1.20 | 0.85 | |||||||||
AQR Style Premia Alternative Fund | 1.50 | 1.75 | 1.40 | |||||||||
AQR Style Premia Alternative LV Fund | 0.85 | 1.10 | 0.75 |
Prior to May 1, 2015, the Fee Waiver and Expense Reimbursement Agreement for the AQR Diversified Arbitrage Fund was as follows:
FUND | CLASS N | |||
AQR Diversified Arbitrage Fund | 1.50 | % |
For the period ended June 30, 2015 the Funds’ Advisor waived fees and/or reimbursed expenses for each of the Funds as follows:
FUND | INVESTMENT ADVISORY AND SHAREHOLDER SERVICES FEES WAIVED | EXPENSE REIMBURSEMENTS | TOTAL | |||||||||
AQR Diversified Arbitrage Fund | $ | 120,195 | $ | 58,884 | $ | 179,079 | ||||||
AQR Equity Market Neutral Fund | 83,872 | 12,648 | 96,520 | |||||||||
AQR Global Macro Fund | 11,547 | 74,023 | 85,570 | |||||||||
AQR Long-Short Equity Fund | 35,844 | 911 | 36,755 | |||||||||
AQR Managed Futures Strategy HV Fund | 11,213 | 14,938 | 26,151 | |||||||||
AQR Multi Strategy Alternative Fund | — | 14,841 | 14,841 | |||||||||
AQR Risk-Balanced Commodity Fund | 104,748 | 2,065 | 106,813 | |||||||||
AQR Risk Parity Fund | — | 516 | 516 | |||||||||
AQR Risk Parity II HV Fund | 70,362 | 3,073 | 73,435 | |||||||||
AQR Risk Parity II MV Fund | 78,935 | 1,114 | 80,049 | |||||||||
AQR Style Premia Alternative Fund | — | 35,651 | 35,651 | |||||||||
AQR Style Premia Alternative LV Fund | 112,298 | 17,097 | 129,395 |
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios when the waiver was generated. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable period during which the Advisor waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
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345
Notes to Financial Statements | June 30, 2015 (Unaudited) |
For the period ended June 30, 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 June 30, 2015 are as follows:
FEES WAIVED/ REMIBURSED FOR THE PERIOD ENDED JUNE 30, 2015 | TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2015 | POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 | ||||||||||||||||||||||
2015 | 2016 | 2017 | 2018 | |||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND | ||||||||||||||||||||||||
Class I | $ | 151,079 | $ | 385,428 | $ | 227,590 | $ | — | $ | 6,759 | $ | 151,079 | ||||||||||||
Class N | 27,912 | 27,912 | — | — | — | 27,912 | ||||||||||||||||||
Class R6 | 88 | 89 | — | — | 1 | 88 | ||||||||||||||||||
Totals | $ | 179,079 | $ | 413,429 | $ | 227,590 | $ | — | $ | 6,760 | $ | 179,079 | ||||||||||||
AQR EQUITY MARKET NEUTRAL FUND | ||||||||||||||||||||||||
Class I | $ | 47,702 | $ | 64,919 | $ | — | $ | — | $ | 17,217 | $ | 47,702 | ||||||||||||
Class N | 25,439 | 40,368 | — | — | 14,929 | 25,439 | ||||||||||||||||||
Class R6 | 23,379 | 66,831 | — | — | 43,452 | 23,379 | ||||||||||||||||||
Totals | $ | 96,520 | $ | 172,118 | $ | — | $ | — | $ | 75,598 | $ | 96,520 | ||||||||||||
AQR GLOBAL MACRO FUND | ||||||||||||||||||||||||
Class I | $ | 80,629 | $ | 292,050 | $ | — | $ | — | $ | 211,421 | $ | 80,629 | ||||||||||||
Class N | 4,670 | 11,681 | — | — | 7,011 | 4,670 | ||||||||||||||||||
Class R6 | 271 | 636 | — | — | 365 | 271 | ||||||||||||||||||
Totals | $ | 85,570 | $ | 304,367 | $ | — | $ | — | $ | 218,797 | $ | 85,570 | ||||||||||||
AQR LONG-SHORT EQUITY FUND | ||||||||||||||||||||||||
Class I | $ | 29,652 | $ | 284,582 | $ | — | $ | 81,653 | $ | 173,277 | $ | 29,652 | ||||||||||||
Class N | 6,607 | 52,469 | — | 21,781 | 24,081 | 6,607 | ||||||||||||||||||
Class R6 | 496 | 873 | — | — | 377 | 496 | ||||||||||||||||||
Totals | $ | 36,755 | $ | 337,924 | $ | — | $ | 103,434 | $ | 197,735 | $ | 36,755 | ||||||||||||
AQR MANAGED FUTURES STRATEGY FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Class N | — | 77,598 | 77,598 | — | — | — | ||||||||||||||||||
Class R6 | — | — | — | — | — | — | ||||||||||||||||||
Totals | $ | — | $ | 77,598 | $ | 77,598 | $ | — | $ | — | $ | — | ||||||||||||
AQR MANAGED FUTURES STRATEGY HV FUND | ||||||||||||||||||||||||
Class I | $ | 8,156 | $ | 320,590 | $ | — | $ | 180,370 | $ | 132,064 | $ | 8,156 | ||||||||||||
Class N | 3,997 | 34,521 | — | 16,709 | 13,815 | 3,997 | ||||||||||||||||||
Class R6 | 13,998 | 14,185 | — | — | 187 | 13,998 | ||||||||||||||||||
Totals | $ | 26,151 | $ | 369,296 | $ | — | $ | 197,079 | $ | 146,066 | $ | 26,151 | ||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | 826,112 | $ | 368,184 | $ | 263,977 | $ | 193,951 | $ | — | ||||||||||||
Class N | 9,808 | 144,930 | 55,557 | 39,810 | 39,755 | 9,808 | ||||||||||||||||||
Class R6 | 5,033 | 5,122 | — | — | 89 | 5,033 | ||||||||||||||||||
Totals | $ | 14,841 | $ | 976,164 | $ | 423,741 | $ | 303,787 | $ | 233,795 | $ | 14,841 | ||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND | ||||||||||||||||||||||||
Class I | $ | 77,779 | $ | 556,256 | $ | 181,810 | $ | 150,384 | $ | 146,283 | $ | 77,779 | ||||||||||||
Class N | 5,304 | 68,862 | 19,100 | 17,595 | 26,863 | 5,304 | ||||||||||||||||||
Class R6 | 23,730 | 24,096 | — | — | 366 | 23,730 | ||||||||||||||||||
Totals | $ | 106,813 | $ | 649,214 | $ | 200,910 | $ | 167,979 | $ | 173,512 | $ | 106,813 |
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346
Notes to Financial Statements | June 30, 2015 (Unaudited) |
FEES WAIVED/ REMIBURSED FOR THE PERIOD ENDED JUNE 30, 2015 | TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2015 | POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 | ||||||||||||||||||||||
2015 | 2016 | 2017 | 2018 | |||||||||||||||||||||
AQR RISK PARITY FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Class N | 191 | 35,124 | 34,933 | — | — | 191 | ||||||||||||||||||
Class R6 | 325 | 326 | — | — | 1 | 325 | ||||||||||||||||||
Totals | $ | 516 | $ | 35,450 | $ | 34,933 | $ | — | $ | 1 | $ | 516 | ||||||||||||
AQR RISK PARITY II HV FUND | ||||||||||||||||||||||||
Class I | $ | 56,987 | $ | 396,442 | $ | 79,653 | $ | 141,678 | $ | 118,124 | $ | 56,987 | ||||||||||||
Class N | 13,541 | 184,228 | 36,272 | 95,743 | 38,672 | 13,541 | ||||||||||||||||||
Class R6 | 2,907 | 3,029 | — | — | 122 | 2,907 | ||||||||||||||||||
Totals | $ | 73,435 | $ | 583,699 | $ | 115,925 | $ | 237,421 | $ | 156,918 | $ | 73,435 | ||||||||||||
AQR RISK PARITY II MV FUND | ||||||||||||||||||||||||
Class I | $ | 72,680 | $ | 432,035 | $ | 102,338 | $ | 130,853 | $ | 126,164 | $ | 72,680 | ||||||||||||
Class N | 7,281 | 95,443 | 13,557 | 58,403 | 16,202 | 7,281 | ||||||||||||||||||
Class R6 | 88 | 145 | — | — | 57 | 88 | ||||||||||||||||||
Totals | $ | 80,049 | $ | 527,623 | $ | 115,895 | $ | 189,256 | $ | 142,423 | $ | 80,049 | ||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | 36,676 | $ | — | $ | 36,676 | $ | — | $ | — | ||||||||||||
Class N | 7,826 | 41,030 | — | 9,672 | 23,532 | 7,826 | ||||||||||||||||||
Class R6 | 27,825 | 31,550 | — | — | 3,725 | 27,825 | ||||||||||||||||||
Totals | $ | 35,651 | $ | 109,256 | $ | — | $ | 46,348 | $ | 27,257 | $ | 35,651 | ||||||||||||
AQR STYLE PREMIA ALTERNATIVE LV FUND | ||||||||||||||||||||||||
Class I | $ | 39,606 | $ | 52,046 | $ | — | $ | — | $ | 12,440 | $ | 39,606 | ||||||||||||
Class N | 27,210 | 39,978 | — | — | 12,768 | 27,210 | ||||||||||||||||||
Class R6 | 62,579 | 175,683 | — | — | 113,104 | 62,579 | ||||||||||||||||||
Totals | $ | 129,395 | $ | 267,707 | $ | — | $ | — | $ | 138,312 | $ | 129,395 |
During the period ended June 30, 2015, the Funds recouped amounts as follows:
FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR Managed Futures Strategy Fund | $ | — | $ | 15,567 | $ | 4 | ||||||
AQR Multi-Strategy Alternative Fund | 81,767 | — | — | |||||||||
AQR Style Premia Alternative Fund | 74,349 | — | — |
Pursuant to the Sub-Advisory Agreements between the Sub-Advisor, the Advisor and the Trust, the Advisor will pay the Sub-Advisor an annual fee, payable monthly, at the annual rate of 1.00% and 0.35% of the average daily nets assets for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, respectively.
JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent and Custodian.
State Street Bank and Trust Company, together with JPMorgan Chase Bank, N.A., serve as Custodian of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
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347
Notes to Financial Statements | June 30, 2015 (Unaudited) |
10. Distribution Plan
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. 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.
11. 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 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.
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348
Notes to Financial Statements | June 30, 2015 (Unaudited) |
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.
12. Line of Credit
Effective February 27, 2015 and terminating on February 28, 2016, the Trust renewed a committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. For the period ended June 30, 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, 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. The line of credit is in the amount of $225,000,000. Prior to February 27, 2015, the line of credit available was $200,000,000, subject to substantially similar terms. The Funds did not have any outstanding borrowings under this agreement for the period ended June 30, 2015.
13. Principal Ownership
As of June 30, 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 Equity Market Neutral Fund* | 1 | 11.05 | % | |||||
AQR Global Macro Fund* | 1 | 7.36 | % | |||||
AQR Risk Parity Fund | 1 | 13.34 | % | |||||
AQR Risk Parity II HV Fund* | 2 | 27.69 | % | |||||
AQR Risk Parity II MV Fund | 2 | 46.36 | % | |||||
AQR Risk-Balanced Commodities Strategy Fund | 1 | 25.73 | % | |||||
AQR Style Premia Alterative LV Fund* | 1 | 46.79 | % |
* | The percentage shown is owned by the Advisor and/or affiliates. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
14. Redemption in Kind
On July 25, 2014, one shareholder redeemed their investment in the AQR Style Premia Alternative Fund. The redemption represented 70.1% of the Fund’s net assets and was paid partially in cash and in-kind. The amount of redemption proceeds paid in-kind was $52,771,157. The realized gain (loss) associated with the portion redeemed in-kind was $19,331,459.
15. New Accounting Pronouncements
In June 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”), ASU No. 2014-11, Balance Sheet (Topic) 860: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”), which expands the existing secured borrowing accounting for certain repurchase agreements and sets forth additional disclosure requirements for certain transactions accounted for as sales in order to provide financial statement users with information to compare similar transactions accounted for
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349
Notes to Financial Statements | June 30, 2015 (Unaudited) |
as secured borrowings. 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.
In May 2015, the FASB issued ASU No. 2015-07, Fair Value Measurement (Topic 820)—Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (“ASU 2015-07”). 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 of ASU 2015-07.
16. Subsequent Events
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events that would require accrual or disclosure.
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350
Fund Expense Examples (Unaudited) |
As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 6/30/15” 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 6/30/15 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/15 | |||||||||||||
AQR Diversified Arbitrage Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $999.00 | 1.20 | % | $5.95 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.84 | 1.20 | % | $6.01 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $999.00 | 1.46 | % | $7.24 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.55 | 1.46 | % | $7.30 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,000.00 | 1.10 | % | $5.45 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.34 | 1.10 | % | $5.51 | |||||||||||
AQR Equity Market Neutral Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,044.00 | 1.30 | % | $6.59 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.35 | 1.30 | % | $6.51 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,043.00 | 1.55 | % | $7.85 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.11 | 1.55 | % | $7.75 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,045.00 | 1.20 | % | $6.08 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.84 | 1.20 | % | $6.01 |
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351
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/15 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/15 | |||||||||||||
AQR Global Macro Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $998.00 | 1.45 | % | $7.18 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.60 | 1.45 | % | $7.25 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $997.00 | 1.70 | % | $8.42 | |||||||||||
Hypothetical Return | $1,000.00 | $1,016.36 | 1.70 | % | $8.50 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $998.00 | 1.35 | % | $6.69 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.10 | 1.35 | % | $6.76 | |||||||||||
AQR Long-Short Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,044.20 | 1.30 | % | $6.59 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.35 | 1.30 | % | $6.51 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,043.40 | 1.55 | % | $7.85 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.11 | 1.55 | % | $7.75 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,045.10 | 1.20 | % | $6.08 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.84 | 1.20 | % | $6.01 | |||||||||||
AQR Managed Futures Strategy Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $996.20 | 1.22 | % | $6.04 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.74 | 1.22 | % | $6.11 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $995.30 | 1.49 | % | $7.37 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.41 | 1.49 | % | $7.45 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $996.20 | 1.13 | % | $5.59 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.19 | 1.13 | % | $5.66 | |||||||||||
AQR Managed Futures Strategy HV Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $992.90 | 1.65 | % | $8.15 | |||||||||||
Hypothetical Return | $1,000.00 | $1,016.61 | 1.65 | % | $8.25 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $991.10 | 1.90 | % | $9.38 | |||||||||||
Hypothetical Return | $1,000.00 | $1,015.37 | 1.90 | % | $9.49 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $992.90 | 1.55 | % | $7.66 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.11 | 1.55 | % | $7.75 | |||||||||||
AQR Multi-Strategy Alternative Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,002.00 | 1.98 | % | $9.83 | |||||||||||
Hypothetical Return | $1,000.00 | $1,014.98 | 1.98 | % | $9.89 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,001.00 | 2.23 | % | $11.06 | |||||||||||
Hypothetical Return | $1,000.00 | $1,013.74 | 2.23 | % | $11.13 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,004.10 | 1.88 | % | $9.34 | |||||||||||
Hypothetical Return | $1,000.00 | $1,015.47 | 1.88 | % | $9.39 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
352
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/15 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/15 | |||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $914.00 | 1.00 | % | $4.75 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.84 | 1.00 | % | $5.01 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $912.10 | 1.25 | % | $5.93 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.60 | 1.25 | % | $6.26 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $914.20 | 0.90 | % | $4.27 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.33 | 0.90 | % | $4.51 | |||||||||||
AQR Risk Parity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,014.80 | 0.93 | % | $4.65 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.18 | 0.93 | % | $4.66 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,013.80 | 1.20 | % | $5.99 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.84 | 1.20 | % | $6.01 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,014.80 | 0.85 | % | $4.25 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.58 | 0.85 | % | $4.26 | |||||||||||
AQR Risk Parity II HV Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,018.80 | 1.15 | % | $5.76 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.09 | 1.15 | % | $5.76 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,017.80 | 1.40 | % | $7.00 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.85 | 1.40 | % | $7.00 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,018.80 | 1.05 | % | $5.26 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.59 | 1.05 | % | $5.26 | |||||||||||
AQR Risk Parity II MV Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,013.10 | 0.95 | % | $4.74 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.08 | 0.95 | % | $4.76 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,011.10 | 1.20 | % | $5.98 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.84 | 1.20 | % | $6.01 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,014.20 | 0.85 | % | $4.24 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.58 | 0.85 | % | $4.26 | |||||||||||
AQR Style Premia Alternative Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $985.80 | 1.50 | % | $7.39 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.36 | 1.50 | % | $7.50 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $983.80 | 1.75 | % | $8.61 | |||||||||||
Hypothetical Return | $1,000.00 | $1,016.12 | 1.75 | % | $8.75 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $985.80 | 1.40 | % | $6.89 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.85 | 1.40 | % | $7.00 |
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
353
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/15 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/15 | |||||||||||||
AQR Style Premia Alternative LV Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $994.10 | 0.85 | % | $4.20 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.58 | 0.85 | % | $4.26 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $993.10 | 1.10 | % | $5.44 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.34 | 1.10 | % | $5.51 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $995.10 | 0.75 | % | $3.71 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.08 | 0.75 | % | $3.76 |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise).
AQR Funds | Semi-Annual Report | June 2015 | ||||||||||||||
354
Investment Advisor
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Sub-Advisor
CNH Partners, LLC
Two Greenwich Plaza, 3rd Floor,
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
JPMorgan Chase Bank, N.A.
70 Fargo Street
Boston, MA 02210
Independent Registered Public Accounting Firm
PricewaterhouseCoopers, LLP
300 Madison Avenue
New York, NY 10017
You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website 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 |
August 28, 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 |
August 28, 2015 |
By: /s/ Heather Bonner |
Heather Bonner, |
Principal Financial Officer |
August 28, 2015 |