UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22235
AQR Funds
(Exact name of registrant as specified in charter)
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
(Address of principal executive offices) (Zip code)
Bradley D. Asness, Esq.
Principal and Chief Legal Officer
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 203-742-3600
Date of fiscal year end: September 30
Date of reporting period: October 1, 2014 to September 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.)
Annual Report
September 30, 2015
AQR Large Cap Multi-Style Fund
AQR Small Cap Multi-Style Fund
AQR International Multi-Style Fund
AQR Emerging Multi-Style Fund
AQR TM Large Cap Multi-Style Fund
AQR TM Small Cap Multi-Style Fund
AQR TM International Multi-Style Fund
AQR TM Emerging Multi-Style Fund
AQR Large Cap Momentum Style Fund
AQR Small Cap Momentum Style Fund
AQR International Momentum Style Fund
AQR Emerging Momentum Style Fund
AQR TM Large Cap Momentum Style Fund
AQR TM Small Cap Momentum Style Fund
AQR TM International Momentum Style Fund
AQR Large Cap Defensive Style Fund
AQR International Defensive Style Fund
AQR Emerging Defensive Style Fund
AQR Global Equity Fund
AQR International Equity Fund
Table of Contents
Shareholder Letter (Unaudited)
| | |
| AQR LARGE CAP MULTI-STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR Large Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. large and mid-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
For fiscal year 2015, the AQR Large Cap Multi-Style Fund Class I shares returned -0.05% while its benchmark, the Russell 1000® Index Total Return, returned -0.61% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection. Sector selection to energy contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.
At the close of fiscal 2015, the AQR Large Cap Multi-Style Fund’s largest active positions include sector overweights to financials and consumer discretionary. As of year-end, the Fund is underweight energy and health care.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR LARGE CAP MULTI-STYLE FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QCELX | | | -0.05% | * | | | 12.56% | | | | 3/26/2013 | |
| Fund - Class N: QCENX | | | -0.32% | * | | | 12.31% | | | | 3/26/2013 | |
| Fund - Class R6: QCERX | | | 0.07% | | | | 0.31% | | | | 7/10/2014 | |
| | | |
| Russell 1000® Index Total Return | | | -0.61% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.58%, 1.01% and 0.48%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | * | Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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2
Shareholder Letter (Unaudited)
| | |
| AQR LARGE CAP MULTI-STYLE FUND | | |
|
AQR LARGE CAP MULTI-STYLE FUND VS. RUSSELL 1000® INDEX TOTAL RETURN VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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3
Shareholder Letter (Unaudited)
| | |
| AQR SMALL CAP MULTI-STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR Small Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. small-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
For fiscal year 2015, the AQR Small Cap Multi-Style Fund Class I shares returned 1.02% while its benchmark, the Russell 2000® Total Return Index, returned 1.25% over the period – resulting in a relative underperformance. The Fund’s underperformance was driven primarily by sector selection and stock selection within sectors. Stock selection within information technology contributed to negative returns in particular. The Fund’s performance was positively impacted by sector selection to energy.
At the close of fiscal 2015, the AQR Small Cap Multi-Style Fund’s largest active positions include sector overweights to consumer discretionary and industrials. As of year-end, the Fund is underweight health care and financials.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR SMALL CAP MULTI-STYLE FUND | |
| | | 1 Year | | | Since Inception | | | Date of Inception | |
| Fund - Class I: QSMLX | | | 1.02% | | | | 9.68% | | | | 3/26/2013 | |
| Fund - Class N: QSMNX | | | 0.72% | | | | 9.37% | | | | 3/26/2013 | |
| Fund - Class R6: QSERX | | | 1.06% | | | | -2.97% | | | | 7/10/2014 | |
| | | |
| Russell 2000® Total Return Index | | | 1.25% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.58%, 3.27% and 2.34%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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4
Shareholder Letter (Unaudited)
| | |
| AQR SMALL CAP MULTI-STYLE FUND | | |
|
AQR SMALL CAP MULTI-STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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5
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR International Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap non-U.S. companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
For fiscal year 2015, the AQR International Multi-Style Fund Class I shares returned -8.78% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned -10.14% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection and country selection. Country selection to Japan contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within financials.
At the close of fiscal 2015, the AQR International Multi-Style Fund’s largest active positions include sector overweights to financials and consumer discretionary. As of year-end, the Fund is underweight health care and consumer staples. Notable active positions also include country overweights to Japan and Italy with underweights to the United Kingdom and Switzerland.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR INTERNATIONAL MULTI-STYLE FUND | |
| | | 1 Year | | | Since Inception | | | Date of Inception | |
| Fund - Class I: QICLX | | | -8.78% | | | | 2.15% | | | | 3/26/2013 | |
| Fund - Class N: QICNX | | | -9.00% | * | | | 1.92% | | | | 3/26/2013 | |
| Fund - Class R6: QICRX | | | -8.68% | | | | -10.14% | | | | 7/10/2014 | |
| | | |
| MSCI Daily TR Net World Ex USA Index** | | | -10.14% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.30%, 1.77% and 1.26%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | * | Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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6
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | |
|
AQR INTERNATIONAL MULTI-STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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7
Shareholder Letter (Unaudited)
| | |
| AQR EMERGING MULTI-STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR Emerging Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap emerging countries’ companies that have positive momentum and strong profitability. The Fund’s investment universe is currently comprised of approximately the top 85% of stocks by market capitalization in 16 emerging countries. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
For fiscal year 2015, the AQR Emerging Multi-Style Fund Class I shares returned -17.14% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned -19.28% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by country selection and stock selection within sectors. Country selection to China contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within countries and sector selection.
At the close of fiscal 2015, the AQR Emerging Multi-Style Fund’s largest active positions include sector overweights to financials and utilities. As of year-end, the Fund is underweight consumer staples and consumer discretionary. Notable active positions also include country overweights to China and Taiwan with underweights to India and Mexico.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR EMERGING MULTI-STYLE FUND | |
| | | 1 Year | | | Since Inception | | | Date of Inception | |
| Fund - Class I: QEMLX | | | -17.14% | | | | -12.96% | | | | 5/13/2014 | |
| Fund - Class N: QEMNX | | | -17.24% | * | | | -13.10% | | | | 5/13/2014 | |
| Fund - Class R6: QECRX | | | -17.06% | | | | -17.59% | | | | 7/10/2014 | |
| | | |
| MSCI Daily TR Net Emerging Markets Index** | | | -19.28% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 3.26%, 3.51% and 2.69%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | * | Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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8
Shareholder Letter (Unaudited)
| | |
| AQR EMERGING MULTI-STYLE FUND | | |
|
AQR EMERGING MULTI-STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX** VALUE OF $10,000 INVESTED ON 5/13/2014 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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9
Shareholder Letter (Unaudited)
| | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Large Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. large and mid-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
Since inception (February 11, 2015), the AQR TM Large Cap Multi-Style Fund Class I shares returned -5.80% while its benchmark, the Russell 1000® Index Total Return, returned -6.11% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection. Sector selection to energy contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.
At the close of fiscal 2015, the AQR TM Large Cap Multi-Style Fund’s largest active positions include sector overweights to financials and consumer discretionary. As of year-end, the Fund is underweight energy and health care.
| | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM LARGE CAP MULTI-STYLE FUND | |
| | | Since Inception | | | Date of Inception | |
| Fund - Class I: QTLLX | | | -5.80% | | | | 2/11/2015 | |
| Fund - Class N: QTLNX | | | -6.00% | | | | 2/11/2015 | |
| Fund - Class R6: QTLRX | | | -5.80% | | | | 2/11/2015 | |
| | |
| Russell 1000® Index Total Return | | | -6.11% | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.75%, 1.00% and 0.65%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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10
Shareholder Letter (Unaudited)
| | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | |
|
AQR TM LARGE CAP MULTI-STYLE FUND VS. RUSSELL 1000® INDEX TOTAL RETURN VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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11
Shareholder Letter (Unaudited)
| | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Small Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. small-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
Since inception (February 11, 2015), the AQR TM Small Cap Multi-Style Fund Class I shares returned -7.90% while its benchmark, the Russell 2000® Total Return Index, returned -7.57% over the period – resulting in a relative underperformance. The Fund’s underperformance was driven primarily by stock selection within sectors. Stock selection within information technology and within consumer discretionary contributed to negative returns in particular. The Fund’s performance was positively impacted by sector selection.
At the close of fiscal 2015, the AQR TM Small Cap Multi-Style Fund’s largest active positions include sector overweights to consumer discretionary and information technology. As of year-end, the Fund is underweight health care and financials.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM SMALL CAP MULTI-STYLE FUND | |
| | | Since Inception | | | Date of Inception | |
| Fund - Class I: QSSLX | | | -7.90% | | | | 2/11/2015 | |
| Fund - Class N: QSSNX | | | -8.00% | | | | 2/11/2015 | |
| Fund - Class R6: QSSRX | | | -7.80% | | | | 2/11/2015 | |
| | |
| Russell 2000® Total Return Index | | | -7.57% | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.03%, 1.28% and 0.93%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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12
Shareholder Letter (Unaudited)
| | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | |
|
AQR TM SMALL CAP MULTI-STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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13
Shareholder Letter (Unaudited)
| | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM International Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap non-U.S. companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
Since inception (February 11, 2015), the AQR TM International Multi-Style Fund Class I shares returned -6.00% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned -7.42% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by stock selection within countries. Country selection to Japan contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within Japan and within financials.
At the close of fiscal 2015, the AQR TM International Multi-Style Fund’s largest active positions include sector overweights to financials and consumer discretionary. As of year-end, the Fund is underweight health care and consumer staples. Notable active positions also include country overweights to Japan and Italy with underweights to Switzerland and the United Kingdom.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM INTERNATIONAL MULTI-STYLE FUND | |
| | | Since Inception | | | Date of Inception | |
| Fund - Class I: QIMLX | | | -6.00% | | | | 2/11/2015 | |
| Fund - Class N: QIMNX | | | -6.10% | | | | 2/11/2015 | |
| Fund - Class R6: QIMRX | | | -5.90% | | | | 2/11/2015 | |
| | |
| MSCI Daily TR Net World Ex USA Index** | | | -7.42% | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.98%, 1.23% and 0.88%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
14
Shareholder Letter (Unaudited)
| | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | |
|
AQR TM INTERNATIONAL MULTI-STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
15
Shareholder Letter (Unaudited)
| | |
| AQR TM EMERGING MULTI-STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Emerging Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap emerging countries’ companies that have positive momentum and strong profitability. The Fund’s investment universe is currently comprised of approximately the top 85% of stocks by market capitalization in 16 emerging countries. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
Since inception (February 11, 2015), the AQR TM Emerging Multi-Style Fund Class I shares returned -16.90% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned -16.01% over the period – resulting in a relative underperformance. The Fund’s underperformance was driven primarily by stock selection within countries and sector selection. Stock selection within Taiwan and within India contributed to negative returns in particular. The Fund’s performance was positively impacted by country selection.
At the close of fiscal 2015, the AQR TM Emerging Multi-Style Fund’s largest active positions include sector overweights to financials and utilities. As of year-end, the Fund is underweight consumer staples and consumer discretionary. Notable active positions also include country overweights to China and Taiwan with underweights to India and Mexico.
| | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM EMERGING MULTI-STYLE FUND | |
| | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QTELX | | | -16.90% | | | | 2/11/2015 | |
| Fund - Class N: QTENX | | | -17.00% | | | | 2/11/2015 | |
| Fund - Class R6: QTERX | | | -16.80% | | | | 2/11/2015 | |
| | |
| MSCI Daily TR Net Emerging Markets Index** | | | -16.01% | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.18%, 1.43% and 1.08%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
16
Shareholder Letter (Unaudited)
| | |
| AQR TM EMERGING MULTI-STYLE FUND | | |
|
AQR TM EMERGING MULTI-STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX** VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
17
Shareholder Letter (Unaudited)
| | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR Large Cap Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap U.S. companies with positive momentum. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
For fiscal year 2015, the AQR Large Cap Momentum Style Fund Class I shares returned 0.18% while its benchmark, the Russell 1000® Index Total Return, returned -0.61% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection. Sector selection to energy contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.
At the close of fiscal 2015, the AQR Large Cap Momentum Style Fund’s largest active positions include sector overweights to consumer discretionary and health care. As of year-end, the Fund is underweight energy and financials.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR LARGE CAP MOMENTUM STYLE FUND | | | | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since Inception | | | Date of Inception | |
| Fund - Class I: AMOMX | | | 0.18% | | | | 12.58% | | | | 12.70% | | | | 15.39% | | | | 7/9/2009 | |
| Fund - Class N: AMONX | | | -0.10% | | | | na | | | | na | | | | 13.57% | | | | 12/17/2012 | |
| Fund - Class R6: QMORX | | | 0.28% | | | | na | | | | na | | | | 0.19% | | | | 7/10/2014 | |
| | | | | |
| Russell 1000® Index Total Return | | | -0.61% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.40%, 0.68% and 0.33%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
18
Shareholder Letter (Unaudited)
| | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | |
|
AQR LARGE CAP MOMENTUM STYLE FUND VS. RUSSELL 1000® INDEX TOTAL RETURN VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
19
Shareholder Letter (Unaudited)
| | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR Small Cap Momentum Style Fund (the “Fund”) invests in stocks of small-cap U.S. companies with positive momentum. The Fund’s investment universe is comprised of U.S. companies smaller than the 1000th largest and larger than the 3000th largest company by market capitalization. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
For fiscal year 2015, the AQR Small Cap Momentum Style Fund Class I shares returned 1.17% while its benchmark, the Russell 2000® Total Return Index, returned 1.25% over the period – resulting in a relative underperformance. The Fund’s underperformance was driven primarily by stock selection within sectors. Stock selection within information technology and within health care contributed to negative returns in particular. The Fund’s performance was positively impacted by sector selection.
At the close of fiscal 2015, the AQR Small Cap Momentum Style Fund’s largest active positions include sector overweights to health care and consumer discretionary. As of year-end, the Fund is underweight financials and energy.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR SMALL CAP MOMENTUM STYLE FUND | | | | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since Inception | | | Date of Inception | |
| Fund - Class I: ASMOX | | | 1.17% | | | | 12.09% | | | | 13.26% | | | | 15.78% | | | | 7/9/2009 | |
| Fund - Class N: ASMNX | | | 0.89% | | | | na | | | | na | | | | 12.87% | | | | 12/17/2012 | |
| Fund - Class R6: QSMRX | | | 1.25% | | | | na | | | | na | | | | -2.66% | | | | 7/10/2014 | |
| | | | | |
| Russell 2000® Total Return Index | | | 1.25% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.67%, 1.03% and 0.62%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
20
Shareholder Letter (Unaudited)
| | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | |
|
AQR SMALL CAP MOMENTUM STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
21
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR International Momentum Style Fund (the “Fund”) invests in stocks of non-U.S. companies with positive momentum. The Fund’s investment universe is comprised of approximately the top 85% of stocks by market capitalization of each of the 20 major developed markets outside the U.S. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
For fiscal year 2015, the AQR International Momentum Style Fund Class I shares returned -8.40% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned -10.14% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection and stock selection within countries. Stock selection within the United Kingdom and within Canada contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.
At the close of fiscal 2015, the AQR International Momentum Style Fund’s largest active positions include sector overweights to consumer discretionary and telecommunication services. As of year-end, the Fund is underweight energy and financials. Notable active positions also include country overweights to Japan and Netherlands with underweights to the United Kingdom and Switzerland.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since Inception | | | Date of Inception | |
| Fund - Class I: AIMOX | | | -8.40% | | | | 3.92% | | | | 3.08% | | | | 6.81% | | | | 7/9/2009 | |
| Fund - Class N: AIONX | | | -8.62% | | | | na | | | | na | | | | 2.33% | | | | 12/17/2012 | |
| Fund - Class R6: QIORX | | | -8.24% | | | | na | | | | na | | | | -9.73% | | | | 7/10/2014 | |
| | | | | |
| MSCI Daily TR Net World Ex USA Index** | | | -10.14% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.61%, 0.90% and 0.54%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
22
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | |
|
AQR INTERNATIONAL MOMENTUM STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
23
Shareholder Letter (Unaudited)
| | |
| AQR EMERGING MOMENTUM STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR Emerging Momentum Style Fund (the “Fund”) invests in stocks of emerging market companies with positive momentum. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
For fiscal year 2015, the AQR Emerging Momentum Style Fund Class I shares returned -16.45% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned -19.28% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by country selection and sector selection. Country selection to China contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within countries.
At the close of fiscal 2015, the AQR Emerging Momentum Style Fund’s largest active positions include sector overweights to financials and industrials. As of year-end, the Fund is underweight energy and information technology. Notable active positions also include country overweights to China and South Africa with underweights to India and South Korea.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR EMERGING MOMENTUM STYLE FUND | |
| | | 1 Year | | | Since Inception | | | Date of Inception | |
| Fund - Class I: QEMLX | | | -16.45% | | | | -12.05% | | | | 5/13/2014 | |
| Fund - Class N: QEMNX | | | -16.72% | | | | -12.32% | | | | 5/13/2014 | |
| Fund - Class R6: QEMRX | | | -16.34% | | | | -17.63% | | | | 7/10/2014 | |
| | | |
| MSCI Daily TR Net Emerging Markets Index** | | | -19.28% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 3.96%, 4.11% and 3.66%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
24
Shareholder Letter (Unaudited)
| | |
| AQR EMERGING MOMENTUM STYLE FUND | | |
|
AQR EMERGING MOMENTUM STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX** VALUE OF $10,000 INVESTED ON 5/13/2014 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
25
Shareholder Letter (Unaudited)
| | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR TM Large Cap Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap U.S. companies with positive momentum. The Fund’s investment universe is comprised of the 1000 largest U.S. companies by market capitalization. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For fiscal year 2015, the AQR TM Large Cap Momentum Style Fund Class I shares returned -0.16% while its benchmark, the Russell 1000® Index Total Return, returned -0.61% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection. Sector selection to energy contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.
At the close of fiscal 2015, the AQR TM Large Cap Momentum Style Fund’s largest active positions include sector overweights to consumer discretionary and health care. As of year-end, the Fund is underweight energy and financials.
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM LARGE CAP MOMENTUM STYLE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ATMOX | | | -0.16% | | | | 12.85% | | | | 14.37% | | | | 1/27/2012 | |
| Fund - Class N: ATMNX | | | -0.39% | | | | na | | | | 13.75% | | | | 12/17/2012 | |
| Fund - Class R6: QTMRX | | | -0.09% | | | | na | | | | 0.55% | | | | 7/10/2014 | |
| | | | |
| Russell 1000® Index Total Return | | | -0.61% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.49%, 1.40% and 0.47%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
26
Shareholder Letter (Unaudited)
| | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | |
|
AQR TM LARGE CAP MOMENTUM STYLE FUND VS. RUSSELL 1000® INDEX TOTAL RETURN VALUE OF $10,000 INVESTED ON 1/27/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
27
Shareholder Letter (Unaudited)
| | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR TM Small Cap Momentum Style Fund (the “Fund”) invests in stocks of small-cap U.S. companies with positive momentum. The Fund’s investment universe is comprised of U.S. companies smaller than the 1000th largest and larger than the 3000th largest company by market capitalization. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For fiscal year 2015, the AQR TM Small Cap Momentum Style Fund Class I shares returned 2.13% while its benchmark, the Russell 2000® Total Return Index, returned 1.25% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection. Sector selection to energy and to health care contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.
At the close of fiscal 2015, the AQR TM Small Cap Momentum Style Fund’s largest active positions include sector overweights to health care and information technology. As of year-end, the Fund is underweight financials and industrials.
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM SMALL CAP MOMENTUM STYLE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ATSMX | | | 2.13% | | | | 12.03% | | | | 12.70% | | | | 1/27/2012 | |
| Fund - Class N: ATSNX | | | 1.90% | | | | na | | | | 12.63% | | | | 12/17/2012 | |
| Fund - Class R6: QTSRX | | | 2.23% | | | | na | | | | -2.13% | | | | 7/10/2014 | |
| | | | |
| Russell 2000® Total Return Index | | | 1.25% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.56%, 2.39% and 1.60%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
28
Shareholder Letter (Unaudited)
| | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | |
|
AQR TM SMALL CAP MOMENTUM STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 1/27/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
29
Shareholder Letter (Unaudited)
| | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR TM International Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap non-U.S. companies with positive momentum. The Fund’s investment universe is comprised of approximately the top 85% of stocks by market capitalization of each of the 20 major developed markets outside the U.S. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For fiscal year 2015, the AQR TM International Momentum Style Fund Class I shares returned -8.36% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned -10.14% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by sector selection and stock selection within countries. Stock selection within Canada and within the United Kingdom contributed to positive returns in particular. The Fund’s performance was negatively impacted by stock selection within sectors.
At the close of fiscal 2015, the AQR TM International Momentum Style Fund’s largest active positions include sector overweights to consumer discretionary and information technology. As of year-end, the Fund is underweight energy and financials. Notable active positions also include country overweights to Japan and Netherlands with underweights to the United Kingdom and Switzerland.
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR TM INTERNATIONAL MOMENTUM STYLE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ATIMX | | | -8.36% | | | | 4.64% | | | | 6.07% | | | | 1/27/2012 | |
| Fund - Class N: ATNNX | | | -8.51% | | | | na | | | | 3.05% | | | | 12/17/2012 | |
| Fund - Class R6: QTIRX | | | -8.25% | | | | na | | | | -9.97% | | | | 7/10/2014 | |
| | | | |
| MSCI Daily TR Net World Ex USA Index** | | | -10.14% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.78%, 1.79% and 0.81%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
30
Shareholder Letter (Unaudited)
| | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | |
|
AQR TM INTERNATIONAL MOMENTUM STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 1/27/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
31
Shareholder Letter (Unaudited)
| | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | |
Jacques Friedman
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Hoon Kim
Managing Director
Dear Shareholder:
The AQR Large Cap Defensive Style Fund (the “Fund”) pursues a defensive strategy in the U.S. market, meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. To achieve this objective, the Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. Profitable and stable companies are identified through measures including profit margins, asset efficiency, leverage, and earnings variability. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.
For fiscal year 2015, the AQR Large Cap Defensive Style Fund Class I shares returned 9.13% while its benchmark, the Russell 1000® Index Total Return, returned -0.61% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by stock selection within sectors and sector selection. Sector selection to energy contributed to positive returns in particular. The Fund’s performance was negatively impacted by sector selection to information technology and to financials.
At the close of fiscal 2015, the AQR Large Cap Defensive Style Fund’s largest active positions include sector overweights to consumer staples and utilities. As of year-end, the Fund is underweight information technology and energy.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR LARGE CAP DEFENSIVE STYLE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AUEIX | | | 9.13% | | | | 14.81% | | | | 14.81% | | | | 7/9/2012 | |
| Fund - Class N: AUENX | | | 8.89% | * | | | 14.54% | | | | 14.53% | | | | 7/9/2012 | |
| Fund - Class R6: QUERX | | | 9.23% | | | | na | | | | 8.12% | | | | 9/2/2014 | |
| | | | |
| Russell 1000® Index Total Return | | | -0.61% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.42%, 0.72% and 0.39%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | * | Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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32
Shareholder Letter (Unaudited)
| | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | |
|
AQR LARGE CAP DEFENSIVE STYLE FUND VS. RUSSELL 1000® INDEX TOTAL RETURN VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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33
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | |
Jacques Friedman
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Hoon Kim
Managing Director
Dear Shareholder:
The AQR International Defensive Style Fund (the “Fund”) pursues a defensive strategy in developed markets outside of the U.S., meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. To achieve this objective, the Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. Profitable and stable companies are identified through measures including profit margins, asset efficiency, leverage, and earnings variability. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.
For fiscal year 2015, the AQR International Defensive Style Fund Class I shares returned -6.89% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned -10.14% over the period – resulting in a relative outperformance. The Fund’s outperformance was driven primarily by stock selection within countries and sector selection. Stock selection within Canada and within the United Kingdom contributed to positive returns in particular. The Fund’s performance was negatively impacted by country selection.
At the close of fiscal 2015, the AQR International Defensive Style Fund’s largest active positions include sector overweights to consumer staples and utilities. As of year-end, the Fund is underweight financials. Notable active positions also include country overweights to Australia and Canada with underweights to the United Kingdom and Germany.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR INTERNATIONAL DEFENSIVE STYLE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ANDIX | | | -6.89% | | | | 3.79% | | | | 5.56% | | | | 7/9/2012 | |
| Fund - Class N: ANDNX | | | -7.15% | | | | 3.50% | | | | 5.28% | | | | 7/9/2012 | |
| Fund - Class R6: ANDRX | | | -6.78% | | | | na | | | | -10.67% | | | | 9/2/2014 | |
| | | | |
| MSCI Daily TR Net World Ex USA Index** | | | -10.14% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.12%, 1.73% and 1.15%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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34
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | |
|
AQR INTERNATIONAL DEFENSIVE STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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35
Shareholder Letter (Unaudited)
| | |
| AQR EMERGING DEFENSIVE STYLE FUND | | |
Jacques Friedman
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Hoon Kim
Managing Director
Dear Shareholder:
The AQR Emerging Defensive Style Fund (the “Fund”) pursues a defensive strategy in emerging markets, meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. To achieve this objective, the Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. Profitable and stable companies are identified through measures including profit margins, asset efficiency, leverage, and earnings variability. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.
For fiscal year 2015, the AQR Emerging Defensive Style Fund Class I shares returned -20.07% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned -19.28% over the period – resulting in a relative underperformance. The Fund’s underperformance was driven primarily by country selection and stock selection within sectors. Country selection to China and to Malaysia contributed to negative returns in particular. The Fund’s performance was positively impacted by stock selection within countries and sector selection.
At the close of fiscal 2015, the AQR Emerging Defensive Style Fund’s largest active positions include sector overweights to consumer staples and telecommunication services. As of year-end, the Fund is underweight information technology and financials. Notable active positions also include country overweights to Malaysia and Mexico with underweights to China and India.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR EMERGING DEFENSIVE STYLE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception
(7/9/2012) | | | Date of
Inception | |
| Fund - Class I: AZEIX | | | -20.07% | | | | -6.63% | | | | -4.81% | | | | 7/9/2012 | |
| Fund - Class N: AZENX | | | -20.19% | | | | -6.85% | | | | -5.01% | | | | 7/9/2012 | |
| Fund - Class R6: AZERX | | | -19.96% | | | | na | | | | -23.36% | | | | 9/2/2014 | |
| | | | |
MSCI Daily TR Net Emerging Markets Index** | | | -19.28% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.12%, 1.55% and 1.30%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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36
Shareholder Letter (Unaudited)
| | |
| AQR EMERGING DEFENSIVE STYLE FUND | | |
|
AQR EMERGING DEFENSIVE STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX** VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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37
Shareholder Letter (Unaudited)
Cliff Asness
Managing & Founding Principal
Ronen Israel
Principal
Oktay Kurbanov
Principal
John Liew
Founding Principal
Lars Nielsen
Principal
Dear Shareholder:
The AQR Global Equity Fund (the “Fund”) is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country, and by using futures, swaps and forward contracts to over-and-under-weight countries and currencies relative to the benchmark.
For fiscal year 2015, global equity markets struggled, with the MSCI Daily TR Net World Index** returning -5.09%. The AQR Global Equity Fund Class I shares returned -1.64% over this period, outperforming its benchmark by 3.45%.
The stock selection strategies outperformed in fiscal year 2015, with positive contributions from both stock selection within industries and industry selection. Stock selection within industrials was a notable positive contributor, while stock selection within consumer discretionary detracted. At the close of fiscal year 2015, the Fund’s largest active stock selection positions included sector overweights to health care and to consumer discretionary and underweights to energy and to information technology.
Within Europe, industry momentum, stability and indirect momentum were the largest contributors to returns, while valuation and industry valuation themes underperformed. Tactically, the Fund is underweight value in all major regions.
The country selection strategy contributed positively to Fund performance in fiscal year 2015. Thematically, value performed well but was mostly offset by poor performance from momentum.
The largest contributor was the Fund’s underweight position to US equities, driven by value. The anticipation of possible Fed tightening weighed on US equities.
The largest detractor was the fund’s overweight positon in Germany, driven by value. German equities outperformed early in 2015 with the European Central Bank’s announcement of its quantitative easing program, but underperformed later in 2015 when the Fund’s position size was larger, as a stronger euro pressured the export heavy German index.
The currency selection strategy contributed positively to Fund performance in fiscal year 2015. Strong performance from momentum was partially offset by weak performance from carry. Value contributed slightly to performance as well.
The largest contributor was the Fund’s overweight position to the Japanese yen. After lagging for most of the period due to accommodative monetary policy, the yen performed strongly during the “risk off” environment stemming from Chinese growth concerns in the last 2 months of the period. The Fund held its largest overweight position during this time, driven by all model themes.
The strategy’s largest detractor was the underweight to the British pound, driven by value. The pound performed well due to a relatively hawkish central bank and good economic data.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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38
Shareholder Letter (Unaudited)
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AQGIX | | | -1.64% | | | | 10.85% | | | | 9.39% | | | | 8.89% | | | | 12/31/2009 | |
| Fund - Class N: AQGNX | | | -1.86% | | | | 10.58% | | | | 9.10% | | | | 8.59% | | | | 12/31/2009 | |
| Fund - Class R6: AQGRX | | | -1.36% | * | | | na | | | | na | | | | 0.84% | | | | 1/8/2014 | |
| Fund - Class Y: AQGYX | | | -1.29% | | | | 11.33% | | | | 9.83% | | | | 9.35% | | | | 12/31/2009 | |
| | | | | |
MSCI Daily TR Net World Index** | | | -5.09% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fees. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y/R6 shares are 1.14%, 1.59%, 0.54% and 0.73%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | * | Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting. |
|
AQR GLOBAL EQUITY FUND VS. MSCI DAILY TR NET WORLD INDEX** VALUE OF $10,000 INVESTED ON 12/31/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
39
Shareholder Letter (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AQGIX | | | -1.64% | | | | 10.85% | | | | 9.39% | | | | 4.24% | | | | 6/30/2006 | |
| Fund - Class N: AQGNX | | | -1.86% | | | | 10.58% | | | | 9.10% | | | | 3.92% | | | | 6/30/2006 | |
| Fund - Class R6: AQGRX | | | -1.36% | * | | | na | | | | na | | | | 0.84% | | | | 1/08/2014 | |
| Fund - Class Y: AQGYX | | | -1.29% | | | | 11.33% | | | | 9.83% | | | | 4.65% | | | | 6/30/2006 | |
| | | | | |
MSCI Daily TR Net World Index** | | | -5.09% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fees. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio Fund’s Class I/N/Y/R6 shares are 1.14%, 1.59%, 0.54% and 0.73%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | * | Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting. |
|
AQR GLOBAL EQUITY FUND VS. MSCI DAILY TR NET WORLD INDEX** VALUE OF $10,000 INVESTED ON 6/30/2006 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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40
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
Cliff Asness
Managing & Founding Principal
Ronen Israel
Principal
Oktay Kurbanov
Principal
John Liew
Founding Principal
Lars Nielsen
Principal
Dear Shareholder:
The AQR International Equity Fund (the “Fund”) is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country, and by using futures, swaps and forward contracts to over-and-under-weight countries and currencies relative to the benchmark.
For fiscal year 2015, international equity markets struggled, with the MSCI Daily TR Net EAFE Index** returning -8.66%. The AQR International Equity Fund Class I shares returned -4.79% over this period, outperforming its benchmark by 3.87%.
The stock selection strategies outperformed in fiscal year 2015, with positive contributions from both stock selection within industries and industry selection. Stock selection within industrials and consumer discretionary were notable positive contributors, while stock selection within financials and utilities detracted. At the close of fiscal 2015, the Fund’s largest active stock selection positions included sector overweights to health care and to consumer discretionary and underweights to materials and to energy.
Within Europe, industry momentum, stability and indirect momentum were the largest contributors to returns, while valuation and industry valuation themes underperformed. Tactically, the Fund is underweight value in all major regions.
The country selection strategy contributed positively to Fund performance in fiscal year 2015. Thematically, value performed well, mostly offset by poor performance from momentum.
The largest contributor was the Fund’s underweight to Switzerland equities, driven by value. The Swiss equity underweight benefited greatly in January when the Swiss National Bank removed its long standing cap on the strength of the currency, pressuring the local equity market.
The largest detractor was the fund’s overweight positon in Germany, driven by value. German equities outperformed early in 2015 with the European Central Bank’s announcement of its quantitative easing program, but underperformed later in 2015 when the Fund’s position size was larger, as a stronger euro pressured the export heavy German index.
The currency selection strategy contributed positively to Fund performance in fiscal year 2015. Strong performance from momentum was partially offset by weak performance from carry. Value contributed slightly to performance as well.
The largest contributor was the Fund’s overweight position to the Japanese yen. After lagging for most of the period due to accommodative monetary policy, the yen performed strongly during the “risk off” environment stemming from Chinese growth concerns in the last two months of the period. The Fund held its largest overweight position during this time, driven by all model themes.
The strategy’s largest detractor was the underweight to the British pound, driven by value. The pound performed well due to a relatively hawkish central bank and good economic data.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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41
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AQIIX | | | -4.79% | | | | 7.28% | | | | 4.72% | | | | 4.66% | | | | 9/29/2009 | |
| Fund - Class N: AQINX | | | -4.99% | | | | 6.92% | | | | 4.35% | | | | 4.35% | | | | 9/29/2009 | |
| Fund - Class R6: AQIRX | | | -4.59% | | | | na | | | | na | | | | -5.06% | | | | 1/8/2014 | |
| Fund - Class Y: AQIYX | | | -4.35% | | | | 7.67% | | | | 5.11% | | | | 5.25% | | | | 8/28/2009 | |
| | | | | |
MSCI Daily TR Net EAFE Index** | | | -8.66% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fees. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y/R6 shares are 0.90%, 1.23%, 0.54% and 0.74%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR INTERNATIONAL EQUITY FUND VS. MSCI DAILY TR NET EAFE INDEX** VALUE OF $10,000 INVESTED ON 9/29/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
42
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2015 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | 10 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AQIIX | | | -4.79% | | | | 7.28% | | | | 4.72% | | | | 3.18% | | | | 5.33% | | | | 7/31/2004 | |
| Fund - Class N: AQINX | | | -4.99% | | | | 6.92% | | | | 4.35% | | | | 2.85% | | | | 4.99% | | | | 7/31/2004 | |
| Fund - Class R6: AQIRX | | | -4.59% | | | | na | | | | na | | | | na | | | | -5.06% | | | | 1/08/2014 | |
| Fund - Class Y: AQIYX | | | -4.35% | | | | 7.67% | | | | 5.11% | | | | 3.55% | | | | 5.70% | | | | 7/31/2004 | |
| | | | | | |
MSCI Daily TR Net EAFE Index** | | | -8.66% | | | | | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fees. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y/R6 shares are 0.90%, 1.23%, 0.54% and 0.74%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR INTERNATIONAL EQUITY FUND VS. MSCI DAILY TR NET EAFE INDEX** VALUE OF $10,000 INVESTED ON 7/31/2004 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
43
Shareholder Letter (Unaudited)
DEFINITIONS:
Bearish: A belief that a particular security, sector or the overall market will fall.
Beta: is a measure of volatility of a security or portfolio in comparison to an index or the market as a whole. A beta of 1.0 means the security or portfolio will generally move in tandem with the index or market it is being compared to. A beta greater than 1.0 means the security or portfolio will be more volatile and a beta less than 1.0 means the security or portfolio will be less volatile than the index or market it is being compared to.
Bullish: A belief that a particular security, sector or the overall market will rise.
Bund: Is the German equivalent of a U.S. Treasury Bond.
Carry: The return obtained from holding an asset (if positive), or the cost of holding it (if negative).
Correlation: is computed into what is known as the correlation coefficient, which ranges between -1 and +1. Perfect positive correlation (+1) implies that as one security moves, either up or down, the other security will move in lockstep, in the same direction. Alternatively, perfect negative correlation (-1) means that if one security moves in either direction the security that is perfectly negatively correlated will move in the opposite direction. If the correlation is 0, the movements of the securities are said to have no correlation; they are completely random.
Credit: This strategy purchases attractively priced securities on a hedged basis, typically around event induced capital flows.
Excess Returns: Returns in excess of a Fund’s benchmark.
Futures and Forwards contracts: A financial contract obligating the buyer to purchase an asset (or the seller to sell an asset) at a pre-determined future date and price.
Gilt: Is the U.K. equivalent of a U.S. Treasury Bond.
Industry-Neutral: An industry-neutral bet overweights stocks within an industry versus other stocks within the same industry.
Macroeconomics: is focused on the movement and trends of the whole economy as a whole, including changes such as unemployment, national income, rate of growth, GDP, inflation and price levels.
Momentum: An investment style wherein an asset is deemed to have positive momentum if it has performed well in the past relative to other assets in the same universe.
Profitability: An investment style wherein an asset as certain identifiable characteristics including, profit margin, asset efficiency, leverage and earnings variability.
Sharpe Ratio: is a ratio which measures risk-adjusted performance.
Tail Risk: The risk of larger or more frequent losses than would be expected if returns to an asset or portfolio followed a normal distribution.
The MSCI Daily TR Net EAFE Index**: is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, excluding the United States and Canada. Indexes are unmanaged and one cannot invest directly in an index.
The MSCI Daily TR Net Emerging Markets Index**: is a free float-adjusted market capitalization index that is designed to measure the performance of equities in 23 global emerging markets. Indexes are unmanaged and one cannot invest directly in an index.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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44
Shareholder Letter (Unaudited)
The MSCI Daily TR Net World Ex USA Index**: captures large and mid cap securities exhibiting overall growth style characteristics across 22 Developed Markets countries and 23 Emerging Markets countries. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. Indexes are unmanaged and one cannot invest directly in an index.
The MSCI Daily TR Net World Index**: is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, including the United States and Canada. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 1000® Index Total Return: measures the performance of the large and mid-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index Total Return represents approximately 90% of the U.S. market. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 2000® Total Return Index: measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Total Return Index is a subset of the Russell 3000® Index representing approximately 8% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. Indexes are unmanaged and one cannot invest directly in an index.
Tracking Error: A measure of how closely a portfolio follows the index to which it is benchmarked. It measures the standard deviation of the difference between the portfolio and index returns.
Valuation: A process of determining the current worth of an asset or company.
Volatility: is a statistical measurement of up and down asset price fluctuations over time. If an asset has rapid dramatic price swings, its “volatility” will likely be relatively high. If prices are consistent and rarely change, “volatility” of that asset will likely be relatively low. “Volatility” can be measured as the standard deviation of an asset with a specific time horizon. It is often used to quantify the risk of such asset over a time period, typically expressed in annualized terms.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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45
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 96.1% | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 18.5% | | | | | | |
| Aaron’s, Inc. | | | 8,646 | | | $ | 312,207 | |
| Advance Auto Parts, Inc. | | | 18,757 | | | | 3,555,014 | |
| Amazon.com, Inc. † | | | 13,516 | | | | 6,918,705 | |
| AMC Networks, Inc., Class A † | | | 23,036 | | | | 1,685,544 | |
| AutoNation, Inc. † | | | 5,443 | | | | 316,674 | |
| AutoZone, Inc. † | | | 7,152 | | | | 5,176,832 | |
| Bed Bath & Beyond, Inc. † | | | 51,332 | | | | 2,926,951 | |
| Best Buy Co., Inc. | | | 121,149 | | | | 4,497,051 | |
| Brinker International, Inc. | | | 32,654 | | | | 1,719,886 | |
| Brunswick Corp. | | | 6,638 | | | | 317,894 | |
| Cable One, Inc. † | | | 2,357 | | | | 988,573 | |
| Carnival Corp. | | | 73,954 | | | | 3,675,514 | |
| Carter’s, Inc. | | | 18,434 | | | | 1,670,858 | |
| Coach, Inc. | | | 15,392 | | | | 445,291 | |
| Comcast Corp., Class A | | | 78,402 | | | | 4,459,506 | |
| CST Brands, Inc. | | | 20,197 | | | | 679,831 | |
| Delphi Automotive PLC (United Kingdom) | | | 16,568 | | | | 1,259,831 | |
| Dick’s Sporting Goods, Inc. | | | 34,859 | | | | 1,729,355 | |
| Dillard’s, Inc., Class A | | | 21,061 | | | | 1,840,521 | |
| Dollar General Corp. | | | 65,273 | | | | 4,728,376 | |
| Dollar Tree, Inc. † | | | 61,640 | | | | 4,108,922 | |
| Domino’s Pizza, Inc. | | | 16,968 | | | | 1,831,017 | |
| DR Horton, Inc. | | | 53,306 | | | | 1,565,064 | |
| DSW, Inc., Class A | | | 42,277 | | | | 1,070,031 | |
| Expedia, Inc. | | | 33,734 | | | | 3,969,817 | |
| Foot Locker, Inc. | | | 62,307 | | | | 4,484,235 | |
| GameStop Corp., Class A | | | 46,321 | | | | 1,908,888 | |
| Gap, Inc./The | | | 84,151 | | | | 2,398,303 | |
| Gentex Corp. | | | 121,518 | | | | 1,883,529 | |
| GNC Holdings, Inc., Class A | | | 36,670 | | | | 1,482,201 | |
| Goodyear Tire & Rubber Co./The | | | 115,500 | | | | 3,387,615 | |
| Graham Holdings Co., Class B | | | 3,662 | | | | 2,112,974 | |
| Groupon, Inc. † | | | 342,531 | | | | 1,116,651 | |
| H&R Block, Inc. | | | 66,146 | | | | 2,394,485 | |
| Hanesbrands, Inc. | | | 75,872 | | | | 2,195,736 | |
| Harman International Industries, Inc. | | | 16,648 | | | | 1,598,042 | |
| Hasbro, Inc. | | | 40,570 | | | | 2,926,720 | |
| Home Depot, Inc./The | | | 132,458 | | | | 15,297,574 | |
| Interpublic Group of Cos., Inc./The | | | 49,394 | | | | 944,907 | |
| Jarden Corp. † | | | 19,876 | | | | 971,539 | |
| John Wiley & Sons, Inc., Class A | | | 10,655 | | | | 533,070 | |
| Kohl’s Corp. | | | 61,904 | | | | 2,866,774 | |
| L Brands, Inc. | | | 62,621 | | | | 5,644,031 | |
| Lear Corp. | | | 36,456 | | | | 3,965,684 | |
| Leggett & Platt, Inc. | | | 43,218 | | | | 1,782,742 | |
| Lowe’s Cos., Inc. | | | 126,090 | | | | 8,690,123 | |
| Macy’s, Inc. | | | 74,193 | | | | 3,807,585 | |
| Michaels Cos., Inc./The † | | | 50,154 | | | | 1,158,557 | |
| Mohawk Industries, Inc. † | | | 14,395 | | | | 2,616,867 | |
| Murphy USA, Inc. † | | | 16,858 | | | | 926,347 | |
| NIKE, Inc., Class B | | | 92,080 | | | | 11,323,078 | |
| Nordstrom, Inc. | | | 40,067 | | | | 2,873,205 | |
| NVR, Inc. † | | | 1,067 | | | | 1,627,410 | |
| O’Reilly Automotive, Inc. † | | | 20,967 | | | | 5,241,750 | |
| PVH Corp. | | | 10,794 | | | | 1,100,340 | |
| Ralph Lauren Corp. | | | 7,000 | | | | 827,120 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 18.5% (continued) | | | | |
| Ross Stores, Inc. | | | 104,653 | | | $ | 5,072,531 | |
| Royal Caribbean Cruises Ltd. | | | 17,235 | | | | 1,535,466 | |
| Sally Beauty Holdings, Inc. † | | | 66,483 | | | | 1,578,971 | |
| Signet Jewelers Ltd. | | | 4,700 | | | | 639,811 | |
| Skechers U.S.A., Inc., Class A † | | | 31,104 | | | | 4,170,424 | |
| Staples, Inc. | | | 240,991 | | | | 2,826,824 | |
| Target Corp. | | | 98,764 | | | | 7,768,776 | |
| TEGNA, Inc. | | | 122,180 | | | | 2,735,610 | |
| Thor Industries, Inc. | | | 10,577 | | | | 547,889 | |
| Time Warner, Inc. | | | 17,626 | | | | 1,211,788 | |
| TJX Cos., Inc./The | | | 75,286 | | | | 5,376,926 | |
| Tractor Supply Co. | | | 20,351 | | | | 1,715,996 | |
| Ulta Salon Cosmetics & Fragrance, Inc. † | | | 14,948 | | | | 2,441,756 | |
| Urban Outfitters, Inc. † | | | 24,039 | | | | 706,266 | |
| Whirlpool Corp. | | | 22,568 | | | | 3,323,364 | |
| Williams-Sonoma, Inc. | | | 23,147 | | | | 1,767,273 | |
| Wyndham Worldwide Corp. | | | 21,612 | | | | 1,553,903 | |
| | | | | | | | |
| | | | | | | 206,510,921 | |
| | | | | | | | |
| Consumer Staples - 6.5% | | | | | | |
| Altria Group, Inc. | | | 38,339 | | | | 2,085,642 | |
| Archer-Daniels-Midland Co. | | | 80,896 | | | | 3,353,139 | |
| Bunge Ltd. | | | 23,741 | | | | 1,740,215 | |
| Clorox Co./The | | | 15,370 | | | | 1,775,696 | |
| ConAgra Foods, Inc. | | | 58,741 | | | | 2,379,598 | |
| Costco Wholesale Corp. | | | 21,686 | | | | 3,135,145 | |
| Coty, Inc., Class A | | | 67,131 | | | | 1,816,565 | |
| CVS Health Corp. | | | 123,546 | | | | 11,919,718 | |
| Dr Pepper Snapple Group, Inc. | | | 56,874 | | | | 4,495,890 | |
| Edgewell Personal Care Co. | | | 14,702 | | | | 1,199,683 | |
| Flowers Foods, Inc. | | | 12,916 | | | | 319,542 | |
| Hormel Foods Corp. | | | 8,534 | | | | 540,287 | |
| Ingredion, Inc. | | | 16,327 | | | | 1,425,510 | |
| Kroger Co./The | | | 196,272 | | | | 7,079,531 | |
| Molson Coors Brewing Co., Class B | | | 21,908 | | | | 1,818,802 | |
| Monster Beverage Corp. † | | | 26,391 | | | | 3,566,480 | |
| Nu Skin Enterprises, Inc., Class A | | | 10,331 | | | | 426,464 | |
| PepsiCo, Inc. | | | 9,334 | | | | 880,196 | |
| Pilgrim’s Pride Corp. | | | 121,900 | | | | 2,533,082 | |
| Pinnacle Foods, Inc. | | | 46,536 | | | | 1,948,928 | |
| Reynolds American, Inc. | | | 25,570 | | | | 1,131,984 | |
| Rite Aid Corp. † | | | 378,940 | | | | 2,300,166 | |
| Spectrum Brands Holdings, Inc. | | | 7,400 | | | | 677,174 | |
| Tyson Foods, Inc., Class A | | | 56,881 | | | | 2,451,571 | |
| Walgreens Boots Alliance, Inc. | | | 106,419 | | | | 8,843,419 | |
| Wal-Mart Stores, Inc. | | | 21,546 | | | | 1,397,043 | |
| Whole Foods Market, Inc. | | | 14,691 | | | | 464,970 | |
| | | | | | | | |
| | | | | | | 71,706,440 | |
| | | | | | | | |
| Energy - 1.5% | | | | | | |
| HollyFrontier Corp. | | | 9,654 | | | | 471,501 | |
| Marathon Petroleum Corp. | | | 103,740 | | | | 4,806,274 | |
| Newfield Exploration Co. † | | | 17,000 | | | | 559,300 | |
| PBF Energy, Inc., Class A | | | 24,678 | | | | 696,660 | |
| Tesoro Corp. | | | 46,335 | | | | 4,505,616 | |
| Valero Energy Corp. | | | 91,220 | | | | 5,482,322 | |
| | | | | | | | |
| | | | | | | 16,521,673 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
46
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 26.9% | | | | | | |
| ACE Ltd. (Switzerland) | | | 13,040 | | | $ | 1,348,336 | |
| Aflac, Inc. | | | 68,246 | | | | 3,967,140 | |
| Alleghany Corp. † | | | 6,229 | | | | 2,915,857 | |
| Allied World Assurance Co. Holdings AG (Switzerland) | | | 13,863 | | | | 529,151 | |
| Allstate Corp./The | | | 112,020 | | | | 6,524,045 | |
| American Financial Group, Inc. | | | 25,447 | | | | 1,753,553 | |
| American International Group, Inc. | | | 191,458 | | | | 10,878,644 | |
| Ameriprise Financial, Inc. | | | 41,336 | | | | 4,510,998 | |
| AmTrust Financial Services, Inc. | | | 52,852 | | | | 3,328,619 | |
| Apartment Investment & Management Co., Class A REIT | | | 23,900 | | | | 884,778 | |
| Arch Capital Group Ltd. † | | | 51,774 | | | | 3,803,836 | |
| Aspen Insurance Holdings Ltd. | | | 11,750 | | | | 546,022 | |
| Associated Banc-Corp. | | | 41,026 | | | | 737,237 | |
| Assurant, Inc. | | | 22,730 | | | | 1,795,897 | |
| Assured Guaranty Ltd. | | | 115,100 | | | | 2,877,500 | |
| Axis Capital Holdings Ltd. | | | 13,648 | | | | 733,170 | |
| Bank of America Corp. | | | 735,331 | | | | 11,456,457 | |
| Bank of New York Mellon Corp./The | | | 163,344 | | | | 6,394,918 | |
| BB&T Corp. | | | 62,401 | | | | 2,221,476 | |
| Berkshire Hathaway, Inc., Class B † | | | 113,613 | | | | 14,815,135 | |
| BlackRock, Inc. | | | 3,675 | | | | 1,093,202 | |
| Capital One Financial Corp. | | | 98,081 | | | | 7,112,834 | |
| CBRE Group, Inc., Class A † | | | 73,628 | | | | 2,356,096 | |
| Cincinnati Financial Corp. | | | 6,135 | | | | 330,063 | |
| CIT Group, Inc. | | | 24,034 | | | | 962,081 | |
| Citigroup, Inc. | | | 356,715 | | | | 17,696,631 | |
| CNA Financial Corp. | | | 18,096 | | | | 632,093 | |
| Comerica, Inc. | | | 13,445 | | | | 552,589 | |
| Credit Acceptance Corp. † | | | 7,508 | | | | 1,478,100 | |
| Discover Financial Services | | | 42,482 | | | | 2,208,639 | |
| E*TRADE Financial Corp. † | | | 36,377 | | | | 957,806 | |
| East West Bancorp, Inc. | | | 61,096 | | | | 2,347,308 | |
| Endurance Specialty Holdings Ltd. | | | 9,136 | | | | 557,570 | |
| Everest Re Group Ltd. | | | 28,512 | | | | 4,942,270 | |
| Fifth Third Bancorp | | | 96,094 | | | | 1,817,137 | |
| First Republic Bank/CA | | | 20,097 | | | | 1,261,489 | |
| FNF Group | | | 108,564 | | | | 3,850,765 | |
| Goldman Sachs Group, Inc./The | | | 59,461 | | | | 10,331,943 | |
| Hanover Insurance Group, Inc./The | | | 12,431 | | | | 965,889 | |
| Hartford Financial Services Group, Inc./The | | | 116,588 | | | | 5,337,399 | |
| Huntington Bancshares, Inc. | | | 435,109 | | | | 4,612,155 | |
| Intercontinental Exchange, Inc. | | | 3,631 | | | | 853,249 | |
| Jones Lang LaSalle, Inc. | | | 19,952 | | | | 2,868,499 | |
| JPMorgan Chase & Co. | | | 382,577 | | | | 23,325,720 | |
| KeyCorp | | | 185,824 | | | | 2,417,570 | |
| Lincoln National Corp. | | | 89,859 | | | | 4,264,708 | |
| Macerich Co./The REIT | | | 16,658 | | | | 1,279,668 | |
| Markel Corp. † | | | 1,073 | | | | 860,396 | |
| Mercury General Corp. | | | 15,300 | | | | 772,803 | |
| MetLife, Inc. | | | 161,589 | | | | 7,618,921 | |
| Morgan Stanley | | | 252,729 | | | | 7,960,963 | |
| Nasdaq, Inc. | | | 55,033 | | | | 2,934,910 | |
| Navient Corp. | | | 146,940 | | | | 1,651,606 | |
| New York Community Bancorp, Inc. | | | 63,232 | | | | 1,141,970 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 26.9% (continued) | | | | | | |
| Northern Trust Corp. | | | 5,431 | | | $ | 370,177 | |
| Old Republic International Corp. | | | 20,626 | | | | 322,591 | |
| PacWest Bancorp | | | 7,644 | | | | 327,240 | |
| PNC Financial Services Group, Inc./The | | | 88,394 | | | | 7,884,745 | |
| Popular, Inc. | | | 19,407 | | | | 586,674 | |
| Principal Financial Group, Inc. | | | 61,389 | | | | 2,906,155 | |
| Progressive Corp./The | | | 172,208 | | | | 5,276,453 | |
| Prudential Financial, Inc. | | | 42,163 | | | | 3,213,242 | |
| Raymond James Financial, Inc. | | | 22,924 | | | | 1,137,718 | |
| Regions Financial Corp. | | | 154,411 | | | | 1,391,243 | |
| Reinsurance Group of America, Inc. | | | 26,454 | | | | 2,396,468 | |
| RenaissanceRe Holdings Ltd. | | | 6,457 | | | | 686,508 | |
| State Street Corp. | | | 64,122 | | | | 4,309,640 | |
| SunTrust Banks, Inc. | | | 143,666 | | | | 5,493,788 | |
| SVB Financial Group † | | | 5,253 | | | | 606,932 | |
| Synovus Financial Corp. | | | 52,107 | | | | 1,542,367 | |
| Torchmark Corp. | | | 23,755 | | | | 1,339,782 | |
| Travelers Cos., Inc./The | | | 83,758 | | | | 8,336,434 | |
| Unum Group | | | 48,178 | | | | 1,545,550 | |
| US Bancorp | | | 96,102 | | | | 3,941,143 | |
| Validus Holdings Ltd. | | | 61,525 | | | | 2,772,932 | |
| Wells Fargo & Co. | | | 519,729 | | | | 26,688,084 | |
| White Mountains Insurance Group Ltd. | | | 802 | | | | 599,335 | |
| WR Berkley Corp. | | | 61,390 | | | | 3,337,774 | |
| XL Group PLC (Ireland) | | | 21,801 | | | | 791,812 | |
| | | | | | | | |
| | | | | | | 299,182,598 | |
| | | | | | | | |
| Health Care - 10.4% | | | | | | |
| Aetna, Inc. | | | 60,766 | | | | 6,648,408 | |
| Alexion Pharmaceuticals, Inc. † | | | 4,575 | | | | 715,484 | |
| AmerisourceBergen Corp. | | | 37,789 | | | | 3,589,577 | |
| Amgen, Inc. | | | 78,838 | | | | 10,904,872 | |
| Anthem, Inc. | | | 45,249 | | | | 6,334,860 | |
| Becton Dickinson and Co. | | | 21,477 | | | | 2,849,139 | |
| Biogen, Inc. † | | | 1,178 | | | | 343,752 | |
| Boston Scientific Corp. † | | | 43,071 | | | | 706,795 | |
| Cardinal Health, Inc. | | | 15,482 | | | | 1,189,327 | |
| Celgene Corp. † | | | 5,559 | | | | 601,317 | |
| Centene Corp. † | | | 50,794 | | | | 2,754,559 | |
| Community Health Systems, Inc. † | | | 22,057 | | | | 943,378 | |
| CR Bard, Inc. | | | 9,200 | | | | 1,714,052 | |
| Edwards Lifesciences Corp. † | | | 26,560 | | | | 3,776,035 | |
| Eli Lilly & Co. | | | 4,621 | | | | 386,732 | |
| Express Scripts Holding Co. † | | | 31,051 | | | | 2,513,889 | |
| Gilead Sciences, Inc. | | | 154,078 | | | | 15,128,919 | |
| HCA Holdings, Inc. † | | | 75,827 | | | | 5,865,977 | |
| Illumina, Inc. † | | | 4,700 | | | | 826,354 | |
| Laboratory Corp of America Holdings † | | | 12,917 | | | | 1,401,107 | |
| LifePoint Health, Inc. † | | | 11,991 | | | | 850,162 | |
| McKesson Corp. | | | 4,525 | | | | 837,261 | |
| MEDNAX, Inc. † | | | 4,160 | | | | 319,447 | |
| Pfizer, Inc. | | | 537,440 | | | | 16,880,990 | |
| Quest Diagnostics, Inc. | | | 43,036 | | | | 2,645,423 | |
| Quintiles Transnational Holdings, Inc. † | | | 36,032 | | | | 2,506,746 | |
| ResMed, Inc. | | | 21,842 | | | | 1,113,068 | |
| United Therapeutics Corp. † | | | 14,414 | | | | 1,891,693 | |
| UnitedHealth Group, Inc. | | | 106,632 | | | | 12,370,378 | |
| Universal Health Services, Inc., Class B | | | 21,370 | | | | 2,667,190 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
47
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 10.4% (continued) | | | | | | |
| VCA, Inc. † | | | 18,160 | | | $ | 956,124 | |
| Waters Corp. † | | | 3,160 | | | | 373,544 | |
| Zimmer Biomet Holdings, Inc. | | | 20,381 | | | | 1,914,387 | |
| Zoetis, Inc. | | | 31,899 | | | | 1,313,601 | |
| | | | | | | | |
| | | | | | | 115,834,547 | |
| | | | | | | | |
| Industrials - 9.1% | | | | | | |
| 3M Co. | | | 12,760 | | | | 1,808,985 | |
| A. O. Smith Corp. | | | 16,327 | | | | 1,064,357 | |
| Acuity Brands, Inc. | | | 8,010 | | | | 1,406,396 | |
| ADT Corp./The | | | 56,539 | | | | 1,690,516 | |
| AGCO Corp. | | | 31,168 | | | | 1,453,364 | |
| Alaska Air Group, Inc. | | | 51,318 | | | | 4,077,215 | |
| AMERCO | | | 2,743 | | | | 1,079,288 | |
| American Airlines Group, Inc. | | | 72,037 | | | | 2,797,197 | |
| Avis Budget Group, Inc. † | | | 27,741 | | | | 1,211,727 | |
| Boeing Co./The | | | 23,476 | | | | 3,074,182 | |
| BWX Technologies, Inc. | | | 12,929 | | | | 340,809 | |
| CH Robinson Worldwide, Inc. | | | 25,876 | | | | 1,753,875 | |
| Cintas Corp. | | | 39,408 | | | | 3,379,236 | |
| CSX Corp. | | | 49,272 | | | | 1,325,417 | |
| Cummins, Inc. | | | 6,606 | | | | 717,280 | |
| Danaher Corp. | | | 19,253 | | | | 1,640,548 | |
| Delta Air Lines, Inc. | | | 109,162 | | | | 4,898,099 | |
| Dun & Bradstreet Corp./The | | | 8,144 | | | | 855,120 | |
| Equifax, Inc. | | | 18,750 | | | | 1,822,125 | |
| FedEx Corp. | | | 14,051 | | | | 2,023,063 | |
| General Dynamics Corp. | | | 42,323 | | | | 5,838,458 | |
| HD Supply Holdings, Inc. † | | | 73,635 | | | | 2,107,434 | |
| Huntington Ingalls Industries, Inc. | | | 15,878 | | | | 1,701,328 | |
| JetBlue Airways Corp. † | | | 206,306 | | | | 5,316,506 | |
| L-3 Communications Holdings, Inc. | | | 6,530 | | | | 682,516 | |
| Lockheed Martin Corp. | | | 14,791 | | | | 3,066,322 | |
| Macquarie Infrastructure Corp. | | | 14,000 | | | | 1,045,240 | |
| ManpowerGroup, Inc. | | | 10,986 | | | | 899,644 | |
| Masco Corp. | | | 137,628 | | | | 3,465,473 | |
| Norfolk Southern Corp. | | | 6,442 | | | | 492,169 | |
| Northrop Grumman Corp. | | | 34,121 | | | | 5,662,380 | |
| Owens Corning | | | 15,653 | | | | 656,017 | |
| Pitney Bowes, Inc. | | | 28,027 | | | | 556,336 | |
| Raytheon Co. | | | 18,889 | | | | 2,063,812 | |
| Robert Half International, Inc. | | | 43,172 | | | | 2,208,680 | |
| Rockwell Automation, Inc. | | | 7,223 | | | | 732,918 | |
| Rollins, Inc. | | | 11,682 | | | | 313,895 | |
| RR Donnelley & Sons Co. | | | 58,965 | | | | 858,530 | |
| Ryder System, Inc. | | | 12,489 | | | | 924,686 | |
| Snap-on, Inc. | | | 20,010 | | | | 3,020,309 | |
| Southwest Airlines Co. | | | 138,560 | | | | 5,270,822 | |
| Spirit AeroSystems Holdings, Inc., Class A † | | | 52,710 | | | | 2,548,001 | |
| Spirit Airlines, Inc. † | | | 8,796 | | | | 416,051 | |
| Stanley Black & Decker, Inc. | | | 36,123 | | | | 3,503,209 | |
| Textron, Inc. | | | 48,396 | | | | 1,821,625 | |
| Trinity Industries, Inc. | | | 21,126 | | | | 478,926 | |
| United Continental Holdings, Inc. † | | | 75,444 | | | | 4,002,304 | |
| United Rentals, Inc. † | | | 15,908 | | | | 955,275 | |
| WABCO Holdings, Inc. † | | | 4,480 | | | | 469,638 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Industrials - 9.1% (continued) | | | | | | |
| Waste Management, Inc. | | | 43,905 | | | $ | 2,186,908 | |
| | | | | | | | |
| | | | | | | 101,684,211 | |
| | | | | | | | |
| Information Technology - 19.5% | | | | | | |
| Accenture PLC, Class A (Ireland) | | | 11,466 | | | | 1,126,649 | |
| Activision Blizzard, Inc. | | | 155,295 | | | | 4,797,063 | |
| Amdocs Ltd. | | | 53,518 | | | | 3,044,104 | |
| Analog Devices, Inc. | | | 32,886 | | | | 1,855,099 | |
| Apple, Inc. | | | 540,689 | | | | 59,637,997 | |
| Applied Materials, Inc. | | | 119,960 | | | | 1,762,212 | |
| ARRIS Group, Inc. † | | | 49,313 | | | | 1,280,659 | |
| Avago Technologies Ltd. (Singapore) | | | 14,677 | | | | 1,834,772 | |
| Booz Allen Hamilton Holding Corp. | | | 47,017 | | | | 1,232,316 | |
| Broadridge Financial Solutions, Inc. | | | 27,549 | | | | 1,524,837 | |
| Brocade Communications Systems, Inc. | | | 229,219 | | | | 2,379,293 | |
| CA, Inc. | | | 44,183 | | | | 1,206,196 | |
| Cadence Design Systems, Inc. † | | | 52,800 | | | | 1,091,904 | |
| CDW Corp. | | | 40,584 | | | | 1,658,262 | |
| Cisco Systems, Inc. | | | 538,817 | | | | 14,143,946 | |
| Cognizant Technology Solutions Corp., Class A † | | | 36,522 | | | | 2,286,642 | |
| Computer Sciences Corp. | | | 13,032 | | | | 799,904 | |
| CoreLogic, Inc. † | | | 20,314 | | | | 756,290 | |
| Corning, Inc. | | | 157,750 | | | | 2,700,680 | |
| DST Systems, Inc. | | | 8,388 | | | | 881,914 | |
| eBay, Inc. † | | | 223,231 | | | | 5,455,766 | |
| Electronic Arts, Inc. † | | | 77,851 | | | | 5,274,405 | |
| EMC Corp. | | | 134,792 | | | | 3,256,575 | |
| F5 Networks, Inc. † | | | 11,800 | | | | 1,366,440 | |
| FactSet Research Systems, Inc. | | | 9,425 | | | | 1,506,209 | |
| Fiserv, Inc. † | | | 46,484 | | | | 4,025,979 | |
| Fortinet, Inc. † | | | 10,331 | | | | 438,861 | |
| Genpact Ltd. † | | | 23,167 | | | | 546,973 | |
| Global Payments, Inc. | | | 14,052 | | | | 1,612,186 | |
| Harris Corp. | | | 21,536 | | | | 1,575,358 | |
| Hewlett-Packard Co. | | | 52,042 | | | | 1,332,796 | |
| IAC/InterActiveCorp | | | 9,754 | | | | 636,644 | |
| Intel Corp. | | | 493,107 | | | | 14,862,245 | |
| IPG Photonics Corp. † | | | 17,229 | | | | 1,308,887 | |
| Jabil Circuit, Inc. | | | 48,662 | | | | 1,088,569 | |
| Juniper Networks, Inc. | | | 88,497 | | | | 2,275,258 | |
| King Digital Entertainment PLC (Ireland) | | | 39,745 | | | | 538,147 | |
| KLA-Tencor Corp. | | | 19,160 | | | | 958,000 | |
| Lam Research Corp. | | | 46,390 | | | | 3,030,659 | |
| Marvell Technology Group Ltd. (2) | | | 168,355 | | | | 1,523,613 | |
| Micron Technology, Inc. † | | | 68,834 | | | | 1,031,133 | |
| Microsoft Corp. | | | 299,801 | | | | 13,269,192 | |
| NetApp, Inc. | | | 80,880 | | | | 2,394,048 | |
| NVIDIA Corp. | | | 177,470 | | | | 4,374,635 | |
| ON Semiconductor Corp. † | | | 257,604 | | | | 2,421,478 | |
| Oracle Corp. | | | 23,308 | | | | 841,885 | |
| PayPal Holdings, Inc. † | | | 22,592 | | | | 701,256 | |
| Qorvo, Inc. † | | | 43,390 | | | | 1,954,720 | |
| Rackspace Hosting, Inc. † | | | 34,350 | | | | 847,758 | |
| Red Hat, Inc. † | | | 17,722 | | | | 1,273,857 | |
| SanDisk Corp. | | | 16,566 | | | | 900,031 | |
| Skyworks Solutions, Inc. | | | 51,905 | | | | 4,370,920 | |
| Synopsys, Inc. † | | | 45,584 | | | | 2,105,069 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
48
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 19.5% (continued) | | | | |
| Teradyne, Inc. | | | 56,760 | | | $ | 1,022,248 | |
| Texas Instruments, Inc. | | | 114,940 | | | | 5,691,829 | |
| Total System Services, Inc. | | | 46,564 | | | | 2,115,403 | |
| VeriSign, Inc. † | | | 42,949 | | | | 3,030,481 | |
| Western Digital Corp. | | | 42,055 | | | | 3,340,849 | |
| Western Union Co./The | | | 167,398 | | | | 3,073,427 | |
| Xerox Corp. | | | 200,933 | | | | 1,955,078 | |
| Xilinx, Inc. | | | 29,558 | | | | 1,253,259 | |
| Zebra Technologies Corp., Class A † | | | 11,700 | | | | 895,635 | |
| | | | | | | | |
| | | | | | | 217,478,500 | |
| | | | | | | | |
| Materials - 2.2% | | | | | | |
| Alcoa, Inc. | | | 132,803 | | | | 1,282,877 | |
| Avery Dennison Corp. | | | 16,030 | | | | 906,817 | |
| Ball Corp. | | | 28,761 | | | | 1,788,934 | |
| Cabot Corp. | | | 16,100 | | | | 508,116 | |
| Celanese Corp., Series A | | | 28,641 | | | | 1,694,688 | |
| CF Industries Holdings, Inc. | | | 42,495 | | | | 1,908,025 | |
| Crown Holdings, Inc. † | | | 23,406 | | | | 1,070,825 | |
| Dow Chemical Co./The | | | 11,264 | | | | 477,594 | |
| Graphic Packaging Holding Co. | | | 116,864 | | | | 1,494,691 | |
| International Paper Co. | | | 34,980 | | | | 1,321,894 | |
| LyondellBasell Industries NV, Class A | | | 16,261 | | | | 1,355,517 | |
| Packaging Corp. of America | | | 16,880 | | | | 1,015,501 | |
| PPG Industries, Inc. | | | 5,136 | | | | 450,376 | |
| Reliance Steel & Aluminum Co. | | | 9,588 | | | | 517,848 | |
| Sealed Air Corp. | | | 43,832 | | | | 2,054,844 | |
| Sherwin-Williams Co./The | | | 13,271 | | | | 2,956,513 | |
| Steel Dynamics, Inc. | | | 60,743 | | | | 1,043,565 | |
| Westlake Chemical Corp. | | | 11,690 | | | | 606,594 | |
| WestRock Co. | | | 45,651 | | | | 2,348,287 | |
| | | | | | | | |
| | | | | | | 24,803,506 | |
| | | | | | | | |
| Telecommunication Services - 0.4% | | | | |
| CenturyLink, Inc. | | | 38,100 | | | | 957,072 | |
| Telephone & Data Systems, Inc. | | | 12,321 | | | | 307,532 | |
| T-Mobile US, Inc. † | | | 82,977 | | | | 3,303,314 | |
| | | | | | | | |
| | | | | | | 4,567,918 | |
| | | | | | | | |
| Utilities - 1.1% | | | | | | |
| Alliant Energy Corp. | | | 11,719 | | | | 685,444 | |
| CMS Energy Corp. | | | 46,931 | | | | 1,657,603 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Utilities - 1.1% (continued) | | | | | | |
| Consolidated Edison, Inc. | | | 13,971 | | | $ | 933,962 | |
| DTE Energy Co. | | | 15,359 | | | | 1,234,403 | |
| Edison International | | | 15,362 | | | | 968,881 | |
| Entergy Corp. | | | 13,791 | | | | 897,794 | |
| PG&E Corp. | | | 17,669 | | | | 932,923 | |
| Pinnacle West Capital Corp. | | | 16,200 | | | | 1,039,068 | |
| Public Service Enterprise Group, Inc. | | | 39,970 | | | | 1,685,135 | |
| SCANA Corp. | | | 15,900 | | | | 894,534 | |
| Xcel Energy, Inc. | | | 28,809 | | | | 1,020,127 | |
| | | | | | | | |
| | | | | | | 11,949,874 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $1,105,111,326) | | | | | | | 1,070,240,188 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 3.6% | | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | | | | | | | | |
(cost $40,087,564) | | | 40,087,564 | | | | 40,087,564 | |
| | | | | | | | |
TOTAL INVESTMENTS IN
SECURITIES, AT VALUE - 99.7%
(cost $1,145,198,890) | | | | | | | 1,110,327,752 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% (b) | | | | | | | 3,899,571 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 1,114,227,323 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non-income producing security. |
| (a) | Represents annualized seven-day yield as of the close of the reporting period. |
| (b) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
Open futures contracts outstanding at September 30, 2015:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | | | | | | | | | | |
| 323 | | Goldman Sachs | | S&P 500 E-Mini Futures | | | 12/2015 | | | | $31,106,077 | | | | $30,825,505 | | | | $(280,572 | ) |
| | | | | | | | | | | | | | | | | | | | |
Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| Goldman Sachs | | | | | | | | | |
| Cash | | | $— | | | | $1,880,715 | | | | $1,880,715 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
49
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 96.8% | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 21.2% | | | | | | |
| 1-800-Flowers.com, Inc., Class A † | | | 12,938 | | | $ | 117,736 | |
| AMC Entertainment Holdings, Inc., Class A | | | 1,287 | | | | 32,419 | |
| American Axle & Manufacturing Holdings, Inc. † | | | 6,128 | | | | 122,192 | |
| American Eagle Outfitters, Inc. (a) | | | 1,320 | | | | 20,632 | |
| American Public Education, Inc. † | | | 1,741 | | | | 40,826 | |
| America’s Car-Mart, Inc. † | | | 1,821 | | | | 60,257 | |
| Asbury Automotive Group, Inc. † | | | 391 | | | | 31,730 | |
| Ascena Retail Group, Inc. † | | | 5,655 | | | | 78,661 | |
| Barnes & Noble Education, Inc. † | | | 3,290 | | | | 41,816 | |
| Barnes & Noble, Inc. | | | 4,100 | | | | 49,651 | |
| Bassett Furniture Industries, Inc. | | | 3,947 | | | | 109,924 | |
| Big 5 Sporting Goods Corp. | | | 5,832 | | | | 60,536 | |
| Big Lots, Inc. | | | 3,759 | | | | 180,131 | |
| Bloomin’ Brands, Inc. | | | 1,319 | | | | 23,979 | |
| Boyd Gaming Corp. † | | | 4,563 | | | | 74,377 | |
| Buckle, Inc./The (a) | | | 3,376 | | | | 124,811 | |
| Build-A-Bear Workshop, Inc. † | | | 5,536 | | | | 104,575 | |
| Burlington Stores, Inc. † | | | 669 | | | | 34,146 | |
| Caesars Entertainment Corp. † | | | 2,664 | | | | 15,691 | |
| Caleres, Inc. | | | 3,992 | | | | 121,876 | |
| Callaway Golf Co. | | | 6,593 | | | | 55,052 | |
| Capella Education Co. | | | 1,396 | | | | 69,130 | |
| Carriage Services, Inc. | | | 1,718 | | | | 37,092 | |
| Carrols Restaurant Group, Inc. † | | | 1,746 | | | | 20,777 | |
| Cato Corp./The, Class A | | | 3,192 | | | | 108,624 | |
| Chegg, Inc. † | | | 6,320 | | | | 45,567 | |
| Cherokee, Inc. † | | | 1,984 | | | | 30,792 | |
| Chico’s FAS, Inc. | | | 8,914 | | | | 140,217 | |
| Children’s Place, Inc./The | | | 2,325 | | | | 134,083 | |
| Citi Trends, Inc. | | | 4,045 | | | | 94,572 | |
| Columbia Sportswear Co. | | | 1,164 | | | | 68,432 | |
| Cooper Tire & Rubber Co. | | | 4,318 | | | | 170,604 | |
| Cooper-Standard Holding, Inc. † | | | 418 | | | | 24,244 | |
| Core-Mark Holding Co., Inc. | | | 913 | | | | 59,756 | |
| Cracker Barrel Old Country Store, Inc. (a) | | | 83 | | | | 12,224 | |
| Crown Media Holdings, Inc., Class A † | | | 2,596 | | | | 13,889 | |
| CSS Industries, Inc. | | | 533 | | | | 14,039 | |
| Culp, Inc. | | | 3,338 | | | | 107,050 | |
| Deckers Outdoor Corp. † | | | 207 | | | | 12,018 | |
| Denny’s Corp. † | | | 10,552 | | | | 116,389 | |
| Diamond Resorts International, Inc. † | | | 5,272 | | | | 123,312 | |
| Drew Industries, Inc. | | | 1,151 | | | | 62,856 | |
| Entravision Communications Corp., Class A | | | 2,484 | | | | 16,494 | |
| Ethan Allen Interiors, Inc. | | | 3,252 | | | | 85,885 | |
| Express, Inc. † | | | 8,229 | | | | 147,052 | |
| Finish Line, Inc./The, Class A | | | 2,254 | | | | 43,502 | |
| Flexsteel Industries, Inc. | | | 1,603 | | | | 50,094 | |
| Francesca’s Holdings Corp. † | | | 5,191 | | | | 63,486 | |
| Genesco, Inc. † | | | 870 | | | | 49,651 | |
| Gentherm, Inc. † | | | 380 | | | | 17,070 | |
| G-III Apparel Group Ltd. † | | | 3,379 | | | | 208,349 | |
| Gray Television, Inc. † | | | 6,369 | | | | 81,268 | |
| Group 1 Automotive, Inc. | | | 1,467 | | | | 124,915 | |
| Guess?, Inc. | | | 2,503 | | | | 53,464 | |
| Haverty Furniture Cos., Inc. | | | 1,143 | | | | 26,838 | |
| Helen of Troy Ltd. † | | | 2,143 | | | | 191,370 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 21.2% (continued) | | | | |
| Hibbett Sports, Inc. † | | | 1,311 | | | $ | 45,898 | |
| Hooker Furniture Corp. (a) | | | 4,083 | | | | 96,114 | |
| Houghton Mifflin Harcourt Co. † | | | 2,860 | | | | 58,087 | |
| HSN, Inc. | | | 582 | | | | 33,314 | |
| Installed Building Products, Inc. † | | | 1,922 | | | | 48,588 | |
| Interval Leisure Group, Inc. | | | 3,670 | | | | 67,381 | |
| Isle of Capri Casinos, Inc. † | | | 6,937 | | | | 120,981 | |
| JAKKS Pacific, Inc. †(a) | | | 5,618 | | | | 47,865 | |
| K12, Inc. † | | | 2,303 | | | | 28,649 | |
| Kirkland’s, Inc. | | | 3,982 | | | | 85,772 | |
| Lands’ End, Inc. †(a) | | | 3,657 | | | | 98,776 | |
| La-Z-Boy, Inc. | | | 3,933 | | | | 104,460 | |
| Libbey, Inc. | | | 1,600 | | | | 52,176 | |
| LifeLock, Inc. †(a) | | | 6,934 | | | | 60,742 | |
| Lithia Motors, Inc., Class A | | | 113 | | | | 12,216 | |
| Marcus Corp./The | | | 1,667 | | | | 32,240 | |
| MarineMax, Inc. † | | | 3,138 | | | | 44,340 | |
| Marriott Vacations Worldwide Corp. | | | 2,376 | | | | 161,901 | |
| Mattress Firm Holding Corp. †(a) | | | 355 | | | | 14,825 | |
| MDC Partners, Inc., Class A | | | 1,291 | | | | 23,793 | |
| Monarch Casino & Resort, Inc. † | | | 2,194 | | | | 39,426 | |
| Movado Group, Inc. | | | 3,045 | | | | 78,652 | |
| NACCO Industries, Inc., Class A | | | 888 | | | | 42,224 | |
| Nautilus, Inc. † | | | 6,194 | | | | 92,910 | |
| New Media Investment Group, Inc. | | | 6,725 | | | | 103,968 | |
| Nexstar Broadcasting Group, Inc., Class A | | | 728 | | | | 34,471 | |
| Nutrisystem, Inc. | | | 4,143 | | | | 109,872 | |
| Outerwall, Inc. (a) | | | 1,963 | | | | 111,754 | |
| Overstock.com, Inc. † | | | 4,288 | | | | 73,582 | |
| Oxford Industries, Inc. | | | 1,652 | | | | 122,050 | |
| Papa John’s International, Inc. | | | 735 | | | | 50,333 | |
| Penn National Gaming, Inc. †(a) | | | 8,026 | | | | 134,676 | |
| Perry Ellis International, Inc. † | | | 4,072 | | | | 89,421 | |
| PetMed Express, Inc. (a) | | | 6,166 | | | | 99,273 | |
| Popeyes Louisiana Kitchen, Inc. † | | | 1,440 | | | | 81,158 | |
| Reading International, Inc., Class A † | | | 1,784 | | | | 22,603 | |
| Red Robin Gourmet Burgers, Inc. † | | | 424 | | | | 32,114 | |
| Regis Corp. † | | | 3,208 | | | | 42,025 | |
| Rent-A-Center, Inc. | | | 4,828 | | | | 117,079 | |
| Ruby Tuesday, Inc. † | | | 6,300 | | | | 39,123 | |
| Ruth’s Hospitality Group, Inc. | | | 4,641 | | | | 75,370 | |
| Scholastic Corp. | | | 3,266 | | | | 127,243 | |
| Scientific Games Corp., Class A †(a) | | | 3,034 | | | | 31,705 | |
| Select Comfort Corp. † | | | 6,152 | | | | 134,606 | |
| Shoe Carnival, Inc. | | | 2,962 | | | | 70,496 | |
| Shutterfly, Inc. † | | | 953 | | | | 34,070 | |
| Skullcandy, Inc. † | | | 4,385 | | | | 24,249 | |
| Smith & Wesson Holding Corp. † | | | 6,726 | | | | 113,468 | |
| Sonic Automotive, Inc., Class A | | | 2,081 | | | | 42,494 | |
| Sonic Corp. | | | 4,488 | | | | 103,000 | |
| Speedway Motorsports, Inc. | | | 3,347 | | | | 60,413 | |
| Sportsman’s Warehouse Holdings, Inc. † | | | 6,236 | | | | 76,827 | |
| Stage Stores, Inc. (a) | | | 5,525 | | | | 54,366 | |
| Standard Motor Products, Inc. | | | 1,111 | | | | 38,752 | |
| Stein Mart, Inc. | | | 6,232 | | | | 60,326 | |
| Steven Madden Ltd. † | | | 3,861 | | | | 141,390 | |
| Strattec Security Corp. | | | 858 | | | | 54,105 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
50
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 21.2% (continued) | | | | |
| Strayer Education, Inc. † | | | 1,920 | | | $ | 105,542 | |
| Sturm Ruger & Co., Inc. | | | 244 | | | | 14,320 | |
| Superior Uniform Group, Inc. | | | 1,584 | | | | 28,401 | |
| Texas Roadhouse, Inc. | | | 2,614 | | | | 97,241 | |
| Tile Shop Holdings, Inc. †(a) | | | 1,923 | | | | 23,037 | |
| Tilly’s, Inc., A Shares † | | | 8,489 | | | | 62,479 | |
| Time, Inc. | | | 5,831 | | | | 111,081 | |
| Tower International, Inc. † | | | 1,597 | | | | 37,945 | |
| Unifi, Inc. † | | | 2,044 | | | | 60,932 | |
| Universal Electronics, Inc. † | | | 963 | | | | 40,475 | |
| Wolverine World Wide, Inc. | | | 798 | | | | 17,269 | |
| World Wrestling Entertainment, Inc., Class A | | | 1,051 | | | | 17,762 | |
| ZAGG, Inc. † | | | 11,300 | | | | 76,727 | |
| Zumiez, Inc. †(a) | | | 2,918 | | | | 45,608 | |
| | | | | | | | |
| | | | | | | 8,862,654 | |
| | | | | | | | |
| Consumer Staples - 6.1% | | | | | | |
| Cal-Maine Foods, Inc. (a) | | | 3,935 | | | | 214,890 | |
| Casey’s General Stores, Inc. | | | 467 | | | | 48,064 | |
| Central Garden & Pet Co., Class A † | | | 7,550 | | | | 121,630 | |
| Coca-Cola Bottling Co. Consolidated | | | 812 | | | | 157,025 | |
| Dean Foods Co. | | | 7,524 | | | | 124,296 | |
| Farmer Bros Co. † | | | 1,125 | | | | 30,656 | |
| Fresh Del Monte Produce, Inc. | | | 3,979 | | | | 157,210 | |
| Fresh Market, Inc./The † | | | 3,674 | | | | 82,996 | |
| HRG Group, Inc. † | | | 2,456 | | | | 28,809 | |
| Ingles Markets, Inc., Class A | | | 3,505 | | | | 167,644 | |
| Inter Parfums, Inc. | | | 678 | | | | 16,821 | |
| J&J Snack Foods Corp. | | | 351 | | | | 39,895 | |
| John B. Sanfilippo & Son, Inc. | | | 2,098 | | | | 107,543 | |
| Medifast, Inc. † | | | 1,438 | | | | 38,625 | |
| MGP Ingredients, Inc. | | | 4,193 | | | | 67,130 | |
| National Beverage Corp. † | | | 1,156 | | | | 35,524 | |
| Natural Health Trends Corp. (a) | | | 3,784 | | | | 123,661 | |
| Omega Protein Corp. † | | | 2,627 | | | | 44,580 | |
| Revlon, Inc., Class A † | | | 2,691 | | | | 79,250 | |
| Sanderson Farms, Inc. (a) | | | 2,058 | | | | 141,117 | |
| SpartanNash Co. | | | 4,306 | | | | 111,310 | |
| SUPERVALU, Inc. † | | | 14,353 | | | | 103,055 | |
| Universal Corp. (a) | | | 1,482 | | | | 73,463 | |
| USANA Health Sciences, Inc. † | | | 1,298 | | | | 173,971 | |
| Vector Group Ltd. (a) | | | 6,308 | | | | 142,630 | |
| Village Super Market, Inc., Class A | | | 2,578 | | | | 60,867 | |
| Weis Markets, Inc. | | | 1,783 | | | | 74,440 | |
| | | | | | | | |
| | | | | | | 2,567,102 | |
| | | | | | | | |
| Energy - 1.3% | | | | | | |
| Alon USA Energy, Inc. | | | 7,004 | | | | 126,562 | |
| Delek US Holdings, Inc. | | | 3,666 | | | | 101,548 | |
| DHT Holdings, Inc. | | | 1,762 | | | | 13,074 | |
| Green Plains, Inc. | | | 2,375 | | | | 46,218 | |
| Hallador Energy Co. | | | 4,493 | | | | 31,226 | |
| Nordic American Tankers Ltd. (Norway) | | | 1,533 | | | | 23,302 | |
| REX American Resources Corp. †(a) | | | 1,516 | | | | 76,740 | |
| Teekay Tankers Ltd., Class A | | | 13,109 | | | | 90,452 | |
| Western Refining, Inc. | | | 953 | | | | 42,046 | |
| | | | | | | | |
| | | | | | | 551,168 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 18.9% | | | | | | |
| 1st Source Corp. | | | 478 | | | $ | 14,722 | |
| Access National Corp. (a) | | | 1,108 | | | | 22,570 | |
| Ambac Financial Group, Inc. † | | | 2,911 | | | | 42,122 | |
| American Equity Investment Life Holding Co. | | | 6,062 | | | | 141,305 | |
| AMERISAFE, Inc. | | | 1,849 | | | | 91,951 | |
| Argo Group International Holdings Ltd. | | | 2,591 | | | | 146,625 | |
| Arlington Asset Investment Corp., Class A | | | 2,400 | | | | 33,720 | |
| Ashford Hospitality Trust, Inc. REIT | | | 5,270 | | | | 32,147 | |
| Atlas Financial Holdings, Inc. † | | | 1,350 | | | | 24,975 | |
| Banc of California, Inc. | | | 7,416 | | | | 90,994 | |
| BancFirst Corp. | | | 406 | | | | 25,619 | |
| Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | | | 3,743 | | | | 86,650 | |
| BancorpSouth, Inc. | | | 2,977 | | | | 70,763 | |
| Banner Corp. | | | 1,133 | | | | 54,123 | |
| Berkshire Hills Bancorp, Inc. | | | 3,567 | | | | 98,235 | |
| BGC Partners, Inc., Class A | | | 4,844 | | | | 39,818 | |
| BNC Bancorp | | | 1,200 | | | | 26,676 | |
| Brookline Bancorp, Inc. | | | 7,344 | | | | 74,468 | |
| Cardinal Financial Corp. | | | 1,017 | | | | 23,401 | |
| Cathay General Bancorp (a) | | | 3,336 | | | | 99,947 | |
| CenterState Banks, Inc. | | | 1,629 | | | | 23,946 | |
| Central Pacific Financial Corp. | | | 1,711 | | | | 35,880 | |
| Chatham Lodging Trust REIT | | | 2,038 | | | | 43,776 | |
| Chemical Financial Corp. | | | 2,537 | | | | 82,072 | |
| City Holding Co. | | | 296 | | | | 14,593 | |
| Columbia Banking System, Inc. | | | 1,116 | | | | 34,830 | |
| Cowen Group, Inc., Class A †(a) | | | 22,244 | | | | 101,433 | |
| Customers Bancorp, Inc. † | | | 4,686 | | | | 120,430 | |
| Dime Community Bancshares, Inc. | | | 2,848 | | | | 48,131 | |
| Employers Holdings, Inc. | | | 3,653 | | | | 81,425 | |
| Encore Capital Group, Inc. †(a) | | | 374 | | | | 13,838 | |
| Enterprise Financial Services Corp. | | | 2,957 | | | | 74,428 | |
| EverBank Financial Corp. | | | 1,722 | | | | 33,235 | |
| FBL Financial Group, Inc., Class A | | | 2,428 | | | | 149,371 | |
| Federal Agricultural Mortgage Corp., Class C | | | 990 | | | | 25,671 | |
| Federated National Holding Co. | | | 3,784 | | | | 90,892 | |
| FelCor Lodging Trust, Inc. REIT | | | 2,257 | | | | 15,957 | |
| Fidelity Southern Corp. | | | 4,993 | | | | 105,552 | |
| Financial Institutions, Inc. | | | 1,364 | | | | 33,800 | |
| First Citizens BancShares, Inc., Class A | | | 97 | | | | 21,922 | |
| First Commonwealth Financial Corp. | | | 2,600 | | | | 23,634 | |
| First Defiance Financial Corp. | | | 3,153 | | | | 115,274 | |
| First Financial Bancorp | | | 764 | | | | 14,577 | |
| First Financial Corp. | | | 1,794 | | | | 58,036 | |
| First Interstate BancSystem, Inc., Class A | | | 3,229 | | | | 89,895 | |
| First Merchants Corp. | | | 4,262 | | | | 111,750 | |
| First NBC Bank Holding Co. † | | | 1,632 | | | | 57,185 | |
| FirstMerit Corp. | | | 1,283 | | | | 22,671 | |
| FNB Corp. | | | 3,567 | | | | 46,193 | |
| Fulton Financial Corp. | | | 11,585 | | | | 140,178 | |
| German American Bancorp, Inc. | | | 483 | | | | 14,137 | |
| Great Southern Bancorp, Inc. | | | 2,437 | | | | 105,522 | |
| Greenlight Capital Re Ltd., Class A † | | | 2,429 | | | | 54,118 | |
| Hanmi Financial Corp. | | | 1,058 | | | | 26,662 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
51
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 18.9% (continued) | | | | | | |
| HCI Group, Inc. | | | 2,263 | | | $ | 87,736 | |
| Heartland Financial USA, Inc. | | | 3,131 | | | | 113,624 | |
| Heritage Financial Corp./WA | | | 2,043 | | | | 38,449 | |
| Heritage Insurance Holdings, Inc. † | | | 4,676 | | | | 92,257 | |
| Hilltop Holdings, Inc. † | | | 5,821 | | | | 115,314 | |
| Hingham Institution for Savings (a) | | | 284 | | | | 32,953 | |
| HomeStreet, Inc. † | | | 3,367 | | | | 77,778 | |
| Horace Mann Educators Corp. | | | 3,582 | | | | 118,994 | |
| Horizon Bancorp/IN | | | 599 | | | | 14,226 | |
| Impac Mortgage Holdings, Inc. †(a) | | | 4,415 | | | | 72,185 | |
| Independent Bank Corp./MA | | | 327 | | | | 15,075 | |
| Independent Bank Corp./MI | | | 3,544 | | | | 52,309 | |
| Infinity Property & Casualty Corp. | | | 1,300 | | | | 104,702 | |
| International Bancshares Corp. | | | 4,752 | | | | 118,943 | |
| INTL. FCStone, Inc. † | | | 3,504 | | | | 86,514 | |
| Investment Technology Group, Inc. | | | 4,725 | | | | 63,031 | |
| Janus Capital Group, Inc. | | | 920 | | | | 12,512 | |
| Kemper Corp. | | | 2,367 | | | | 83,721 | |
| Ladenburg Thalmann Financial Services, Inc. †(a) | | | 10,847 | | | | 22,887 | |
| Maiden Holdings Ltd. | | | 8,677 | | | | 120,437 | |
| MainSource Financial Group, Inc. | | | 3,275 | | | | 66,679 | |
| MB Financial, Inc. | | | 2,355 | | | | 76,867 | |
| Meta Financial Group, Inc. | | | 325 | | | | 13,575 | |
| MGIC Investment Corp. † | | | 3,843 | | | | 35,586 | |
| National General Holdings Corp. | | | 4,737 | | | | 91,377 | |
| National Western Life Insurance Co., Class A | | | 350 | | | | 77,945 | |
| Navigators Group, Inc./The † | | | 1,495 | | | | 116,580 | |
| NBT Bancorp, Inc. | | | 2,835 | | | | 76,375 | |
| Nelnet, Inc., Class A | | | 2,824 | | | | 97,739 | |
| Old National Bancorp/IN | | | 3,301 | | | | 45,983 | |
| OneBeacon Insurance Group Ltd., Class A | | | 5,200 | | | | 73,008 | |
| Oppenheimer Holdings, Inc., Class A | | | 1,143 | | | | 22,871 | |
| PHH Corp. † | | | 1,163 | | | | 16,422 | |
| Piper Jaffray Cos. † | | | 2,045 | | | | 73,968 | |
| Preferred Bank | | | 2,750 | | | | 86,900 | |
| Primerica, Inc. | | | 2,110 | | | | 95,098 | |
| PrivateBancorp, Inc. | | | 2,373 | | | | 90,957 | |
| Provident Financial Services, Inc. | | | 3,870 | | | | 75,465 | |
| QCR Holdings, Inc. | | | 1,631 | | | | 35,670 | |
| Radian Group, Inc. | | | 2,046 | | | | 32,552 | |
| Regional Management Corp. † | | | 2,655 | | | | 41,152 | |
| S&T Bancorp, Inc. | | | 2,240 | | | | 73,069 | |
| Safety Insurance Group, Inc. | | | 1,318 | | | | 71,370 | |
| Selective Insurance Group, Inc. | | | 4,990 | | | | 154,989 | |
| Southside Bancshares, Inc. (a) | | | 855 | | | | 23,555 | |
| State Auto Financial Corp. | | | 2,374 | | | | 54,151 | |
| Stewart Information Services Corp. | | | 2,890 | | | | 118,230 | |
| Stock Yards Bancorp, Inc. | | | 1,940 | | | | 70,519 | |
| Stonegate Bank | | | 2,265 | | | | 72,050 | |
| Suffolk Bancorp | | | 527 | | | | 14,398 | |
| Talmer Bancorp, Inc., Class A | | | 3,794 | | | | 63,170 | |
| Territorial Bancorp, Inc. | | | 542 | | | | 14,114 | |
| Tompkins Financial Corp. | | | 767 | | | | 40,927 | |
| Trustmark Corp. | | | 4,977 | | | | 115,317 | |
| United Community Banks, Inc. | | | 4,697 | | | | 96,007 | |
| United Fire Group, Inc. | | | 2,642 | | | | 92,602 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 18.9% (continued) | | | | | | |
| United Insurance Holdings Corp. (a) | | | 3,610 | | | $ | 47,471 | |
| Universal Health Realty Income Trust REIT | | | 1,041 | | | | 48,865 | |
| Universal Insurance Holdings, Inc. | | | 5,558 | | | | 164,183 | |
| Walker & Dunlop, Inc. † | | | 4,551 | | | | 118,690 | |
| Webster Financial Corp. | | | 1,107 | | | | 39,442 | |
| WesBanco, Inc. | | | 1,147 | | | | 36,073 | |
| Wilshire Bancorp, Inc. | | | 5,344 | | | | 56,165 | |
| Wintrust Financial Corp. | | | 3,263 | | | | 174,342 | |
| World Acceptance Corp. †(a) | | | 1,008 | | | | 27,055 | |
| WSFS Financial Corp. | | | 1,512 | | | | 43,561 | |
| | | | | | | | |
| | | | | | | 7,888,576 | |
| | | | | | | | |
| Health Care - 7.5% | | | | | | |
| Abaxis, Inc. | | | 371 | | | | 16,320 | |
| ABIOMED, Inc. † | | | 3,011 | | | | 279,300 | |
| Addus HomeCare Corp. † | | | 630 | | | | 19,624 | |
| Affymetrix, Inc. † | | | 6,336 | | | | 54,109 | |
| Almost Family, Inc. † | | | 2,122 | | | | 84,986 | |
| AMAG Pharmaceuticals, Inc. † | | | 2,854 | | | | 113,389 | |
| Amedisys, Inc. † | | | 3,207 | | | | 121,770 | |
| ANI Pharmaceuticals, Inc. †(a) | | | 774 | | | | 30,581 | |
| Anika Therapeutics, Inc. † | | | 674 | | | | 21,453 | |
| Cambrex Corp. † | | | 3,212 | | | | 127,452 | |
| Chemed Corp. | | | 1,015 | | | | 135,472 | |
| CONMED Corp. | | | 500 | | | | 23,870 | |
| CryoLife, Inc. | | | 2,163 | | | | 21,046 | |
| Cynosure, Inc., Class A † | | | 2,660 | | | | 79,906 | |
| Emergent BioSolutions, Inc. † | | | 2,750 | | | | 78,348 | |
| Enanta Pharmaceuticals, Inc. †(a) | | | 1,534 | | | | 55,439 | |
| Ensign Group, Inc./The | | | 1,282 | | | | 54,652 | |
| Exactech, Inc. † | | | 1,661 | | | | 28,951 | |
| Globus Medical, Inc., Class A † | | | 943 | | | | 19,482 | |
| Greatbatch, Inc. † | | | 378 | | | | 21,327 | |
| ICU Medical, Inc. † | | | 1,244 | | | | 136,218 | |
| Infinity Pharmaceuticals, Inc. † | | | 5,389 | | | | 45,537 | |
| Insys Therapeutics, Inc. † | | | 4,372 | | | | 124,427 | |
| Integra LifeSciences Holdings Corp. † | | | 900 | | | | 53,595 | |
| Invacare Corp. | | | 2,664 | | | | 38,548 | |
| Lannett Co., Inc. †(a) | | | 2,965 | | | | 123,107 | |
| LeMaitre Vascular, Inc. (a) | | | 1,889 | | | | 23,027 | |
| LHC Group, Inc. † | | | 2,471 | | | | 110,627 | |
| Magellan Health, Inc. † | | | 556 | | | | 30,819 | |
| Masimo Corp. † | | | 1,587 | | | | 61,195 | |
| Merit Medical Systems, Inc. † | | | 4,173 | | | | 99,776 | |
| MiMedx Group, Inc. †(a) | | | 2,626 | | | | 25,341 | |
| Molina Healthcare, Inc. † | | | 656 | | | | 45,166 | |
| National HealthCare Corp. | | | 538 | | | | 32,759 | |
| Natus Medical, Inc. † | | | 2,773 | | | | 109,395 | |
| NewLink Genetics Corp. † | | | 3,051 | | | | 109,348 | |
| NuVasive, Inc. † | | | 1,533 | | | | 73,921 | |
| Omnicell, Inc. † | | | 2,375 | | | | 73,863 | |
| PDL BioPharma, Inc. | | | 2,533 | | | | 12,741 | |
| PharMerica Corp. † | | | 455 | | | | 12,954 | |
| Phibro Animal Health Corp., Class A | | | 390 | | | | 12,336 | |
| RadNet, Inc. † | | | 4,500 | | | | 24,975 | |
| SciClone Pharmaceuticals, Inc. † | | | 10,808 | | | | 75,008 | |
| Select Medical Holdings Corp. | | | 2,401 | | | | 25,907 | |
| Sucampo Pharmaceuticals, Inc., Class A † | | | 5,178 | | | | 102,887 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
52
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 7.5% (continued) | | | | | | |
| Supernus Pharmaceuticals, Inc. † | | | 5,944 | | | $ | 83,394 | |
| US Physical Therapy, Inc. | | | 796 | | | | 35,732 | |
| Vascular Solutions, Inc. † | | | 727 | | | | 23,562 | |
| WellCare Health Plans, Inc. † | | | 484 | | | | 41,711 | |
| | | | | | | | |
| | | | | | | 3,155,353 | |
| | | | | | | | |
| Industrials - 15.5% | | | | | | |
| ABM Industries, Inc. | | | 1,721 | | | | 47,001 | |
| ACCO Brands Corp. † | | | 13,788 | | | | 97,481 | |
| Air Transport Services Group, Inc. † | | | 7,614 | | | | 65,100 | |
| Aircastle Ltd. | | | 6,458 | | | | 133,099 | |
| Alamo Group, Inc. | | | 1,493 | | | | 69,798 | |
| Allegiant Travel Co. | | | 1,157 | | | | 250,201 | |
| Allied Motion Technologies, Inc. (a) | | | 4,202 | | | | 74,670 | |
| American Woodmark Corp. † | | | 2,152 | | | | 139,600 | |
| Apogee Enterprises, Inc. | | | 2,539 | | | | 113,366 | |
| ARC Document Solutions, Inc. † | | | 9,621 | | | | 57,245 | |
| ArcBest Corp. | | | 1,441 | | | | 37,135 | |
| Argan, Inc. | | | 2,794 | | | | 96,896 | |
| Astronics Corp. † | | | 1,310 | | | | 52,963 | |
| Atlas Air Worldwide Holdings, Inc. † | | | 2,959 | | | | 102,263 | |
| Barnes Group, Inc. | | | 2,915 | | | | 105,086 | |
| Blount International, Inc. † | | | 2,215 | | | | 12,338 | |
| Brady Corp., Class A | | | 1,444 | | | | 28,389 | |
| Briggs & Stratton Corp. | | | 1,260 | | | | 24,331 | |
| Casella Waste Systems, Inc., Class A † | | | 4,496 | | | | 26,077 | |
| CDI Corp. | | | 2,393 | | | | 20,460 | |
| CEB, Inc. | | | 1,256 | | | | 85,835 | |
| Columbus McKinnon Corp. | | | 2,386 | | | | 43,330 | |
| Comfort Systems USA, Inc. | | | 4,164 | | | | 113,511 | |
| Continental Building Products, Inc. † | | | 4,343 | | | | 89,205 | |
| Covenant Transportation Group, Inc., Class A † | | | 4,419 | | | | 79,409 | |
| CRA International, Inc. † | | | 3,112 | | | | 67,157 | |
| Cubic Corp. | | | 1,266 | | | | 53,096 | |
| Douglas Dynamics, Inc. | | | 5,000 | | | | 99,300 | |
| Ducommun, Inc. † | | | 1,806 | | | | 36,246 | |
| Dycom Industries, Inc. † | | | 323 | | | | 23,372 | |
| Echo Global Logistics, Inc. † | | | 2,368 | | | | 46,413 | |
| Ennis, Inc. | | | 4,496 | | | | 78,051 | |
| Essendant, Inc. | | | 686 | | | | 22,247 | |
| Federal Signal Corp. | | | 6,410 | | | | 87,881 | |
| FTI Consulting, Inc. † | | | 2,987 | | | | 123,990 | |
| G&K Services, Inc., Class A | | | 1,686 | | | | 112,321 | |
| General Cable Corp. | | | 1,673 | | | | 19,909 | |
| Gibraltar Industries, Inc. † | | | 3,553 | | | | 65,198 | |
| Global Brass & Copper Holdings, Inc. | | | 3,380 | | | | 69,324 | |
| GP Strategies Corp. † | | | 1,702 | | | | 38,840 | |
| Greenbrier Cos., Inc./The | | | 444 | | | | 14,257 | |
| Griffon Corp. | | | 5,299 | | | | 83,565 | |
| Hawaiian Holdings, Inc. † | | | 6,736 | | | | 166,244 | |
| Heidrick & Struggles International, Inc. | | | 2,900 | | | | 56,405 | |
| Herman Miller, Inc. | | | 1,388 | | | | 40,030 | |
| Hillenbrand, Inc. | | | 537 | | | | 13,967 | |
| HNI Corp. | | | 3,243 | | | | 139,125 | |
| Hurco Cos., Inc. | | | 1,896 | | | | 49,751 | |
| Huron Consulting Group, Inc. † | | | 729 | | | | 45,584 | |
| ICF International, Inc. † | | | 1,354 | | | | 41,148 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Industrials - 15.5% (continued) | | | | | | |
| Insperity, Inc. | | | 2,643 | | | $ | 116,107 | |
| Interface, Inc. | | | 4,375 | | | | 98,175 | |
| John Bean Technologies Corp. | | | 1,909 | | | | 73,019 | |
| Kadant, Inc. | | | 2,006 | | | | 78,254 | |
| Kaman Corp. | | | 2,100 | | | | 75,285 | |
| Kimball International, Inc., Class B | | | 2,064 | | | | 19,525 | |
| Knoll, Inc. | | | 4,951 | | | | 108,823 | |
| Korn/Ferry International | | | 2,672 | | | | 88,363 | |
| Lawson Products, Inc. † | | | 608 | | | | 13,163 | |
| Lindsay Corp. | | | 217 | | | | 14,710 | |
| LSI Industries, Inc. | | | 5,133 | | | | 43,323 | |
| Lydall, Inc. † | | | 2,109 | | | | 60,085 | |
| Meritor, Inc. † | | | 8,510 | | | | 90,461 | |
| Mueller Industries, Inc. | | | 3,450 | | | | 102,051 | |
| Multi-Color Corp. | | | 2,197 | | | | 168,049 | |
| MYR Group, Inc. † | | | 3,562 | | | | 93,324 | |
| National Presto Industries, Inc. (a) | | | 569 | | | | 47,944 | |
| NV5 Holdings, Inc. †(a) | | | 3,104 | | | | 57,610 | |
| On Assignment, Inc. † | | | 650 | | | | 23,985 | |
| Park-Ohio Holdings Corp. | | | 626 | | | | 18,066 | |
| Patrick Industries, Inc. † | | | 2,847 | | | | 112,428 | |
| PowerSecure International, Inc. † | | | 2,430 | | | | 27,994 | |
| Quad/Graphics, Inc. | | | 3,637 | | | | 44,008 | |
| Resources Connection, Inc. | | | 5,013 | | | | 75,546 | |
| RPX Corp. † | | | 5,559 | | | | 76,269 | |
| Rush Enterprises, Inc., Class A † | | | 1,156 | | | | 27,975 | |
| Saia, Inc. † | | | 900 | | | | 27,855 | |
| SkyWest, Inc. | | | 7,387 | | | | 123,215 | |
| Standex International Corp. | | | 1,190 | | | | 89,666 | |
| Steelcase, Inc., Class A | | | 4,829 | | | | 88,902 | |
| TASER International, Inc. †(a) | | | 3,874 | | | | 85,325 | |
| Titan Machinery, Inc. † | | | 2,034 | | | | 23,350 | |
| TRC Cos., Inc. † | | | 5,963 | | | | 70,542 | |
| Trex Co., Inc. † | | | 1,618 | | | | 53,928 | |
| TrueBlue, Inc. † | | | 2,751 | | | | 61,815 | |
| UniFirst Corp. | | | 1,418 | | | | 151,457 | |
| Universal Forest Products, Inc. | | | 1,772 | | | | 102,209 | |
| USA Truck, Inc. † | | | 2,452 | | | | 42,248 | |
| Viad Corp. | | | 1,817 | | | | 52,675 | |
| VSE Corp. | | | 866 | | | | 34,701 | |
| Wabash National Corp. † | | | 5,623 | | | | 59,548 | |
| West Corp. | | | 4,364 | | | | 97,754 | |
| | | | | | | | |
| | | | | | | 6,477,942 | |
| | | | | | | | |
| Information Technology - 20.6% | | | | | | |
| Advanced Energy Industries, Inc. † | | | 4,300 | | | | 113,090 | |
| Alliance Fiber Optic Products, Inc. | | | 1,808 | | | | 30,899 | |
| Ambarella, Inc. †(a) | | | 2,176 | | | | 125,751 | |
| Amkor Technology, Inc. † | | | 4,342 | | | | 19,496 | |
| AVG Technologies NV (Netherlands) † | | | 586 | | | | 12,745 | |
| AVX Corp. | | | 7,319 | | | | 95,806 | |
| Axcelis Technologies, Inc. † | | | 7,511 | | | | 20,054 | |
| Benchmark Electronics, Inc. † | | | 2,419 | | | | 52,637 | |
| Black Box Corp. | | | 2,500 | | | | 36,850 | |
| Blackhawk Network Holdings, Inc. † | | | 4,571 | | | | 193,765 | |
| Blucora, Inc. † | | | 2,742 | | | | 37,757 | |
| BroadSoft, Inc. † | | | 2,881 | | | | 86,315 | |
| Brooks Automation, Inc. | | | 4,023 | | | | 47,109 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
53
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 20.6% (continued) | | | | |
| Cabot Microelectronics Corp. † | | | 1,985 | | | $ | 76,899 | |
| CACI International, Inc., Class A † | | | 1,609 | | | | 119,018 | |
| Calix, Inc. † | | | 7,809 | | | | 60,832 | |
| Carbonite, Inc. † | | | 3,353 | | | | 37,319 | |
| Cardtronics, Inc. † | | | 1,444 | | | | 47,219 | |
| Cascade Microtech, Inc. † | | | 2,176 | | | | 30,769 | |
| Ciena Corp. † | | | 8,889 | | | | 184,180 | |
| Cimpress NV (Netherlands) † | | | 366 | | | | 27,856 | |
| Cirrus Logic, Inc. † | | | 5,581 | | | | 175,857 | |
| Coherent, Inc. † | | | 1,502 | | | | 82,159 | |
| Cohu, Inc. | | | 3,258 | | | | 32,124 | |
| comScore, Inc. † | | | 809 | | | | 37,335 | |
| Comtech Telecommunications Corp. | | | 1,400 | | | | 28,854 | |
| Constant Contact, Inc. † | | | 973 | | | | 23,586 | |
| Convergys Corp. | | | 7,347 | | | | 169,789 | |
| CSG Systems International, Inc. | | | 3,377 | | | | 104,012 | |
| DHI Group, Inc. † | | | 8,020 | | | | 58,626 | |
| Diodes, Inc. † | | | 2,069 | | | | 44,215 | |
| DTS, Inc. † | | | 2,581 | | | | 68,913 | |
| EarthLink Holdings Corp. | | | 17,261 | | | | 134,291 | |
| Ebix, Inc. | | | 4,480 | | | | 111,821 | |
| Electronics For Imaging, Inc. † | | | 330 | | | | 14,282 | |
| Ellie Mae, Inc. † | | | 1,444 | | | | 96,127 | |
| EMCORE Corp. † | | | 7,787 | | | | 52,952 | |
| Entegris, Inc. † | | | 3,342 | | | | 44,081 | |
| Epiq Systems, Inc. | | | 2,861 | | | | 36,964 | |
| ePlus, Inc. † | | | 1,519 | | | | 120,107 | |
| ExlService Holdings, Inc. † | | | 2,072 | | | | 76,519 | |
| Fair Isaac Corp. | | | 1,743 | | | | 147,283 | |
| Fairchild Semiconductor International, Inc. † | | | 8,015 | | | | 112,531 | |
| Fleetmatics Group PLC (Ireland) †(a) | | | 1,162 | | | | 57,043 | |
| FormFactor, Inc. † | | | 10,212 | | | | 69,237 | |
| Gigamon, Inc. † | | | 4,030 | | | | 80,640 | |
| GSI Group, Inc. † | | | 4,501 | | | | 57,298 | |
| Hackett Group, Inc./The | | | 5,702 | | | | 78,403 | |
| Harmonic, Inc. † | | | 6,515 | | | | 37,787 | |
| II-VI, Inc. † | | | 6,143 | | | | 98,779 | |
| Infinera Corp. † | | | 9,528 | | | | 186,368 | |
| Infoblox, Inc. † | | | 5,034 | | | | 80,443 | |
| Inphi Corp. † | | | 3,389 | | | | 81,472 | |
| Insight Enterprises, Inc. † | | | 3,071 | | | | 79,385 | |
| Integrated Device Technology, Inc. † | | | 1,988 | | | | 40,356 | |
| InterDigital, Inc. | | | 3,213 | | | | 162,578 | |
| Internap Corp. † | | | 3,314 | | | | 20,315 | |
| Intersil Corp., Class A | | | 1,370 | | | | 16,029 | |
| Itron, Inc. † | | | 568 | | | | 18,125 | |
| Ixia † | | | 2,949 | | | | 42,731 | |
| IXYS Corp. | | | 5,661 | | | | 63,177 | |
| j2 Global, Inc. | | | 606 | | | | 42,935 | |
| Lattice Semiconductor Corp. † | | | 5,669 | | | | 21,826 | |
| Lionbridge Technologies, Inc. † | | | 4,600 | | | | 22,724 | |
| LogMeIn, Inc. † | | | 2,077 | | | | 141,568 | |
| Luxoft Holding, Inc. (Switzerland) † | | | 545 | | | | 34,493 | |
| Manhattan Associates, Inc. † | | | 1,191 | | | | 74,199 | |
| ManTech International Corp., Class A | | | 1,578 | | | | 40,555 | |
| Mattson Technology, Inc. † | | | 22,084 | | | | 51,456 | |
| MaxLinear, Inc., Class A † | | | 1,992 | | | | 24,780 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 20.6% (continued) | | | | |
| Mentor Graphics Corp. | | | 2,877 | | | $ | 70,861 | |
| Methode Electronics, Inc. | | | 2,667 | | | | 85,077 | |
| Microsemi Corp. † | | | 906 | | | | 29,735 | |
| MicroStrategy, Inc., Class A † | | | 476 | | | | 93,520 | |
| MKS Instruments, Inc. | | | 4,623 | | | | 155,009 | |
| Monolithic Power Systems, Inc. | | | 534 | | | | 27,341 | |
| Monster Worldwide, Inc. † | | | 8,922 | | | | 57,279 | |
| Multi-Fineline Electronix, Inc. † | | | 4,497 | | | | 75,100 | |
| NeoPhotonics Corp. †(a) | | | 10,688 | | | | 72,785 | |
| NETGEAR, Inc. † | | | 711 | | | | 20,740 | |
| NeuStar, Inc., Class A †(a) | | | 5,359 | | | | 145,818 | |
| Newport Corp. † | | | 3,440 | | | | 47,300 | |
| NVE Corp. | | | 523 | | | | 25,386 | |
| OmniVision Technologies, Inc. † | | | 3,424 | | | | 89,914 | |
| OSI Systems, Inc. † | | | 815 | | | | 62,722 | |
| PC Connection, Inc. | | | 2,864 | | | | 59,371 | |
| PFSweb, Inc. † | | | 1,076 | | | | 15,301 | |
| Photronics, Inc. † | | | 6,650 | | | | 60,249 | |
| Plantronics, Inc. | | | 2,980 | | | | 151,533 | |
| Plexus Corp. † | | | 1,461 | | | | 56,365 | |
| PMC-Sierra, Inc. † | | | 12,187 | | | | 82,506 | |
| Polycom, Inc. † | | | 13,326 | | | | 139,656 | |
| Progress Software Corp. † | | | 2,680 | | | | 69,224 | |
| QAD, Inc., Class A | | | 546 | | | | 13,978 | |
| Qlik Technologies, Inc. † | | | 713 | | | | 25,989 | |
| QLogic Corp. † | | | 9,810 | | | | 100,553 | |
| Qualys, Inc. † | | | 936 | | | | 26,639 | |
| Quantum Corp. † | | | 35,920 | | | | 25,047 | |
| RealD, Inc. † | | | 2,582 | | | | 24,813 | |
| Rofin-Sinar Technologies, Inc. † | | | 3,080 | | | | 79,864 | |
| Rogers Corp. † | | | 1,018 | | | | 54,137 | |
| Rubicon Project, Inc./The † | | | 4,243 | | | | 61,651 | |
| Rudolph Technologies, Inc. † | | | 4,943 | | | | 61,540 | |
| Sanmina Corp. † | | | 5,717 | | | | 122,172 | |
| Science Applications International Corp. | | | 492 | | | | 19,783 | |
| Semtech Corp. † | | | 1,408 | | | | 21,261 | |
| ShoreTel, Inc. † | | | 4,687 | | | | 35,012 | |
| Sigma Designs, Inc. † | | | 10,321 | | | | 71,112 | |
| Stamps.com, Inc. † | | | 1,696 | | | | 125,521 | |
| Super Micro Computer, Inc. † | | | 2,317 | | | | 63,161 | |
| Sykes Enterprises, Inc. † | | | 4,396 | | | | 112,098 | |
| SYNNEX Corp. | | | 467 | | | | 39,723 | |
| Take-Two Interactive Software, Inc. † | | | 5,797 | | | | 166,548 | |
| Tech Data Corp. † | | | 1,162 | | | | 79,597 | |
| TechTarget, Inc. † | | | 4,588 | | | | 39,090 | |
| TeleTech Holdings, Inc. | | | 1,814 | | | | 48,597 | |
| Tessera Technologies, Inc. | | | 4,613 | | | | 149,507 | |
| TTM Technologies, Inc. † | | | 12,016 | | | | 74,860 | |
| United Online, Inc. † | | | 5,204 | | | | 52,040 | |
| VASCO Data Security International, Inc. †(a) | | | 4,840 | | | | 82,474 | |
| Vishay Intertechnology, Inc. | | | 2,533 | | | | 24,545 | |
| Web.com Group, Inc. † | | | 1,943 | | | | 40,958 | |
| Xcerra Corp. † | | | 7,963 | | | | 50,008 | |
| XO Group, Inc. † | | | 3,964 | | | | 56,011 | |
| | | | | | | | |
| | | | | | | 8,594,577 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
54
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Materials - 2.8% | | | | | | |
| A Schulman, Inc. | | | 1,285 | | | $ | 41,724 | |
| AEP Industries, Inc. † | | | 239 | | | | 13,702 | |
| Boise Cascade Co. † | | | 2,802 | | | | 70,666 | |
| Clearwater Paper Corp. † | | | 589 | | | | 27,824 | |
| Core Molding Technologies, Inc. † | | | 3,251 | | | | 59,981 | |
| Ferro Corp. † | | | 2,124 | | | | 23,258 | |
| Innophos Holdings, Inc. | | | 1,229 | | | | 48,718 | |
| Innospec, Inc. | | | 2,579 | | | | 119,949 | |
| Kaiser Aluminum Corp. | | | 1,188 | | | | 95,337 | |
| KMG Chemicals, Inc. | | | 3,333 | | | | 64,294 | |
| Materion Corp. | | | 2,443 | | | | 73,339 | |
| Minerals Technologies, Inc. | | | 2,349 | | | | 113,128 | |
| Neenah Paper, Inc. | | | 1,565 | | | | 91,208 | |
| Quaker Chemical Corp. | | | 441 | | | | 33,992 | |
| Schweitzer-Mauduit International, Inc. | | | 835 | | | | 28,707 | |
| Stepan Co. | | | 522 | | | | 21,720 | |
| Trinseo SA †(a) | | | 4,542 | | | | 114,686 | |
| US Concrete, Inc. † | | | 2,673 | | | | 127,743 | |
| | | | | | | | |
| | | | | | | 1,169,976 | |
| | | | | | | | |
| Telecommunication Services - 1.9% | | | | | | |
| Atlantic Tele-Network, Inc. | | | 1,106 | | | | 81,767 | |
| Cincinnati Bell, Inc. † | | | 10,356 | | | | 32,311 | |
| FairPoint Communications, Inc. † | | | 2,166 | | | | 33,378 | |
| General Communication, Inc., Class A † | | | 4,927 | | | | 85,040 | |
| IDT Corp., Class B | | | 4,070 | | | | 58,201 | |
| Inteliquent, Inc. | | | 6,191 | | | | 138,245 | |
| Iridium Communications, Inc. †(a) | | | 9,349 | | | | 57,496 | |
| Shenandoah Telecommunications Co. | | | 2,093 | | | | 89,601 | |
| Spok Holdings, Inc. | | | 5,275 | | | | 86,827 | |
| Vonage Holdings Corp. † | | | 22,874 | | | | 134,499 | |
| | | | | | | | |
| | | | | | | 797,365 | |
| | | | | | | | |
| Utilities - 1.0% | | | | | | |
| Avista Corp. | | | 965 | | | | 32,086 | |
| Consolidated Water Co., Ltd. (Cayman Islands) (a) | | | 3,665 | | | | 42,514 | |
| Empire District Electric Co./The | | | 783 | | | | 17,250 | |
| New Jersey Resources Corp. | | | 2,822 | | | | 84,745 | |
| ONE Gas, Inc. | | | 2,356 | | | | 106,797 | |
| WGL Holdings, Inc. | | | 2,121 | | | | 122,318 | |
| | | | | | | | |
| | | | | | | 405,710 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $42,350,829) | | | | | | | 40,470,423 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS (ETF) - 2.0% | | | | |
| iShares Russell 2000 ETF (a) | | | | | | | | |
(cost $853,984) | | | 7,646 | | | | 834,943 | |
| | | | | | | | |
| | | | | | | | |
SECURITIES LENDING
COLLATERAL - 8.6% | | SHARES | | | VALUE
(Note 4) | |
| Money Market Funds - 8.6% | | | | | | |
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank
Dreyfus Treasury Cash Management, 0.010% (2)(b)(c) | | | | | | | | |
(cost $3,593,902) | | | 3,593,902 | | | $ | 3,593,902 | |
| | | | | | | | |
TOTAL INVESTMENTS IN
SECURITIES, AT VALUE - 107.4%
(cost $46,798,715) | | | | | | | 44,899,268 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (7.4%) | | | | | (3,090,404) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 41,808,864 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non-income producing security. |
| (a) | All or a portion of the security on loan. The aggregate market value of such securities is $3,578,221; cash collateral of $3,593,902 was received with which the Fund purchased a money market fund. |
| (b) | Represents annualized seven-day yield as of the close of the reporting period. |
| (c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
55
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 96.3% | | SHARES | | | VALUE
(Note 4) | |
| Australia - 2.8% | | | | | | |
| Caltex Australia Ltd. | | | 5,171 | | | $ | 114,149 | |
| CIMIC Group Ltd. | | | 28,203 | | | | 468,534 | |
| Cochlear Ltd. | | | 11,039 | | | | 649,553 | |
| GPT Group/The REIT | | | 196,673 | | | | 625,061 | |
| Harvey Norman Holdings Ltd. | | | 47,125 | | | | 129,083 | |
| Incitec Pivot Ltd. | | | 169,583 | | | | 467,412 | |
| Insurance Australia Group Ltd. | | | 83,486 | | | | 285,449 | |
| Macquarie Group Ltd. | | | 9,664 | | | | 523,742 | |
| Qantas Airways Ltd. † | | | 275,157 | | | | 722,390 | |
| Scentre Group REIT | | | 269,825 | | | | 742,640 | |
| Tabcorp Holdings Ltd. | | | 310,655 | | | | 1,022,729 | |
| Telstra Corp. Ltd. | | | 554,287 | | | | 2,191,482 | |
| | | | | | | | |
| | | | | | | 7,942,224 | |
| | | | | | | | |
| Austria - 0.6% | | | | | | |
| Erste Group Bank AG † | | | 41,170 | | | | 1,196,436 | |
| Vienna Insurance Group AG Wiener Versicherung Gruppe | | | 14,811 | | | | 436,713 | |
| voestalpine AG | | | 3,978 | | | | 136,774 | |
| | | | | | | | |
| | | | | | | 1,769,923 | |
| | | | | | | | |
| Belgium - 1.4% | | | | | | |
| Ageas | | | 2,501 | | | | 102,782 | |
| bpost SA | | | 32,911 | | | | 782,611 | |
| KBC Groep NV | | | 22,666 | | | | 1,433,443 | |
| Proximus | | | 45,165 | | | | 1,562,347 | |
| | | | | | | | |
| | | | | | | 3,881,183 | |
| | | | | | | | |
| Canada - 7.0% | | | | | | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 53,726 | | | | 2,470,712 | |
| Bank of Montreal (1) | | | 5,794 | | | | 315,989 | |
| BlackBerry Ltd. (1)† | | | 64,409 | | | | 395,286 | |
| Brookfield Asset Management, Inc., Class A (1) | | | 33,573 | | | | 1,056,373 | |
| Canadian Imperial Bank of Commerce (1) | | | 3,702 | | | | 265,978 | |
| CGI Group, Inc., Class A (1)† | | | 19,553 | | | | 708,421 | |
| Cogeco Cable, Inc. (1) | | | 8,706 | | | | 420,785 | |
| Empire Co., Ltd., Class A (1) | | | 75,837 | | | | 1,559,929 | |
| Fairfax Financial Holdings Ltd. (1) | | | 3,193 | | | | 1,454,113 | |
| George Weston Ltd. (1) | | | 16,178 | | | | 1,308,787 | |
| Great-West Lifeco, Inc. (1) | | | 40,683 | | | | 974,624 | |
| Intact Financial Corp. (1) | | | 35,279 | | | | 2,477,593 | |
| Loblaw Cos., Ltd. (1) | | | 30,956 | | | | 1,593,845 | |
| Magna International, Inc. (1) | | | 35,774 | | | | 1,715,919 | |
| Metro, Inc. (1) | | | 70,590 | | | | 1,923,306 | |
| National Bank of Canada (1) | | | 10,700 | | | | 341,566 | |
| Open Text Corp. (1) | | | 8,440 | | | | 377,950 | |
| Power Corp. of Canada (1) | | | 7,881 | | | | 163,408 | |
| Progressive Waste Solutions Ltd. (1) | | | 1,660 | | | | 43,898 | |
| Sun Life Financial, Inc. (1) | | | 14,555 | | | | 469,425 | |
| | | | | | | | |
| | | | | | | 20,037,907 | |
| | | | | | | | |
| Denmark - 1.5% | | | | | | |
| AP Moeller - Maersk A/S, Class B | | | 72 | | | | 110,987 | |
| Danske Bank A/S | | | 34,920 | | | | 1,055,295 | |
| DSV A/S | | | 2,235 | | | | 83,515 | |
| ISS A/S | | | 16,497 | | | | 547,976 | |
| Pandora A/S | | | 10,549 | | | | 1,232,324 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Denmark - 1.5% (continued) | | | | | | |
| Tryg A/S | | | 40,985 | | | $ | 796,314 | |
| Vestas Wind Systems A/S | | | 11,543 | | | | 600,109 | |
| | | | | | | | |
| | | | | | | 4,426,520 | |
| | | | | | | | |
| Finland - 0.8% | | | | | | |
| Elisa OYJ | | | 25,834 | | | | 873,891 | |
| Metsa Board OYJ | | | 37,943 | | | | 213,946 | |
| Nokia OYJ | | | 27,216 | | | | 186,098 | |
| Stora Enso OYJ, R Shares | | | 67,410 | | | | 510,059 | |
| UPM-Kymmene OYJ | | | 38,074 | | | | 571,518 | |
| | | | | | | | |
| | | | | | | 2,355,512 | |
| | | | | | | | |
| France - 6.6% | | | | | | |
| AXA SA | | | 76,455 | | | | 1,856,248 | |
| BNP Paribas SA | | | 40,285 | | | | 2,371,744 | |
| Cap Gemini SA | | | 12,898 | | | | 1,151,827 | |
| Christian Dior SE | | | 5,658 | | | | 1,060,052 | |
| Cie Generale des Etablissements Michelin | | | 3,002 | | | | 274,666 | |
| Credit Agricole SA | | | 56,528 | | | | 650,791 | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 15,594 | | | | 2,654,771 | |
| Natixis SA | | | 102,931 | | | | 569,908 | |
| Numericable-SFR SAS † | | | 7,777 | | | | 360,030 | |
| Orange SA | | | 85,315 | | | | 1,293,312 | |
| Peugeot SA † | | | 82,215 | | | | 1,245,769 | |
| Renault SA | | | 21,400 | | | | 1,544,069 | |
| Safran SA | | | 11,260 | | | | 846,658 | |
| Societe Generale SA | | | 49,645 | | | | 2,218,685 | |
| Valeo SA | | | 3,492 | | | | 474,134 | |
| Veolia Environnement SA | | | 16,704 | | | | 380,954 | |
| | | | | | | | |
| | | | | | | 18,953,618 | |
| | | | | | | | |
| Germany - 6.9% | | | | | | |
| Allianz SE | | | 18,406 | | | | 2,891,454 | |
| Brenntag AG | | | 1,828 | | | | 98,628 | |
| Continental AG | | | 6,183 | | | | 1,320,601 | |
| Daimler AG | | | 44,066 | | | | 3,208,141 | |
| Deutsche Bank AG | | | 43,834 | | | | 1,182,957 | |
| Deutsche Telekom AG | | | 134,152 | | | | 2,388,110 | |
| Evonik Industries AG | | | 7,172 | | | | 240,137 | |
| Hannover Rueck SE | | | 31,518 | | | | 3,228,422 | |
| HeidelbergCement AG | | | 6,323 | | | | 434,213 | |
| Infineon Technologies AG | | | 51,591 | | | | 579,647 | |
| Merck KGaA | | | 15,937 | | | | 1,411,004 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 5,870 | | | | 1,096,308 | |
| OSRAM Licht AG | | | 4,301 | | | | 222,828 | |
| ProSiebenSat.1 Media SE | | | 30,110 | | | | 1,477,968 | |
| | | | | | | | |
| | | | | | | 19,780,418 | |
| | | | | | | | |
| Hong Kong - 3.1% | | | | | | |
| BOC Hong Kong Holdings Ltd. | | | 627,000 | | | | 1,849,198 | |
| Cathay Pacific Airways Ltd. | | | 162,000 | | | | 305,075 | |
| CK Hutchison Holdings Ltd. | | | 61,500 | | | | 799,970 | |
| Henderson Land Development Co., Ltd. | | | 173,731 | | | | 1,038,857 | |
| Hysan Development Co., Ltd. | | | 42,000 | | | | 174,883 | |
| Kerry Properties Ltd. | | | 196,000 | | | | 538,139 | |
| Link REIT | | | 46,500 | | | | 256,002 | |
| New World Development Co., Ltd. | | | 566,000 | | | | 551,219 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
56
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Hong Kong - 3.1% (continued) | | | | | | |
| NWS Holdings Ltd. | | | 377,000 | | | $ | 496,950 | |
| Orient Overseas International Ltd. | | | 18,000 | | | | 84,696 | |
| PCCW Ltd. | | | 1,450,000 | | | | 746,396 | |
| Sino Land Co., Ltd. | | | 260,000 | | | | 395,879 | |
| Swire Properties Ltd. | | | 72,200 | | | | 200,116 | |
| Techtronic Industries Co., Ltd. | | | 63,500 | | | | 236,731 | |
| Wharf Holdings Ltd./The | | | 23,000 | | | | 129,775 | |
| Wheelock & Co., Ltd. | | | 81,000 | | | | 351,777 | |
| Yue Yuen Industrial Holdings Ltd. | | | 157,500 | | | | 585,973 | |
| | | | | | | | |
| | | | | | | 8,741,636 | |
| | | | | | | | |
| Italy - 3.0% | |
| Assicurazioni Generali SpA | | | 49,214 | | | | 900,429 | |
| Banco Popolare SC † | | | 69,272 | | | | 1,024,909 | |
| Intesa Sanpaolo SpA | | | 888,836 | | | | 3,139,991 | |
| Mediobanca SpA | | | 57,205 | | | | 562,825 | |
| Pirelli & C. SpA | | | 75,011 | | | | 1,255,236 | |
| Prysmian SpA | | | 64,027 | | | | 1,323,394 | |
| Telecom Italia SpA † | | | 122,135 | | | | 150,510 | |
| UnipolSai SpA | | | 61,823 | | | | 134,435 | |
| | | | | | | | |
| | | | | | | 8,491,729 | |
| | | | | | | | |
| Japan - 33.9% | | | | | | |
| AEON Financial Service Co., Ltd. | | | 39,900 | | | | 789,462 | |
| Aisin Seiki Co., Ltd. | | | 40,200 | | | | 1,348,789 | |
| Alps Electric Co., Ltd. | | | 19,600 | | | | 553,505 | |
| Asahi Kasei Corp. | | | 12,000 | | | | 84,617 | |
| Bank of Yokohama Ltd./The | | | 85,000 | | | | 516,632 | |
| Bridgestone Corp. | | | 42,000 | | | | 1,453,459 | |
| Central Japan Railway Co. | | | 11,700 | | | | 1,886,364 | |
| Chiba Bank Ltd./The | | | 157,000 | | | | 1,114,870 | |
| Chubu Electric Power Co., Inc. | | | 86,300 | | | | 1,272,427 | |
| Dai-ichi Life Insurance Co., Ltd./The | | | 156,600 | | | | 2,493,048 | |
| Daiichi Sankyo Co., Ltd. | | | 33,100 | | | | 574,350 | |
| Daiwa Securities Group, Inc. | | | 131,000 | | | | 847,636 | |
| Dentsu, Inc. | | | 27,900 | | | | 1,431,831 | |
| Fuji Heavy Industries Ltd. | | | 57,400 | | | | 2,065,510 | |
| FUJIFILM Holdings Corp. | | | 37,800 | | | | 1,413,046 | |
| Fukuoka Financial Group, Inc. | | | 310,000 | | | | 1,476,485 | |
| Gunma Bank Ltd./The | | | 80,000 | | | | 512,032 | |
| Hachijuni Bank Ltd./The | | | 172,000 | | | | 1,220,893 | |
| Hiroshima Bank Ltd./The | | | 253,000 | | | | 1,462,160 | |
| Hitachi Chemical Co., Ltd. | | | 38,600 | | | | 532,575 | |
| Hitachi High-Technologies Corp. | | | 21,200 | | | | 459,050 | |
| Hokuhoku Financial Group, Inc. | | | 755,000 | | | | 1,728,709 | |
| Hoya Corp. | | | 12,500 | | | | 409,399 | |
| Iida Group Holdings Co., Ltd. | | | 81,200 | | | | 1,270,330 | |
| ITOCHU Corp. | | | 36,600 | | | | 386,907 | |
| Iyo Bank Ltd./The | | | 67,800 | | | | 779,409 | |
| Japan Airlines Co., Ltd. | | | 5,800 | | | | 205,233 | |
| JFE Holdings, Inc. | | | 82,500 | | | | 1,083,551 | |
| JTEKT Corp. | | | 37,900 | | | | 530,638 | |
| Kansai Electric Power Co., Inc./The † | | | 69,100 | | | | 768,200 | |
| KDDI Corp. | | | 49,800 | | | | 1,114,679 | |
| Kobe Steel Ltd. | | | 300,000 | | | | 325,282 | |
| Koito Manufacturing Co., Ltd. | | | 36,600 | | | | 1,195,956 | |
| Konica Minolta, Inc. | | | 94,700 | | | | 997,642 | |
| Mabuchi Motor Co., Ltd. | | | 4,600 | | | | 199,730 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Japan - 33.9% (continued) | | | | | | |
| Mazda Motor Corp. | | | 8,800 | | | $ | 139,051 | |
| Medipal Holdings Corp. | | | 25,500 | | | | 404,608 | |
| MEIJI Holdings Co., Ltd. | | | 4,800 | | | | 351,987 | |
| Minebea Co., Ltd. | | | 68,000 | | | | 721,847 | |
| Mitsubishi Chemical Holdings Corp. | | | 155,600 | | | | 812,479 | |
| Mitsubishi Electric Corp. | | | 126,000 | | | | 1,154,228 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 855,900 | | | | 5,171,553 | |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 30,400 | | | | 133,926 | |
| Mitsui Chemicals, Inc. | | | 74,000 | | | | 237,168 | |
| Mixi, Inc. | | | 19,400 | | | | 663,927 | |
| Mizuho Financial Group, Inc. | | | 1,067,500 | | | | 1,996,868 | |
| MS&AD Insurance Group Holdings, Inc. | | | 41,200 | | | | 1,105,391 | |
| Murata Manufacturing Co., Ltd. | | | 16,500 | | | | 2,131,380 | |
| Nexon Co., Ltd. | | | 80,400 | | �� | | 1,074,914 | |
| Nippon Express Co., Ltd. | | | 36,000 | | | | 172,021 | |
| Nippon Telegraph & Telephone Corp. | | | 42,400 | | | | 1,493,482 | |
| Nishi-Nippon City Bank Ltd./The | | | 149,000 | | | | 409,422 | |
| Nissan Motor Co., Ltd. | | | 150,700 | | | | 1,385,626 | |
| Nitto Denko Corp. | | | 23,000 | | | | 1,377,533 | |
| NOK Corp. | | | 34,600 | | | | 748,595 | |
| Nomura Holdings, Inc. | | | 447,100 | | | | 2,595,132 | |
| NSK Ltd. | | | 70,900 | | | | 687,236 | |
| ORIX Corp. | | | 161,700 | | | | 2,085,824 | |
| Otsuka Holdings Co., Ltd. | | | 7,700 | | | | 245,873 | |
| Panasonic Corp. | | | 199,800 | | | | 2,022,001 | |
| Rohm Co., Ltd. | | | 5,400 | | | | 240,139 | |
| Seiko Epson Corp. | | | 25,500 | | | | 360,724 | |
| Sekisui House Ltd. | | | 23,200 | | | | 363,403 | |
| Shimadzu Corp. | | | 31,000 | | | | 447,555 | |
| Shinsei Bank Ltd. | | | 48,000 | | | | 98,671 | |
| Shionogi & Co., Ltd. | | | 15,600 | | | | 559,185 | |
| Sompo Japan Nipponkoa Holdings, Inc. | | | 52,200 | | | | 1,516,141 | |
| Sony Corp. | | | 100,300 | | | | 2,458,566 | |
| Sumitomo Chemical Co., Ltd. | | | 193,000 | | | | 975,949 | |
| Sumitomo Heavy Industries Ltd. | | | 177,000 | | | | 701,379 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 92,300 | | | | 3,500,045 | |
| Sumitomo Mitsui Trust Holdings, Inc. | | | 94,000 | | | | 344,514 | |
| Sumitomo Rubber Industries Ltd. | | | 32,800 | | | | 455,303 | |
| Suzuki Motor Corp. | | | 24,000 | | | | 737,999 | |
| T&D Holdings, Inc. | | | 76,700 | | | | 905,970 | |
| Taiyo Nippon Sanso Corp. | | | 34,800 | | | | 330,605 | |
| TDK Corp. | | | 18,200 | | | | 1,029,353 | |
| Teijin Ltd. | | | 149,000 | | | | 452,585 | |
| Tohoku Electric Power Co., Inc. | | | 101,600 | | | | 1,376,836 | |
| Tokio Marine Holdings, Inc. | | | 37,200 | | | | 1,389,792 | |
| Tokyo Electric Power Co., Inc. † | | | 339,600 | | | | 2,268,402 | |
| TOTO Ltd. | | | 7,500 | | | | 233,727 | |
| Toyota Motor Corp. | | | 146,400 | | | | 8,571,415 | |
| West Japan Railway Co. | | | 2,200 | | | | 137,887 | |
| Yamaguchi Financial Group, Inc. | | | 72,000 | | | | 882,575 | |
| Yamaha Corp. | | | 47,700 | | | | 1,056,468 | |
| Yamaha Motor Co., Ltd. | | | 71,900 | | | | 1,446,503 | |
| Yokohama Rubber Co., Ltd./The | | | 12,600 | | | | 222,228 | |
| | | | | | | | |
| | | | | | | 96,890,397 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
57
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Netherlands - 3.5% | | | | | | |
| Aegon NV | | | 80,835 | | | $ | 463,520 | |
| Boskalis Westminster | | | 6,484 | | | | 283,821 | |
| ING Groep NV CVA | | | 296,462 | | | | 4,200,131 | |
| Koninklijke Ahold NV | | | 148,126 | | | | 2,889,648 | |
| NN Group NV | | | 8,857 | | | | 254,260 | |
| Randstad Holding NV | | | 15,241 | | | | 910,967 | |
| Wolters Kluwer NV | | | 29,685 | | | | 915,466 | |
| | | | | | | | |
| | | | | | | 9,917,813 | |
| | | | | | | | |
| Portugal - 0.0% (a) | | | | | | |
| Jeronimo Martins SGPS SA | | | 9,943 | | | | 134,194 | |
| | | | | | | | |
| | |
| Singapore - 2.3% | | | | | | |
| CapitaLand Commercial Trust Ltd. REIT | | | 273,500 | | | | 258,225 | |
| ComfortDelGro Corp. Ltd. | | | 430,600 | | | | 869,890 | |
| DBS Group Holdings Ltd. | | | 150,700 | | | | 1,720,141 | |
| Oversea-Chinese Banking Corp. Ltd. | | | 317,400 | | | | 1,965,430 | |
| United Overseas Bank Ltd. | | | 87,900 | | | | 1,147,720 | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 680,400 | | | | 544,050 | |
| | | | | | | | |
| | | | | | | 6,505,456 | |
| | | | | | | | |
| South Africa - 0.2% | | | | | | |
| Investec PLC | | | 20,356 | | | | 155,864 | |
| Mondi PLC | | | 24,564 | | | | 514,841 | |
| | | | | | | | |
| | | | | | | 670,705 | |
| | | | | | | | |
| Spain - 1.3% | |
| Endesa SA | | | 27,800 | | | | 586,257 | |
| Ferrovial SA | | | 53,482 | | | | 1,279,298 | |
| Gas Natural SDG SA | | | 19,740 | | | | 385,170 | |
| Iberdrola SA | | | 100,533 | | | | 669,874 | |
| Mapfre SA | | | 101,215 | | | | 264,661 | |
| Telefonica SA | | | 42,738 | | | | 518,497 | |
| | | | | | | | |
| | | | | | | 3,703,757 | |
| | | | | | | | |
| Sweden - 1.6% | | | | | | |
| Boliden AB | | | 8,737 | | | | 136,805 | |
| Electrolux AB, Series B | | | 19,837 | | | | 560,530 | |
| Husqvarna AB, B Shares | | | 15,781 | | | | 103,497 | |
| Investor AB, B Shares | | | 5,717 | | | | 196,442 | |
| L E Lundbergforetagen AB, B Shares | | | 3,259 | | | | 157,462 | |
| Nordea Bank AB | | | 90,479 | | | | 1,009,431 | |
| Securitas AB, B Shares | | | 95,343 | | | | 1,166,052 | |
| Tele2 AB, B Shares | | | 104,476 | | | | 1,018,913 | |
| Telefonaktiebolaget LM Ericsson, B Shares | | | 28,109 | | | | 275,739 | |
| | | | | | | | |
| | | | | | | 4,624,871 | |
| | | | | | | | |
| Switzerland - 5.1% | | | | | | |
| Actelion Ltd. † | | | 2,738 | | | | 347,989 | |
| Baloise Holding AG | | | 21,167 | | | | 2,425,824 | |
| Credit Suisse Group AG † | | | 31,534 | | | | 757,978 | |
| Givaudan SA † | | | 692 | | | | 1,125,997 | |
| Swiss Life Holding AG † | | | 8,990 | | | | 2,005,356 | |
| Swiss Re AG | | | 41,311 | | | | 3,544,366 | |
| Swisscom AG | | | 984 | | | | 491,082 | |
| Zurich Insurance Group AG † | | | 15,424 | | | | 3,786,689 | |
| | | | | | | | |
| | | | | | | 14,485,281 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| United Kingdom - 14.7% | | | | | | |
| 3i Group PLC | | | 125,998 | | | $ | 890,036 | |
| AstraZeneca PLC | | | 7,394 | | | | 468,917 | |
| Aviva PLC | | | 212,707 | | | | 1,454,825 | |
| BAE Systems PLC | | | 225,156 | | | | 1,526,242 | |
| Barclays PLC | | | 536,995 | | | | 1,987,307 | |
| Barratt Developments PLC | | | 66,926 | | | | 653,732 | |
| British Land Co. PLC/The REIT | | | 80,014 | | | | 1,016,149 | |
| BT Group PLC | | | 680,887 | | | | 4,333,536 | |
| Direct Line Insurance Group PLC | | | 548,063 | | | | 3,109,796 | |
| Dixons Carphone PLC | | | 216,907 | | | | 1,394,061 | |
| Fiat Chrysler Automobiles NV † | | | 172,057 | | | | 2,236,319 | |
| Hammerson PLC REIT | | | 43,773 | | | | 413,334 | |
| HSBC Holdings PLC | | | 140,660 | | | | 1,061,099 | |
| Imperial Tobacco Group PLC | | | 42,158 | | | | 2,179,519 | |
| International Consolidated Airlines Group SA † | | | 117,893 | | | | 1,056,199 | |
| Intu Properties PLC REIT | | | 169,532 | | | | 846,176 | |
| Kingfisher PLC | | | 79,861 | | | | 433,824 | |
| Land Securities Group PLC REIT | | | 27,580 | | | | 525,784 | |
| Legal & General Group PLC | | | 187,218 | | | | 675,066 | |
| Marks & Spencer Group PLC | | | 185,873 | | | | 1,410,920 | |
| National Grid PLC | | | 234,105 | | | | 3,260,414 | |
| Next PLC | | | 2,690 | | | | 310,001 | |
| Persimmon PLC † | | | 34,106 | | | | 1,038,063 | |
| Prudential PLC | | | 33,550 | | | | 707,789 | |
| Royal Mail PLC | | | 70,610 | | | | 490,622 | |
| Sage Group PLC/The | | | 71,455 | | | | 540,598 | |
| Shire PLC | | | 24,004 | | | | 1,640,961 | |
| Sky PLC | | | 12,241 | | | | 193,665 | |
| Taylor Wimpey PLC | | | 222,177 | | | | 658,261 | |
| Vodafone Group PLC | | | 1,019,317 | | | | 3,215,013 | |
| William Hill PLC | | | 67,084 | | | | 356,795 | |
| WPP PLC | | | 95,069 | | | | 1,979,244 | |
| | | | | | | | |
| | | | | | | 42,064,267 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $299,830,756) | | | | | | | 275,377,411 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS (ETF) - 2.5% | | | | |
| | |
| United States - 2.5% | | | | | | |
| iShares MSCI EAFE ETF (1) | | | | | | | | |
(cost $7,403,564) | | | 127,839 | | | | 7,327,731 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 1.1% | | | | | | |
J.P. Morgan U.S. Treasury Plus Money
Market Fund - IM Shares, 0.000% (b) | |
(cost $3,009,087) | | | 3,009,087 | | | | 3,009,087 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.9%
(cost $310,243,407) | | | | | | | 285,714,229 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.1% | | | | | 253,840 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 285,968,069 | |
| | | | | | | | |
| † | Non-income producing security. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | Represents annualized seven-day yield as of the close of the reporting period. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
58
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 60,836,396 | | | | 21.3 | % |
| Consumer Staples | | | 14,411,928 | | | | 5.0 | |
| Energy | | | 114,149 | | | | 0.0 | (a) |
| Exchange-Traded Funds | | | 7,327,731 | | | | 2.5 | |
| Financials | | | 114,109,910 | | | | 40.0 | |
| Health Care | | | 6,711,838 | | | | 2.3 | |
| Industrials | | | 22,682,557 | | | | 7.9 | |
| Information Technology | | | 13,586,802 | | | | 4.8 | |
| Materials | | | 10,564,047 | | | | 3.7 | |
| Telecommunication Services | | | 21,391,250 | | | | 7.5 | |
| Utilities | | | 10,968,534 | | | | 3.8 | |
| Money Market Funds | | | 3,009,087 | | | | 1.1 | |
| | | | | | | | |
Total Investments In Securities, At Value | | | 285,714,229 | | | | 99.9 | |
| Other Assets in Excess of Liabilities | | | 253,840 | | | | 0.1 | |
| | | | | | | | |
Net Assets | | $ | 285,968,069 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
59
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR EMERGING MULTI-STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 95.3% | | SHARES | | | VALUE
(Note 4) | |
| Brazil - 3.0% | | | | | | |
| Banco do Brasil SA (1) | | | 21,500 | | | $ | 81,510 | |
| BRF SA ADR (1) | | | 10,238 | | | | 182,134 | |
| Cia Paranaense de Energia ADR (1)(a) | | | 15,535 | | | | 127,542 | |
| EDP - Energias do Brasil SA (1) | | | 142,800 | | | | 419,990 | |
| Equatorial Energia SA (1) | | | 37,800 | | | | 323,986 | |
| Fibria Celulose SA ADR (1)(a) | | | 69,981 | | | | 948,942 | |
| Itau Unibanco Holding SA ADR (1) | | | 109,590 | | | | 725,486 | |
| JBS SA (1) | | | 282,600 | | | | 1,196,835 | |
| Lojas Renner SA (1) | | | 128,500 | | | | 600,931 | |
| Porto Seguro SA (1) | | | 67,900 | | | | 513,810 | |
| Telefonica Brasil SA ADR (1) | | | 62,647 | | | | 571,967 | |
| | | | | | | | |
| | | | | | | 5,693,133 | |
| | | | | | | | |
| Chile - 0.9% | | | | | | |
| Corpbanca SA (1) | | | 46,916,638 | | | | 413,264 | |
| Enersis SA ADR (1) | | | 108,155 | | | | 1,367,079 | |
| | | | | | | | |
| | | | | | | 1,780,343 | |
| | | | | | | | |
| China - 27.9% | | | | | | |
| Agricultural Bank of China Ltd., H Shares | | | 3,998,000 | | | | 1,518,418 | |
| Air China Ltd., H Shares | | | 130,000 | | | | 102,964 | |
| Anhui Conch Cement Co., Ltd., H Shares | | | 112,000 | | | | 331,128 | |
| ANTA Sports Products Ltd. | | | 231,000 | | | | 599,632 | |
| Bank of China Ltd., H Shares | | | 11,625,000 | | | | 5,013,082 | |
| Bank of Communications Co., Ltd., H Shares (a) | | | 2,371,000 | | | | 1,652,691 | |
| Beijing Capital International Airport Co., Ltd., H Shares | | | 414,000 | | | | 386,972 | |
| Belle International Holdings Ltd. | | | 965,000 | | | | 839,240 | |
| China Cinda Asset Management Co., Ltd., H Shares | | | 398,000 | | | | 138,401 | |
| China CITIC Bank Corp. Ltd., H Shares † | | | 1,306,000 | | | | 760,487 | |
| China Construction Bank Corp., H Shares | | | 10,009,000 | | | | 6,679,332 | |
| China Everbright Bank Co., Ltd., H Shares | | | 1,811,000 | | | | 791,307 | |
| China Galaxy Securities Co., Ltd., H Shares (a) | | | 934,000 | | | | 661,688 | |
| China Life Insurance Co., Ltd., H Shares | | | 275,000 | | | | 958,204 | |
| China Merchants Bank Co., Ltd., H Shares | | | 1,261,000 | | | | 3,073,442 | |
| China Minsheng Banking Corp. Ltd., H Shares | | | 2,766,000 | | | | 2,563,849 | |
| China National Building Material Co., Ltd., H Shares | | | 256,000 | | | | 148,331 | |
| China Railway Construction Corp. Ltd., H Shares (a) | | | 190,000 | | | | 281,077 | |
| China Railway Group Ltd., H Shares | | | 294,000 | | | | 268,531 | |
| China Southern Airlines Co., Ltd., H Shares | | | 950,000 | | | | 696,164 | |
| China Telecom Corp. Ltd., H Shares | | | 1,874,000 | | | | 907,987 | |
| China Vanke Co., Ltd., H Shares | | | 616,300 | | | | 1,324,024 | |
| Chongqing Rural Commercial Bank Co., Ltd., H Shares | | | 1,090,000 | | | | 619,724 | |
| CNOOC Ltd. ADR (1) | | | 21,502 | | | | 2,216,426 | |
| Country Garden Holdings Co., Ltd. | | | 1,939,000 | | | | 702,521 | |
| Evergrande Real Estate Group Ltd. (a) | | | 1,377,000 | | | | 786,863 | |
| Geely Automobile Holdings Ltd. | | | 1,665,000 | | | | 798,061 | |
| GOME Electrical Appliances Holding Ltd. (a) | | | 999,000 | | | | 152,537 | |
| Great Wall Motor Co., Ltd., H Shares | | | 270,000 | | | | 301,262 | |
| Huadian Power International Corp. Ltd., H Shares | | | 948,000 | | | | 743,839 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| China - 27.9% (continued) | | | | | | |
| Huaneng Power International, Inc., H Shares | | | 414,000 | | | $ | 448,265 | |
| Industrial & Commercial Bank of China Ltd., H Shares | | | 10,417,000 | | | | 6,017,943 | |
| Longfor Properties Co., Ltd. | | | 361,500 | | | | 457,730 | |
| New China Life Insurance Co., Ltd., H Shares | | | 94,500 | | | | 409,635 | |
| People’s Insurance Co. Group of China Ltd./The, H Shares | | | 1,436,000 | | | | 704,731 | |
| PICC Property & Casualty Co., Ltd., H Shares | | | 510,000 | | | | 998,933 | |
| Ping An Insurance Group Co. of China Ltd., H Shares (a) | | | 1,075,500 | | | | 5,374,258 | |
| Shui On Land Ltd. | | | 1,601,500 | | | | 369,680 | |
| Sihuan Pharmaceutical Holdings Group Ltd. (3)(b) | | | 24,000 | | | | 13,254 | |
| Sino-Ocean Land Holdings Ltd. | | | 1,119,500 | | | | 612,647 | |
| Sinopec Shanghai Petrochemical Co., Ltd., H Shares † | | | 186,000 | | | | 71,321 | |
| Sunac China Holdings Ltd. | | | 817,000 | | | | 428,592 | |
| Zhejiang Expressway Co., Ltd., H Shares | | | 50,000 | | | | 54,617 | |
| ZHuzhou CSR Times Electric Co., Ltd., H Shares (a) | | | 31,500 | | | | 234,393 | |
| ZTE Corp., H Shares | | | 226,000 | | | | 516,931 | |
| | | | | | | | |
| | | | | | | 52,731,114 | |
| | | | | | | | |
| Hong Kong - 8.9% | | | | | | |
| China Everbright Ltd. | | | 352,000 | | | | 808,437 | |
| China Jinmao Holdings Group Ltd. | | | 1,746,000 | | | | 441,626 | |
| China Mobile Ltd. ADR (1) | | | 136,238 | | | | 8,106,161 | |
| China Overseas Land & Investment Ltd. (a) | | | 592,000 | | | | 1,799,905 | |
| China Power International Development Ltd. | | | 1,108,000 | | | | 722,751 | |
| China Resources Land Ltd. | | | 494,000 | | | | 1,166,491 | |
| China Resources Power Holdings Co., Ltd. | | | 176,000 | | | | 404,074 | |
| China Taiping Insurance Holdings Co., Ltd. † | | | 276,000 | | | | 863,774 | |
| China Unicom Hong Kong Ltd. | | | 222,000 | | | | 282,426 | |
| CITIC Ltd. | | | 149,000 | | | | 272,032 | |
| Far East Horizon Ltd. | | | 778,000 | | | | 604,168 | |
| Nine Dragons Paper Holdings Ltd. | | | 111,000 | | | | 57,895 | |
| Shimao Property Holdings Ltd. | | | 270,000 | | | | 408,015 | |
| Sino Biopharmaceutical Ltd. (a) | | | 348,000 | | | | 430,949 | |
| Yuexiu Property Co., Ltd. | | | 2,648,000 | | | | 436,206 | |
| | | | | | | | |
| | | | | | | 16,804,910 | |
| | | | | | | | |
| Hungary - 1.7% | | | | | | |
| MOL Hungarian Oil & Gas PLC | | | 20,830 | | | | 907,743 | |
| OTP Bank PLC | | | 76,262 | | | | 1,472,136 | |
| Richter Gedeon Nyrt | | | 56,249 | | | | 894,275 | |
| | | | | | | | |
| | | | | | | 3,274,154 | |
| | | | | | | | |
| India - 1.1% | | | | | | |
| Infosys Ltd. ADR (1) | | | 7,302 | | | | 139,395 | |
| Reliance Industries Ltd. GDR 144A (c) | | | 5,256 | | | | 136,713 | |
| State Bank of India GDR | | | 30,701 | | | | 1,117,997 | |
| Tata Motors Ltd. ADR (1)† | | | 33,556 | | | | 755,010 | |
| | | | | | | | |
| | | | | | | 2,149,115 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
60
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR EMERGING MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Indonesia - 0.6% | | | | | | |
| Adaro Energy Tbk PT | | | 1,770,700 | | | $ | 64,935 | |
| Bank Negara Indonesia Persero Tbk PT | | | 1,005,100 | | | | 284,739 | |
| Lippo Karawaci Tbk PT | | | 2,784,300 | | | | 215,076 | |
| Telekomunikasi Indonesia Persero Tbk PT | | | 656,800 | | | | 118,619 | |
| United Tractors Tbk PT | | | 340,700 | | | | 407,856 | |
| | | | | | | | |
| | | | | | | 1,091,225 | |
| | | | | | | | |
| Korea, Republic of - 16.8% | | | | | | |
| Amorepacific Corp. | | | 1,490 | | | | 485,544 | |
| AMOREPACIFIC Group | | | 3,820 | | | | 527,568 | |
| BGF retail Co., Ltd. | | | 895 | | | | 152,869 | |
| BNK Financial Group, Inc. | | | 61,117 | | | | 708,640 | |
| CJ Corp. | | | 3,538 | | | | 790,025 | |
| Daewoo Securities Co., Ltd. | | | 70,177 | | | | 711,004 | |
| Dongbu Insurance Co., Ltd. | | | 15,741 | | | | 816,389 | |
| Hankook Tire Co., Ltd. | | | 4,248 | | | | 142,211 | |
| Hanwha Chemical Corp. | | | 19,280 | | | | 353,539 | |
| Hanwha Corp. | | | 22,869 | | | | 753,243 | |
| Hanwha Life Insurance Co., Ltd. | | | 111,489 | | | | 768,211 | |
| Hyosung Corp. | | | 8,313 | | | | 794,080 | |
| Hyundai Department Store Co., Ltd. | | | 2,189 | | | | 248,059 | |
| Hyundai Development Co.-Engineering & Construction | | | 11,197 | | | | 517,057 | |
| Hyundai Marine & Fire Insurance Co., Ltd. | | | 26,623 | | | | 679,276 | |
| Hyundai Steel Co. | | | 10,160 | | | | 442,859 | |
| Industrial Bank of Korea | | | 32,025 | | | | 368,839 | |
| Kangwon Land, Inc. | | | 4,166 | | | | 148,899 | |
| KB Financial Group, Inc. | | | 42,476 | | | | 1,262,588 | |
| Kia Motors Corp. | | | 4,270 | | | | 193,564 | |
| Korea Electric Power Corp. | | | 31,494 | | | | 1,298,462 | |
| Korea Investment Holdings Co., Ltd. | | | 10,272 | | | | 531,278 | |
| Korean Air Lines Co., Ltd. † | | | 27,147 | | | | 719,515 | |
| KT Corp. † | | | 4,013 | | | | 104,284 | |
| KT&G Corp. | | | 3,537 | | | | 333,063 | |
| LG Corp. | | | 4,009 | | | | 206,404 | |
| LG Display Co., Ltd. | | | 41,979 | | | | 801,422 | |
| LG Household & Health Care Ltd. | | | 1,293 | | | | 935,730 | |
| LG Innotek Co., Ltd. | | | 933 | | | | 69,621 | |
| LG Uplus Corp. | | | 86,590 | | | | 886,319 | |
| Lotte Chemical Corp. | | | 4,250 | | | | 973,920 | |
| Mirae Asset Securities Co., Ltd. | | | 30,300 | | | | 717,079 | |
| NCSoft Corp. | | | 2,521 | | | | 403,065 | |
| NH Investment & Securities Co., Ltd. | | | 42,254 | | | | 357,223 | |
| Samsung Card Co., Ltd. | | | 19,495 | | | | 596,969 | |
| Samsung Electro-Mechanics Co., Ltd. | | | 3,089 | | | | 168,358 | |
| Samsung Electronics Co., Ltd. GDR | | | 13,758 | | | | 6,506,545 | |
| Samsung Fire & Marine Insurance Co., Ltd. | | | 1,936 | | | | 457,171 | |
| Samsung Life Insurance Co., Ltd. | | | 7,722 | | | | 645,754 | |
| Samsung Securities Co., Ltd. | | | 7,210 | | | | 278,288 | |
| Shinhan Financial Group Co., Ltd. | | | 2,168 | | | | 75,819 | |
| Shinsegae Co., Ltd. | | | 1,867 | | | | 373,839 | |
| SK Hynix, Inc. | | | 50,511 | | | | 1,440,600 | |
| SK Innovation Co., Ltd. † | | | 9,545 | | | | 794,986 | |
| SK Telecom Co., Ltd. ADR (1) | | | 18,156 | | | | 443,006 | |
| S-Oil Corp. | | | 14,796 | | | | 787,325 | |
| | | | | | | | |
| | | | | | | 31,770,509 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Malaysia - 0.7% | | | | | | |
| Tenaga Nasional Bhd | | | 351,000 | | | $ | 959,998 | |
| YTL Corp. Bhd | | | 994,100 | | | | 362,029 | |
| | | | | | | | |
| | | | | | | 1,322,027 | |
| | | | | | | | |
| Malta - 0.6% | | | | | | |
| Brait SE †(a) | | | 107,096 | | | | 1,088,088 | |
| | | | | | | | |
| | |
| Mexico - 0.2% | | | | | | |
| Gruma SAB de CV, Class B (1) | | | 26,000 | | | | 361,126 | |
| | | | | | | | |
| | |
| Peru - 0.1% | | | | | | |
| Cia de Minas Buenaventura SAA ADR (1) | | | 20,169 | | | | 120,207 | |
| Credicorp Ltd. (1) | | | 763 | | | | 81,153 | |
| | | | | | | | |
| | | | | | | 201,360 | |
| | | | | | | | |
| Poland - 2.6% | | | | | | |
| Enea SA | | | 150,273 | | | | 534,471 | |
| Energa SA | | | 141,692 | | | | 628,862 | |
| Eurocash SA | | | 15,883 | | | | 187,057 | |
| Grupa Azoty SA † | | | 18,433 | | | | 429,896 | |
| Grupa Lotos SA † | | | 33,046 | | | | 243,046 | |
| KGHM Polska Miedz SA | | | 22,783 | | | | 492,147 | |
| Orange Polska SA | | | 81,312 | | | | 155,447 | |
| PGE Polska Grupa Energetyczna SA | | | 38,935 | | | | 138,340 | |
| Polski Koncern Naftowy Orlen SA | | | 58,658 | | | | 1,024,154 | |
| Polskie Gornictwo Naftowe i Gazownictwo SA | | | 502,564 | | | | 863,929 | |
| Tauron Polska Energia SA | | | 154,234 | | | | 133,220 | |
| | | | | | | | |
| | | | | | | 4,830,569 | |
| | | | | | | | |
| Russia - 2.2% | | | | | | |
| MMC Norilsk Nickel PJSC ADR | | | 92,772 | | | | 1,333,037 | |
| Severstal PAO GDR | | | 135,930 | | | | 1,442,377 | |
| Sistema JSFC GDR | | | 21,171 | | | | 146,296 | |
| Tatneft PAO ADR | | | 36,704 | | | | 1,029,282 | |
| Uralkali PJSC GDR † | | | 17,699 | | | | 262,941 | |
| | | | | | | | |
| | | | | | | 4,213,933 | |
| | | | | | | | |
| South Africa - 7.1% | | | | | | |
| Bidvest Group Ltd./The | | | 4,794 | | | | 113,141 | |
| Capitec Bank Holdings Ltd. | | | 16,334 | | | | 591,159 | |
| Discovery Ltd. | | | 15,232 | | | | 151,545 | |
| FirstRand Ltd. | | | 105,245 | | | | 373,988 | |
| Foschini Group Ltd./The | | | 11,876 | | | | 120,605 | |
| Gold Fields Ltd. ADR (1) | | | 80,727 | | | | 214,734 | |
| Growthpoint Properties Ltd. REIT | | | 48,888 | | | | 90,580 | |
| Hyprop Investments Ltd. REIT | | | 78,950 | | | | 687,667 | |
| Investec Ltd. | | | 116,850 | | | | 894,321 | |
| Liberty Holdings Ltd. | | | 57,907 | | | | 529,069 | |
| MMI Holdings Ltd. | | | 287,737 | | | | 495,095 | |
| Mondi Ltd. | | | 48,473 | | | | 1,016,350 | |
| MTN Group Ltd. | | | 102,681 | | | | 1,320,406 | |
| Netcare Ltd. | | | 279,934 | | | | 735,023 | |
| Redefine Properties Ltd. REIT | | | 704,107 | | | | 595,159 | |
| Resilient Property Income Fund Ltd. REIT | | | 80,551 | | | | 674,999 | |
| Sappi Ltd. † | | | 110,582 | | | | 339,592 | |
| SPAR Group Ltd./The | | | 40,344 | | | | 539,735 | |
| Standard Bank Group Ltd. | | | 89,349 | | | | 872,420 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
61
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR EMERGING MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| South Africa - 7.1% (continued) | | | | | | |
| Steinhoff International Holdings Ltd. | | | 189,969 | | | $ | 1,166,494 | |
| Telkom SA SOC Ltd. | | | 193,376 | | | | 929,730 | |
| Truworths International Ltd. | | | 103,789 | | | | 637,784 | |
| Woolworths Holdings Ltd. | | | 39,876 | | | | 279,083 | |
| | | | | | | | |
| | | | | | | 13,368,679 | |
| | | | | | | | |
| Taiwan - 17.0% | | | | | | |
| Advanced Semiconductor Engineering, Inc. | | | 652,000 | | | | 710,410 | |
| Asustek Computer, Inc. | | | 63,000 | | | | 541,674 | |
| AU Optronics Corp. | | | 2,830,000 | | | | 837,868 | |
| Casetek Holdings Ltd. | | | 159,000 | | | | 679,889 | |
| Catcher Technology Co., Ltd. | | | 109,000 | | | | 1,165,287 | |
| Cathay Financial Holding Co., Ltd. | | | 625,200 | | | | 856,304 | |
| Chailease Holding Co., Ltd. | | | 344,240 | | | | 541,253 | |
| Chicony Electronics Co., Ltd. | | | 109,545 | | | | 253,243 | |
| China Airlines Ltd. † | | | 2,136,000 | | | | 732,298 | |
| China Development Financial Holding Corp. | | | 2,034,000 | | | | 548,706 | |
| China Life Insurance Co., Ltd./Taiwan | | | 1,276,500 | | | | 972,380 | |
| Compal Electronics, Inc. | | | 451,000 | | | | 256,183 | |
| CTBC Financial Holding Co., Ltd. | | | 1,231,259 | | | | 636,475 | |
| E.Sun Financial Holding Co., Ltd. | | | 594,000 | | | | 350,119 | |
| Eva Airways Corp. † | | | 1,340,000 | | | | 751,765 | |
| Evergreen Marine Corp. Taiwan Ltd. | | | 314,110 | | | | 132,700 | |
| Far EasTone Telecommunications Co., Ltd. | | | 282,000 | | | | 608,186 | |
| Feng TAY Enterprise Co., Ltd. | | | 29,870 | | | | 186,167 | |
| Foxconn Technology Co., Ltd. | | | 334,613 | | | | 961,775 | |
| Fubon Financial Holding Co., Ltd. | | | 1,094,000 | | | | 1,712,592 | |
| Hon Hai Precision Industry Co., Ltd. | | | 861,630 | | | | 2,250,966 | |
| Innolux Corp. | | | 2,982,000 | | | | 933,917 | |
| Inotera Memories, Inc. † | | | 460,000 | | | | 289,178 | |
| Inventec Corp. | | | 536,000 | | | | 255,393 | |
| Largan Precision Co., Ltd. | | | 2,000 | | | | 156,090 | |
| Mega Financial Holding Co., Ltd. | | | 643,000 | | | | 446,647 | |
| Novatek Microelectronics Corp. | | | 161,000 | | | | 505,474 | |
| Pegatron Corp. | | | 452,000 | | | | 1,106,176 | |
| Pou Chen Corp. | | | 579,000 | | | | 870,993 | |
| Powertech Technology, Inc. | | | 412,000 | | | | 746,357 | |
| Realtek Semiconductor Corp. | | | 150,000 | | | | 255,372 | |
| Shin Kong Financial Holding Co., Ltd. | | | 2,857,786 | | | | 679,684 | |
| Siliconware Precision Industries Co., Ltd. | | | 80,000 | | | | 99,733 | |
| SinoPac Financial Holdings Co., Ltd. | | | 1,107,841 | | | | 351,173 | |
| Taiwan Business Bank † | | | 679,106 | | | | 168,783 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | | | 286,859 | | | | 5,952,324 | |
| Transcend Information, Inc. | | | 136,000 | | | | 343,857 | |
| Uni-President Enterprises Corp. | | | 173,000 | | | | 300,423 | |
| United Microelectronics Corp. | | | 2,122,000 | | | | 697,045 | |
| Wan Hai Lines Ltd. | | | 1,249,000 | | | | 790,778 | |
| Wistron Corp. | | | 375,192 | | | | 196,182 | |
| WPG Holdings Ltd. | | | 193,000 | | | | 186,451 | |
| Yang Ming Marine Transport Corp. † | | | 339,000 | | | | 98,476 | |
| Zhen Ding Technology Holding Ltd. | | | 318,000 | | | | 911,522 | |
| | | | | | | | |
| | | | | | | 32,028,268 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Thailand - 2.1% | | | | | | |
| Bangkok Bank PCL NVDR | | | 34,600 | | | $ | 152,851 | |
| Delta Electronics Thailand PCL NVDR | | | 263,100 | | | | 638,749 | |
| IRPC PCL NVDR | | | 4,761,300 | | | | 495,084 | |
| Kasikornbank PCL NVDR | | | 24,100 | | | | 113,838 | |
| Krung Thai Bank PCL NVDR | | | 257,900 | | | | 121,744 | |
| PTT Global Chemical PCL NVDR | | | 468,100 | | | | 695,402 | |
| PTT PCL NVDR | | | 129,000 | | | | 856,659 | |
| Siam Commercial Bank PCL/The NVDR | | | 15,400 | | | | 56,997 | |
| Thai Oil PCL NVDR | | | 217,500 | | | | 317,072 | |
| Thai Union Group PCL NVDR | | | 860,800 | | | | 437,169 | |
| TMB Bank PCL NVDR | | | 2,246,000 | | | | 150,007 | |
| | | | | | | | |
| | | | | | | 4,035,572 | |
| | | | | | | | |
| Turkey - 1.8% | | | | | | |
| Eregli Demir ve Celik Fabrikalari TAS | | | 666,486 | | | | 822,723 | |
| TAV Havalimanlari Holding AS | | | 90,246 | | | | 709,130 | |
| Turk Hava Yollari AO † | | | 349,815 | | | | 922,920 | |
| Turk Telekomunikasyon AS | | | 142,535 | | | | 281,324 | |
| Turkiye Sise ve Cam Fabrikalari AS | | | 404,528 | | | | 383,985 | |
| Turkiye Vakiflar Bankasi Tao, Class D | | | 174,592 | | | | 221,332 | |
| | | | | | | | |
| | | | | | | 3,341,414 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $214,015,897) | | | | | | | 180,085,539 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 1.3% | | | | | | |
| | |
| Brazil - 1.2% | | | | | | |
| Banco do Estado do Rio Grande do Sul SA, Series B (1) | | | 142,800 | | | | 200,990 | |
| Braskem SA, Class A (1) | | | 40,700 | | | | 172,060 | |
| Cia Energetica de Sao Paulo, Series B (1) | | | 149,300 | | | | 572,797 | |
| Itausa - Investimentos Itau SA (1) | | | 55,310 | | | | 99,612 | |
| Suzano Papel e Celulose SA, Series A (1) | | | 223,800 | | | | 1,088,940 | |
| | | | | | | | |
| | | | | | | 2,134,399 | |
| | | | | | | | |
| Chile - 0.1% | | | | | | |
| Embotelladora Andina SA, Series B (1) | | | 70,097 | | | | 242,608 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $3,031,698) | | | | | | | 2,377,007 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS (ETF) - 1.7% | | | | |
| | |
| United States - 1.7% | | | | | | |
| iShares MSCI Emerging Markets ETF (1)(a) | | | | | | | | |
(cost $3,289,317) | | | 100,856 | | | | 3,306,059 | |
| | | | | | | | |
| | |
| RIGHTS - 0.1% | | | | | | |
| | |
| Korea, Republic of - 0.1% | | | | | | |
| Mirae Asset Securities Co., Ltd. † | | | | | | | | |
(cost $160,994) | | | 21,962 | | | | 96,372 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 1.6% | | | | | | |
J.P. Morgan U.S. Treasury Plus Money
Market Fund - IM Shares, 0.000% (d) | | | | | |
(cost $3,067,339) | | | 3,067,339 | | | | 3,067,339 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
62
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR EMERGING MULTI-STYLE FUND | | |
| | | | | | | | |
SECURITIES LENDING
COLLATERAL - 3.7% | | SHARES | | | VALUE
(Note 4) | |
| Money Market Funds - 3.7% | | | | | | |
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank
Dreyfus Treasury Cash Management, 0.010% (d)(e) | | | | | | | | |
(cost $6,988,846) | | | 6,988,846 | | | $ | 6,988,846 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 103.7%
(cost $230,554,091) | | | | | | | 195,921,162 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (3.7%) | | | | | (6,931,822) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 188,989,340 | |
| | | | | | | | |
| † | Non-income producing security. |
| (a) | All or a portion of the security on loan. The aggregate market value of such securities is $6,800,176; cash collateral of $6,988,846 was received with which the Fund purchased a money market fund. |
| (b) | Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $13,254 or 0.0% of total net assets. |
| (c) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
| (d) | Represents annualized seven-day yield as of the close of the reporting period. |
| (e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 8,414,369 | | | | 4.5 | % |
| Consumer Staples | | | 5,881,862 | | | | 3.1 | |
| Energy | | | 9,737,355 | | | | 5.2 | |
| Exchange-Traded Funds | | | 3,306,059 | | | | 1.7 | |
| Financials | | | 78,548,455 | | | | 41.5 | |
| Health Care | | | 2,073,501 | | | | 1.1 | |
| Industrials | | | 9,572,799 | | | | 5.1 | |
| Information Technology | | | 30,977,049 | | | | 16.4 | |
| Materials | | | 13,305,665 | | | | 7.0 | |
| Telecommunication Services | | | 14,862,158 | | | | 7.9 | |
| Utilities | | | 9,185,705 | | | | 4.9 | |
| Money Market Funds | | | 3,067,339 | | | | 1.6 | |
| Securities Lending Collateral | | | 6,988,846 | | | | 3.7 | |
| | | | | | | | |
Total Investments In Securities, At Value | | | 195,921,162 | | | | 103.7 | |
| Liabilities in Excess of Other Assets | | | (6,931,822 | ) | | | (3.7 | ) |
| | | | | | | | |
Net Assets | | $ | 188,989,340 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
63
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| COMMON STOCKS - 92.5% | | | | | | |
| Consumer Discretionary - 17.4% | | | | | | |
| Advance Auto Parts, Inc. | | | 278 | | | $ | 52,689 | |
| Amazon.com, Inc. † | | | 339 | | | | 173,531 | |
| AMC Networks, Inc., Class A † | | | 399 | | | | 29,195 | |
| AutoZone, Inc. † | | | 177 | | | | 128,118 | |
| Bed Bath & Beyond, Inc. † | | | 992 | | | | 56,564 | |
| Best Buy Co., Inc. | | | 2,916 | | | | 108,242 | |
| Brinker International, Inc. | | | 203 | | | | 10,692 | |
| Brunswick Corp. | | | 166 | | | | 7,950 | |
| Carnival Corp. | | | 1,856 | | | | 92,243 | |
| Carter’s, Inc. | | | 223 | | | | 20,213 | |
| Coach, Inc. | | | 387 | | | | 11,196 | |
| Comcast Corp., Class A | | | 4,269 | | | | 242,821 | |
| Delphi Automotive PLC (United Kingdom) | | | 1,090 | | | | 82,883 | |
| Dick’s Sporting Goods, Inc. | | | 545 | | | | 27,037 | |
| Dillard’s, Inc., Class A | | | 161 | | | | 14,070 | |
| Dollar General Corp. | | | 1,682 | | | | 121,844 | |
| Dollar Tree, Inc. † | | | 1,439 | | | | 95,924 | |
| Domino’s Pizza, Inc. | | | 205 | | | | 22,121 | |
| DR Horton, Inc. | | | 2,321 | | | | 68,144 | |
| DSW, Inc., Class A | | | 458 | | | | 11,592 | |
| Expedia, Inc. | | | 761 | | | | 89,554 | |
| Foot Locker, Inc. | | | 1,078 | | | | 77,584 | |
| GameStop Corp., Class A | | | 831 | | | | 34,245 | |
| Gap, Inc./The | | | 2,043 | | | | 58,225 | |
| Gentex Corp. | | | 1,050 | | | | 16,275 | |
| GNC Holdings, Inc., Class A | | | 586 | | | | 23,686 | |
| Goodyear Tire & Rubber Co./The | | | 3,821 | | | | 112,070 | |
| Graham Holdings Co., Class B | | | 32 | | | | 18,464 | |
| Groupon, Inc. † | | | 4,303 | | | | 14,028 | |
| H&R Block, Inc. | | | 760 | | | | 27,512 | |
| Hanesbrands, Inc. | | | 537 | | | | 15,541 | |
| Harman International Industries, Inc. | | | 305 | | | | 29,277 | |
| Hasbro, Inc. | | | 808 | | | | 58,289 | |
| Home Depot, Inc./The | | | 4,287 | | | | 495,106 | |
| John Wiley & Sons, Inc., Class A | | | 191 | | | | 9,556 | |
| Kohl’s Corp. | | | 1,260 | | | | 58,351 | |
| L Brands, Inc. | | | 1,789 | | | | 161,242 | |
| Lear Corp. | | | 995 | | | | 108,236 | |
| Leggett & Platt, Inc. | | | 735 | | | | 30,319 | |
| Lowe’s Cos., Inc. | | | 4,086 | | | | 281,607 | |
| lululemon athletica, Inc. (Canada) † | | | 163 | | | | 8,256 | |
| Macy’s, Inc. | | | 1,862 | | | | 95,558 | |
| Michaels Cos., Inc./The † | | | 950 | | | | 21,945 | |
| Mohawk Industries, Inc. † | | | 638 | | | | 115,982 | |
| NIKE, Inc., Class B | | | 3,172 | | | | 390,061 | |
| Nordstrom, Inc. | | | 416 | | | | 29,831 | |
| NVR, Inc. † | | | 22 | | | | 33,555 | |
| O’Reilly Automotive, Inc. † | | | 529 | | | | 132,250 | |
| PVH Corp. | | | 300 | | | | 30,582 | |
| Ross Stores, Inc. | | | 2,320 | | | | 112,450 | |
| Royal Caribbean Cruises Ltd. | | | 477 | | | | 42,496 | |
| Sally Beauty Holdings, Inc. † | | | 764 | | | | 18,145 | |
| Skechers U.S.A., Inc., Class A † | | | 523 | | | | 70,124 | |
| Staples, Inc. | | | 4,220 | | | | 49,501 | |
| Target Corp. | | | 2,827 | | | | 222,372 | |
| TEGNA, Inc. | | | 2,723 | | | | 60,968 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 17.4% (continued) | | | | |
| Time Warner, Inc. | | | 625 | | | $ | 42,969 | |
| TJX Cos., Inc./The | | | 3,435 | | | | 245,328 | |
| Tractor Supply Co. | | | 503 | | | | 42,413 | |
| Ulta Salon Cosmetics & Fragrance, Inc. † | | | 220 | | | | 35,937 | |
| Whirlpool Corp. | | | 728 | | | | 107,205 | |
| Williams-Sonoma, Inc. | | | 131 | | | | 10,002 | |
| Wyndham Worldwide Corp. | | | 177 | | | | 12,726 | |
| | | | | | | | |
| | | | | | | 5,026,892 | |
| | | | | | | | |
| Consumer Staples - 7.8% | | | | | | |
| Altria Group, Inc. | | | 3,339 | | | | 181,642 | |
| Archer-Daniels-Midland Co. | | | 2,074 | | | | 85,967 | |
| Bunge Ltd. | | | 433 | | | | 31,739 | |
| ConAgra Foods, Inc. | | | 1,501 | | | | 60,805 | |
| Costco Wholesale Corp. | | | 1,558 | | | | 225,240 | |
| Coty, Inc., Class A | | | 1,581 | | | | 42,782 | |
| CVS Health Corp. | | | 3,878 | | | | 374,149 | |
| Dr Pepper Snapple Group, Inc. | | | 366 | | | | 28,932 | |
| Edgewell Personal Care Co. | | | 116 | | | | 9,466 | |
| Hormel Foods Corp. | | | 219 | | | | 13,865 | |
| Ingredion, Inc. | | | 190 | | | | 16,589 | |
| Kroger Co./The | | | 4,553 | | | | 164,227 | |
| Molson Coors Brewing Co., Class B | | | 148 | | | | 12,287 | |
| Monster Beverage Corp. † | | | 728 | | | | 98,382 | |
| Nu Skin Enterprises, Inc., Class A | | | 196 | | | | 8,091 | |
| PepsiCo, Inc. | | | 1,495 | | | | 140,978 | |
| Pilgrim’s Pride Corp. | | | 1,833 | | | | 38,090 | |
| Pinnacle Foods, Inc. | | | 290 | | | | 12,145 | |
| Reynolds American, Inc. | | | 1,176 | | | | 52,062 | |
| Rite Aid Corp. † | | | 8,864 | | | | 53,804 | |
| Tyson Foods, Inc., Class A | | | 1,510 | | | | 65,081 | |
| Walgreens Boots Alliance, Inc. | | | 3,060 | | | | 254,286 | |
| Wal-Mart Stores, Inc. | | | 4,099 | | | | 265,779 | |
| Whole Foods Market, Inc. | | | 521 | | | | 16,490 | |
| | | | | | | | |
| | | | | | | 2,252,878 | |
| | | | | | | | |
| Energy - 1.5% | | | | | | |
| HollyFrontier Corp. | | | 258 | | | | 12,601 | |
| Marathon Petroleum Corp. | | | 3,070 | | | | 142,233 | |
| Tesoro Corp. | | | 1,257 | | | | 122,231 | |
| Valero Energy Corp. | | | 2,633 | | | | 158,243 | |
| | | | | | | | |
| | | | | | | 435,308 | |
| | | | | | | | |
| Financials - 24.9% | | | | | | |
| ACE Ltd. (Switzerland) | | | 509 | | | | 52,631 | |
| Aflac, Inc. | | | 1,459 | | | | 84,812 | |
| Alleghany Corp. † | | | 35 | | | | 16,384 | |
| Allstate Corp./The | | | 2,508 | | | | 146,066 | |
| American Financial Group, Inc. | | | 203 | | | | 13,989 | |
| American International Group, Inc. | | | 6,276 | | | | 356,602 | |
| Ameriprise Financial, Inc. | | | 577 | | | | 62,968 | |
| AmTrust Financial Services, Inc. | | | 590 | | | | 37,158 | |
| Aon PLC (United Kingdom) | | | 102 | | | | 9,038 | |
| Arch Capital Group Ltd. † | | | 833 | | | | 61,200 | |
| Assurant, Inc. | | | 107 | | | | 8,454 | |
| Assured Guaranty Ltd. | | | 2,506 | | | | 62,650 | |
| Axis Capital Holdings Ltd. | | | 268 | | | | 14,397 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
64
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 24.9% (continued) | | | | | | |
| Bank of America Corp. | | | 25,174 | | | $ | 392,211 | |
| Bank of New York Mellon Corp./The | | | 4,761 | | | | 186,393 | |
| BB&T Corp. | | | 1,189 | | | | 42,328 | |
| Berkshire Hathaway, Inc., Class B † | | | 5,451 | | | | 710,810 | |
| BlackRock, Inc. | | | 335 | | | | 99,652 | |
| Capital One Financial Corp. | | | 2,978 | | | | 215,965 | |
| CBRE Group, Inc., Class A † | | | 1,265 | | | | 40,480 | |
| Citigroup, Inc. | | | 11,940 | | | | 592,343 | |
| Credit Acceptance Corp. † | | | 172 | | | | 33,862 | |
| Discover Financial Services | | | 292 | | | | 15,181 | |
| E*TRADE Financial Corp. † | | | 310 | | | | 8,162 | |
| East West Bancorp, Inc. | | | 212 | | | | 8,145 | |
| Endurance Specialty Holdings Ltd. | | | 215 | | | | 13,121 | |
| Everest Re Group Ltd. | | | 373 | | | | 64,656 | |
| Fifth Third Bancorp | | | 645 | | | | 12,197 | |
| First Horizon National Corp. | | | 841 | | | | 11,925 | |
| First Republic Bank/CA | | | 131 | | | | 8,223 | |
| FNF Group | | | 1,364 | | | | 48,381 | |
| Goldman Sachs Group, Inc./The | | | 1,895 | | | | 329,275 | |
| Hanover Insurance Group, Inc./The | | | 150 | | | | 11,655 | |
| Hartford Financial Services Group, Inc./The | | | 2,364 | | | | 108,224 | |
| Huntington Bancshares, Inc. | | | 1,183 | | | | 12,540 | |
| Intercontinental Exchange, Inc. | | | 134 | | | | 31,489 | |
| Jones Lang LaSalle, Inc. | | | 227 | | | | 32,636 | |
| JPMorgan Chase & Co. | | | 11,837 | | | | 721,702 | |
| KeyCorp | | | 962 | | | | 12,516 | |
| Lincoln National Corp. | | | 1,291 | | | | 61,271 | |
| Macerich Co./The REIT | | | 480 | | | | 36,874 | |
| Markel Corp. † | | | 29 | | | | 23,254 | |
| Mercury General Corp. | | | 236 | | | | 11,920 | |
| MetLife, Inc. | | | 6,169 | | | | 290,868 | |
| Morgan Stanley | | | 7,466 | | | | 235,179 | |
| Nasdaq, Inc. | | | 202 | | | | 10,773 | |
| Navient Corp. | | | 905 | | | | 10,172 | |
| PNC Financial Services Group, Inc./The | | | 2,335 | | | | 208,282 | |
| Popular, Inc. | | | 271 | | | | 8,192 | |
| Principal Financial Group, Inc. | | | 511 | | | | 24,191 | |
| Progressive Corp./The | | | 3,511 | | | | 107,577 | |
| Prudential Financial, Inc. | | | 1,165 | | | | 88,785 | |
| Raymond James Financial, Inc. | | | 214 | | | | 10,621 | |
| Regions Financial Corp. | | | 1,367 | | | | 12,317 | |
| Reinsurance Group of America, Inc. | | | 116 | | | | 10,508 | |
| RenaissanceRe Holdings Ltd. | | | 126 | | | | 13,396 | |
| State Street Corp. | | | 1,751 | | | | 117,685 | |
| SunTrust Banks, Inc. | | | 2,550 | | | | 97,512 | |
| Travelers Cos., Inc./The | | | 2,362 | | | | 235,090 | |
| US Bancorp | | | 2,718 | | | | 111,465 | |
| Validus Holdings Ltd. | | | 526 | | | | 23,707 | |
| Wells Fargo & Co. | | | 13,698 | | | | 703,392 | |
| White Mountains Insurance Group Ltd. | | | 20 | | | | 14,946 | |
| WR Berkley Corp. | | | 502 | | | | 27,294 | |
| XL Group PLC (Ireland) | | | 396 | | | | 14,383 | |
| | | | | | | | |
| | | | | | | 7,200,075 | |
| | | | | | | | |
| Health Care - 10.2% | | | | | | |
| AbbVie, Inc. | | | 796 | | | | 43,310 | |
| Aetna, Inc. | | | 1,738 | | | | 190,155 | |
| AmerisourceBergen Corp. | | | 742 | | | | 70,483 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 10.2% (continued) | | | | | | |
| Amgen, Inc. | | | 1,887 | | | $ | 261,010 | |
| Anthem, Inc. | | | 1,305 | | | | 182,700 | |
| Becton Dickinson and Co. | | | 367 | | | | 48,686 | |
| Biogen, Inc. † | | | 218 | | | | 63,615 | |
| Boston Scientific Corp. † | | | 1,552 | | | | 25,468 | |
| Celgene Corp. † | | | 710 | | | | 76,801 | |
| Centene Corp. † | | | 1,095 | | | | 59,382 | |
| Community Health Systems, Inc. † | | | 480 | | | | 20,530 | |
| Edwards Lifesciences Corp. † | | | 503 | | | | 71,511 | |
| Eli Lilly & Co. | | | 543 | | | | 45,444 | |
| Express Scripts Holding Co. † | | | 1,813 | | | | 146,780 | |
| Gilead Sciences, Inc. | | | 3,890 | | | | 381,959 | |
| HCA Holdings, Inc. † | | | 2,039 | | | | 157,737 | |
| LifePoint Health, Inc. † | | | 137 | | | | 9,713 | |
| McKesson Corp. | | | 373 | | | | 69,016 | |
| Medtronic PLC (Ireland) | | | 174 | | | | 11,648 | |
| Mettler-Toledo International, Inc. † | | | 34 | | | | 9,681 | |
| Pfizer, Inc. | | | 13,882 | | | | 436,034 | |
| Quest Diagnostics, Inc. | | | 473 | | | | 29,075 | |
| Quintiles Transnational Holdings, Inc. † | | | 285 | | | | 19,827 | |
| ResMed, Inc. | | | 187 | | | | 9,530 | |
| United Therapeutics Corp. † | | | 96 | | | | 12,599 | |
| UnitedHealth Group, Inc. | | | 3,368 | | | | 390,722 | |
| Universal Health Services, Inc., Class B | | | 356 | | | | 44,432 | |
| VCA, Inc. † | | | 215 | | | | 11,320 | |
| Zimmer Biomet Holdings, Inc. | | | 100 | | | | 9,393 | |
| Zoetis, Inc. | | | 734 | | | | 30,226 | |
| | | | | | | | |
| | | | | | | 2,938,787 | |
| | | | | | | | |
| Industrials - 9.4% | | | | | | |
| 3M Co. | | | 1,376 | | | | 195,076 | |
| A. O. Smith Corp. | | | 464 | | | | 30,248 | |
| Acuity Brands, Inc. | | | 326 | | | | 57,239 | |
| ADT Corp./The | | | 558 | | | | 16,684 | |
| AGCO Corp. | | | 843 | | | | 39,309 | |
| Alaska Air Group, Inc. | | | 794 | | | | 63,083 | |
| AMERCO | | | 54 | | | | 21,247 | |
| American Airlines Group, Inc. | | | 2,199 | | | | 85,387 | |
| Boeing Co./The | | | 1,722 | | | | 225,496 | |
| Cintas Corp. | | | 645 | | | | 55,309 | |
| CSX Corp. | | | 1,978 | | | | 53,208 | |
| Danaher Corp. | | | 840 | | | | 71,576 | |
| Delta Air Lines, Inc. | | | 3,747 | | | | 168,128 | |
| Equifax, Inc. | | | 219 | | | | 21,282 | |
| FedEx Corp. | | | 1,049 | | | | 151,035 | |
| General Dynamics Corp. | | | 1,476 | | | | 203,614 | |
| HD Supply Holdings, Inc. † | | | 2,011 | | | | 57,555 | |
| Huntington Ingalls Industries, Inc. | | | 189 | | | | 20,251 | |
| JetBlue Airways Corp. † | | | 3,641 | | | | 93,829 | |
| Lockheed Martin Corp. | | | 397 | | | | 82,302 | |
| Macquarie Infrastructure Corp. | | | 154 | | | | 11,498 | |
| ManpowerGroup, Inc. | | | 271 | | | | 22,192 | |
| Masco Corp. | | | 3,903 | | | | 98,278 | |
| Northrop Grumman Corp. | | | 1,050 | | | | 174,248 | |
| Owens Corning | | | 417 | | | | 17,477 | |
| Pitney Bowes, Inc. | | | 614 | | | | 12,188 | |
| Robert Half International, Inc. | | | 331 | | | | 16,934 | |
| Rockwell Automation, Inc. | | | 403 | | | | 40,892 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
65
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Industrials - 9.4% (continued) | | | | | | |
| Snap-on, Inc. | | | 310 | | | $ | 46,791 | |
| Southwest Airlines Co. | | | 3,537 | | | | 134,548 | |
| Spirit AeroSystems Holdings, Inc., Class A † | | | 804 | | | | 38,865 | |
| Stanley Black & Decker, Inc. | | | 1,267 | | | | 122,874 | |
| Textron, Inc. | | | 1,163 | | | | 43,775 | |
| Union Pacific Corp. | | | 1,045 | | | | 92,388 | |
| United Continental Holdings, Inc. † | | | 2,183 | | | | 115,808 | |
| Waste Management, Inc. | | | 355 | | | | 17,683 | |
| | | | | | | | |
| | | | | | | 2,718,297 | |
| | | | | | | | |
| Information Technology - 18.5% | | | | | | |
| Accenture PLC, Class A (Ireland) | | | 630 | | | | 61,904 | |
| Activision Blizzard, Inc. | | | 4,007 | | | | 123,776 | |
| Amdocs Ltd. | | | 901 | | | | 51,249 | |
| Analog Devices, Inc. | | | 785 | | | | 44,282 | |
| Apple, Inc. | | | 13,593 | | | | 1,499,308 | |
| Applied Materials, Inc. | | | 3,002 | | | | 44,099 | |
| ARRIS Group, Inc. † | | | 603 | | | | 15,660 | |
| Avago Technologies Ltd. (Singapore) | | | 538 | | | | 67,255 | |
| Booz Allen Hamilton Holding Corp. | | | 400 | | | | 10,484 | |
| Brocade Communications Systems, Inc. | | | 2,255 | | | | 23,407 | |
| CA, Inc. | | | 968 | | | | 26,426 | |
| Cisco Systems, Inc. | | | 16,210 | | | | 425,513 | |
| Cognizant Technology Solutions Corp., Class A † | | | 938 | | | | 58,728 | |
| Corning, Inc. | | | 3,608 | | | | 61,769 | |
| eBay, Inc. † | | | 6,096 | | | | 148,986 | |
| Electronic Arts, Inc. † | | | 1,986 | | | | 134,552 | |
| EMC Corp. | | | 6,246 | | | | 150,903 | |
| Facebook, Inc., Class A † | | | 123 | | | | 11,058 | |
| Fiserv, Inc. † | | | 889 | | | | 76,996 | |
| Fortinet, Inc. † | | | 230 | | | | 9,770 | |
| Global Payments, Inc. | | | 186 | | | | 21,340 | |
| Harris Corp. | | | 314 | | | | 22,969 | |
| Hewlett-Packard Co. | | | 3,877 | | | | 99,290 | |
| Intel Corp. | | | 14,829 | | | | 446,946 | |
| IPG Photonics Corp. † | | | 440 | | | | 33,427 | |
| Jabil Circuit, Inc. | | | 704 | | | | 15,749 | |
| Juniper Networks, Inc. | | | 2,176 | | | | 55,945 | |
| Lam Research Corp. | | | 901 | | | | 58,862 | |
| Marvell Technology Group Ltd. (2) | | | 1,389 | | | | 12,570 | |
| Micron Technology, Inc. † | | | 4,223 | | | | 63,261 | |
| Microsoft Corp. | | | 8,503 | | | | 376,343 | |
| NetApp, Inc. | | | 1,211 | | | | 35,846 | |
| NVIDIA Corp. | | | 3,836 | | | | 94,557 | �� |
| ON Semiconductor Corp. † | | | 3,236 | | | | 30,418 | |
| Oracle Corp. | | | 5,252 | | | | 189,702 | |
| PayPal Holdings, Inc. † | | | 1,728 | | | | 53,637 | |
| Qorvo, Inc. † | | | 946 | | | | 42,617 | |
| Rackspace Hosting, Inc. † | | | 452 | | | | 11,155 | |
| Red Hat, Inc. † | | | 670 | | | | 48,160 | |
| Skyworks Solutions, Inc. | | | 1,350 | | | | 113,684 | |
| Synopsys, Inc. † | | | 414 | | | | 19,119 | |
| Teradyne, Inc. | | | 959 | | | | 17,272 | |
| Texas Instruments, Inc. | | | 4,534 | | | | 224,524 | |
| Total System Services, Inc. | | | 483 | | | | 21,943 | |
| VeriSign, Inc. † | | | 424 | | | | 29,917 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 18.5% (continued) | | | | |
| Western Digital Corp. | | | 980 | | | $ | 77,851 | |
| Western Union Co./The | | | 3,026 | | | | 55,557 | |
| Xerox Corp. | | | 1,248 | | | | 12,143 | |
| Xilinx, Inc. | | | 454 | | | | 19,250 | |
| | | | | | | | |
| | | | | | | 5,350,179 | |
| | | | | | | | |
| Materials - 1.7% | | | | | | |
| Alcoa, Inc. | | | 1,029 | | | | 9,940 | |
| Avery Dennison Corp. | | | 228 | | | | 12,898 | |
| Ball Corp. | | | 141 | | | | 8,770 | |
| Celanese Corp., Series A | | | 667 | | | | 39,466 | |
| CF Industries Holdings, Inc. | | | 1,069 | | | | 47,998 | |
| Crown Holdings, Inc. † | | | 662 | | | | 30,287 | |
| Dow Chemical Co./The | | | 272 | | | | 11,533 | |
| Graphic Packaging Holding Co. | | | 936 | | | | 11,972 | |
| International Paper Co. | | | 1,582 | | | | 59,784 | |
| LyondellBasell Industries NV, Class A | | | 731 | | | | 60,936 | |
| Reliance Steel & Aluminum Co. | | | 150 | | | | 8,102 | |
| Sealed Air Corp. | | | 925 | | | | 43,364 | |
| Sherwin-Williams Co./The | | | 255 | | | | 56,809 | |
| Steel Dynamics, Inc. | | | 785 | | | | 13,486 | |
| WestRock Co. | | | 1,460 | | | | 75,102 | |
| | | | | | | | |
| | | | | | | 490,447 | |
| | | | | | | | |
| Telecommunication Services - 0.5% | | | | |
| AT&T, Inc. | | | 1,193 | | | | 38,868 | |
| T-Mobile US, Inc. † | | | 2,421 | | | | 96,380 | |
| | | | | | | | |
| | | | | | | 135,248 | |
| | | | | | | | |
| Utilities - 0.6% | | | | | | |
| American Electric Power Co., Inc. | | | 703 | | | | 39,973 | |
| Consolidated Edison, Inc. | | | 192 | | | | 12,835 | |
| Duke Energy Corp. | | | 162 | | | | 11,654 | |
| Entergy Corp. | | | 157 | | | | 10,221 | |
| Exelon Corp. | | | 1,423 | | | | 42,263 | |
| PG&E Corp. | | | 869 | | | | 45,883 | |
| Pinnacle West Capital Corp. | | | 167 | | | | 10,711 | |
| Public Service Enterprise Group, Inc. | | | 362 | | | | 15,262 | |
| | | | | | | | |
| | | | | | | 188,802 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $28,588,024) | | | | | | | 26,736,913 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS (ETF) - 6.0% | | | | |
| SPDR S&P 500 ETF Trust | | | | | |
(cost $1,719,356) | | | 9,039 | | | | 1,732,144 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 2.9% | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | | | | | | | | |
(cost $848,406) | | | 848,406 | | | | 848,406 | |
| | | | | | | | |
TOTAL INVESTMENTS IN
SECURITIES, AT VALUE- 101.4%
(cost $31,155,786) | | | | | | | 29,317,463 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (1.4%) | | | | | (392,270) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 28,925,193 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
66
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non-income producing security. |
| (a) | Represents annualized seven-day yield as of the close of the reporting period. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
67
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 93.3% | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 19.4% | | | | | | |
| 1-800-Flowers.com, Inc., Class A † | | | 1,081 | | | $ | 9,837 | |
| Abercrombie & Fitch Co., Class A | | | 97 | | | | 2,055 | |
| AMC Entertainment Holdings, Inc., Class A | | | 111 | | | | 2,796 | |
| American Axle & Manufacturing Holdings, Inc. † | | | 391 | | | | 7,797 | |
| American Eagle Outfitters, Inc. (a) | | | 929 | | | | 14,520 | |
| America’s Car-Mart, Inc. † | | | 101 | | | | 3,342 | |
| Asbury Automotive Group, Inc. † | | | 105 | | | | 8,521 | |
| Ascena Retail Group, Inc. † | | | 431 | | | | 5,995 | |
| Barnes & Noble Education, Inc. † | | | 197 | | | | 2,504 | |
| Barnes & Noble, Inc. | | | 313 | | | | 3,790 | |
| Bassett Furniture Industries, Inc. | | | 255 | | | | 7,102 | |
| Big 5 Sporting Goods Corp. | | | 342 | | | | 3,550 | |
| Big Lots, Inc. | | | 342 | | | | 16,389 | |
| Bloomin’ Brands, Inc. | | | 225 | | | | 4,090 | |
| Boyd Gaming Corp. † | | | 306 | | | | 4,988 | |
| Buckle, Inc./The (a) | | | 289 | | | | 10,684 | |
| Build-A-Bear Workshop, Inc. † | | | 332 | | | | 6,271 | |
| Burlington Stores, Inc. † | | | 271 | | | | 13,832 | |
| Caleres, Inc. | | | 294 | | | | 8,976 | |
| Callaway Golf Co. | | | 173 | | | | 1,445 | |
| Capella Education Co. | | | 88 | | | | 4,358 | |
| Carriage Services, Inc. | | | 69 | | | | 1,490 | |
| Carrols Restaurant Group, Inc. † | | | 269 | | | | 3,201 | |
| Cato Corp./The, Class A | | | 176 | | | | 5,989 | |
| Chegg, Inc. † | | | 386 | | | | 2,783 | |
| Cherokee, Inc. † | | | 92 | | | | 1,428 | |
| Chico’s FAS, Inc. | | | 661 | | | | 10,398 | |
| Children’s Place, Inc./The | | | 162 | | | | 9,343 | |
| Citi Trends, Inc. | | | 279 | | | | 6,523 | |
| Columbia Sportswear Co. | | | 85 | | | | 4,997 | |
| Cooper Tire & Rubber Co. | | | 379 | | | | 14,974 | |
| Cooper-Standard Holding, Inc. † | | | 81 | | | | 4,698 | |
| Core-Mark Holding Co., Inc. | | | 91 | | | | 5,956 | |
| Cracker Barrel Old Country Store, Inc. (a) | | | 107 | | | | 15,759 | |
| Culp, Inc. | | | 208 | | | | 6,671 | |
| Deckers Outdoor Corp. † | | | 99 | | | | 5,748 | |
| Denny’s Corp. † | | | 484 | | | | 5,339 | |
| Diamond Resorts International, Inc. † | | | 412 | | | | 9,637 | |
| Drew Industries, Inc. | | | 91 | | | | 4,969 | |
| Entravision Communications Corp., Class A | | | 203 | | | | 1,348 | |
| Ethan Allen Interiors, Inc. | | | 167 | | | | 4,410 | |
| Express, Inc. † | | | 523 | | | | 9,346 | |
| Finish Line, Inc./The, Class A | | | 221 | | | | 4,265 | |
| Flexsteel Industries, Inc. | | | 104 | | | | 3,250 | |
| Francesca’s Holdings Corp. † | | | 304 | | | | 3,718 | |
| Genesco, Inc. † | | | 89 | | | | 5,079 | |
| Gentherm, Inc. † | | | 115 | | | | 5,166 | |
| G-III Apparel Group Ltd. † | | | 274 | | | | 16,895 | |
| Gray Television, Inc. † | | | 304 | | | | 3,879 | |
| Group 1 Automotive, Inc. | | | 114 | | | | 9,707 | |
| Guess?, Inc. (a) | | | 149 | | | | 3,183 | |
| Haverty Furniture Cos., Inc. | | | 164 | | | | 3,851 | |
| Helen of Troy Ltd. † | | | 225 | | | | 20,092 | |
| Hibbett Sports, Inc. †(a) | | | 39 | | | | 1,365 | |
| Hooker Furniture Corp. | | | 196 | | | | 4,614 | |
| Houghton Mifflin Harcourt Co. † | | | 492 | | | | 9,993 | |
| HSN, Inc. | | | 91 | | | | 5,209 | |
| Installed Building Products, Inc. † | | | 123 | | | | 3,109 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 19.4% (continued) | | | | |
| Interval Leisure Group, Inc. | | | 77 | | | $ | 1,414 | |
| Isle of Capri Casinos, Inc. † | | | 325 | | | | 5,668 | |
| Jack in the Box, Inc. | | | 113 | | | | 8,706 | |
| JAKKS Pacific, Inc. †(a) | | | 338 | | | | 2,880 | |
| Kirkland’s, Inc. | | | 213 | | | | 4,588 | |
| Lands’ End, Inc. †(a) | | | 162 | | | | 4,376 | |
| La-Z-Boy, Inc. | | | 135 | | | | 3,586 | |
| Libbey, Inc. | | | 134 | | | | 4,370 | |
| LifeLock, Inc. †(a) | | | 279 | | | | 2,444 | |
| Lithia Motors, Inc., Class A | | | 60 | | | | 6,487 | |
| Marcus Corp./The | | | 118 | | | | 2,282 | |
| MarineMax, Inc. † | | | 141 | | | | 1,992 | |
| Marriott Vacations Worldwide Corp. | | | 226 | | | | 15,400 | |
| Mattress Firm Holding Corp. † | | | 79 | | | | 3,299 | |
| Meredith Corp. | | | 236 | | | | 10,049 | |
| Modine Manufacturing Co. † | | | 298 | | | | 2,345 | |
| Motorcar Parts of America, Inc. † | | | 78 | | | | 2,445 | |
| Movado Group, Inc. | | | 188 | | | | 4,856 | |
| Nautilus, Inc. † | | | 308 | | | | 4,620 | |
| New Media Investment Group, Inc. | | | 205 | | | | 3,169 | |
| Nexstar Broadcasting Group, Inc., Class A | | | 27 | | | | 1,278 | |
| Nutrisystem, Inc. | | | 237 | | | | 6,285 | |
| Outerwall, Inc. (a) | | | 132 | | | | 7,515 | |
| Overstock.com, Inc. † | | | 248 | | | | 4,256 | |
| Oxford Industries, Inc. | | | 77 | | | | 5,689 | |
| Papa John’s International, Inc. | | | 80 | | | | 5,478 | |
| Penn National Gaming, Inc. †(a) | | | 407 | | | | 6,829 | |
| Perry Ellis International, Inc. † | | | 293 | | | | 6,434 | |
| PetMed Express, Inc. (a) | | | 310 | | | | 4,991 | |
| Popeyes Louisiana Kitchen, Inc. † | | | 109 | | | | 6,143 | |
| Red Robin Gourmet Burgers, Inc. † | | | 72 | | | | 5,453 | |
| Regis Corp. † | | | 333 | | | | 4,362 | |
| Rent-A-Center, Inc. | | | 199 | | | | 4,826 | |
| Ruby Tuesday, Inc. † | | | 615 | | | | 3,819 | |
| Ruth’s Hospitality Group, Inc. | | | 225 | | | | 3,654 | |
| Scholastic Corp. | | | 202 | | | | 7,870 | |
| Scientific Games Corp., Class A †(a) | | | 134 | | | | 1,400 | |
| Select Comfort Corp. † | | | 331 | | | | 7,242 | |
| Shoe Carnival, Inc. | | | 186 | | | | 4,427 | |
| Shutterfly, Inc. † | | | 104 | | | | 3,718 | |
| Skullcandy, Inc. † | | | 333 | | | | 1,841 | |
| Smith & Wesson Holding Corp. † | | | 343 | | | | 5,786 | |
| Sonic Automotive, Inc., Class A | | | 222 | | | | 4,533 | |
| Sonic Corp. | | | 209 | | | | 4,797 | |
| Speedway Motorsports, Inc. | | | 225 | | | | 4,061 | |
| Sportsman’s Warehouse Holdings, Inc. † | | | 260 | | | | 3,203 | |
| Stage Stores, Inc. (a) | | | 296 | | | | 2,913 | |
| Standard Motor Products, Inc. | | | 135 | | | | 4,709 | |
| Stein Mart, Inc. | | | 204 | | | | 1,975 | |
| Steven Madden Ltd. † | | | 257 | | | | 9,411 | |
| Strattec Security Corp. | | | 47 | | | | 2,964 | |
| Strayer Education, Inc. † | | | 113 | | | | 6,212 | |
| Texas Roadhouse, Inc. | | | 339 | | | | 12,611 | |
| Tilly’s, Inc., A Shares † | | | 302 | | | | 2,223 | |
| Time, Inc. | | | 436 | | | | 8,306 | |
| Tower International, Inc. † | | | 175 | | | | 4,158 | |
| Unifi, Inc. † | | | 88 | | | | 2,623 | |
| Universal Electronics, Inc. † | | | 81 | | | | 3,404 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
68
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 19.4% (continued) | | | | |
| Wolverine World Wide, Inc. | | | 177 | | | $ | 3,830 | |
| World Wrestling Entertainment, Inc., Class A | | | 56 | | | | 946 | |
| ZAGG, Inc. † | | | 774 | | | | 5,255 | |
| Zumiez, Inc. †(a) | | | 185 | | | | 2,892 | |
| | | | | | | | |
| | | | | | | 676,522 | |
| | | | | | | | |
| Consumer Staples - 5.8% | | | | | | |
| Andersons, Inc./The | | | 46 | | | | 1,567 | |
| Calavo Growers, Inc. | | | 29 | | | | 1,295 | |
| Cal-Maine Foods, Inc. (a) | | | 345 | | | | 18,840 | |
| Casey’s General Stores, Inc. | | | 114 | | | | 11,733 | |
| Central Garden & Pet Co., Class A † | | | 442 | | | | 7,121 | |
| Coca-Cola Bottling Co. Consolidated | | | 72 | | | | 13,923 | |
| Dean Foods Co. | | | 432 | | | | 7,137 | |
| Farmer Bros Co. † | | | 115 | | | | 3,134 | |
| Fresh Del Monte Produce, Inc. | | | 397 | | | | 15,685 | |
| Fresh Market, Inc./The † | | | 199 | | | | 4,495 | |
| HRG Group, Inc. † | | | 592 | | | | 6,944 | |
| Ingles Markets, Inc., Class A | | | 194 | | | | 9,279 | |
| J&J Snack Foods Corp. | | | 61 | | | | 6,933 | |
| John B. Sanfilippo & Son, Inc. | | | 149 | | | | 7,638 | |
| Medifast, Inc. † | | | 127 | | | | 3,411 | |
| MGP Ingredients, Inc. | | | 75 | | | | 1,201 | |
| National Beverage Corp. † | | | 138 | | | | 4,241 | |
| Natural Health Trends Corp. (a) | | | 270 | | | | 8,824 | |
| Omega Protein Corp. † | | | 121 | | | | 2,053 | |
| Revlon, Inc., Class A † | | | 206 | | | | 6,067 | |
| Sanderson Farms, Inc. (a) | | | 161 | | | | 11,040 | |
| SpartanNash Co. | | | 305 | | | | 7,884 | |
| SUPERVALU, Inc. † | | | 1,241 | | | | 8,910 | |
| Universal Corp. (a) | | | 55 | | | | 2,726 | |
| USANA Health Sciences, Inc. † | | | 94 | | | | 12,599 | |
| Vector Group Ltd. (a) | | | 738 | | | | 16,676 | |
| Village Super Market, Inc., Class A | | | 129 | | | | 3,046 | |
| | | | | | | | |
| | | | | | | 204,402 | |
| | | | | | | | |
| Energy - 1.6% | | | | | | |
| Abraxas Petroleum Corp. † | | | 712 | | | | 911 | |
| Alon USA Energy, Inc. | | | 525 | | | | 9,487 | |
| Delek US Holdings, Inc. | | | 285 | | | | 7,895 | |
| DHT Holdings, Inc. | | | 210 | | | | 1,558 | |
| Green Plains, Inc. | | | 223 | | | | 4,340 | |
| Matrix Service Co. † | | | 192 | | | | 4,314 | |
| Nordic American Tankers Ltd. (Norway) | | | 241 | | | | 3,663 | |
| Panhandle Oil and Gas, Inc., Class A | | | 91 | | | | 1,471 | |
| PHI, Inc. † | | | 57 | | | | 1,076 | |
| REX American Resources Corp. †(a) | | | 104 | | | | 5,264 | |
| Teekay Tankers Ltd., Class A | | | 810 | | | | 5,589 | |
| Western Refining, Inc. | | | 211 | | | | 9,309 | |
| | | | | | | | |
| | | | | | | 54,877 | |
| | | | | | | | |
| Financials - 19.2% | | | | | | |
| 1st Source Corp. | | | 92 | | | | 2,834 | |
| Ambac Financial Group, Inc. † | | | 220 | | | | 3,183 | |
| American Equity Investment Life Holding Co. | | | 555 | | | | 12,937 | |
| AMERISAFE, Inc. | | | 129 | | | | 6,415 | |
| Argo Group International Holdings Ltd. | | | 291 | | | | 16,468 | |
| Arlington Asset Investment Corp., Class A | | | 178 | | | | 2,501 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 19.2% (continued) | | | | | | |
| Ashford Hospitality Trust, Inc. REIT | | | 495 | | | $ | 3,019 | |
| Banc of California, Inc. | | | 292 | | | | 3,583 | |
| BancFirst Corp. | | | 68 | | | | 4,291 | |
| Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | | | 292 | | | | 6,760 | |
| BancorpSouth, Inc. | | | 248 | | | | 5,895 | |
| Banner Corp. | | | 32 | | | | 1,529 | |
| Berkshire Hills Bancorp, Inc. | | | 211 | | | | 5,811 | |
| BGC Partners, Inc., Class A | | | 886 | | | | 7,283 | |
| Boston Private Financial Holdings, Inc. | | | 123 | | | | 1,439 | |
| Calamos Asset Management, Inc., Class A | | | 139 | | | | 1,318 | |
| Cardinal Financial Corp. | | | 124 | | | | 2,853 | |
| Cathay General Bancorp (a) | | | 357 | | | | 10,696 | |
| CenterState Banks, Inc. | | | 157 | | | | 2,308 | |
| Central Pacific Financial Corp. | | | 188 | | | | 3,942 | |
| Chatham Lodging Trust REIT | | | 219 | | | | 4,704 | |
| Chemical Financial Corp. | | | 156 | | | | 5,047 | |
| City Holding Co. | | | 80 | | | | 3,944 | |
| CNO Financial Group, Inc. | | | 707 | | | | 13,299 | |
| Columbia Banking System, Inc. | | | 116 | | | | 3,620 | |
| Cowen Group, Inc., Class A † | | | 1,140 | | | | 5,198 | |
| Customers Bancorp, Inc. † | | | 347 | | | | 8,918 | |
| DiamondRock Hospitality Co. REIT | | | 720 | | | | 7,956 | |
| Dime Community Bancshares, Inc. | | | 182 | | | | 3,076 | |
| Employers Holdings, Inc. | | | 71 | | | | 1,583 | |
| Encore Capital Group, Inc. †(a) | | | 74 | | | | 2,738 | |
| Enterprise Financial Services Corp. | | | 92 | | | | 2,316 | |
| EverBank Financial Corp. | | | 429 | | | | 8,280 | |
| FBL Financial Group, Inc., Class A | | | 143 | | | | 8,797 | |
| Federated National Holding Co. | | | 237 | | | | 5,693 | |
| FelCor Lodging Trust, Inc. REIT | | | 444 | | | | 3,139 | |
| Fidelity Southern Corp. | | | 249 | | | | 5,264 | |
| Financial Institutions, Inc. | | | 190 | | | | 4,708 | |
| First American Financial Corp. | | | 587 | | | | 22,934 | |
| First Citizens BancShares, Inc., Class A | | | 22 | | | | 4,972 | |
| First Commonwealth Financial Corp. | | | 310 | | | | 2,818 | |
| First Defiance Financial Corp. | | | 264 | | | | 9,652 | |
| First Financial Bancorp | | | 193 | | | | 3,682 | |
| First Financial Corp. | | | 114 | | | | 3,688 | |
| First Interstate BancSystem, Inc., Class A | | | 142 | | | | 3,953 | |
| First Merchants Corp. | | | 282 | | | | 7,394 | |
| First NBC Bank Holding Co. † | | | 190 | | | | 6,658 | |
| FirstMerit Corp. | | | 674 | | | | 11,910 | |
| FNB Corp. | | | 692 | | | | 8,961 | |
| Fulton Financial Corp. | | | 640 | | | | 7,744 | |
| Great Southern Bancorp, Inc. | | | 189 | | | | 8,184 | |
| Greenlight Capital Re Ltd., Class A † | | | 165 | | | | 3,676 | |
| Hanmi Financial Corp. | | | 165 | | | | 4,158 | |
| HCI Group, Inc. | | | 144 | | | | 5,583 | |
| Heartland Financial USA, Inc. | | | 144 | | | | 5,226 | |
| Heritage Financial Corp./WA | | | 87 | | | | 1,637 | |
| Heritage Insurance Holdings, Inc. † | | | 281 | | | | 5,544 | |
| Hilltop Holdings, Inc. † | | | 235 | | | | 4,655 | |
| Hingham Institution for Savings (a) | | | 21 | | | | 2,437 | |
| HomeStreet, Inc. † | | | 165 | | | | 3,811 | |
| Horace Mann Educators Corp. | | | 344 | | | | 11,428 | |
| Impac Mortgage Holdings, Inc. †(a) | | | 208 | | | | 3,401 | |
| Independent Bank Corp./MI | | | 202 | | | | 2,981 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
69
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 19.2% (continued) | | | | | | |
| Infinity Property & Casualty Corp. | | | 96 | | | $ | 7,732 | |
| International Bancshares Corp. | | | 335 | | | | 8,385 | |
| INTL. FCStone, Inc. † | | | 192 | | | | 4,740 | |
| Investment Technology Group, Inc. | | | 203 | | | | 2,708 | |
| Janus Capital Group, Inc. | | | 545 | | | | 7,412 | |
| Kansas City Life Insurance Co. | | | 47 | | | | 2,209 | |
| Kemper Corp. | | | 80 | | | | 2,830 | |
| Ladenburg Thalmann Financial Services, Inc. †(a) | | | 724 | | | | 1,528 | |
| Maiden Holdings Ltd. | | | 642 | | | | 8,911 | |
| MainSource Financial Group, Inc. | | | 216 | | | | 4,398 | |
| MB Financial, Inc. | | | 186 | | | | 6,071 | |
| MBIA, Inc. † | | | 374 | | | | 2,274 | |
| Meta Financial Group, Inc. | | | 52 | | | | 2,172 | |
| MGIC Investment Corp. † | | | 608 | | | | 5,630 | |
| National General Holdings Corp. | | | 136 | | | | 2,623 | |
| National Western Life Insurance Co., Class A | | | 25 | | | | 5,567 | |
| Navigators Group, Inc./The † | | | 132 | | | | 10,293 | |
| NBT Bancorp, Inc. | | | 221 | | | | 5,954 | |
| Nelnet, Inc., Class A | | | 233 | | | | 8,064 | |
| Old National Bancorp/IN | | | 125 | | | | 1,741 | |
| OneBeacon Insurance Group Ltd., Class A | | | 392 | | | | 5,504 | |
| Oppenheimer Holdings, Inc., Class A | | | 176 | | | | 3,522 | |
| Pacific Premier Bancorp, Inc. † | | | 80 | | | | 1,626 | |
| Peoples Bancorp, Inc. | | | 83 | | | | 1,726 | |
| PHH Corp. † | | | 220 | | | | 3,106 | |
| Piper Jaffray Cos. † | | | 141 | | | | 5,100 | |
| Preferred Bank | | | 184 | | | | 5,814 | |
| Primerica, Inc. | | | 276 | | | | 12,439 | |
| PrivateBancorp, Inc. | | | 424 | | | | 16,252 | |
| Provident Financial Services, Inc. | | | 91 | | | | 1,774 | |
| Radian Group, Inc. | | | 460 | | | | 7,319 | |
| Regional Management Corp. † | | | 63 | | | | 976 | |
| S&T Bancorp, Inc. | | | 205 | | | | 6,687 | |
| Safety Insurance Group, Inc. | | | 91 | | | | 4,928 | |
| Selective Insurance Group, Inc. | | | 307 | | | | 9,535 | |
| Southside Bancshares, Inc. (a) | | | 90 | | | | 2,479 | |
| State Auto Financial Corp. | | | 165 | | | | 3,764 | |
| Stewart Information Services Corp. | | | 192 | | | | 7,855 | |
| Stifel Financial Corp. † | | | 188 | | | | 7,915 | |
| Stock Yards Bancorp, Inc. | | | 97 | | | | 3,526 | |
| Stonegate Bank | | | 143 | | | | 4,549 | |
| Territorial Bancorp, Inc. | | | 89 | | | | 2,318 | |
| Tompkins Financial Corp. | | | 55 | | | | 2,935 | |
| Trustmark Corp. | | | 201 | | | | 4,657 | |
| United Community Banks, Inc. | | | 242 | | | | 4,946 | |
| United Fire Group, Inc. | | | 205 | | | | 7,185 | |
| United Insurance Holdings Corp. (a) | | | 206 | | | | 2,709 | |
| Universal Health Realty Income Trust REIT | | | 39 | | | | 1,831 | |
| Universal Insurance Holdings, Inc. | | | 434 | | | | 12,820 | |
| Walker & Dunlop, Inc. † | | | 291 | | | | 7,589 | |
| Webster Financial Corp. | | | 416 | | | | 14,822 | |
| WesBanco, Inc. | | | 136 | | | | 4,277 | |
| Wilshire Bancorp, Inc. | | | 259 | | | | 2,722 | |
| Wintrust Financial Corp. | | | 380 | | | | 20,303 | |
| World Acceptance Corp. †(a) | | | 64 | | | | 1,718 | |
| | | | | | | | |
| | | | | | | 668,902 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 8.1% | | | | | | |
| Abaxis, Inc. | | | 28 | | | $ | 1,232 | |
| ABIOMED, Inc. † | | | 261 | | | | 24,210 | |
| Addus HomeCare Corp. † | | | 29 | | | | 903 | |
| Affymetrix, Inc. † | | | 415 | | | | 3,544 | |
| Almost Family, Inc. † | | | 112 | | | | 4,486 | |
| AMAG Pharmaceuticals, Inc. † | | | 242 | | | | 9,615 | |
| Amedisys, Inc. † | | | 235 | | | | 8,923 | |
| ANI Pharmaceuticals, Inc. †(a) | | | 63 | | | | 2,489 | |
| Anika Therapeutics, Inc. † | | | 99 | | | | 3,151 | |
| Cambrex Corp. † | | | 237 | | | | 9,404 | |
| Chemed Corp. | | | 106 | | | | 14,148 | |
| Cynosure, Inc., Class A † | | | 184 | | | | 5,527 | |
| Emergent BioSolutions, Inc. † | | | 247 | | | | 7,037 | |
| Enanta Pharmaceuticals, Inc. †(a) | | | 110 | | | | 3,976 | |
| Ensign Group, Inc./The | | | 91 | | | | 3,879 | |
| Exactech, Inc. † | | | 147 | | | | 2,562 | |
| Globus Medical, Inc., Class A † | | | 135 | | | | 2,789 | |
| Greatbatch, Inc. † | | | 68 | | | | 3,837 | |
| ICU Medical, Inc. † | | | 108 | | | | 11,826 | |
| Infinity Pharmaceuticals, Inc. † | | | 395 | | | | 3,338 | |
| Insys Therapeutics, Inc. †(a) | | | 382 | | | | 10,872 | |
| Integra LifeSciences Holdings Corp. † | | | 109 | | | | 6,491 | |
| Invacare Corp. | | | 92 | | | | 1,331 | |
| Lannett Co., Inc. †(a) | | | 232 | | | | 9,633 | |
| LeMaitre Vascular, Inc. | | | 73 | | | | 890 | |
| LHC Group, Inc. † | | | 160 | | | | 7,163 | |
| Masimo Corp. † | | | 94 | | | | 3,625 | |
| Merit Medical Systems, Inc. † | | | 252 | | | | 6,025 | |
| MiMedx Group, Inc. †(a) | | | 393 | | | | 3,793 | |
| Molina Healthcare, Inc. † | | | 133 | | | | 9,157 | |
| Myriad Genetics, Inc. †(a) | | | 260 | | | | 9,745 | |
| National HealthCare Corp. | | | 62 | | | | 3,775 | |
| Natus Medical, Inc. † | | | 252 | | | | 9,941 | |
| NewLink Genetics Corp. † | | | 254 | | | | 9,103 | |
| NuVasive, Inc. † | | | 213 | | | | 10,271 | |
| Omnicell, Inc. † | | | 239 | | | | 7,433 | |
| PDL BioPharma, Inc. | | | 699 | | | | 3,516 | |
| PharMerica Corp. † | | | 49 | | | | 1,395 | |
| Phibro Animal Health Corp., Class A | | | 45 | | | | 1,423 | |
| RadNet, Inc. † | | | 443 | | | | 2,459 | |
| RTI Surgical, Inc. † | | | 572 | | | | 3,249 | |
| SciClone Pharmaceuticals, Inc. † | | | 734 | | | | 5,094 | |
| Select Medical Holdings Corp. | | | 452 | | | | 4,877 | |
| Sucampo Pharmaceuticals, Inc., Class A † | | | 440 | | | | 8,743 | |
| Supernus Pharmaceuticals, Inc. † | | | 407 | | | | 5,710 | |
| Triple-S Management Corp., Class B (Puerto Rico) † | | | 80 | | | | 1,425 | |
| Vascular Solutions, Inc. † | | | 47 | | | | 1,523 | |
| WellCare Health Plans, Inc. † | | | 79 | | | | 6,808 | |
| | | | | | | | |
| | | | | | | 282,346 | |
| | | | | | | | |
| Industrials - 13.0% | | | | | | |
| ABM Industries, Inc. | | | 120 | | | | 3,277 | |
| ACCO Brands Corp. † | | | 878 | | | | 6,207 | |
| Air Transport Services Group, Inc. † | | | 494 | | | | 4,224 | |
| Aircastle Ltd. | | | 524 | | | | 10,800 | |
| Alamo Group, Inc. | | | 31 | | | | 1,449 | |
| Allegiant Travel Co. | | | 93 | | | | 20,111 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
70
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Industrials - 13.0% (continued) | | | | | | |
| Allied Motion Technologies, Inc. (a) | | | 147 | | | $ | 2,612 | |
| American Railcar Industries, Inc. (a) | | | 39 | | | | 1,410 | |
| American Woodmark Corp. † | | | 176 | | | | 11,417 | |
| Apogee Enterprises, Inc. | | | 133 | | | | 5,938 | |
| Applied Industrial Technologies, Inc. | | | 46 | | | | 1,755 | |
| ARC Document Solutions, Inc. † | | | 394 | | | | 2,344 | |
| ArcBest Corp. | | | 130 | | | | 3,350 | |
| Argan, Inc. | | | 173 | | | | 6,000 | |
| Astronics Corp. † | | | 142 | | | | 5,741 | |
| Atlas Air Worldwide Holdings, Inc. † | | | 132 | | | | 4,562 | |
| Barnes Group, Inc. | | | 179 | | | | 6,453 | |
| Blount International, Inc. † | | | 181 | | | | 1,008 | |
| Briggs & Stratton Corp. | | | 332 | | | | 6,411 | |
| CAI International, Inc. † | | | 148 | | | | 1,492 | |
| CDI Corp. | | | 206 | | | | 1,761 | |
| CEB, Inc. | | | 115 | | | | 7,859 | |
| Columbus McKinnon Corp. | | | 149 | | | | 2,706 | |
| Comfort Systems USA, Inc. | | | 326 | | | | 8,887 | |
| Continental Building Products, Inc. † | | | 247 | | | | 5,073 | |
| Covenant Transportation Group, Inc., Class A † | | | 276 | | | | 4,960 | |
| CRA International, Inc. † | | | 153 | | | | 3,302 | |
| Cubic Corp. | | | 103 | | | | 4,320 | |
| Deluxe Corp. | | | 135 | | | | 7,525 | |
| Douglas Dynamics, Inc. | | | 219 | | | | 4,349 | |
| Ducommun, Inc. † | | | 81 | | | | 1,626 | |
| Dycom Industries, Inc. † | | | 53 | | | | 3,835 | |
| Echo Global Logistics, Inc. † | | | 198 | | | | 3,881 | |
| EMCOR Group, Inc. | | | 262 | | | | 11,594 | |
| Engility Holdings, Inc. | | | 92 | | | | 2,372 | |
| Ennis, Inc. | | | 197 | | | | 3,420 | |
| Enphase Energy, Inc. † | | | 280 | | | | 1,036 | |
| Federal Signal Corp. | | | 372 | | | | 5,100 | |
| FTI Consulting, Inc. † | | | 89 | | | | 3,694 | |
| G&K Services, Inc., Class A | | | 129 | | | | 8,594 | |
| Gibraltar Industries, Inc. † | | | 183 | | | | 3,358 | |
| Global Brass & Copper Holdings, Inc. | | | 192 | | | | 3,938 | |
| GP Strategies Corp. † | | | 101 | | | | 2,305 | |
| Greenbrier Cos., Inc./The | | | 124 | | | | 3,982 | |
| Griffon Corp. | | | 366 | | | | 5,772 | |
| Hawaiian Holdings, Inc. † | | | 395 | | | | 9,749 | |
| Heidrick & Struggles International, Inc. | | | 152 | | | | 2,956 | |
| Herman Miller, Inc. | | | 173 | | | | 4,989 | |
| Hillenbrand, Inc. | | | 227 | | | | 5,904 | |
| HNI Corp. | | | 227 | | | | 9,738 | |
| Hurco Cos., Inc. | | | 37 | | | | 971 | |
| Huron Consulting Group, Inc. † | | | 92 | | | | 5,753 | |
| Hyster-Yale Materials Handling, Inc. | | | 22 | | | | 1,272 | |
| ICF International, Inc. † | | | 155 | | | | 4,710 | |
| Insperity, Inc. | | | 181 | | | | 7,951 | |
| Interface, Inc. | | | 175 | | | | 3,927 | |
| John Bean Technologies Corp. | | | 107 | | | | 4,093 | |
| Kadant, Inc. | | | 127 | | | | 4,954 | |
| Kaman Corp. | | | 164 | | | | 5,879 | |
| Kimball International, Inc., Class B | | | 150 | | | | 1,419 | |
| Knoll, Inc. | | | 286 | | | | 6,286 | |
| Korn/Ferry International | | | 253 | | | | 8,367 | |
| LB Foster Co., Class A | | | 84 | | | | 1,032 | |
| Lindsay Corp. (a) | | | 37 | | | | 2,508 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Industrials - 13.0% (continued) | | | | | | |
| Lydall, Inc. † | | | 152 | | | $ | 4,331 | |
| Meritor, Inc. † | | | 638 | | | | 6,782 | |
| Mueller Industries, Inc. | | | 140 | | | | 4,141 | |
| Multi-Color Corp. | | | 108 | | | | 8,261 | |
| MYR Group, Inc. † | | | 174 | | | | 4,559 | |
| National Presto Industries, Inc. (a) | | | 27 | | | | 2,275 | |
| NV5 Holdings, Inc. †(a) | | | 144 | | | | 2,673 | |
| On Assignment, Inc. † | | | 83 | | | | 3,063 | |
| Park-Ohio Holdings Corp. | | | 69 | | | | 1,991 | |
| Patrick Industries, Inc. † | | | 223 | | | | 8,806 | |
| Republic Airways Holdings, Inc. † | | | 366 | | | | 2,116 | |
| Resources Connection, Inc. | | | 319 | | | | 4,807 | |
| RPX Corp. † | | | 405 | | | | 5,557 | |
| Rush Enterprises, Inc., Class A † | | | 179 | | | | 4,332 | |
| Saia, Inc. † | | | 65 | | | | 2,012 | |
| SkyWest, Inc. | | | 185 | | | | 3,086 | |
| Standex International Corp. | | | 101 | | | | 7,610 | |
| Steelcase, Inc., Class A | | | 559 | | | | 10,291 | |
| TASER International, Inc. †(a) | | | 253 | | | | 5,572 | |
| Trex Co., Inc. † | | | 106 | | | | 3,533 | |
| TrueBlue, Inc. † | | | 177 | | | | 3,977 | |
| Tutor Perini Corp. † | | | 156 | | | | 2,568 | |
| UniFirst Corp. | | | 116 | | | | 12,390 | |
| Universal Forest Products, Inc. | | | 110 | | | | 6,345 | |
| USA Truck, Inc. † | | | 81 | | | | 1,396 | |
| Viad Corp. | | | 79 | | | | 2,290 | |
| VSE Corp. | | | 66 | | | | 2,645 | |
| Wabash National Corp. † | | | 197 | | | | 2,086 | |
| West Corp. | | | 426 | | | | 9,542 | |
| YRC Worldwide, Inc. † | | | 138 | | | | 1,830 | |
| | | | | | | | |
| | | | | | | 455,135 | |
| | | | | | | | |
| Information Technology - 20.6% | | | | | | |
| Advanced Energy Industries, Inc. † | | | 305 | | | | 8,021 | |
| Alliance Fiber Optic Products, Inc. | | | 120 | | | | 2,051 | |
| Ambarella, Inc. †(a) | | | 250 | | | | 14,447 | |
| Amkor Technology, Inc. † | | | 589 | | | | 2,645 | |
| AVG Technologies NV (Netherlands) † | | | 124 | | | | 2,697 | |
| AVX Corp. | | | 136 | | | | 1,780 | |
| Bel Fuse, Inc., Class B | | | 128 | | | | 2,488 | |
| Benchmark Electronics, Inc. † | | | 228 | | | | 4,961 | |
| Black Box Corp. | | | 122 | | | | 1,798 | |
| Blackhawk Network Holdings, Inc. † | | | 408 | | | | 17,295 | |
| Blucora, Inc. † | | | 161 | | | | 2,217 | |
| BroadSoft, Inc. † | | | 182 | | | | 5,453 | |
| Brooks Automation, Inc. | | | 213 | | | | 2,494 | |
| Cabot Microelectronics Corp. † | | | 130 | | | | 5,036 | |
| CACI International, Inc., Class A † | | | 149 | | | | 11,022 | |
| Calix, Inc. † | | | 248 | | | | 1,932 | |
| Cardtronics, Inc. † | | | 78 | | | | 2,551 | |
| Ciena Corp. † | | | 737 | | | | 15,271 | |
| Cimpress NV (Netherlands) † | | | 115 | | | | 8,753 | |
| Cirrus Logic, Inc. † | | | 422 | | | | 13,297 | |
| Coherent, Inc. † | | | 59 | | | | 3,227 | |
| Cohu, Inc. | | | 121 | | | | 1,193 | |
| comScore, Inc. † | | | 172 | | | | 7,938 | |
| Comtech Telecommunications Corp. | | | 131 | | | | 2,700 | |
| Constant Contact, Inc. † | | | 44 | | | | 1,067 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
71
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 20.6% (continued) | | | | | | |
| Convergys Corp. | | | 592 | | | $ | 13,681 | |
| CSG Systems International, Inc. | | | 161 | | | | 4,959 | |
| Datalink Corp. † | | | 232 | | | | 1,385 | |
| DHI Group, Inc. † | | | 414 | | | | 3,026 | |
| Diodes, Inc. † | | | 227 | | | | 4,851 | |
| DTS, Inc. † | | | 176 | | | | 4,699 | |
| EarthLink Holdings Corp. | | | 1,037 | | | | 8,068 | |
| Ebix, Inc. (a) | | | 333 | | | | 8,312 | |
| Electronics For Imaging, Inc. † | | | 167 | | | | 7,228 | |
| Ellie Mae, Inc. † | | | 109 | | | | 7,256 | |
| Entegris, Inc. † | | | 210 | | | | 2,770 | |
| EPAM Systems, Inc. † | | | 51 | | | | 3,801 | |
| ePlus, Inc. † | | | 113 | | | | 8,935 | |
| ExlService Holdings, Inc. † | | | 208 | | | | 7,681 | |
| Fabrinet (Thailand) † | | | 79 | | | | 1,448 | |
| Fair Isaac Corp. | | | 151 | | | | 12,760 | |
| Fairchild Semiconductor International, Inc. † | | | 581 | | | | 8,157 | |
| Fleetmatics Group PLC (Ireland) †(a) | | | 151 | | | | 7,413 | |
| FormFactor, Inc. † | | | 536 | | | | 3,634 | |
| Gigamon, Inc. † | | | 271 | | | | 5,423 | |
| GSI Group, Inc. † | | | 313 | | | | 3,984 | |
| Hackett Group, Inc./The | | | 460 | | | | 6,325 | |
| Harmonic, Inc. † | | | 233 | | | | 1,351 | |
| II-VI, Inc. † | | | 309 | | | | 4,969 | |
| Infinera Corp. † | | | 775 | | | | 15,159 | |
| Infoblox, Inc. † | | | 229 | | | | 3,659 | |
| Inphi Corp. † | | | 293 | | | | 7,044 | |
| Insight Enterprises, Inc. † | | | 233 | | | | 6,023 | |
| Integrated Device Technology, Inc. † | | | 386 | | | | 7,836 | |
| InterDigital, Inc. | | | 246 | | | | 12,448 | |
| Intersil Corp., Class A | | | 153 | | | | 1,790 | |
| Itron, Inc. † | | | 99 | | | | 3,159 | |
| Ixia † | | | 217 | | | | 3,144 | |
| IXYS Corp. | | | 195 | | | | 2,176 | |
| j2 Global, Inc. | | | 177 | | | | 12,540 | |
| Lattice Semiconductor Corp. † | | | 789 | | | | 3,038 | |
| LogMeIn, Inc. † | | | 149 | | | | 10,156 | |
| Luxoft Holding, Inc. (Switzerland) † | | | 143 | | | | 9,050 | |
| Manhattan Associates, Inc. † | | | 216 | | | | 13,457 | |
| ManTech International Corp., Class A | | | 163 | | | | 4,189 | |
| Mattson Technology, Inc. † | | | 416 | | | | 969 | |
| Mentor Graphics Corp. | | | 540 | | | | 13,300 | |
| Methode Electronics, Inc. | | | 208 | | | | 6,635 | |
| Microsemi Corp. † | | | 219 | | | | 7,188 | |
| MicroStrategy, Inc., Class A † | | | 38 | | | | 7,466 | |
| MKS Instruments, Inc. | | | 305 | | | | 10,227 | |
| Monolithic Power Systems, Inc. | | | 99 | | | | 5,069 | |
| Monster Worldwide, Inc. † | | | 393 | | | | 2,523 | |
| Multi-Fineline Electronix, Inc. † | | | 256 | | | | 4,275 | |
| NeoPhotonics Corp. †(a) | | | 566 | | | | 3,854 | |
| NETGEAR, Inc. † | | | 210 | | | | 6,126 | |
| NetScout Systems, Inc. † | | | 173 | | | | 6,119 | |
| NeuStar, Inc., Class A †(a) | | | 239 | | | | 6,503 | |
| Newport Corp. † | | | 314 | | | | 4,318 | |
| NVE Corp. | | | 24 | | | | 1,165 | |
| OmniVision Technologies, Inc. † | | | 324 | | | | 8,508 | |
| OSI Systems, Inc. † | | | 118 | | | | 9,081 | |
| PC Connection, Inc. | | | 107 | | | | 2,218 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 20.6% (continued) | | | | | | |
| Photronics, Inc. † | | | 423 | | | $ | 3,832 | |
| Plantronics, Inc. | | | 274 | | | | 13,933 | |
| Plexus Corp. † | | | 115 | | | | 4,437 | |
| PMC-Sierra, Inc. † | | | 838 | | | | 5,673 | |
| Polycom, Inc. † | | | 753 | | | | 7,891 | |
| Progress Software Corp. † | | | 223 | | | | 5,760 | |
| Qlik Technologies, Inc. † | | | 57 | | | | 2,078 | |
| QLogic Corp. † | | | 636 | | | | 6,519 | |
| Qualys, Inc. † | | | 204 | | | | 5,806 | |
| Quantum Corp. † | | | 2,529 | | | | 1,763 | |
| RealD, Inc. † | | | 369 | | | | 3,546 | |
| Reis, Inc. | | | 96 | | | | 2,174 | |
| Rofin-Sinar Technologies, Inc. † | | | 161 | | | | 4,175 | |
| Rogers Corp. † | | | 107 | | | | 5,690 | |
| Rovi Corp. † | | | 221 | | | | 2,318 | |
| Rubicon Project, Inc./The † | | | 220 | | | | 3,197 | |
| Rudolph Technologies, Inc. † | | | 259 | | | | 3,225 | |
| Sanmina Corp. † | | | 397 | | | | 8,484 | |
| Science Applications International Corp. | | | 62 | | | | 2,493 | |
| Semtech Corp. † | | | 79 | | | | 1,193 | |
| Sigma Designs, Inc. † | | | 689 | | | | 4,747 | |
| Stamps.com, Inc. † | | | 152 | | | | 11,250 | |
| Super Micro Computer, Inc. † | | | 148 | | | | 4,034 | |
| Sykes Enterprises, Inc. † | | | 368 | | | | 9,384 | |
| Synaptics, Inc. † | | | 48 | | | | 3,958 | |
| Synchronoss Technologies, Inc. † | | | 97 | | | | 3,182 | |
| SYNNEX Corp. | | | 108 | | | | 9,186 | |
| Take-Two Interactive Software, Inc. † | | | 455 | | | | 13,072 | |
| Tech Data Corp. † | | | 207 | | | | 14,180 | |
| TechTarget, Inc. † | | | 285 | | | | 2,428 | |
| TeleTech Holdings, Inc. | | | 221 | | | | 5,921 | |
| Tessera Technologies, Inc. | | | 357 | | | | 11,570 | |
| TTM Technologies, Inc. † | | | 451 | | | | 2,810 | |
| Unisys Corp. † | | | 163 | | | | 1,940 | |
| United Online, Inc. † | | | 320 | | | | 3,200 | |
| VASCO Data Security International, Inc. †(a) | | | 371 | | | | 6,322 | |
| Vishay Intertechnology, Inc. | | | 483 | | | | 4,680 | |
| Web.com Group, Inc. † | | | 101 | | | | 2,129 | |
| Xcerra Corp. † | | | 453 | | | | 2,845 | |
| XO Group, Inc. † | | | 174 | | | | 2,459 | |
| | | | | | | | |
| | | | | | | 718,346 | |
| | | | | | | | |
| Materials - 2.7% | | | | | | |
| A Schulman, Inc. | | | 178 | | | | 5,780 | |
| AEP Industries, Inc. † | | | 16 | | | | 917 | |
| Boise Cascade Co. † | | | 182 | | | | 4,590 | |
| Century Aluminum Co. † | | | 282 | | | | 1,297 | |
| Clearwater Paper Corp. † | | | 86 | | | | 4,063 | |
| Core Molding Technologies, Inc. † | | | 117 | | | | 2,159 | |
| Ferro Corp. † | | | 156 | | | | 1,708 | |
| Hawkins, Inc. | | | 48 | | | | 1,848 | |
| Innophos Holdings, Inc. | | | 99 | | | | 3,924 | |
| Innospec, Inc. | | | 221 | | | | 10,279 | |
| Kaiser Aluminum Corp. | | | 144 | | | | 11,556 | |
| KapStone Paper and Packaging Corp. | | | 92 | | | | 1,519 | |
| KMG Chemicals, Inc. | | | 175 | | | | 3,376 | |
| Kraton Performance Polymers, Inc. † | | | 73 | | | | 1,307 | |
| Materion Corp. | | | 186 | | | | 5,584 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
72
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Materials - 2.7% (continued) | | | | | | |
| Minerals Technologies, Inc. | | | 163 | | | $ | 7,850 | |
| Neenah Paper, Inc. | | | 101 | | | | 5,886 | |
| Quaker Chemical Corp. | | | 56 | | | | 4,316 | |
| Stepan Co. | | | 38 | | | | 1,581 | |
| Trinseo SA †(a) | | | 246 | | | | 6,212 | |
| US Concrete, Inc. † | | | 175 | | | | 8,363 | |
| | | | | | | | |
| | | | | | | 94,115 | |
| | | | | | | | |
| Telecommunication Services - 1.2% | | | | | | |
| Atlantic Tele-Network, Inc. | | | 35 | | | | 2,587 | |
| Boingo Wireless, Inc. † | | | 170 | | | | 1,408 | |
| Cincinnati Bell, Inc. † | | | 720 | | | | 2,246 | |
| FairPoint Communications, Inc. † | | | 285 | | | | 4,392 | |
| General Communication, Inc., Class A † | | | 284 | | | | 4,902 | |
| IDT Corp., Class B | | | 83 | | | | 1,187 | |
| Inteliquent, Inc. | | | 329 | | | | 7,347 | |
| Iridium Communications, Inc. †(a) | | | 553 | | | | 3,401 | |
| Shenandoah Telecommunications Co. | | | 130 | | | | 5,565 | |
| Spok Holdings, Inc. | | | 252 | | | | 4,148 | |
| Vonage Holdings Corp. † | | | 1,040 | | | | 6,115 | |
| | | | | | | | |
| | | | | | | 43,298 | |
| | | | | | | | |
| Utilities - 1.7% | | | | | | |
| Avista Corp. | | | 175 | | | | 5,819 | |
| Consolidated Water Co., Ltd. (Cayman Islands) (a) | | | 166 | | | | 1,926 | |
| New Jersey Resources Corp. | | | 323 | | | | 9,700 | |
| ONE Gas, Inc. | | | 247 | | | | 11,196 | |
| Portland General Electric Co. | | | 347 | | | | 12,828 | |
| Unitil Corp. | | | 66 | | | | 2,434 | |
| WGL Holdings, Inc. | | | 272 | | | | 15,686 | |
| | | | | | | | |
| | | | | | | 59,589 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $3,476,548) | | | | | | | 3,257,532 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS (ETF) - 3.7% | | | | |
| iShares Russell 2000 ETF (a) | | | | | |
(cost $129,034) | | | 1,171 | | | | 127,873 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 4.4% | | | | |
J.P. Morgan U.S. Treasury Plus Money
Market Fund - IM Shares, 0.000% (2)(b) | | | | | |
(cost $153,155) | | | 153,155 | | | | 153,155 | |
| | | | | | | | |
| |
| SECURITIES LENDING COLLATERAL - 7.5% | | | | |
| | |
| Money Market Funds - 7.5% | | | | | | |
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank
Dreyfus Treasury Cash Management, 0.010% (2)(b)(c) | | | | | | | | |
(cost $261,756) | | | 261,756 | | | | 261,756 | |
| | | | | | | | |
TOTAL INVESTMENTS IN
SECURITIES, AT VALUE - 108.9%
(cost $4,020,493) | | | | | | | 3,800,316 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (8.9%) | | | | | (309,829) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 3,490,487 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non-income producing security. |
| (a) | All or a portion of the security on loan. The aggregate market value of such securities is $261,113; cash collateral of $261,756 was received with which the Fund purchased a money market fund. |
| (b) | Represents annualized seven-day yield as of the close of the reporting period. |
| (c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
73
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 95.7% | | SHARES | | | VALUE
(Note 4) | |
| Australia - 2.9% | | | | | | |
| AMP Ltd. | | | 4,704 | | | $ | 18,475 | |
| Caltex Australia Ltd. | | | 755 | | | | 16,667 | |
| CIMIC Group Ltd. | | | 6,307 | | | | 104,778 | |
| Cochlear Ltd. | | | 1,474 | | | | 86,733 | |
| Goodman Group REIT | | | 4,272 | | | | 17,658 | |
| GPT Group/The REIT | | | 19,876 | | | | 63,169 | |
| Harvey Norman Holdings Ltd. | | | 14,509 | | | | 39,743 | |
| Incitec Pivot Ltd. | | | 7,924 | | | | 21,840 | |
| Insurance Australia Group Ltd. | | | 25,219 | | | | 86,227 | |
| Macquarie Group Ltd. | | | 306 | | | | 16,584 | |
| Qantas Airways Ltd. † | | | 53,379 | | | | 140,140 | |
| QBE Insurance Group Ltd. | | | 2,729 | | | | 24,852 | |
| Scentre Group REIT | | | 16,646 | | | | 45,815 | |
| Tabcorp Holdings Ltd. | | | 51,340 | | | | 169,020 | |
| Telstra Corp. Ltd. | | | 111,147 | | | | 439,441 | |
| | | | | | | | |
| | | | | | | 1,291,142 | |
| | | | | | | | |
| Austria - 0.6% | | | | | | |
| Erste Group Bank AG † | | | 7,536 | | | | 219,003 | |
| voestalpine AG | | | 910 | | | | 31,288 | |
| | | | | | | | |
| | | | | | | 250,291 | |
| | | | | | | | |
| Belgium - 1.0% | | | | | | |
| Ageas | | | 2,598 | | | | 106,768 | |
| KBC Groep NV | | | 3,131 | | | | 198,011 | |
| Proximus | | | 4,280 | | | | 148,054 | |
| | | | | | | | |
| | | | | | | 452,833 | |
| | | | | | | | |
| Canada - 6.2% | | | | | | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 8,203 | | | | 377,233 | |
| Bank of Montreal (1) | | | 771 | | | | 42,048 | |
| BlackBerry Ltd. (1)† | | | 12,054 | | | | 73,977 | |
| Brookfield Asset Management, Inc., Class A (1) | | | 5,776 | | | | 181,742 | |
| Canadian Imperial Bank of Commerce (1) | | | 623 | | | | 44,761 | |
| CGI Group, Inc., Class A (1)† | | | 2,343 | | | | 84,889 | |
| Empire Co., Ltd., Class A (1) | | | 11,346 | | | | 233,382 | |
| Fairfax Financial Holdings Ltd. (1) | | | 432 | | | | 196,736 | |
| George Weston Ltd. (1) | | | 2,089 | | | | 168,998 | |
| Great-West Lifeco, Inc. (1) | | | 4,297 | | | | 102,941 | |
| Intact Financial Corp. (1) | | | 5,015 | | | | 352,196 | |
| Loblaw Cos., Ltd. (1) | | | 4,334 | | | | 223,147 | |
| Magna International, Inc. (1) | | | 4,745 | | | | 227,596 | |
| Metro, Inc. (1) | | | 9,253 | | | | 252,109 | |
| National Bank of Canada (1) | | | 2,436 | | | | 77,762 | |
| Open Text Corp. (1) | | | 976 | | | | 43,706 | |
| Sun Life Financial, Inc. (1) | | | 2,381 | | | | 76,791 | |
| | | | | | | | |
| | | | | | | 2,760,014 | |
| | | | | | | | |
| Denmark - 1.8% | | | | | | |
| Danske Bank A/S | | | 6,153 | | | | 185,946 | |
| DSV A/S | | | 1,495 | | | | 55,864 | |
| ISS A/S | | | 5,048 | | | | 167,678 | |
| Pandora A/S | | | 1,647 | | | | 192,401 | |
| Tryg A/S | | | 6,835 | | | | 132,800 | |
| Vestas Wind Systems A/S | | | 1,714 | | | | 89,109 | |
| | | | | | | | |
| | | | | | 823,798 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Finland - 0.9% | | | | | | |
| Elisa OYJ | | | 5,535 | | | $ | 187,233 | |
| Nokia OYJ | | | 18,647 | | | | 127,505 | |
| Nokian Renkaat OYJ | | | 418 | | | | 13,531 | |
| Stora Enso OYJ, R Shares | | | 4,824 | | | | 36,501 | |
| UPM-Kymmene OYJ | | | 2,816 | | | | 42,270 | |
| | | | | | | | |
| | | | | | | 407,040 | |
| | | | | | | | |
| France - 7.0% | | | | | | |
| AXA SA | | | 13,561 | | | | 329,247 | |
| BNP Paribas SA | | | 6,317 | | | | 371,908 | |
| Cap Gemini SA | | | 2,060 | | | | 183,964 | |
| Christian Dior SE | | | 892 | | | | 167,120 | |
| Cie Generale des Etablissements Michelin | | | 998 | | | | 91,311 | |
| CNP Assurances | | | 1,191 | | | | 16,549 | |
| Credit Agricole SA | | | 12,435 | | | | 143,161 | |
| Engie | | | 6,643 | | | | 107,487 | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 2,071 | | | | 352,573 | |
| Natixis SA | | | 12,552 | | | | 69,498 | |
| Numericable-SFR SAS † | | | 1,323 | | | | 61,247 | |
| Orange SA | | | 13,955 | | | | 211,548 | |
| Peugeot SA † | | | 10,924 | | | | 165,527 | |
| Renault SA | | | 2,508 | | | | 180,959 | |
| Safran SA | | | 1,823 | | | | 137,074 | |
| Societe Generale SA | | | 7,206 | | | | 322,043 | |
| Valeo SA | | | 962 | | | | 130,618 | |
| Veolia Environnement SA | | | 3,065 | | | | 69,901 | |
| | | | | | | | |
| | | | | | 3,111,735 | |
| | | | | | | | |
| Germany - 7.0% | | | | | | |
| Allianz SE | | | 2,901 | | | | 455,727 | |
| Brenntag AG | | | 854 | | | | 46,077 | |
| Continental AG | | | 844 | | | | 180,266 | |
| Daimler AG | | | 7,443 | | | | 541,873 | |
| Deutsche Bank AG | | | 6,363 | | | | 171,720 | |
| Deutsche Telekom AG | | | 19,511 | | | | 347,326 | |
| Evonik Industries AG | | | 1,868 | | | | 62,545 | |
| Hannover Rueck SE | | | 4,283 | | | | 438,712 | |
| HeidelbergCement AG | | | 1,067 | | | | 73,273 | |
| Infineon Technologies AG | | | 8,783 | | | | 98,681 | |
| Merck KGaA | | | 2,353 | | | | 208,326 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 1,403 | | | | 262,031 | |
| OSRAM Licht AG | | | 886 | | | | 45,902 | |
| ProSiebenSat.1 Media SE | | | 4,477 | | | | 219,756 | |
| | | | | | | | |
| | | | | | | 3,152,215 | |
| | | | | | | | |
| Hong Kong - 2.7% | | | | | | |
| BOC Hong Kong Holdings Ltd. | | | 80,000 | | | | 235,942 | |
| Cathay Pacific Airways Ltd. | | | 22,000 | | | | 41,430 | |
| CK Hutchison Holdings Ltd. | | | 8,000 | | | | 104,061 | |
| Henderson Land Development Co., Ltd. | | | 26,400 | | | | 157,864 | |
| Hysan Development Co., Ltd. | | | 9,000 | | | | 37,475 | |
| Kerry Properties Ltd. | | | 25,500 | | | | 70,013 | |
| Link REIT | | | 8,000 | | | | 44,043 | |
| New World Development Co., Ltd. | | | 88,000 | | | | 85,702 | |
| NWS Holdings Ltd. | | | 55,000 | | | | 72,499 | |
| PCCW Ltd. | | | 162,000 | | | | 83,390 | |
| Sino Land Co., Ltd. | | | 42,000 | | | | 63,950 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
74
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Hong Kong - 2.7% (continued) | | | | | | |
| Swire Properties Ltd. | | | 12,400 | | | $ | 34,369 | |
| Techtronic Industries Co., Ltd. | | | 9,500 | | | | 35,417 | |
| Wharf Holdings Ltd./The | | | 4,000 | | | | 22,570 | |
| Wheelock & Co., Ltd. | | | 12,000 | | | | 52,115 | |
| Yue Yuen Industrial Holdings Ltd. | | | 20,000 | | | | 74,409 | |
| | | | | | | | |
| | | | | | | 1,215,249 | |
| | | | | | | | |
| Italy - 2.9% | | | | | | |
| Assicurazioni Generali SpA | | | 10,667 | | | | 195,166 | |
| Banco Popolare SC † | | | 10,179 | | | | 150,603 | |
| Intesa Sanpaolo SpA | | | 134,017 | | | | 473,442 | |
| Mediobanca SpA | | | 12,148 | | | | 119,521 | |
| Pirelli & C. SpA | | | 12,620 | | | | 211,183 | |
| Prysmian SpA | | | 6,485 | | | | 134,040 | |
| UnipolSai SpA | | | 5,968 | | | | 12,977 | |
| | | | | | | | |
| | | | | | | 1,296,932 | |
| | | | | | | | |
| Japan - 33.7% | | | | | | |
| AEON Financial Service Co., Ltd. | | | 7,500 | | | | 148,395 | |
| Aisin Seiki Co., Ltd. | | | 4,400 | | | | 147,629 | |
| Alfresa Holdings Corp. | | | 1,400 | | | | 23,908 | |
| Alps Electric Co., Ltd. | | | 4,200 | | | | 118,608 | |
| Asahi Kasei Corp. | | | 6,000 | | | | 42,309 | |
| Bank of Yokohama Ltd./The | | | 28,000 | | | | 170,185 | |
| Bridgestone Corp. | | | 7,100 | | | | 245,704 | |
| Central Japan Railway Co. | | | 1,900 | | | | 306,333 | |
| Chiba Bank Ltd./The | | | 23,000 | | | | 163,325 | |
| Chubu Electric Power Co., Inc. | | | 13,900 | | | | 204,945 | |
| Chugoku Bank Ltd./The | | | 1,800 | | | | 26,715 | |
| Credit Saison Co., Ltd. | | | 700 | | | | 12,717 | |
| Daicel Corp. | | | 5,900 | | | | 72,427 | |
| Dai-ichi Life Insurance Co., Ltd./The | | | 23,800 | | | | 378,892 | |
| Daiichi Sankyo Co., Ltd. | | | 3,600 | | | | 62,467 | |
| Daiwa Securities Group, Inc. | | | 17,000 | | | | 109,999 | |
| Dentsu, Inc. | | | 4,100 | | | | 210,412 | |
| Fuji Heavy Industries Ltd. | | | 6,700 | | | | 241,096 | |
| FUJIFILM Holdings Corp. | | | 5,400 | | | | 201,864 | |
| Fukuoka Financial Group, Inc. | | | 36,000 | | | | 171,463 | |
| Gunma Bank Ltd./The | | | 18,000 | | | | 115,207 | |
| Hachijuni Bank Ltd./The | | | 30,000 | | | | 212,946 | |
| Hiroshima Bank Ltd./The | | | 30,000 | | | | 173,379 | |
| Hitachi Chemical Co., Ltd. | | | 4,200 | | | | 57,949 | |
| Hitachi High-Technologies Corp. | | | 1,500 | | | | 32,480 | |
| Hokuhoku Financial Group, Inc. | | | 85,000 | | | | 194,623 | |
| Hoya Corp. | | | 2,500 | | | | 81,880 | |
| Iida Group Holdings Co., Ltd. | | | 10,900 | | | | 170,525 | |
| Isuzu Motors Ltd. | | | 8,100 | | | | 81,340 | |
| Iyo Bank Ltd./The | | | 14,800 | | | | 170,136 | |
| Japan Airlines Co., Ltd. | | | 2,200 | | | | 77,847 | |
| JFE Holdings, Inc. | | | 10,000 | | | | 131,340 | |
| Joyo Bank Ltd./The | | | 9,000 | | | | 47,413 | |
| JTEKT Corp. | | | 5,400 | | | | 75,605 | |
| Kansai Electric Power Co., Inc./The † | | | 12,600 | | | | 140,077 | |
| Kawasaki Heavy Industries Ltd. | | | 9,000 | | | | 31,071 | |
| KDDI Corp. | | | 7,300 | | | | 163,397 | |
| Kobe Steel Ltd. | | | 44,000 | | | | 47,708 | |
| Koito Manufacturing Co., Ltd. | | | 4,800 | | | | 156,847 | |
| Konica Minolta, Inc. | | | 10,100 | | | | 106,401 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Japan - 33.7% (continued) | | | | | | |
| Mabuchi Motor Co., Ltd. | | | 1,600 | | | $ | 69,471 | |
| Mazda Motor Corp. | | | 2,800 | | | | 44,244 | |
| Medipal Holdings Corp. | | | 4,700 | | | | 74,575 | |
| MEIJI Holdings Co., Ltd. | | | 1,000 | | | | 73,331 | |
| Minebea Co., Ltd. | | | 12,000 | | | | 127,385 | |
| Mitsubishi Chemical Holdings Corp. | | | 25,600 | | | | 133,673 | |
| Mitsubishi Corp. | | | 1,800 | | | | 29,505 | |
| Mitsubishi Electric Corp. | | | 19,000 | | | | 174,050 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 132,300 | | | | 799,388 | |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 10,700 | | | | 47,138 | |
| Mitsui Chemicals, Inc. | | | 10,000 | | | | 32,050 | |
| Mixi, Inc. | | | 3,000 | | | | 102,669 | |
| Mizuho Financial Group, Inc. | | | 205,900 | | | | 385,157 | |
| MS&AD Insurance Group Holdings, Inc. | | | 7,100 | | | | 190,492 | |
| Murata Manufacturing Co., Ltd. | | | 2,300 | | | | 297,101 | |
| Nexon Co., Ltd. | | | 12,200 | | | | 163,109 | |
| NHK Spring Co., Ltd. | | | 1,800 | | | | 17,454 | |
| Nippon Express Co., Ltd. | | | 3,000 | | | | 14,335 | |
| Nippon Telegraph & Telephone Corp. | | | 6,200 | | | | 218,386 | |
| Nissan Motor Co., Ltd. | | | 19,300 | | | | 177,456 | |
| Nitto Denko Corp. | | | 2,800 | | | | 167,700 | |
| NOK Corp. | | | 6,100 | | | | 131,978 | |
| Nomura Holdings, Inc. | | | 72,900 | | | | 423,138 | |
| NSK Ltd. | | | 13,300 | | | | 128,917 | |
| ORIX Corp. | | | 25,800 | | | | 332,803 | |
| Otsuka Holdings Co., Ltd. | | | 1,200 | | | | 38,318 | |
| Panasonic Corp. | | | 29,500 | | | | 298,544 | |
| Rohm Co., Ltd. | | | 900 | | | | 40,023 | |
| Seiko Epson Corp. | | | 1,800 | | | | 25,463 | |
| Shimadzu Corp. | | | 5,000 | | | | 72,186 | |
| Shinsei Bank Ltd. | | | 14,000 | | | | 28,779 | |
| Shionogi & Co., Ltd. | | | 3,500 | | | | 125,458 | |
| Sompo Japan Nipponkoa Holdings, Inc. | | | 8,200 | | | | 238,168 | |
| Sony Corp. | | | 14,800 | | | | 362,779 | |
| Sumitomo Chemical Co., Ltd. | | | 34,000 | | | | 171,929 | |
| Sumitomo Heavy Industries Ltd. | | | 23,000 | | | | 91,140 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 14,600 | | | | 553,636 | |
| Sumitomo Mitsui Trust Holdings, Inc. | | | 17,000 | | | | 62,306 | |
| Sumitomo Rubber Industries Ltd. | | | 2,500 | | | | 34,703 | |
| Suzuki Motor Corp. | | | 2,000 | | | | 61,500 | |
| T&D Holdings, Inc. | | | 17,400 | | | | 205,526 | |
| Taiyo Nippon Sanso Corp. | | | 8,600 | | | | 81,701 | |
| TDK Corp. | | | 2,300 | | | | 130,083 | |
| Teijin Ltd. | | | 19,000 | | | | 57,712 | |
| Tohoku Electric Power Co., Inc. | | | 13,400 | | | | 181,590 | |
| Tokio Marine Holdings, Inc. | | | 6,300 | | | | 235,368 | |
| Tokyo Electric Power Co., Inc. † | | | 48,000 | | | | 320,622 | |
| TOTO Ltd. | | | 1,000 | | | | 31,164 | |
| Toyota Motor Corp. | | | 24,100 | | | | 1,411,005 | |
| West Japan Railway Co. | | | 400 | | | | 25,070 | |
| Yamaguchi Financial Group, Inc. | | | 12,000 | | | | 147,096 | |
| Yamaha Corp. | | | 7,100 | | | | 157,252 | |
| Yamaha Motor Co., Ltd. | | | 9,200 | | | | 185,088 | |
| | | | | | | | |
| | | | | | 15,057,278 | |
| | | | | | | | |
| Netherlands - 3.5% | | | | | | |
| Aegon NV | | | 10,929 | | | | 62,668 | |
| Boskalis Westminster | | | 1,461 | | | | 63,952 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
75
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Netherlands - 3.5% (continued) | | | | | | |
| ING Groep NV CVA | | | 44,149 | | | $ | 625,482 | |
| Koninklijke Ahold NV | | | 19,384 | | | | 378,144 | |
| NN Group NV | | | 4,621 | | | | 132,656 | |
| Randstad Holding NV | | | 2,460 | | | | 147,036 | |
| Wolters Kluwer NV | | | 5,404 | | | | 166,656 | |
| | | | | | | | |
| | | | | | 1,576,594 | |
| | | | | | | | |
| Norway - 0.1% | | | | | | |
| Yara International ASA | | | 782 | | | | 31,196 | |
| | | | | | | | |
| | |
| Portugal - 0.1% | | | | | | |
| Jeronimo Martins SGPS SA | | | 2,484 | | | | 33,525 | |
| | | | | | | | |
| | |
| Singapore - 2.1% | | | | | | |
| CapitaLand Commercial Trust Ltd. REIT | | | 42,100 | | | | 39,749 | |
| ComfortDelGro Corp. Ltd. | | | 69,600 | | | | 140,605 | |
| DBS Group Holdings Ltd. | | | 22,500 | | | | 256,823 | |
| Oversea-Chinese Banking Corp. Ltd. | | | 46,600 | | | | 288,560 | |
| United Overseas Bank Ltd. | | | 13,300 | | | | 173,659 | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 75,300 | | | | 60,210 | |
| | | | | | | | |
| | | | | | 959,606 | |
| | | | | | | | |
| South Africa - 0.4% | | | | | | |
| Investec PLC | | | 4,288 | | | | 32,833 | |
| Mondi PLC | | | 6,205 | | | | 130,052 | |
| | | | | | | | |
| | | | | | | 162,885 | |
| | | | | | | | |
| Spain - 1.7% | | | | | | |
| Endesa SA | | | 6,429 | | | | 135,577 | |
| Ferrovial SA | | | 6,638 | | | | 158,782 | |
| Gas Natural SDG SA | | | 2,169 | | | | 42,322 | |
| Iberdrola SA | | | 41,736 | | | | 278,096 | |
| Telefonica SA | | | 11,651 | | | | 141,350 | |
| | | | | | | | |
| | | | | | | 756,127 | |
| | | | | | | | |
| Sweden - 1.8% | | | | | | |
| Boliden AB | | | 1,791 | | | | 28,044 | |
| Electrolux AB, Series B | | | 3,965 | | | | 112,038 | |
| Husqvarna AB, B Shares | | | 7,103 | | | | 46,584 | |
| Investor AB, B Shares | | | 622 | | | | 21,372 | |
| Nordea Bank AB | | | 20,398 | | | | 227,571 | |
| Securitas AB, B Shares | | | 10,323 | | | | 126,251 | |
| Swedish Match AB | | | 1,210 | | | | 36,577 | |
| Tele2 AB, B Shares | | | 10,754 | | | | 104,879 | |
| Telefonaktiebolaget LM Ericsson, B Shares | | | 10,137 | | | | 99,440 | |
| | | | | | | | |
| | | | | | | 802,756 | |
| | | | | | | | |
| Switzerland - 4.6% | | | | | | |
| Actelion Ltd. † | | | 534 | | | | 67,869 | |
| Adecco SA † | | | 1,244 | | | | 91,105 | |
| Baloise Holding AG | | | 2,614 | | | | 299,575 | |
| Credit Suisse Group AG † | | | 8,482 | | | | 203,881 | |
| Givaudan SA † | | | 136 | | | | 221,294 | |
| Swiss Life Holding AG † | | | 1,212 | | | | 270,355 | |
| Swiss Re AG | | | 5,256 | | | | 450,950 | |
| Zurich Insurance Group AG † | | | 1,843 | | | | 452,468 | |
| | | | | | | | |
| | | | | | | 2,057,497 | |
| | | | | | | | |
| United Kingdom - 14.7% | | | | | | |
| 3i Group PLC | | | 16,750 | | | | 118,320 | |
| Aviva PLC | | | 24,923 | | | | 170,463 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| United Kingdom - 14.7% (continued) | | | | | | |
| BAE Systems PLC | | | 22,878 | | | $ | 155,081 | |
| Barclays PLC | | | 89,750 | | | | 332,146 | |
| Barratt Developments PLC | | | 12,520 | | | | 122,295 | |
| British Land Co. PLC/The REIT | | | 9,564 | | | | 121,459 | |
| BT Group PLC | | | 90,533 | | | | 576,201 | |
| Direct Line Insurance Group PLC | | | 75,567 | | | | 428,779 | |
| Dixons Carphone PLC | | | 27,016 | | | | 173,632 | |
| Fiat Chrysler Automobiles NV † | | | 17,025 | | | | 221,283 | |
| Hammerson PLC REIT | | | 5,925 | | | | 55,948 | |
| HSBC Holdings PLC | | | 35,829 | | | | 270,284 | |
| Imperial Tobacco Group PLC | | | 6,967 | | | | 360,186 | |
| International Consolidated Airlines Group SA † | | | 16,562 | | | | 148,378 | |
| Intu Properties PLC REIT | | | 21,010 | | | | 104,866 | |
| Kingfisher PLC | | | 38,349 | | | | 208,321 | |
| Land Securities Group PLC REIT | | | 4,025 | | | | 76,732 | |
| Legal & General Group PLC | | | 34,823 | | | | 125,564 | |
| Marks & Spencer Group PLC | | | 30,789 | | | | 233,712 | |
| National Grid PLC | | | 30,774 | | | | 428,594 | |
| Persimmon PLC † | | | 7,131 | | | | 217,042 | |
| Prudential PLC | | | 5,602 | | | | 118,183 | |
| Royal Mail PLC | | | 18,320 | | | | 127,294 | |
| Sage Group PLC/The | | | 19,046 | | | | 144,094 | |
| Shire PLC | | | 2,385 | | | | 163,043 | |
| Sky PLC | | | 10,918 | | | | 172,734 | |
| Taylor Wimpey PLC | | | 45,481 | | | | 134,750 | |
| Vodafone Group PLC | | | 220,526 | | | | 695,558 | |
| William Hill PLC | | | 25,380 | | | | 134,987 | |
| WPP PLC | | | 12,158 | | | | 253,118 | |
| | | | | | | | |
| | | | | | | 6,593,047 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $46,442,929) | | | | | | | 42,791,760 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS (ETF) - 2.8% | | | | |
| | |
| United States - 2.8% | | | | | | |
| iShares MSCI EAFE ETF (1) | | | | | |
(cost $1,242,091) | | | 21,881 | | | | 1,254,219 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 2.6% | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a) | | | | | | | | |
(cost $1,167,969) | | | 1,167,969 | | | | 1,167,969 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 101.1%
(cost $48,852,989) | | | | | | | 45,213,948 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (1.1%) | | | | | (485,341) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 44,728,607 | |
| | | | | | | | |
| † | Non-income producing security. |
| (a) | Represents annualized seven-day yield as of the close of the reporting period. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
76
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 9,387,259 | | | | 21.0 | % |
| Consumer Staples | | | 2,136,630 | | | | 4.8 | |
| Energy | | | 16,667 | | | | 0.0 | (b) |
| Exchange-Traded Funds | | | 1,254,219 | | | | 2.8 | |
| Financials | | | 17,732,369 | | | | 39.7 | |
| Health Care | | | 932,577 | | | | 2.1 | |
| Industrials | | | 3,539,239 | | | | 7.9 | |
| Information Technology | | | 2,146,243 | | | | 4.8 | |
| Materials | | | 1,674,800 | | | | 3.7 | |
| Telecommunication Services | | | 3,316,764 | | | | 7.4 | |
| Utilities | | | 1,909,212 | | | | 4.3 | |
| Money Market Funds | | | 1,167,969 | | | | 2.6 | |
| | | | | | | | |
Total Investments In Securities, At Value | | | 45,213,948 | | | | 101.1 | |
| Liabilities in Excess of Other Assets | | | (485,341 | ) | | | (1.1 | ) |
| | | | | | | | |
Net Assets | | $ | 44,728,607 | | | | 100.0 | % |
| | | | | | | | |
| (b) | Represents less than 0.05% of net assets. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
77
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM EMERGING MULTI-STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 89.9% | | SHARES | | | VALUE
(Note 4) | |
| Brazil - 3.0% | | | | | | |
| Banco Bradesco SA ADR (1) | | | 1,635 | | | $ | 8,764 | |
| Banco do Brasil SA (1) | | | 1,600 | | | | 6,066 | |
| BRF SA (1) | | | 2,900 | | | | 51,680 | |
| Cia Energetica de Minas Gerais ADR (1) | | | 5,337 | | | | 9,500 | |
| Cia Paranaense de Energia ADR (1)(a) | | | 1,386 | | | | 11,379 | |
| EDP - Energias do Brasil SA (1) | | | 9,500 | | | | 27,940 | |
| Equatorial Energia SA (1) | | | 2,000 | | | | 17,142 | |
| Fibria Celulose SA ADR (1)(a) | | | 6,393 | | | | 86,689 | |
| Itau Unibanco Holding SA ADR (1) | | | 16,792 | | | | 111,163 | |
| JBS SA (1) | | | 23,600 | | | | 99,948 | |
| Lojas Renner SA (1) | | | 9,200 | | | | 43,024 | |
| Porto Seguro SA (1) | | | 5,700 | | | | 43,133 | |
| Telefonica Brasil SA ADR (1)(a) | | | 7,762 | | | | 70,867 | |
| | | | | | | | |
| | | | | | | 587,295 | |
| | | | | | | | |
| Chile - 0.9% | | | | | | |
| Corpbanca SA (1) | | | 6,046,373 | | | | 53,259 | |
| Enersis SA ADR (1) | | | 9,244 | | | | 116,844 | |
| | | | | | | | |
| | | | | | | 170,103 | |
| | | | | | | | |
| China - 26.1% | | | | | | |
| Agricultural Bank of China Ltd., H Shares | | | 334,000 | | | | 126,851 | |
| Air China Ltd., H Shares | | | 12,000 | | | | 9,504 | |
| Anhui Conch Cement Co., Ltd., H Shares | | | 14,500 | | | | 42,869 | |
| ANTA Sports Products Ltd. | | | 19,000 | | | | 49,320 | |
| Bank of China Ltd., H Shares | | | 1,105,000 | | | | 476,512 | |
| Bank of Communications Co., Ltd., H Shares | | | 224,000 | | | | 156,138 | |
| Beijing Capital International Airport Co., Ltd., H Shares | | | 28,000 | | | | 26,172 | |
| Belle International Holdings Ltd. | | | 84,000 | | | | 73,053 | |
| China Cinda Asset Management Co., Ltd., H Shares | | | 31,000 | | | | 10,780 | |
| China CITIC Bank Corp. Ltd., H Shares † | | | 110,000 | | | | 64,053 | |
| China Communications Services Corp. Ltd., H Shares | | | 16,000 | | | | 6,176 | |
| China Construction Bank Corp., H Shares | | | 950,000 | | | | 633,966 | |
| China Everbright Bank Co., Ltd., H Shares | | | 175,000 | | | | 76,465 | |
| China Galaxy Securities Co., Ltd., H Shares | | | 88,000 | | | | 62,343 | |
| China Life Insurance Co., Ltd., H Shares | | | 26,000 | | | | 90,594 | |
| China Merchants Bank Co., Ltd., H Shares | | | 120,000 | | | | 292,477 | |
| China Minsheng Banking Corp. Ltd., H Shares | | | 262,000 | | | | 242,852 | |
| China National Building Material Co., Ltd., H Shares | | | 36,000 | | | | 20,859 | |
| China Pacific Insurance Group Co., Ltd., H Shares | | | 1,400 | | | | 5,223 | |
| China Petroleum & Chemical Corp., H Shares | | | 8,000 | | | | 4,900 | |
| China Railway Construction Corp. Ltd., H Shares | | | 26,500 | | | | 39,203 | |
| China Railway Group Ltd., H Shares | | | 29,000 | | | | 26,488 | |
| China Southern Airlines Co., Ltd., H Shares | | | 94,000 | | | | 68,884 | |
| China Telecom Corp. Ltd., H Shares | | | 158,000 | | | | 76,554 | |
| China Vanke Co., Ltd., H Shares | | | 60,200 | | | | 129,330 | |
| Chongqing Rural Commercial Bank Co., Ltd., H Shares | | | 99,000 | | | | 56,287 | |
| CNOOC Ltd. ADR (1) | | | 2,023 | | | | 208,531 | |
| Country Garden Holdings Co., Ltd. | | | 175,000 | | | | 63,404 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| China - 26.1% (continued) | | | | | | |
| Datang International Power Generation Co., Ltd., H Shares | | | 18,000 | | | $ | 6,834 | |
| Dongfeng Motor Group Co., Ltd., H Shares | | | 14,000 | | | | 17,571 | |
| Evergrande Real Estate Group Ltd. (a) | | | 130,000 | | | | 74,286 | |
| Geely Automobile Holdings Ltd. | | | 150,000 | | | | 71,897 | |
| GOME Electrical Appliances Holding Ltd. | | | 130,000 | | | | 19,850 | |
| Great Wall Motor Co., Ltd., H Shares | | | 31,500 | | | | 35,147 | |
| Huadian Power International Corp. Ltd., H Shares | | | 88,000 | | | | 69,048 | |
| Huaneng Power International, Inc., H Shares | | | 42,000 | | | | 45,476 | |
| Industrial & Commercial Bank of China Ltd., H Shares | | | 979,000 | | | | 565,572 | |
| Longfor Properties Co., Ltd. | | | 27,000 | | | | 34,187 | |
| New China Life Insurance Co., Ltd., H Shares | | | 9,000 | | | | 39,013 | |
| People’s Insurance Co. Group of China Ltd./The, H Shares | | | 130,000 | | | | 63,799 | |
| PICC Property & Casualty Co., Ltd., H Shares | | | 46,000 | | | | 90,100 | |
| Ping An Insurance Group Co. of China Ltd., H Shares (a) | | | 103,000 | | | | 514,690 | |
| Shui On Land Ltd. | | | 144,500 | | | | 33,356 | |
| Sino-Ocean Land Holdings Ltd. | | | 97,000 | | | | 53,083 | |
| Sinopec Shanghai Petrochemical Co., Ltd., H Shares † | | | 18,000 | | | | 6,902 | |
| Sinopharm Group Co., Ltd., H Shares | | | 3,200 | | | | 11,256 | |
| Sunac China Holdings Ltd. | | | 73,000 | | | | 38,295 | |
| Weichai Power Co., Ltd., H Shares | | | 6,000 | | | | 5,614 | |
| ZHuzhou CSR Times Electric Co., Ltd., H Shares | | | 4,500 | | | | 33,485 | |
| ZTE Corp., H Shares | | | 25,600 | | | | 58,555 | |
| | | | | | | | |
| | | | | | | 5,027,804 | |
| | | | | | | | |
| Hong Kong - 8.6% | | | | | | |
| China Agri-Industries Holdings Ltd. † | | | 14,000 | | | | 4,818 | |
| China Everbright Ltd. | | | 34,000 | | | | 78,088 | |
| China Jinmao Holdings Group Ltd. | | | 156,000 | | | | 39,458 | |
| China Mobile Ltd. ADR (1) | | | 13,036 | | | | 775,642 | |
| China Overseas Land & Investment Ltd. (a) | | | 56,000 | | | | 170,261 | |
| China Power International Development Ltd. | | | 104,000 | | | | 67,840 | |
| China Resources Land Ltd. | | | 48,000 | | | | 113,343 | |
| China Resources Power Holdings Co., Ltd. | | | 14,000 | | | | 32,142 | |
| China Taiping Insurance Holdings Co., Ltd. † | | | 26,000 | | | | 81,370 | |
| China Unicom Hong Kong Ltd. | | | 32,000 | | | | 40,710 | |
| CITIC Ltd. | | | 24,000 | | | | 43,817 | |
| Far East Horizon Ltd. | | | 70,000 | | | | 54,360 | |
| Guangdong Investment Ltd. | | | 6,000 | | | | 8,956 | |
| Shimao Property Holdings Ltd. | | | 32,000 | | | | 48,357 | |
| Sino Biopharmaceutical Ltd. | | | 36,000 | | | | 44,581 | |
| Yuexiu Property Co., Ltd. | | | 282,000 | | | | 46,454 | |
| | | | | | | | |
| | | | | | | 1,650,197 | |
| | | | | | | | |
| Hungary - 1.6% | | | | | | |
| MOL Hungarian Oil & Gas PLC | | | 1,973 | | | | 85,981 | |
| OTP Bank PLC | | | 7,141 | | | | 137,847 | |
| Richter Gedeon Nyrt | | | 5,860 | | | | 93,165 | |
| | | | | | | | |
| | | | | | 316,993 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
78
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM EMERGING MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| India - 1.1% | | | | | | |
| Infosys Ltd. ADR (1) | | | 1,779 | | | $ | 33,961 | |
| Reliance Industries Ltd. GDR 144A (b) | | | 593 | | | | 15,424 | |
| State Bank of India GDR | | | 2,093 | | | | 76,218 | |
| Tata Motors Ltd. ADR (1)† | | | 3,697 | | | | 83,183 | |
| | | | | | | | |
| | | | | | | 208,786 | |
| | | | | | | | |
| Indonesia - 0.6% | | | | | | |
| Bank Negara Indonesia Persero Tbk PT | | | 42,200 | | | | 11,955 | |
| Bank Rakyat Indonesia Persero Tbk PT | | | 21,800 | | | | 12,908 | |
| Lippo Karawaci Tbk PT | | | 191,400 | | | | 14,785 | |
| Telekomunikasi Indonesia Persero Tbk PT | | | 211,400 | | | | 38,179 | |
| United Tractors Tbk PT | | | 25,400 | | | | 30,406 | |
| | | | | | | | |
| | | | | | | 108,233 | |
| | | | | | | | |
| Korea, Republic of - 15.8% | | | | | | |
| Amorepacific Corp. | | | 211 | | | | 68,758 | |
| AMOREPACIFIC Group | | | 425 | | | | 58,695 | |
| BGF retail Co., Ltd. | | | 95 | | | | 16,226 | |
| BNK Financial Group, Inc. | | | 5,183 | | | | 60,096 | |
| CJ CheilJedang Corp. | | | 19 | | | | 6,122 | |
| CJ Corp. | | | 327 | | | | 73,018 | |
| Coway Co., Ltd. | | | 217 | | | | 15,355 | |
| Daewoo Securities Co., Ltd. | | | 6,726 | | | | 68,145 | |
| Dongbu Insurance Co., Ltd. | | | 1,381 | | | | 71,624 | |
| Hankook Tire Co., Ltd. | | | 633 | | | | 21,191 | |
| Hanwha Chemical Corp. | | | 1,688 | | | | 30,953 | |
| Hanwha Corp. | | | 2,176 | | | | 71,672 | |
| Hanwha Life Insurance Co., Ltd. | | | 9,346 | | | | 64,398 | |
| Hyosung Corp. | | | 751 | | | | 71,738 | |
| Hyundai Department Store Co., Ltd. | | | 168 | | | | 19,038 | |
| Hyundai Development Co.-Engineering & Construction | | | 1,242 | | | | 57,353 | |
| Hyundai Marine & Fire Insurance Co., Ltd. | | | 2,346 | | | | 59,857 | |
| Hyundai Steel Co. | | | 1,192 | | | | 51,958 | |
| Industrial Bank of Korea | | | 3,694 | | | | 42,545 | |
| Kangwon Land, Inc. | | | 586 | | | | 20,944 | |
| KB Financial Group, Inc. | | | 3,675 | | | | 109,238 | |
| Kia Motors Corp. | | | 669 | | | | 30,327 | |
| Korea Electric Power Corp. | | | 2,621 | | | | 108,061 | |
| Korea Investment Holdings Co., Ltd. | | | 946 | | | | 48,928 | |
| Korea Zinc Co., Ltd. | | | 44 | | | | 17,302 | |
| Korean Air Lines Co., Ltd. † | | | 2,408 | | | | 63,823 | |
| KT Corp. † | | | 754 | | | | 19,594 | |
| KT&G Corp. | | | 330 | | | | 31,075 | |
| LG Corp. | | | 443 | | | | 22,808 | |
| LG Display Co., Ltd. | | | 3,405 | | | | 65,005 | |
| LG Household & Health Care Ltd. | | | 115 | | | | 83,224 | |
| LG Uplus Corp. | | | 7,656 | | | | 78,365 | |
| Lotte Chemical Corp. | | | 403 | | | | 92,351 | |
| Mirae Asset Securities Co., Ltd. | | | 2,838 | | | | 67,164 | |
| NCSoft Corp. | | | 226 | | | | 36,134 | |
| NH Investment & Securities Co., Ltd. | | | 4,383 | | | | 37,055 | |
| Samsung Card Co., Ltd. | | | 1,754 | | | | 53,710 | |
| Samsung Electro-Mechanics Co., Ltd. | | | 243 | | | | 13,244 | |
| Samsung Electronics Co., Ltd. GDR | | | 1,309 | | | | 619,063 | |
| Samsung Fire & Marine Insurance Co., Ltd. | | | 127 | | | | 29,990 | |
| Samsung Life Insurance Co., Ltd. | | | 630 | | | | 52,684 | |
| Samsung Securities Co., Ltd. | | | 640 | | | | 24,702 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Korea, Republic of - 15.8% (continued) | | | | | | |
| Shinhan Financial Group Co., Ltd. | | | 539 | | | $ | 18,850 | |
| Shinsegae Co., Ltd. | | | 169 | | | | 33,840 | |
| SK Hynix, Inc. | | | 4,668 | | | | 133,134 | |
| SK Innovation Co., Ltd. † | | | 872 | | | | 72,627 | |
| SK Networks Co., Ltd. | | | 2,121 | | | | 12,363 | |
| SK Telecom Co., Ltd. | | | 240 | | | | 53,241 | |
| S-Oil Corp. | | | 1,368 | | | | 72,794 | |
| | | | | | | | |
| | | | | | | 3,050,382 | |
| | | | | | | | |
| Malaysia - 0.7% | | | | | | |
| MISC Bhd | | | 5,900 | | | | 11,840 | |
| Tenaga Nasional Bhd | | | 33,300 | | | | 91,077 | |
| YTL Corp. Bhd | | | 69,000 | | | | 25,128 | |
| | | | | | | | |
| | | | | | | 128,045 | |
| | | | | | | | |
| Malta - 0.6% | | | | | | |
| Brait SE †(a) | | | 10,603 | | | | 107,726 | |
| | | | | | | | |
| | |
| Mexico - 0.3% | | | | | | |
| Arca Continental SAB de CV (1) | | | 3,700 | | | | 20,832 | |
| Gruma SAB de CV, Class B (1) | | | 2,000 | | | | 27,779 | |
| Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | | | 1,100 | | | | 9,567 | |
| | | | | | | | |
| | | | | | | 58,178 | |
| | | | | | | | |
| Peru - 0.3% | | | | | | |
| Cia de Minas Buenaventura SAA ADR (1) | | | 1,325 | | | | 7,897 | |
| Credicorp Ltd. (1) | | | 407 | | | | 43,289 | |
| | | | | | | | |
| | | | | | | 51,186 | |
| | | | | | | | |
| Poland - 2.4% | | | | | | |
| Enea SA | | | 13,398 | | | �� | 47,652 | |
| Energa SA | | | 12,550 | | | | 55,700 | |
| Eurocash SA | | | 1,675 | | | | 19,727 | |
| Grupa Azoty SA † | | | 1,268 | | | | 29,572 | |
| Grupa Lotos SA † | | | 2,577 | | | | 18,953 | |
| KGHM Polska Miedz SA | | | 1,927 | | | | 41,626 | |
| Orange Polska SA | | | 3,482 | | | | 6,657 | |
| PGE Polska Grupa Energetyczna SA | | | 12,472 | | | | 44,314 | |
| Polski Koncern Naftowy Orlen SA | | | 5,501 | | | | 96,046 | |
| Polskie Gornictwo Naftowe i Gazownictwo SA | | | 42,572 | | | | 73,183 | |
| Tauron Polska Energia SA | | | 23,782 | | | | 20,542 | |
| | | | | | | | |
| | | | | | | 453,972 | |
| | | | | | | | |
| Russia - 2.0% | | | | | | |
| MMC Norilsk Nickel PJSC ADR | | | 8,107 | | | | 116,489 | |
| Severstal PAO GDR | | | 12,430 | | | | 131,897 | |
| Sistema JSFC GDR | | | 2,385 | | | | 16,481 | |
| Tatneft PAO ADR | | | 3,417 | | | | 95,822 | |
| Uralkali PJSC GDR † | | | 1,922 | | | | 28,554 | |
| | | | | | | | |
| | | | | | | 389,243 | |
| | | | | | | | |
| South Africa - 6.5% | | | | | | |
| Capitec Bank Holdings Ltd. | | | 1,538 | | | | 55,663 | |
| Discovery Ltd. | | | 1,256 | | | | 12,496 | |
| FirstRand Ltd. | | | 14,208 | | | | 50,488 | |
| Foschini Group Ltd./The | | | 1,020 | | | | 10,358 | |
| Gold Fields Ltd. ADR (1) | | | 10,790 | | | | 28,701 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
79
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM EMERGING MULTI-STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| South Africa - 6.5% (continued) | | | | | | |
| Hyprop Investments Ltd. REIT | | | 7,426 | | | $ | 64,682 | |
| Investec Ltd. | | | 11,273 | | | | 86,279 | |
| Liberty Holdings Ltd. | | | 4,900 | | | | 44,769 | |
| MMI Holdings Ltd. | | | 22,179 | | | | 38,162 | |
| Mondi Ltd. | | | 4,437 | | | | 93,032 | |
| MTN Group Ltd. | | | 11,001 | | | | 141,465 | |
| Netcare Ltd. | | | 22,479 | | | | 59,023 | |
| Redefine Properties Ltd. REIT | | | 60,181 | | | | 50,869 | |
| Resilient Property Income Fund Ltd. REIT | | | 7,835 | | | | 65,655 | |
| Sanlam Ltd. | | | 3,626 | | | | 15,681 | |
| Sappi Ltd. † | | | 10,384 | | | | 31,889 | |
| Sasol Ltd. | | | 666 | | | | 18,656 | |
| SPAR Group Ltd./The | | | 3,184 | | | | 42,597 | |
| Standard Bank Group Ltd. | | | 7,507 | | | | 73,300 | |
| Steinhoff International Holdings Ltd. | | | 17,919 | | | | 110,031 | |
| Telkom SA SOC Ltd. | | | 17,643 | | | | 84,826 | |
| Truworths International Ltd. | | | 8,646 | | | | 53,130 | |
| Woolworths Holdings Ltd. | | | 2,308 | | | | 16,153 | |
| | | | | | | | |
| | | | | | | 1,247,905 | |
| | | | | | | | |
| Taiwan - 15.7% | | | | | | |
| Advanced Semiconductor Engineering, Inc. | | | 74,000 | | | | 80,629 | |
| Asustek Computer, Inc. | | | 6,000 | | | | 51,588 | |
| AU Optronics Corp. | | | 252,000 | | | | 74,609 | |
| Casetek Holdings Ltd. | | | 15,000 | | | | 64,140 | |
| Catcher Technology Co., Ltd. | | | 10,000 | | | | 106,907 | |
| Cathay Financial Holding Co., Ltd. | | | 65,000 | | | | 89,027 | |
| Chailease Holding Co., Ltd. † | | | 28,080 | | | | 44,151 | |
| Chicony Electronics Co., Ltd. | | | 5,025 | | | | 11,617 | |
| China Airlines Ltd. † | | | 198,000 | | | | 67,882 | |
| China Development Financial Holding Corp. | | | 184,000 | | | | 49,637 | |
| China Life Insurance Co., Ltd./Taiwan | | | 127,300 | | | | 96,971 | |
| Compal Electronics, Inc. | | | 71,000 | | | | 40,330 | |
| CTBC Financial Holding Co., Ltd. | | | 83,237 | | | | 43,028 | |
| E.Sun Financial Holding Co., Ltd. | | | 57,000 | | | | 33,597 | |
| Eva Airways Corp. † | | | 121,000 | | | | 67,883 | |
| Evergreen Marine Corp. Taiwan Ltd. | | | 15,150 | | | | 6,400 | |
| Far EasTone Telecommunications Co., Ltd. | | | 27,000 | | | | 58,231 | |
| Feng TAY Enterprise Co., Ltd. | | | 3,090 | | | | 19,259 | |
| First Financial Holding Co., Ltd. | | | 8,000 | | | | 3,653 | |
| Foxconn Technology Co., Ltd. | | | 24,240 | | | | 69,673 | |
| Fubon Financial Holding Co., Ltd. | | | 104,000 | | | | 162,806 | |
| Hon Hai Precision Industry Co., Ltd. | | | 86,950 | | | | 227,153 | |
| Innolux Corp. | | | 267,000 | | | | 83,620 | |
| Inotera Memories, Inc. † | | | 55,000 | | | | 34,576 | |
| Inventec Corp. | | | 43,000 | | | | 20,489 | |
| Kinsus Interconnect Technology Corp. | | | 5,000 | | | | 9,622 | |
| Mega Financial Holding Co., Ltd. | | | 55,000 | | | | 38,205 | |
| Novatek Microelectronics Corp. | | | 15,000 | | | | 47,094 | |
| Pegatron Corp. | | | 42,000 | | | | 102,786 | |
| Pou Chen Corp. | | | 53,000 | | | | 79,728 | |
| Powertech Technology, Inc. | | | 40,000 | | | | 72,462 | |
| Radiant Opto-Electronics Corp. | | | 2,000 | | | | 6,211 | |
| Realtek Semiconductor Corp. | | | 13,000 | | | | 22,132 | |
| Shin Kong Financial Holding Co., Ltd. | | | 282,411 | | | | 67,167 | |
| Siliconware Precision Industries Co., Ltd. | | | 26,000 | | | | 32,413 | |
| SinoPac Financial Holdings Co., Ltd. | | | 104,680 | | | | 33,182 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Taiwan - 15.7% (continued) | | | | | | |
| Taiwan Business Bank † | | | 140,563 | | | $ | 34,935 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | | | 27,418 | | | | 568,924 | |
| Transcend Information, Inc. | | | 12,000 | | | | 30,340 | |
| Uni-President Enterprises Corp. | | | 19,000 | | | | 32,994 | |
| United Microelectronics Corp. | | | 177,000 | | | | 58,142 | |
| Wan Hai Lines Ltd. | | | 112,000 | | | | 70,910 | |
| Wistron Corp. | | | 18,553 | | | | 9,701 | |
| WPG Holdings Ltd. | | | 7,000 | | | | 6,762 | |
| Yang Ming Marine Transport Corp. † | | | 30,000 | | | | 8,715 | |
| Zhen Ding Technology Holding Ltd. | | | 30,000 | | | | 85,993 | |
| | | | | | | | |
| | | | | | | 3,026,274 | |
| | | | | | | | |
| Thailand - 2.1% | | | | | | |
| Bangkok Bank PCL NVDR | | | 9,400 | | | | 41,526 | |
| Delta Electronics Thailand PCL NVDR | | | 19,000 | | | | 46,128 | |
| Glow Energy PCL NVDR | | | 4,800 | | | | 11,276 | |
| IRPC PCL NVDR | | | 365,600 | | | | 38,015 | |
| Kasikornbank PCL NVDR | | | 6,300 | | | | 29,759 | |
| Krung Thai Bank PCL NVDR | | | 61,200 | | | | 28,890 | |
| PTT Exploration & Production PCL NVDR | | | 3,600 | | | | 6,973 | |
| PTT Global Chemical PCL NVDR | | | 32,500 | | | | 48,282 | |
| PTT PCL NVDR | | | 10,700 | | | | 71,056 | |
| Siam Commercial Bank PCL/The NVDR | | | 7,300 | | | | 27,018 | |
| Thai Oil PCL NVDR | | | 10,400 | | | | 15,161 | |
| Thai Union Group PCL NVDR | | | 53,700 | | | | 27,272 | |
| TMB Bank PCL NVDR | | | 157,300 | | | | 10,506 | |
| | | | | | | | |
| | | | | | | 401,862 | |
| | | | | | | | |
| Turkey - 1.6% | | | | | | |
| Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT | | | 14,622 | | | | 12,141 | |
| Eregli Demir ve Celik Fabrikalari TAS | | | 64,092 | | | | 79,116 | |
| TAV Havalimanlari Holding AS | | | 7,919 | | | | 62,226 | |
| Turk Hava Yollari AO † | | | 32,513 | | | | 85,779 | |
| Turk Telekomunikasyon AS | | | 9,706 | | | | 19,157 | |
| Turkiye Halk Bankasi AS | | | 1,958 | | | | 6,548 | |
| Turkiye Sise ve Cam Fabrikalari AS | | | 35,659 | | | | 33,848 | |
| Turkiye Vakiflar Bankasi Tao, Class D | | | 10,312 | | | | 13,073 | |
| | | | | | | | |
| | | | | | | 311,888 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $19,688,357) | | | | | | | 17,296,072 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 1.2% | | | | | | |
| | |
| Brazil - 1.0% | | | | | | |
| Banco do Estado do Rio Grande do Sul SA, Series B (1) | | | 12,500 | | | | 17,594 | |
| Braskem SA, Class A (1) | | | 2,000 | | | | 8,455 | |
| Cia Energetica de Sao Paulo, Series B (1) | | | 9,700 | | | | 37,215 | |
| Itausa - Investimentos Itau SA (1) | | | 15,730 | | | | 28,329 | |
| Suzano Papel e Celulose SA, Series A (1) | | | 19,400 | | | | 94,394 | |
| | | | | | | | |
| | | | | | | 185,987 | |
| | | | | | | | |
| Chile - 0.2% | | | | | | |
| Embotelladora Andina SA, Series B (1) | | | 10,661 | | | | 36,898 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $274,145) | | | | | | | 222,885 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
80
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM EMERGING MULTI-STYLE FUND | | |
| | | | | | | | |
EXCHANGE-TRADED FUNDS
(ETF) - 7.2% | | SHARES | | | VALUE (Note 4) | |
| United States - 7.2% | | | | | | |
iShares MSCI Emerging Markets ETF (1)(a)
(cost $1,358,415) | | | 42,231 | | | $ | 1,384,332 | |
| | | | | | | | |
| | |
| RIGHTS - 0.0% (c) | | | | | | |
| | |
| Korea, Republic of - 0.0% (c) | | | | | | |
Mirae Asset Securities Co., Ltd. †
(cost $12,042) | | | 2,011 | | | | 8,825 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 7.0% | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (d) | | | | | | | | |
(cost $1,354,892) | | | 1,354,892 | | | | 1,354,892 | |
| | | | | | | | |
| |
| SECURITIES LENDING COLLATERAL - 5.6% | | | | |
| | |
| Money Market Funds - 5.6% | | | | | | |
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank
Dreyfus Treasury Cash Management, 0.010% (d)(e) | | | | | | | | |
(cost $1,077,831) | | | 1,077,831 | | | | 1,077,831 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 110.9%
(cost $23,765,682) | | | | | | | 21,344,837 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (10.9%) | | | | | (2,096,462) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 19,248,375 | |
| | | | | | | | |
| † | Non-income producing security. |
| (a) | All or a portion of the security on loan. The aggregate market value of such securities is $1,070,320; cash collateral of $1,077,831 was received with which the Fund purchased a money market fund. |
| (b) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | Represents annualized seven-day yield as of the close of the reporting period. |
| (e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
| 144A | - Restricted Security |
| ADR | - American Depositary Receipt |
| GDR | - Global Depositary Receipt |
| NVDR | - Non-Voting Depositary Receipt |
| REIT | - Real Estate Investment Trust |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 822,398 | | | | 4.3 | % |
| Consumer Staples | | | 628,646 | | | | 3.3 | |
| Energy | | | 894,125 | | | | 4.6 | |
| Exchange-Traded Funds | | | 1,384,332 | | | | 7.2 | |
| Financials | | | 7,540,058 | | | | 39.2 | |
| Health Care | | | 208,025 | | | | 1.1 | |
| Industrials | | | 937,987 | | | | 4.9 | |
| Information Technology | | | 2,923,136 | | | | 15.2 | |
| Materials | | | 1,233,197 | | | | 6.4 | |
| Telecommunication Services | | | 1,486,144 | | | | 7.7 | |
| Utilities | | | 854,066 | | | | 4.4 | |
| Money Market Funds | | | 1,354,892 | | | | 7.0 | |
| Securities Lending Collateral | | | 1,077,831 | | | | 5.6 | |
| | | | | | | | |
Total Investments In Securities, At Value | | | 21,344,837 | | | | 110.9 | |
| Liabilities in Excess of Other Assets | | | (2,096,462 | ) | | | (10.9 | ) |
| | | | | | | | |
Net Assets | | $ | 19,248,375 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
81
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 97.0% | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 21.8% | | | | | | |
| Advance Auto Parts, Inc. | | | 10,500 | | | $ | 1,990,065 | |
| Amazon.com, Inc. † | | | 50,521 | | | | 25,861,195 | |
| AutoNation, Inc. † | | | 14,700 | | | | 855,246 | |
| AutoZone, Inc. † | | | 3,131 | | | | 2,266,312 | |
| Best Buy Co., Inc. | | | 44,112 | | | | 1,637,437 | |
| Brinker International, Inc. | | | 12,400 | | | | 653,108 | |
| Brunswick Corp. | | | 16,700 | | | | 799,763 | |
| Cabela’s, Inc. † | | | 11,000 | | | | 501,600 | |
| CarMax, Inc. † | | | 24,366 | | | | 1,445,391 | |
| Carnival Corp. | | | 67,112 | | | | 3,335,466 | |
| Carter’s, Inc. | | | 7,700 | | | | 697,928 | |
| Charter Communications, Inc., Class A † | | | 14,360 | | | | 2,525,206 | |
| Chipotle Mexican Grill, Inc. † | | | 2,871 | | | | 2,067,838 | |
| Cinemark Holdings, Inc. | | | 15,800 | | | | 513,342 | |
| Comcast Corp., Class A | | | 44,290 | | | | 2,519,215 | |
| CST Brands, Inc. | | | 13,128 | | | | 441,888 | |
| Darden Restaurants, Inc. | | | 12,035 | | | | 824,879 | |
| Delphi Automotive PLC (United Kingdom) | | | 4,070 | | | | 309,483 | |
| Dillard’s, Inc., Class A | | | 10,500 | | | | 917,595 | |
| DISH Network Corp., Class A † | | | 28,266 | | | | 1,649,038 | |
| Dollar General Corp. | | | 36,046 | | | | 2,611,172 | |
| Dollar Tree, Inc. † | | | 45,959 | | | | 3,063,627 | |
| Domino’s Pizza, Inc. | | | 12,719 | | | | 1,372,507 | |
| DR Horton, Inc. | | | 27,197 | | | | 798,504 | |
| Expedia, Inc. | | | 19,227 | | | | 2,262,633 | |
| Foot Locker, Inc. | | | 24,400 | | | | 1,756,068 | |
| Gentex Corp. | | | 26,000 | | | | 403,000 | |
| Genuine Parts Co. | | | 16,500 | | | | 1,367,685 | |
| Goodyear Tire & Rubber Co./The | | | 17,069 | | | | 500,634 | |
| GoPro, Inc., Class A † | | | 13,627 | | | | 425,435 | |
| Graham Holdings Co., Class B | | | 737 | | | | 425,249 | |
| H&R Block, Inc. | | | 25,400 | | | | 919,480 | |
| Hanesbrands, Inc. | | | 75,906 | | | | 2,196,720 | |
| Harley-Davidson, Inc. | | | 9,500 | | | | 521,550 | |
| Harman International Industries, Inc. | | | 11,498 | | | | 1,103,693 | |
| Hasbro, Inc. | | | 13,480 | | | | 972,447 | |
| Hilton Worldwide Holdings, Inc. | | | 44,350 | | | | 1,017,389 | |
| Home Depot, Inc./The | | | 154,848 | | | | 17,883,396 | |
| Hyatt Hotels Corp., Class A † | | | 10,100 | | | | 475,710 | |
| Jarden Corp. † | | | 24,655 | | | | 1,205,136 | |
| Kate Spade & Co. † | | | 21,900 | | | | 418,509 | |
| Kohl’s Corp. | | | 13,521 | | | | 626,158 | |
| L Brands, Inc. | | | 45,661 | | | | 4,115,426 | |
| Leggett & Platt, Inc. | | | 14,426 | | | | 595,072 | |
| Lennar Corp., Class A | | | 19,463 | | | | 936,754 | |
| LKQ Corp. † | | | 26,100 | | | | 740,196 | |
| Lowe’s Cos., Inc. | | | 129,077 | | | | 8,895,987 | |
| Macy’s, Inc. | | | 14,903 | | | | 764,822 | |
| Madison Square Garden Co./The, Class A † | | | 16,139 | | | | 1,164,267 | |
| Marriott International, Inc., Class A | | | 30,014 | | | | 2,046,955 | |
| Michaels Cos., Inc./The † | | | 12,239 | | | | 282,721 | |
| Mohawk Industries, Inc. † | | | 11,871 | | | | 2,158,029 | |
| Murphy USA, Inc. † | | | 6,252 | | | | 343,547 | |
| Netflix, Inc. † | | | 57,736 | | | | 5,961,819 | |
| Newell Rubbermaid, Inc. | | | 15,515 | | | | 616,101 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 21.8% (continued) | | | | |
| NIKE, Inc., Class B | | | 99,848 | | | $ | 12,278,309 | |
| Nordstrom, Inc. | | | 21,600 | | | | 1,548,936 | |
| Norwegian Cruise Line Holdings Ltd. † | | | 42,289 | | | | 2,423,160 | |
| NVR, Inc. † | | | 211 | | | | 321,821 | |
| O’Reilly Automotive, Inc. † | | | 20,255 | | | | 5,063,750 | |
| Panera Bread Co., Class A † | | | 2,400 | | | | 464,184 | |
| Polaris Industries, Inc. | | | 8,700 | | | | 1,042,869 | |
| Ross Stores, Inc. | | | 75,470 | | | | 3,658,031 | |
| Royal Caribbean Cruises Ltd. | | | 31,428 | | | | 2,799,921 | |
| Sally Beauty Holdings, Inc. † | | | 22,600 | | | | 536,750 | |
| Service Corp. International | | | 15,037 | | | | 407,503 | |
| ServiceMaster Global Holdings, Inc. † | | | 20,228 | | | | 678,649 | |
| Signet Jewelers Ltd. | | | 14,400 | | | | 1,960,272 | |
| Six Flags Entertainment Corp. | | | 32,600 | | | | 1,492,428 | |
| Skechers U.S.A., Inc., Class A † | | | 19,704 | | | | 2,641,912 | |
| Staples, Inc. | | | 65,264 | | | | 765,547 | |
| Starbucks Corp. | | | 179,690 | | | | 10,213,580 | |
| Target Corp. | | | 74,779 | | | | 5,882,116 | |
| TEGNA, Inc. | | | 50,200 | | | | 1,123,978 | |
| Time Warner, Inc. | | | 28,210 | | | | 1,939,437 | |
| TJX Cos., Inc./The | | | 47,689 | | | | 3,405,948 | |
| Tractor Supply Co. | | | 23,184 | | | | 1,954,875 | |
| Ulta Salon Cosmetics & Fragrance, Inc. † | | | 16,379 | | | | 2,675,510 | |
| Under Armour, Inc., Class A † | | | 39,858 | | | | 3,857,457 | |
| VF Corp. | | | 43,322 | | | | 2,954,994 | |
| Walt Disney Co./The | | | 186,845 | | | | 19,095,559 | |
| Whirlpool Corp. | | | 10,770 | | | | 1,585,990 | |
| Williams-Sonoma, Inc. | | | 8,200 | | | | 626,070 | |
| Wyndham Worldwide Corp. | | | 21,202 | | | | 1,524,424 | |
| Yum! Brands, Inc. | | | 21,190 | | | | 1,694,141 | |
| | | | | | | | |
| | | | | | | 219,378,514 | |
| | | | | | | | |
| Consumer Staples - 9.7% | | | | | | |
| Altria Group, Inc. | | | 230,749 | | | | 12,552,746 | |
| Archer-Daniels-Midland Co. | | | 24,289 | | | | 1,006,779 | |
| Brown-Forman Corp., Class B | | | 12,435 | | | | 1,204,951 | |
| Church & Dwight Co., Inc. | | | 17,383 | | | | 1,458,434 | |
| Clorox Co./The | | | 6,203 | | | | 716,633 | |
| Coca-Cola Enterprises, Inc. | | | 9,447 | | | | 456,762 | |
| ConAgra Foods, Inc. | | | 31,992 | | | | 1,295,996 | |
| Constellation Brands, Inc., Class A | | | 32,500 | | | | 4,069,325 | |
| Costco Wholesale Corp. | | | 53,622 | | | | 7,752,133 | |
| Coty, Inc., Class A | | | 61,025 | | | | 1,651,336 | |
| CVS Health Corp. | | | 143,099 | | | | 13,806,191 | |
| Dr Pepper Snapple Group, Inc. | | | 46,900 | | | | 3,707,445 | |
| Edgewell Personal Care Co. | | | 4,753 | | | | 387,845 | |
| Estee Lauder Cos., Inc./The, Class A | | | 18,780 | | | | 1,515,170 | |
| General Mills, Inc. | | | 5,265 | | | | 295,524 | |
| Hain Celestial Group, Inc./The † | | | 18,761 | | | | 968,068 | |
| Hershey Co./The | | | 11,545 | | | | 1,060,755 | |
| Hormel Foods Corp. | | | 22,817 | | | | 1,444,544 | |
| Ingredion, Inc. | | | 4,600 | | | | 401,626 | |
| JM Smucker Co./The | | | 6,800 | | | | 775,812 | |
| Keurig Green Mountain, Inc. | | | 8,784 | | | | 457,998 | |
| Kroger Co./The | | | 164,908 | | | | 5,948,232 | |
| McCormick & Co., Inc. | | | 12,000 | | | | 986,160 | |
| Mead Johnson Nutrition Co. | | | 10,290 | | | | 724,416 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
82
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Staples - 9.7% (continued) | | | | | | |
| Molson Coors Brewing Co., Class B | | | 8,159 | | | $ | 677,360 | |
| Mondelez International, Inc., Class A | | | 132,396 | | | | 5,543,421 | |
| Monster Beverage Corp. † | | | 32,937 | | | | 4,451,106 | |
| PepsiCo, Inc. | | | 12,996 | | | | 1,225,523 | |
| Pilgrim’s Pride Corp. | | | 35,800 | | | | 743,924 | |
| Pinnacle Foods, Inc. | | | 6,660 | | | | 278,921 | |
| Reynolds American, Inc. | | | 155,464 | | | | 6,882,391 | |
| Rite Aid Corp. † | | | 142,500 | | | | 864,975 | |
| Tyson Foods, Inc., Class A | | | 12,255 | | | | 528,190 | |
| Walgreens Boots Alliance, Inc. | | | 121,999 | | | | 10,138,117 | |
| WhiteWave Foods Co./The † | | | 30,208 | | | | 1,212,851 | |
| | | | | | | | |
| | | | | | | 97,191,660 | |
| | | | | | | | |
| Energy - 1.1% | | | | | | |
| Cheniere Energy, Inc. † | | | 14,342 | | | | 692,719 | |
| Columbia Pipeline Group, Inc. | | | 45,756 | | | | 836,877 | |
| CVR Energy, Inc. | | | 12,300 | | | | 504,915 | |
| Golar LNG Ltd. (Norway) | | | 13,500 | | | | 376,380 | |
| Kinder Morgan, Inc. | | | 45,813 | | | | 1,268,104 | |
| Marathon Petroleum Corp. | | | 42,516 | | | | 1,969,766 | |
| Targa Resources Corp. | | | 8,376 | | | | 431,532 | |
| Tesoro Corp. | | | 19,146 | | | | 1,861,757 | |
| Valero Energy Corp. | | | 45,433 | | | | 2,730,523 | |
| | | | | | | | |
| | | | | | | 10,672,573 | |
| | | | | | | | |
| Financials - 11.9% | | | | | | |
| Alexandria Real Estate Equities, Inc. REIT | | | 5,032 | | | | 426,059 | |
| Allstate Corp./The | | | 34,468 | | | | 2,007,416 | |
| American Financial Group, Inc. | | | 8,200 | | | | 565,062 | |
| American International Group, Inc. | | | 84,807 | | | | 4,818,734 | |
| Ameriprise Financial, Inc. | | | 24,500 | | | | 2,673,685 | |
| AmTrust Financial Services, Inc. | | | 11,317 | | | | 712,745 | |
| Aon PLC (United Kingdom) | | | 11,400 | | | | 1,010,154 | |
| Apartment Investment & Management Co., Class A REIT | | | 32,100 | | | | 1,188,342 | |
| Arch Capital Group Ltd. † | | | 15,874 | | | | 1,166,263 | |
| AvalonBay Communities, Inc. REIT | | | 7,137 | | | | 1,247,690 | |
| Bank of New York Mellon Corp./The | | | 49,306 | | | | 1,930,330 | |
| Berkshire Hathaway, Inc., Class B † | | | 11,700 | | | | 1,525,680 | |
| BlackRock, Inc. | | | 8,247 | | | | 2,453,235 | |
| Boston Properties, Inc. REIT | | | 11,893 | | | | 1,408,131 | |
| Brixmor Property Group, Inc. REIT | | | 40,616 | | | | 953,664 | |
| Camden Property Trust REIT | | | 10,668 | | | | 788,365 | |
| Charles Schwab Corp./The | | | 39,242 | | | | 1,120,751 | |
| Cincinnati Financial Corp. | | | 26,000 | | | | 1,398,800 | |
| CME Group, Inc. | | | 46,128 | | | | 4,277,911 | |
| Corrections Corp. of America REIT | | | 18,552 | | | | 548,026 | |
| Credit Acceptance Corp. † | | | 3,992 | | | | 785,905 | |
| Digital Realty Trust, Inc. REIT | | | 24,330 | | | | 1,589,236 | |
| Discover Financial Services | | | 22,325 | | | | 1,160,677 | |
| E*TRADE Financial Corp. † | | | 58,031 | | | | 1,527,956 | |
| East West Bancorp, Inc. | | | 16,247 | | | | 624,210 | |
| Equinix, Inc. REIT | | | 3,934 | | | | 1,075,556 | |
| Equity LifeStyle Properties, Inc. REIT | | | 7,799 | | | | 456,787 | |
| Equity Residential REIT | | | 24,742 | | | | 1,858,619 | |
| Essex Property Trust, Inc. REIT | | | 17,440 | | | | 3,896,445 | |
| Extra Space Storage, Inc. REIT | | | 32,200 | | | | 2,484,552 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 11.9% (continued) | | | | | | |
| Federal Realty Investment Trust REIT | | | 13,268 | | | $ | 1,810,419 | |
| First Horizon National Corp. | | | 34,651 | | | | 491,351 | |
| First Republic Bank/CA | | | 8,493 | | | | 533,106 | |
| FNF Group | | | 53,600 | | | | 1,901,192 | |
| General Growth Properties, Inc. REIT | | | 46,849 | | | | 1,216,669 | |
| Goldman Sachs Group, Inc./The | | | 39,038 | | | | 6,783,243 | |
| Hartford Financial Services Group, Inc./The | | | 19,320 | | | | 884,470 | |
| Huntington Bancshares, Inc. | | | 147,100 | | | | 1,559,260 | |
| Interactive Brokers Group, Inc., Class A | | | 41,795 | | | | 1,649,649 | |
| Intercontinental Exchange, Inc. | | | 8,943 | | | | 2,101,516 | |
| Iron Mountain, Inc. REIT | | | 20,315 | | | | 630,171 | |
| JPMorgan Chase & Co. | | | 302,190 | | | | 18,424,524 | |
| Kimco Realty Corp. REIT | | | 13,298 | | | | 324,870 | |
| Lamar Advertising Co., Class A REIT | | | 12,300 | | | | 641,814 | |
| M&T Bank Corp. | | | 3,100 | | | | 378,045 | |
| Markel Corp. † | | | 866 | | | | 694,411 | |
| Marsh & McLennan Cos., Inc. | | | 7,400 | | | | 386,428 | |
| McGraw Hill Financial, Inc. | | | 34,439 | | | | 2,978,973 | |
| Moody’s Corp. | | | 30,600 | | | | 3,004,920 | |
| Morgan Stanley | | | 126,441 | | | | 3,982,891 | |
| MSCI, Inc. | | | 6,683 | | | | 397,371 | |
| Nasdaq, Inc. | | | 18,693 | | | | 996,898 | |
| National Retail Properties, Inc. REIT | | | 18,861 | | | | 684,088 | |
| Navient Corp. | | | 29,600 | | | | 332,704 | |
| Northern Trust Corp. | | | 16,624 | | | | 1,133,092 | |
| Omega Healthcare Investors, Inc. REIT | | | 11,537 | | | | 405,526 | |
| PNC Financial Services Group, Inc./The | | | 16,027 | | | | 1,429,608 | |
| Post Properties, Inc. REIT | | | 5,900 | | | | 343,911 | |
| Principal Financial Group, Inc. | | | 9,300 | | | | 440,262 | |
| Progressive Corp./The | | | 19,131 | | | | 586,174 | |
| Raymond James Financial, Inc. | | | 9,298 | | | | 461,460 | |
| Realty Income Corp. REIT | | | 6,817 | | | | 323,058 | |
| Regency Centers Corp. REIT | | | 19,200 | | | | 1,193,280 | |
| Santander Consumer USA Holdings, Inc. † | | | 22,128 | | | | 451,854 | |
| SEI Investments Co. | | | 15,136 | | | | 730,009 | |
| Signature Bank † | | | 9,881 | | | | 1,359,230 | |
| SL Green Realty Corp. REIT | | | 2,865 | | | | 309,878 | |
| Springleaf Holdings, Inc. † | | | 25,962 | | | | 1,135,059 | |
| SunTrust Banks, Inc. | | | 11,700 | | | | 447,408 | |
| SVB Financial Group † | | | 10,697 | | | | 1,235,931 | |
| Synchrony Financial † | | | 38,357 | | | | 1,200,574 | |
| Synovus Financial Corp. | | | 10,355 | | | | 306,508 | |
| Torchmark Corp. | | | 14,100 | | | | 795,240 | |
| Travelers Cos., Inc./The | | | 18,608 | | | | 1,852,054 | |
| UDR, Inc. REIT | | | 41,200 | | | | 1,420,576 | |
| Vornado Realty Trust REIT | | | 7,098 | | | | 641,801 | |
| Voya Financial, Inc. | | | 13,148 | | | | 509,748 | |
| WR Berkley Corp. | | | 13,700 | | | | 744,869 | |
| | | | | | | | |
| | | | | | | 119,927,079 | |
| | | | | | | | |
| Health Care - 20.5% | | | | | | |
| Abbott Laboratories | | | 147,567 | | | | 5,935,145 | |
| AbbVie, Inc. | | | 171,713 | | | | 9,342,904 | |
| Acadia Healthcare Co., Inc. † | | | 15,188 | | | | 1,006,509 | |
| Aetna, Inc. | | | 58,800 | | | | 6,433,308 | |
| Agios Pharmaceuticals, Inc. † | | | 21,050 | | | | 1,485,919 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
83
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 20.5% (continued) | | | | | | |
| Akorn, Inc. † | | | 33,919 | | | $ | 966,861 | |
| Alexion Pharmaceuticals, Inc. † | | | 9,108 | | | | 1,424,400 | |
| Align Technology, Inc. † | | | 9,300 | | | | 527,868 | |
| Allergan PLC † | | | 11,033 | | | | 2,998,880 | |
| Alnylam Pharmaceuticals, Inc. † | | | 21,541 | | | | 1,731,035 | |
| AmerisourceBergen Corp. | | | 37,940 | | | | 3,603,921 | |
| Amgen, Inc. | | | 81,945 | | | | 11,334,632 | |
| Anthem, Inc. | | | 42,554 | | | | 5,957,560 | |
| athenahealth, Inc. † | | | 5,100 | | | | 680,085 | |
| Becton Dickinson and Co. | | | 17,382 | | | | 2,305,896 | |
| Biogen, Inc. † | | | 11,532 | | | | 3,365,153 | |
| BioMarin Pharmaceutical, Inc. † | | | 30,363 | | | | 3,197,831 | |
| Bluebird Bio, Inc. † | | | 15,072 | | | | 1,289,410 | |
| Boston Scientific Corp. † | | | 151,289 | | | | 2,482,652 | |
| Bristol-Myers Squibb Co. | | | 174,633 | | | | 10,338,274 | |
| Brookdale Senior Living, Inc. † | | | 19,500 | | | | 447,720 | |
| Cardinal Health, Inc. | | | 31,548 | | | | 2,423,517 | |
| Celgene Corp. † | | | 89,447 | | | | 9,675,482 | |
| Centene Corp. † | | | 36,227 | | | | 1,964,590 | |
| Cerner Corp. † | | | 39,879 | | | | 2,391,145 | |
| Community Health Systems, Inc. † | | | 16,800 | | | | 718,536 | |
| Cooper Cos., Inc./The | | | 7,400 | | | | 1,101,564 | |
| CR Bard, Inc. | | | 4,468 | | | | 832,433 | |
| DaVita HealthCare Partners, Inc. † | | | 28,200 | | | | 2,039,706 | |
| DexCom, Inc. † | | | 29,613 | | | | 2,542,572 | |
| Edwards Lifesciences Corp. † | | | 23,784 | | | | 3,381,371 | |
| Eli Lilly & Co. | | | 131,095 | | | | 10,971,341 | |
| Express Scripts Holding Co. † | | | 70,307 | | | | 5,692,055 | |
| Gilead Sciences, Inc. | | | 64,320 | | | | 6,315,581 | |
| HCA Holdings, Inc. † | | | 57,725 | | | | 4,465,606 | |
| Henry Schein, Inc. † | | | 6,082 | | | | 807,203 | |
| Hologic, Inc. † | | | 42,077 | | | | 1,646,473 | |
| IDEXX Laboratories, Inc. † | | | 8,000 | | | | 594,000 | |
| Illumina, Inc. † | | | 20,225 | | | | 3,555,960 | |
| Incyte Corp. † | | | 35,900 | | | | 3,960,847 | |
| Intrexon Corp. † | | | 32,848 | | | | 1,044,566 | |
| Intuitive Surgical, Inc. † | | | 2,503 | | | | 1,150,329 | |
| Isis Pharmaceuticals, Inc. † | | | 38,536 | | | | 1,557,625 | |
| Jazz Pharmaceuticals PLC (Ireland) † | | | 5,800 | | | | 770,298 | |
| Laboratory Corp of America Holdings † | | | 3,822 | | | | 414,572 | |
| McKesson Corp. | | | 21,694 | | | | 4,014,041 | |
| Medivation, Inc. † | | | 41,386 | | | | 1,758,905 | |
| MEDNAX, Inc. † | | | 8,864 | | | | 680,667 | |
| Medtronic PLC (Ireland) | | | 34,077 | | | | 2,281,114 | |
| Mettler-Toledo International, Inc. † | | | 1,323 | | | | 376,711 | |
| OPKO Health, Inc. † | | | 98,959 | | | | 832,245 | |
| Pfizer, Inc. | | | 342,013 | | | | 10,742,628 | |
| Puma Biotechnology, Inc. † | | | 8,156 | | | | 614,636 | |
| Quest Diagnostics, Inc. | | | 8,879 | | | | 545,792 | |
| Quintiles Transnational Holdings, Inc. † | | | 11,644 | | | | 810,073 | |
| Regeneron Pharmaceuticals, Inc. † | | | 13,676 | | | | 6,361,255 | |
| ResMed, Inc. | | | 17,407 | | | | 887,061 | |
| St. Jude Medical, Inc. | | | 10,000 | | | | 630,900 | |
| Stryker Corp. | | | 10,251 | | | | 964,619 | |
| Tenet Healthcare Corp. † | | | 7,900 | | | | 291,668 | |
| Thermo Fisher Scientific, Inc. | | | 8,779 | | | | 1,073,496 | |
| United Therapeutics Corp. † | | | 11,113 | | | | 1,458,470 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 20.5% (continued) | | | | | | |
| UnitedHealth Group, Inc. | | | 125,314 | | | $ | 14,537,677 | |
| Universal Health Services, Inc., Class B | | | 11,152 | | | | 1,391,881 | |
| VCA, Inc. † | | | 11,583 | | | | 609,845 | |
| Vertex Pharmaceuticals, Inc. † | | | 36,813 | | | | 3,833,706 | |
| Waters Corp. † | | | 2,498 | | | | 295,289 | |
| Zimmer Biomet Holdings, Inc. | | | 11,648 | | | | 1,094,097 | |
| Zoetis, Inc. | | | 75,912 | | | | 3,126,056 | |
| | | | | | | | |
| | | | | | | 206,086,167 | |
| | | | | | | | |
| Industrials - 7.5% | | | | | | |
| 3M Co. | | | 17,857 | | | | 2,531,587 | |
| A. O. Smith Corp. | | | 16,200 | | | | 1,056,078 | |
| Acuity Brands, Inc. | | | 8,767 | | | | 1,539,310 | |
| Alaska Air Group, Inc. | | | 35,600 | | | | 2,828,420 | |
| AMERCO | | | 2,404 | | | | 945,902 | |
| American Airlines Group, Inc. | | | 11,156 | | | | 433,187 | |
| Avis Budget Group, Inc. † | | | 35,270 | | | | 1,540,594 | |
| Boeing Co./The | | | 13,104 | | | | 1,715,969 | |
| CH Robinson Worldwide, Inc. | | | 6,166 | | | | 417,931 | |
| Cintas Corp. | | | 19,335 | | | | 1,657,976 | |
| CSX Corp. | | | 13,771 | | | | 370,440 | |
| Danaher Corp. | | | 20,317 | | | | 1,731,212 | |
| Delta Air Lines, Inc. | | | 19,785 | | | | 887,753 | |
| Equifax, Inc. | | | 11,894 | | | | 1,155,859 | |
| FedEx Corp. | | | 12,122 | | | | 1,745,326 | |
| Fortune Brands Home & Security, Inc. | | | 53,300 | | | | 2,530,151 | |
| General Dynamics Corp. | | | 41,370 | | | | 5,706,991 | |
| Genesee & Wyoming, Inc., Class A † | | | 7,000 | | | | 413,560 | |
| HD Supply Holdings, Inc. † | | | 22,030 | | | | 630,499 | |
| Hexcel Corp. | | | 15,700 | | | | 704,302 | |
| Honeywell International, Inc. | | | 7,142 | | | | 676,276 | |
| Hubbell, Inc., Class B | | | 3,700 | | | | 314,315 | |
| Huntington Ingalls Industries, Inc. | | | 9,900 | | | | 1,060,785 | |
| IHS, Inc., Class A † | | | 4,100 | | | | 475,600 | |
| JB Hunt Transport Services, Inc. | | | 14,400 | | | | 1,028,160 | |
| JetBlue Airways Corp. † | | | 92,391 | | | | 2,380,916 | |
| Kansas City Southern | | | 5,172 | | | | 470,031 | |
| Lennox International, Inc. | | | 2,533 | | | | 287,065 | |
| Lockheed Martin Corp. | | | 28,440 | | | | 5,895,896 | |
| Macquarie Infrastructure Corp. | | | 6,165 | | | | 460,279 | |
| Masco Corp. | | | 30,875 | | | | 777,433 | |
| Middleby Corp./The † | | | 10,800 | | | | 1,136,052 | |
| Northrop Grumman Corp. | | | 35,000 | | | | 5,808,250 | |
| Old Dominion Freight Line, Inc. † | | | 13,999 | | | | 853,939 | |
| Owens Corning | | | 12,800 | | | | 536,448 | |
| Pitney Bowes, Inc. | | | 36,200 | | | | 718,570 | |
| Raytheon Co. | | | 6,926 | | | | 756,735 | |
| Robert Half International, Inc. | | | 12,601 | | | | 644,667 | |
| Roper Technologies, Inc. | | | 10,539 | | | | 1,651,461 | |
| RR Donnelley & Sons Co. | | | 50,900 | | | | 741,104 | |
| Snap-on, Inc. | | | 4,561 | | | | 688,437 | |
| Southwest Airlines Co. | | | 99,247 | | | | 3,775,356 | |
| Spirit AeroSystems Holdings, Inc., Class A † | | | 19,913 | | | | 962,594 | |
| Spirit Airlines, Inc. † | | | 17,600 | | | | 832,480 | |
| Stanley Black & Decker, Inc. | | | 3,062 | | | | 296,953 | |
| Stericycle, Inc. † | | | 7,700 | | | | 1,072,687 | |
| Textron, Inc. | | | 13,400 | | | | 504,376 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
84
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Industrials - 7.5% (continued) | | | | | | |
| Timken Co./The | | | 14,600 | | | $ | 401,354 | |
| TransDigm Group, Inc. † | | | 9,000 | | | | 1,911,690 | |
| United Continental Holdings, Inc. † | | | 44,323 | | | | 2,351,335 | |
| United Rentals, Inc. † | | | 11,585 | | | | 695,679 | |
| USG Corp. † | | | 18,500 | | | | 492,470 | |
| Verisk Analytics, Inc. † | | | 18,500 | | | | 1,367,335 | |
| Wabtec Corp. | | | 8,800 | | | | 774,840 | |
| Waste Connections, Inc. | | | 8,300 | | | | 403,214 | |
| Waste Management, Inc. | | | 22,380 | | | | 1,114,748 | |
| WW Grainger, Inc. | | | 3,900 | | | | 838,539 | |
| | | | | | | | |
| | | | | | | 75,701,116 | |
| | | | | | | | |
| Information Technology - 21.4% | | | | | | |
| Accenture PLC, Class A (Ireland) | | | 11,097 | | | | 1,090,391 | |
| Activision Blizzard, Inc. | | | 60,800 | | | | 1,878,112 | |
| Adobe Systems, Inc. † | | | 33,575 | | | | 2,760,536 | |
| Akamai Technologies, Inc. † | | | 34,019 | | | | 2,349,352 | |
| Amdocs Ltd. | | | 5,217 | | | | 296,743 | |
| Amphenol Corp., Class A | | | 21,046 | | | | 1,072,504 | |
| Analog Devices, Inc. | | | 5,437 | | | | 306,701 | |
| ANSYS, Inc. † | | | 5,600 | | | | 493,584 | |
| Apple, Inc. | | | 587,958 | | | | 64,851,767 | |
| Applied Materials, Inc. | | | 30,056 | | | | 441,523 | |
| ARRIS Group, Inc. † | | | 22,700 | | | | 589,519 | |
| Arrow Electronics, Inc. † | | | 8,600 | | | | 475,408 | |
| Autodesk, Inc. † | | | 9,303 | | | | 410,634 | |
| Automatic Data Processing, Inc. | | | 59,512 | | | | 4,782,384 | |
| Avago Technologies Ltd. (Singapore) | | | 6,041 | | | | 755,185 | |
| Booz Allen Hamilton Holding Corp. | | | 14,749 | | | | 386,571 | |
| Broadridge Financial Solutions, Inc. | | | 7,930 | | | | 438,926 | |
| Brocade Communications Systems, Inc. | | | 101,800 | | | | 1,056,684 | |
| Cadence Design Systems, Inc. † | | | 23,600 | | | | 488,048 | |
| CDK Global, Inc. | | | 6,566 | | | | 313,723 | |
| CDW Corp. | | | 17,088 | | | | 698,216 | |
| Cisco Systems, Inc. | | | 237,513 | | | | 6,234,716 | |
| Cognizant Technology Solutions Corp., Class A † | | | 64,629 | | | | 4,046,422 | |
| Computer Sciences Corp. | | | 10,500 | | | | 644,490 | |
| CoreLogic, Inc. † | | | 18,100 | | | | 673,863 | |
| CoStar Group, Inc. † | | | 4,800 | | | | 830,688 | |
| eBay, Inc. † | | | 146,541 | | | | 3,581,462 | |
| Electronic Arts, Inc. † | | | 73,077 | | | | 4,950,967 | |
| F5 Networks, Inc. † | | | 6,500 | | | | 752,700 | |
| Facebook, Inc., Class A † | | | 82,533 | | | | 7,419,717 | |
| FactSet Research Systems, Inc. | | | 4,319 | | | | 690,219 | |
| Fidelity National Information Services, Inc. | | | 28,880 | | | | 1,937,270 | |
| FireEye, Inc. † | | | 18,293 | | | | 582,083 | |
| Fiserv, Inc. † | | | 42,630 | | | | 3,692,184 | |
| FleetCor Technologies, Inc. † | | | 19,235 | | | | 2,647,121 | |
| Fortinet, Inc. † | | | 43,122 | | | | 1,831,823 | |
| Gartner, Inc. † | | | 6,200 | | | | 520,366 | |
| Global Payments, Inc. | | | 10,387 | | | | 1,191,701 | |
| Google, Inc., Class A † | | | 20,318 | | | | 12,970,402 | |
| Hewlett-Packard Co. | | | 11,857 | | | | 303,658 | |
| IAC/InterActiveCorp | | | 12,900 | | | | 841,983 | |
| Intel Corp. | | | 10,460 | | | | 315,264 | |
| Intuit, Inc. | | | 33,374 | | | | 2,961,943 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 21.4% (continued) | | | | |
| IPG Photonics Corp. † | | | 5,942 | | | $ | 451,414 | |
| Jack Henry & Associates, Inc. | | | 8,800 | | | | 612,568 | |
| KLA-Tencor Corp. | | | 11,300 | | | | 565,000 | |
| Lam Research Corp. | | | 18,200 | | | | 1,189,006 | |
| LinkedIn Corp., Class A † | | | 4,830 | | | | 918,328 | |
| Marvell Technology Group Ltd. (2) | | | 53,500 | | | | 484,175 | |
| MasterCard, Inc., Class A | | | 130,096 | | | | 11,724,252 | |
| Maxim Integrated Products, Inc. | | | 21,200 | | | | 708,080 | |
| Motorola Solutions, Inc. | | | 478 | | | | 32,686 | |
| NetSuite, Inc. † | | | 13,600 | | | | 1,141,040 | |
| NVIDIA Corp. | | | 40,882 | | | | 1,007,741 | |
| Palo Alto Networks, Inc. † | | | 22,516 | | | | 3,872,752 | |
| PayPal Holdings, Inc. † | | | 10,396 | | | | 322,692 | |
| Qorvo, Inc. † | | | 34,820 | | | | 1,568,641 | |
| Rackspace Hosting, Inc. † | | | 19,930 | | | | 491,872 | |
| Red Hat, Inc. † | | | 22,415 | | | | 1,611,190 | |
| Sabre Corp. | | | 24,104 | | | | 655,147 | |
| salesforce.com, inc. † | | | 66,832 | | | | 4,640,146 | |
| ServiceNow, Inc. † | | | 28,812 | | | | 2,000,993 | |
| Skyworks Solutions, Inc. | | | 47,184 | | | | 3,973,365 | |
| SolarWinds, Inc. † | | | 12,600 | | | | 494,424 | |
| Splunk, Inc. † | | | 14,419 | | | | 798,092 | |
| SS&C Technologies Holdings, Inc. | | | 9,449 | | | | 661,808 | |
| Synopsys, Inc. † | | | 8,594 | | | | 396,871 | |
| Tableau Software, Inc., Class A † | | | 17,705 | | | | 1,412,505 | |
| Texas Instruments, Inc. | | | 16,115 | | | | 798,015 | |
| Total System Services, Inc. | | | 24,016 | | | | 1,091,047 | |
| Ultimate Software Group, Inc./The † | | | 2,490 | | | | 445,735 | |
| Vantiv, Inc., Class A † | | | 6,559 | | | | 294,630 | |
| VeriSign, Inc. † | | | 21,755 | | | | 1,535,033 | |
| Visa, Inc., Class A | | | 281,043 | | | | 19,577,455 | |
| Western Digital Corp. | | | 8,755 | | | | 695,497 | |
| Western Union Co./The | | | 34,255 | | | | 628,922 | |
| Xerox Corp. | | | 97,260 | | | | 946,340 | |
| Xilinx, Inc. | | | 15,310 | | | | 649,144 | |
| Yahoo!, Inc. † | | | 17,797 | | | | 514,511 | |
| Zebra Technologies Corp., Class A † | | | 5,618 | | | | 430,058 | |
| Zillow Group, Inc., Class C † | | | 12,000 | | | | 324,000 | |
| | | | | | | | |
| | | | | | | 215,222,728 | |
| | | | | | | | |
| Materials - 2.0% | | | | | | |
| Air Products & Chemicals, Inc. | | | 15,243 | | | | 1,944,702 | |
| Airgas, Inc. | | | 4,900 | | | | 437,717 | |
| Alcoa, Inc. | | | 36,532 | | | | 352,899 | |
| Ashland, Inc. | | | 6,600 | | | | 664,092 | |
| Ball Corp. | | | 21,800 | | | | 1,355,960 | |
| CF Industries Holdings, Inc. | | | 9,377 | | | | 421,027 | |
| Eagle Materials, Inc. | | | 11,000 | | | | 752,620 | |
| Ecolab, Inc. | | | 3,800 | | | | 416,936 | |
| International Flavors & Fragrances, Inc. | | | 6,500 | | | | 671,190 | |
| Martin Marietta Materials, Inc. | | | 4,779 | | | | 726,169 | |
| NewMarket Corp. | | | 1,600 | | | | 571,200 | |
| Packaging Corp. of America | | | 14,500 | | | | 872,320 | |
| PPG Industries, Inc. | | | 19,885 | | | | 1,743,716 | |
| Royal Gold, Inc. | | | 10,283 | | | | 483,095 | |
| Sealed Air Corp. | | | 23,485 | | | | 1,100,977 | |
| Sherwin-Williams Co./The | | | 15,110 | | | | 3,366,206 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
85
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Materials - 2.0% (continued) | | | | | | |
| Valspar Corp./The | | | 8,500 | | | $ | 610,980 | |
| Vulcan Materials Co. | | | 21,207 | | | | 1,891,664 | |
| Westlake Chemical Corp. | | | 14,900 | | | | 773,161 | |
| WestRock Co. | | | 10,591 | | | | 544,801 | |
| WR Grace & Co. † | | | 3,700 | | | | 344,285 | |
| | | | | | | | |
| | | | | | | 20,045,717 | |
| | | | | | | | |
| Telecommunication Services - 0.6% | | | | | | |
| Level 3 Communications, Inc. † | | | 40,803 | | | | 1,782,683 | |
| SBA Communications Corp., Class A † | | | 14,815 | | | | 1,551,723 | |
| T-Mobile US, Inc. † | | | 66,989 | | | | 2,666,832 | |
| | | | | | | | |
| | | | | | | 6,001,238 | |
| | | | | | | | |
| Utilities - 0.5% | | | | | | |
| American Water Works Co., Inc. | | | 21,738 | | | | 1,197,329 | |
| Atmos Energy Corp. | | | 9,100 | | | | 529,438 | |
| CMS Energy Corp. | | | 9,990 | | | | 352,847 | |
| DTE Energy Co. | | | 4,802 | | | | 385,937 | |
| ITC Holdings Corp. | | | 14,787 | | | | 492,998 | |
| NiSource, Inc. | | | 45,756 | | | | 848,774 | |
| SCANA Corp. | | | 9,641 | | | | 542,403 | |
| Sempra Energy | | | 5,545 | | | | 536,312 | |
| | | | | | | | |
| | | | | | | 4,886,038 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $855,947,598) | | | | | | | 975,112,830 | |
| | | | | | | | |
| | | | | | | | |
| MONEY MARKET FUNDS - 2.9% | | SHARES | | | VALUE
(Note 4) | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | | | | | |
(cost $29,587,039) | | | 29,587,039 | | | $ | 29,587,039 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.9%
(cost $885,534,637) | | | | | | | 1,004,699,869 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.1% (b) | | | | | 922,879 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 1,005,622,748 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non-income producing security. |
| (a) | Represents annualized seven-day yield as of the close of the reporting period. |
| (b) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
Open futures contracts outstanding at September 30, 2015:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | |
| 216 | | Barclays Capital | | S&P 500 E-Mini Futures | | | 12/2015 | | | | $21,016,538 | | | | $20,613,960 | | | | $(402,578 | ) |
| | | | | | | | | | | | | | | | | | | | |
Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:
| | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | EXCHANGE TRADED/
CENTRALLY CLEARED | | TOTAL | |
| Barclays Capital | | | | | | | | |
| Cash | | $— | | $1,765,815 | | | $1,765,815 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
86
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 96.9% | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 16.3% | | | | | | |
| 1-800-Flowers.com, Inc., Class A † | | | 76,836 | | | $ | 699,208 | |
| 2U, Inc. † | | | 32,492 | | | | 1,166,463 | |
| AMC Entertainment Holdings, Inc., Class A | | | 45,032 | | | | 1,134,356 | |
| American Axle & Manufacturing Holdings, Inc. † | | | 10,127 | | | | 201,932 | |
| American Eagle Outfitters, Inc. (a) | | | 11,440 | | | | 178,807 | |
| America’s Car-Mart, Inc. † | | | 5,800 | | | | 191,922 | |
| Asbury Automotive Group, Inc. † | | | 15,255 | | | | 1,237,943 | |
| Barnes & Noble Education, Inc. † | | | 16,345 | | | | 207,745 | |
| Barnes & Noble, Inc. | | | 27,579 | | | | 333,982 | |
| Bassett Furniture Industries, Inc. | | | 16,512 | | | | 459,859 | |
| Big Lots, Inc. (a) | | | 3,561 | | | | 170,643 | |
| BJ’s Restaurants, Inc. † | | | 19,100 | | | | 821,873 | |
| Bloomin’ Brands, Inc. | | | 24,174 | | | | 439,483 | |
| Boyd Gaming Corp. † | | | 54,401 | | | | 886,736 | |
| Bright Horizons Family Solutions, Inc. † | | | 9,113 | | | | 585,419 | |
| Buckle, Inc./The (a) | | | 8,663 | | | | 320,271 | |
| Buffalo Wild Wings, Inc. † | | | 2,561 | | | | 495,374 | |
| Build-A-Bear Workshop, Inc. † | | | 26,600 | | | | 502,474 | |
| Burlington Stores, Inc. † | | | 11,131 | | | | 568,126 | |
| Caleres, Inc. | | | 18,149 | | | | 554,089 | |
| Callaway Golf Co. | | | 14,351 | | | | 119,831 | |
| Capella Education Co. | | | 3,090 | | | | 153,017 | |
| Carriage Services, Inc. | | | 15,997 | | | | 345,375 | |
| Carrols Restaurant Group, Inc. † | | | 32,223 | | | | 383,454 | |
| Cato Corp./The, Class A | | | 16,800 | | | | 571,704 | |
| Cavco Industries, Inc. † | | | 3,700 | | | | 251,933 | |
| Century Casinos, Inc. † | | | 14,749 | | | | 90,706 | |
| Cheesecake Factory, Inc./The | | | 8,648 | | | | 466,646 | |
| Chegg, Inc. †(a) | | | 61,371 | | | | 442,485 | |
| Cherokee, Inc. † | | | 10,900 | | | | 169,168 | |
| Children’s Place, Inc./The | | | 11,177 | | | | 644,578 | |
| Churchill Downs, Inc. | | | 9,003 | | | | 1,204,691 | |
| Citi Trends, Inc. | | | 17,300 | | | | 404,474 | |
| ClubCorp Holdings, Inc. | | | 42,572 | | | | 913,595 | |
| Collectors Universe, Inc. | | | 366 | | | | 5,519 | |
| Columbia Sportswear Co. | | | 8,362 | | | | 491,602 | |
| Cooper Tire & Rubber Co. | | | 11,679 | | | | 461,437 | |
| Cooper-Standard Holding, Inc. † | | | 3,273 | | | | 189,834 | |
| Core-Mark Holding Co., Inc. | | | 12,619 | | | | 825,914 | |
| Cracker Barrel Old Country Store, Inc. (a) | | | 3,875 | | | | 570,710 | |
| Culp, Inc. | | | 11,894 | | | | 381,441 | |
| Denny’s Corp. † | | | 70,300 | | | | 775,409 | |
| Diamond Resorts International, Inc. †(a) | | | 41,035 | | | | 959,809 | |
| DineEquity, Inc. | | | 11,300 | | | | 1,035,758 | |
| DreamWorks Animation SKG, Inc., Class A † | | | 9,359 | | | | 163,315 | |
| Drew Industries, Inc. | | | 7,019 | | | | 383,308 | |
| Empire Resorts, Inc. †(a) | | | 2,031 | | | | 8,550 | |
| Entravision Communications Corp., Class A | | | 18,294 | | | | 121,472 | |
| EW Scripps Co./The, Class A | | | 44,162 | | | | 780,343 | |
| Express, Inc. † | | | 38,147 | | | | 681,687 | |
| Famous Dave’s of America, Inc. †(a) | | | 2,675 | | | | 34,534 | |
| Fiesta Restaurant Group, Inc. † | | | 8,074 | | | | 366,317 | |
| Flexsteel Industries, Inc. | | | 6,173 | | | | 192,906 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 16.3% (continued) | | | | |
| FTD Cos., Inc. † | | | 7,955 | | | $ | 237,059 | |
| Gentherm, Inc. † | | | 12,244 | | | | 550,000 | |
| G-III Apparel Group Ltd. † | | | 26,563 | | | | 1,637,875 | |
| Global Eagle Entertainment, Inc. †(a) | | | 24,438 | | | | 280,548 | |
| Grand Canyon Education, Inc. † | | | 4,900 | | | | 186,151 | |
| Gray Television, Inc. † | | | 42,717 | | | | 545,069 | |
| Group 1 Automotive, Inc. | | | 9,880 | | | | 841,282 | |
| Haverty Furniture Cos., Inc. | | | 7,500 | | | | 176,100 | |
| Helen of Troy Ltd. † | | | 17,296 | | | | 1,544,533 | |
| Hooker Furniture Corp. (a) | | | 12,387 | | | | 291,590 | |
| Houghton Mifflin Harcourt Co. † | | | 18,591 | | | | 377,583 | |
| HSN, Inc. | | | 4,348 | | | | 248,879 | |
| IMAX Corp. (Canada) †(a) | | | 6,991 | | | | 236,226 | |
| Installed Building Products, Inc. † | | | 26,386 | | | | 667,038 | |
| International Speedway Corp., Class A | | | 4,955 | | | | 157,173 | |
| Interval Leisure Group, Inc. | | | 15,214 | | | | 279,329 | |
| Isle of Capri Casinos, Inc. † | | | 34,624 | | | | 603,843 | |
| Jack in the Box, Inc. | | | 8,243 | | | | 635,041 | |
| Jamba, Inc. †(a) | | | 11,862 | | | | 169,033 | |
| Kirkland’s, Inc. | | | 14,240 | | | | 306,730 | |
| Kona Grill, Inc. †(a) | | | 16,400 | | | | 258,300 | |
| Lee Enterprises, Inc. † | | | 13,748 | | | | 28,596 | |
| Libbey, Inc. | | | 16,700 | | | | 544,587 | |
| Liberty Tax, Inc. (a) | | | 6,900 | | | | 160,701 | |
| LifeLock, Inc. †(a) | | | 35,039 | | | | 306,942 | |
| Lithia Motors, Inc., Class A | | | 12,600 | | | | 1,362,186 | |
| Loral Space & Communications, Inc. † | | | 2,600 | | | | 122,408 | |
| Marcus Corp./The | | | 6,900 | | | | 133,446 | |
| MarineMax, Inc. † | | | 27,463 | | | | 388,052 | |
| Marriott Vacations Worldwide Corp. | | | 20,400 | | | | 1,390,056 | |
| Mattress Firm Holding Corp. †(a) | | | 22,100 | | | | 922,896 | |
| MDC Partners, Inc., Class A | | | 7,871 | | | | 145,062 | |
| Men’s Wearhouse, Inc./The | | | 11,605 | | | | 493,445 | |
| Monarch Casino & Resort, Inc. † | | | 7,349 | | | | 132,062 | |
| Monro Muffler Brake, Inc. | | | 5,300 | | | | 358,015 | |
| Motorcar Parts of America, Inc. † | | | 13,486 | | | | 422,651 | |
| NACCO Industries, Inc., Class A | | | 4,200 | | | | 199,710 | |
| Nathan’s Famous, Inc. | | | 1,366 | | | | 51,935 | |
| Nautilus, Inc. † | | | 36,046 | | | | 540,690 | |
| New Media Investment Group, Inc. | | | 33,484 | | | | 517,663 | |
| Nexstar Broadcasting Group, Inc., Class A | | | 14,176 | | | | 671,234 | |
| Nutrisystem, Inc. | | | 21,700 | | | | 575,484 | |
| Outerwall, Inc. (a) | | | 5,290 | | | | 301,160 | |
| Overstock.com, Inc. † | | | 20,834 | | | | 357,511 | |
| Oxford Industries, Inc. | | | 9,862 | | | | 728,605 | |
| Papa John’s International, Inc. | | | 26,377 | | | | 1,806,297 | |
| Papa Murphy’s Holdings, Inc. †(a) | | | 22,659 | | | | 332,634 | |
| Penn National Gaming, Inc. †(a) | | | 55,621 | | | | 933,320 | |
| Performance Sports Group Ltd. † | | | 19,345 | | | | 259,610 | |
| Perry Ellis International, Inc. † | | | 17,616 | | | | 386,847 | |
| PetMed Express, Inc. (a) | | | 10,939 | | | | 176,118 | |
| Pool Corp. | | | 9,144 | | | | 661,111 | |
| Popeyes Louisiana Kitchen, Inc. † | | | 19,400 | | | | 1,093,384 | |
| Rave Restaurant Group, Inc. †(a) | | | 7,822 | | | | 66,722 | |
| Red Robin Gourmet Burgers, Inc. † | | | 8,127 | | | | 615,539 | |
| Rent-A-Center, Inc. | | | 5,373 | | | | 130,295 | |
| Rentrak Corp. †(a) | | | 4,798 | | | | 259,428 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
87
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 16.3% (continued) | | | | |
| Restoration Hardware Holdings, Inc. † | | | 5,135 | | | $ | 479,147 | |
| Rocky Brands, Inc. | | | 345 | | | | 4,896 | |
| Ruth’s Hospitality Group, Inc. | | | 22,500 | | | | 365,400 | |
| Scholastic Corp. | | | 17,499 | | | | 681,761 | |
| Scientific Games Corp., Class A †(a) | | | 53,979 | | | | 564,081 | |
| Select Comfort Corp. † | | | 35,132 | | | | 768,688 | |
| Sequential Brands Group, Inc. †(a) | | | 25,800 | | | | 373,326 | |
| Shoe Carnival, Inc. | | | 7,229 | | | | 172,050 | |
| Skullcandy, Inc. † | | | 25,665 | | | | 141,927 | |
| Smith & Wesson Holding Corp. † | | | 19,914 | | | | 335,949 | |
| Sonic Corp. | | | 36,600 | | | | 839,970 | |
| Speedway Motorsports, Inc. | | | 8,423 | | | | 152,035 | |
| Sportsman’s Warehouse Holdings, Inc. †(a) | | | 16,127 | | | | 198,685 | |
| Standard Motor Products, Inc. | | | 7,482 | | | | 260,972 | |
| Stein Mart, Inc. | | | 14,500 | | | | 140,360 | |
| Steven Madden Ltd. † | | | 30,019 | | | | 1,099,296 | |
| Strattec Security Corp. | | | 2,800 | | | | 176,568 | |
| Strayer Education, Inc. † | | | 2,736 | | | | 150,398 | |
| Sturm Ruger & Co., Inc. | | | 2,117 | | | | 124,247 | |
| Superior Uniform Group, Inc. | | | 9,846 | | | | 176,539 | |
| Texas Roadhouse, Inc. | | | 43,558 | | | | 1,620,358 | |
| Tile Shop Holdings, Inc. † | | | 9,494 | | | | 113,738 | |
| Tilly’s, Inc., A Shares † | | | 20,094 | | | | 147,892 | |
| Tower International, Inc. † | | | 8,484 | | | | 201,580 | |
| Unifi, Inc. † | | | 10,400 | | | | 310,024 | |
| Universal Electronics, Inc. † | | | 9,143 | | | | 384,280 | |
| Vail Resorts, Inc. | | | 4,010 | | | | 419,767 | |
| World Wrestling Entertainment, Inc., Class A (a) | | | 41,508 | | | | 701,485 | |
| YOU On Demand Holdings, Inc. †(a) | | | 10,888 | | | | 21,014 | |
| ZAGG, Inc. † | | | 33,050 | | | | 224,409 | |
| Zoe’s Kitchen, Inc. †(a) | | | 11,850 | | | | 467,956 | |
| Zumiez, Inc. † | | | 10,529 | | | | 164,568 | |
| | | | | | | | |
| | | | | | | 65,537,377 | |
| | | | | | | | |
| Consumer Staples - 4.3% | | | | | | |
| Boston Beer Co., Inc./The, Class A †(a) | | | 700 | | | | 147,427 | |
| Calavo Growers, Inc. | | | 14,700 | | | | 656,208 | |
| Cal-Maine Foods, Inc. (a) | | | 28,000 | | | | 1,529,080 | |
| Casey’s General Stores, Inc. | | | 5,193 | | | | 534,464 | |
| Central Garden & Pet Co., Class A † | | | 20,297 | | | | 326,985 | |
| Coca-Cola Bottling Co. Consolidated | | | 6,851 | | | | 1,324,846 | |
| Dean Foods Co. | | | 9,918 | | | | 163,845 | |
| Diamond Foods, Inc. † | | | 10,721 | | | | 330,850 | |
| Fresh Del Monte Produce, Inc. | | | 31,400 | | | | 1,240,614 | |
| Fresh Market, Inc./The †(a) | | | 5,322 | | | | 120,224 | |
| HRG Group, Inc. † | | | 27,532 | | | | 322,950 | |
| Ingles Markets, Inc., Class A | | | 16,905 | | | | 808,566 | |
| Inter Parfums, Inc. | | | 6,100 | | | | 151,341 | |
| J&J Snack Foods Corp. | | | 7,497 | | | | 852,109 | |
| John B. Sanfilippo & Son, Inc. | | | 13,162 | | | | 674,684 | |
| Liberator Medical Holdings, Inc. (a) | | | 12,454 | | | | 29,267 | |
| Medifast, Inc. † | | | 6,400 | | | | 171,904 | |
| National Beverage Corp. † | | | 9,977 | | | | 306,593 | |
| Natural Health Trends Corp. (a) | | | 18,300 | | | | 598,044 | |
| Omega Protein Corp. † | | | 13,000 | | | | 220,610 | |
| Post Holdings, Inc. † | | | 21,955 | | | | 1,297,541 | |
| Revlon, Inc., Class A † | | | 23,700 | | | | 697,965 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Staples - 4.3% (continued) | | | | | | |
| Snyder’s-Lance, Inc. | | | 23,881 | | | $ | 805,506 | |
| SpartanNash Co. | | | 19,064 | | | | 492,804 | |
| SUPERVALU, Inc. † | | | 16,331 | | | | 117,257 | |
| Tootsie Roll Industries, Inc. (a) | | | 3,895 | | | | 121,875 | |
| USANA Health Sciences, Inc. † | | | 8,964 | | | | 1,201,445 | |
| Vector Group Ltd. (a) | | | 73,494 | | | | 1,661,696 | |
| WD-40 Co. | | | 5,500 | | | | 489,885 | |
| | | | | | | | |
| | | | | | | 17,396,585 | |
| | | | | | | | |
| Energy - 0.7% | | | | | | |
| Aemetis, Inc. † | | | 958 | | | | 2,635 | |
| Alon USA Energy, Inc. | | | 35,205 | | | | 636,154 | |
| Delek US Holdings, Inc. | | | 17,683 | | | | 489,819 | |
| Enbridge Energy Management LLC | | | 973 | | | | 23,138 | |
| Nordic American Tankers Ltd. (Norway) (a) | | | 47,016 | | | | 714,643 | |
| Panhandle Oil and Gas, Inc., Class A | | | 8,155 | | | | 131,785 | |
| REX American Resources Corp. †(a) | | | 3,115 | | | | 157,681 | |
| Teekay Tankers Ltd., Class A | | | 73,424 | | | | 506,626 | |
| Vertex Energy, Inc. †(a) | | | 15,052 | | | | 32,211 | |
| | | | | | | | |
| | | | | | | 2,694,692 | |
| | | | | | | | |
| Financials - 17.3% | | | | | | |
| Acadia Realty Trust REIT | | | 17,137 | | | | 515,310 | |
| Actua Corp. † | | | 12,100 | | | | 142,296 | |
| Agree Realty Corp. REIT | | | 6,100 | | | | 182,085 | |
| Alexander’s, Inc. REIT | | | 1,300 | | | | 486,200 | |
| American Assets Trust, Inc. REIT | | | 17,708 | | | | 723,549 | |
| American Equity Investment Life Holding Co. | | | 20,578 | | | | 479,673 | |
| Ameris Bancorp | | | 11,401 | | | | 327,779 | |
| AMERISAFE, Inc. | | | 5,675 | | | | 282,218 | |
| Argo Group International Holdings Ltd. | | | 16,900 | | | | 956,371 | |
| Atlas Financial Holdings, Inc. † | | | 8,617 | | | | 159,415 | |
| Banc of California, Inc. | | | 16,338 | | | | 200,467 | |
| Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | | | 14,983 | | | | 346,856 | |
| BancorpSouth, Inc. | | | 37,335 | | | | 887,453 | |
| Bank of the Ozarks, Inc. | | | 23,533 | | | | 1,029,804 | |
| Banner Corp. | | | 9,863 | | | | 471,156 | |
| Beneficial Bancorp, Inc. † | | | 21,218 | | | | 281,351 | |
| Berkshire Hills Bancorp, Inc. | | | 11,726 | | | | 322,934 | |
| BGC Partners, Inc., Class A | | | 151,900 | | | | 1,248,618 | |
| BNC Bancorp | | | 14,052 | | | | 312,376 | |
| BofI Holding, Inc. † | | | 12,968 | | | | 1,670,667 | |
| Boston Private Financial Holdings, Inc. | | | 13,300 | | | | 155,610 | |
| Brookline Bancorp, Inc. | | | 19,253 | | | | 195,225 | |
| Capital Bank Financial Corp., Class A † | | | 28,431 | | | | 859,469 | |
| Cardinal Financial Corp. | | | 12,981 | | | | 298,693 | |
| Cash America International, Inc. | | | 15,002 | | | | 419,606 | |
| Cathay General Bancorp (a) | | | 49,543 | | | | 1,484,308 | |
| Cedar Realty Trust, Inc. REIT | | | 29,000 | | | | 180,090 | |
| CenterState Banks, Inc. | | | 8,337 | | | | 122,554 | |
| Central Pacific Financial Corp. | | | 18,939 | | | | 397,151 | |
| Chatham Lodging Trust REIT | | | 17,052 | | | | 366,277 | |
| Chemical Financial Corp. | | | 6,828 | | | | 220,886 | |
| Cohen & Steers, Inc. | | | 9,516 | | | | 261,214 | |
| Columbia Banking System, Inc. | | | 24,968 | | | | 779,251 | |
| ConnectOne Bancorp, Inc. | | | 11,700 | | | | 225,810 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
88
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 17.3% (continued) | | | | | | |
| Consumer Portfolio Services, Inc. † | | | 14,083 | | | $ | 70,133 | |
| CoreSite Realty Corp. REIT | | | 20,502 | | | | 1,054,623 | |
| Cowen Group, Inc., Class A †(a) | | | 57,400 | | | | 261,744 | |
| Customers Bancorp, Inc. † | | | 25,906 | | | | 665,784 | |
| CyrusOne, Inc. REIT | | | 37,452 | | | | 1,223,182 | |
| Diamond Hill Investment Group, Inc. | | | 1,639 | | | | 304,920 | |
| DuPont Fabros Technology, Inc. REIT | | | 11,068 | | | | 286,440 | |
| Eagle Bancorp, Inc. † | | | 23,148 | | | | 1,053,234 | |
| Education Realty Trust, Inc. REIT | | | 8,506 | | | | 280,273 | |
| Employers Holdings, Inc. | | | 6,600 | | | | 147,114 | |
| Enstar Group Ltd. † | | | 3,300 | | | | 495,000 | |
| Essent Group Ltd. † | | | 44,185 | | | | 1,097,997 | |
| EverBank Financial Corp. | | | 12,935 | | | | 249,646 | |
| Evercore Partners, Inc., Class A | | | 3,405 | | | | 171,067 | |
| FBL Financial Group, Inc., Class A | | | 11,100 | | | | 682,872 | |
| FBR & Co. | | | 2,467 | | | | 50,376 | |
| FCB Financial Holdings, Inc., Class A † | | | 12,131 | | | | 395,713 | |
| Federal Agricultural Mortgage Corp., Class C | | | 635 | | | | 16,466 | |
| Federated National Holding Co. | | | 17,400 | | | | 417,948 | |
| Fidelity Southern Corp. | | | 19,921 | | | | 421,130 | |
| First American Financial Corp. | | | 12,750 | | | | 498,143 | |
| First Defiance Financial Corp. | | | 7,117 | | | | 260,198 | |
| First Interstate BancSystem, Inc., Class A | | | 9,200 | | | | 256,128 | |
| First Merchants Corp. | | | 14,150 | | | | 371,013 | |
| GAIN Capital Holdings, Inc. | | | 24,292 | | | | 176,846 | |
| GAMCO Investors, Inc., Class A | | | 4,800 | | | | 263,520 | |
| GEO Group, Inc./The REIT | | | 5,081 | | | | 151,109 | |
| Gladstone Commercial Corp. REIT | | | 10,000 | | | | 141,100 | |
| Great Southern Bancorp, Inc. | | | 6,714 | | | | 290,716 | |
| Greenlight Capital Re Ltd., Class A † | | | 6,200 | | | | 138,136 | |
| Hanmi Financial Corp. | | | 13,175 | | | | 332,010 | |
| HCI Group, Inc. | | | 3,900 | | | | 151,203 | |
| Heartland Financial USA, Inc. | | | 9,469 | | | | 343,630 | |
| Heritage Insurance Holdings, Inc. † | | | 14,157 | | | | 279,318 | |
| HFF, Inc., Class A | | | 20,300 | | | | 685,328 | |
| Home BancShares, Inc. | | | 16,580 | | | | 671,490 | |
| HomeStreet, Inc. † | | | 11,176 | | | | 258,166 | |
| Horace Mann Educators Corp. | | | 12,800 | | | | 425,216 | |
| Hudson Pacific Properties, Inc. REIT | | | 38,075 | | | | 1,096,179 | |
| Impac Mortgage Holdings, Inc. †(a) | | | 16,446 | | | | 268,892 | |
| Independent Bank Corp./MA (a) | | | 10,916 | | | | 503,228 | |
| Independent Bank Corp./MI | | | 23,700 | | | | 349,812 | |
| Infinity Property & Casualty Corp. | | | 3,300 | | | | 265,782 | |
| INTL. FCStone, Inc. † | | | 11,704 | | | | 288,972 | |
| Investment Technology Group, Inc. | | | 20,907 | | | | 278,899 | |
| Investors Bancorp, Inc. | | | 46,633 | | | | 575,451 | |
| Janus Capital Group, Inc. | | | 9,023 | | | | 122,713 | |
| Kennedy-Wilson Holdings, Inc. | | | 22,311 | | | | 494,635 | |
| Ladenburg Thalmann Financial Services, Inc. †(a) | | | 125,900 | | | | 265,649 | |
| Lakeland Financial Corp. | | | 7,500 | | | | 338,625 | |
| LegacyTexas Financial Group, Inc. | | | 12,927 | | | | 394,015 | |
| LendingTree, Inc. † | | | 13,441 | | | | 1,250,416 | |
| LTC Properties, Inc. REIT | | | 6,113 | | | | 260,842 | |
| Maiden Holdings Ltd. | | | 37,600 | | | | 521,888 | |
| Marcus & Millichap, Inc. † | | | 28,051 | | | | 1,290,065 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 17.3% (continued) | | | | | | |
| MarketAxess Holdings, Inc. | | | 9,015 | | | $ | 837,313 | |
| MB Financial, Inc. | | | 34,300 | | | | 1,119,552 | |
| Meridian Bancorp, Inc. | | | 24,780 | | | | 338,743 | |
| Meta Financial Group, Inc. | | | 5,100 | | | | 213,027 | |
| MGIC Investment Corp. † | | | 26,804 | | | | 248,205 | |
| Monmouth Real Estate Investment Corp. REIT (a) | | | 33,284 | | | | 324,519 | |
| National General Holdings Corp. | | | 8,430 | | | | 162,615 | |
| National Health Investors, Inc. REIT | | | 2,087 | | | | 119,982 | |
| Navigators Group, Inc./The † | | | 6,000 | | | | 467,880 | |
| Nelnet, Inc., Class A | | | 9,959 | | | | 344,681 | |
| Newtek Business Services Corp. | | | 3,014 | | | | 49,520 | |
| OneBeacon Insurance Group Ltd., Class A | | | 14,400 | | | | 202,176 | |
| Opus Bank | | | 6,533 | | | | 249,822 | |
| Oritani Financial Corp. | | | 10,200 | | | | 159,324 | |
| Pennsylvania Real Estate Investment Trust REIT | | | 28,975 | | | | 574,574 | |
| Physicians Realty Trust REIT | | | 30,794 | | | | 464,681 | |
| Pinnacle Financial Partners, Inc. | | | 25,631 | | | | 1,266,428 | |
| Piper Jaffray Cos. † | | | 4,807 | | | | 173,869 | |
| Preferred Bank | | | 10,281 | | | | 324,880 | |
| Primerica, Inc. | | | 7,209 | | | | 324,910 | |
| PrivateBancorp, Inc. | | | 38,043 | | | | 1,458,188 | |
| QTS Realty Trust, Inc., Class A REIT | | | 23,400 | | | | 1,022,346 | |
| Radian Group, Inc. | | | 16,195 | | | | 257,662 | |
| Ramco-Gershenson Properties Trust REIT | | | 11,890 | | | | 178,469 | |
| RE/MAX Holdings, Inc., Class A | | | 7,284 | | | | 262,078 | |
| Retail Opportunity Investments Corp. REIT | | | 32,759 | | | | 541,834 | |
| Rexford Industrial Realty, Inc. REIT | | | 14,657 | | | | 202,120 | |
| RLI Corp. | | | 14,506 | | | | 776,506 | |
| Ryman Hospitality Properties, Inc. REIT | | | 3,592 | | | | 176,834 | |
| S&T Bancorp, Inc. | | | 3,900 | | | | 127,218 | |
| Safety Insurance Group, Inc. | | | 5,200 | | | | 281,580 | |
| Saul Centers, Inc. REIT | | | 5,039 | | | | 260,768 | |
| Seacoast Banking Corp of Florida † | | | 27,451 | | | | 402,981 | |
| Security National Financial Corp., Class A † | | | 1,159 | | | | 7,846 | |
| Selective Insurance Group, Inc. | | | 10,554 | | | | 327,807 | |
| ServisFirst Bancshares, Inc. | | | 13,076 | | | | 543,046 | |
| Simmons First National Corp., Class A | | | 2,900 | | | | 138,997 | |
| South State Corp. | | | 11,167 | | | | 858,407 | |
| Southside Bancshares, Inc. | | | 8,144 | | | | 224,367 | |
| State Bank Financial Corp. | | | 11,678 | | | | 241,501 | |
| Sterling Bancorp | | | 28,435 | | | | 422,828 | |
| Stewart Information Services Corp. | | | 11,723 | | | | 479,588 | |
| Stonegate Bank | | | 6,484 | | | | 206,256 | |
| Summit Hotel Properties, Inc. REIT | | | 52,900 | | | | 617,343 | |
| Sun Communities, Inc. REIT | | | 8,378 | | | | 567,693 | |
| Talmer Bancorp, Inc., Class A | | | 24,949 | | | | 415,401 | |
| Terreno Realty Corp. REIT | | | 7,970 | | | | 156,531 | |
| United Bankshares, Inc. | | | 39,931 | | | | 1,516,979 | |
| United Community Banks, Inc. | | | 45,708 | | | | 934,272 | |
| United Insurance Holdings Corp. | | | 26,636 | | | | 350,263 | |
| Universal Health Realty Income Trust REIT | | | 6,042 | | | | 283,611 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
89
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 17.3% (continued) | | | | | | |
| Universal Insurance Holdings, Inc. | | | 34,500 | | | $ | 1,019,130 | |
| Urstadt Biddle Properties, Inc., Class A REIT | | | 9,209 | | | | 172,577 | |
| Walker & Dunlop, Inc. † | | | 19,579 | | | | 510,620 | |
| Waterstone Financial, Inc. (a) | | | 33,935 | | | | 457,444 | |
| Webster Financial Corp. | | | 19,426 | | | | 692,148 | |
| WesBanco, Inc. | | | 7,700 | | | | 242,165 | |
| Western Alliance Bancorp † | | | 69,950 | | | | 2,148,165 | |
| Wilshire Bancorp, Inc. | | | 22,575 | | | | 237,263 | |
| Winthrop Realty Trust REIT † | | | 11,147 | | | | 160,071 | |
| Wintrust Financial Corp. | | | 5,845 | | | | 312,298 | |
| WisdomTree Investments, Inc. (a) | | | 26,973 | | | | 435,074 | |
| WSFS Financial Corp. | | | 8,700 | | | | 250,647 | |
| | | | | | | | |
| | | | | | | 69,443,340 | |
| | | | | | | | |
| Health Care - 23.9% | | | | | | |
| AAC Holdings, Inc. †(a) | | | 15,821 | | | | 352,017 | |
| Abaxis, Inc. | | | 11,506 | | | | 506,149 | |
| ABIOMED, Inc. † | | | 28,488 | | | | 2,642,547 | |
| ACADIA Pharmaceuticals, Inc. † | | | 12,958 | | | | 428,521 | |
| Accelerate Diagnostics, Inc. †(a) | | | 18,930 | | | | 306,287 | |
| Acceleron Pharma, Inc. †(a) | | | 6,200 | | | | 154,380 | |
| Aceto Corp. | | | 14,995 | | | | 411,613 | |
| Addus HomeCare Corp. † | | | 14,600 | | | | 454,790 | |
| Adeptus Health, Inc., Class A †(a) | | | 13,334 | | | | 1,076,854 | |
| Advaxis, Inc. †(a) | | | 37,100 | | | | 379,533 | |
| Aerie Pharmaceuticals, Inc. † | | | 6,320 | | | | 112,117 | |
| Affymetrix, Inc. † | | | 47,913 | | | | 409,177 | |
| Agenus, Inc. † | | | 90,812 | | | | 417,735 | |
| Albany Molecular Research, Inc. †(a) | | | 12,590 | | | | 219,318 | |
| Alder Biopharmaceuticals, Inc. † | | | 31,860 | | | | 1,043,734 | |
| Almost Family, Inc. † | | | 8,516 | | | | 341,066 | |
| AMAG Pharmaceuticals, Inc. † | | | 25,026 | | | | 994,283 | |
| Amedisys, Inc. † | | | 27,179 | | | | 1,031,987 | |
| Amicus Therapeutics, Inc. † | | | 85,838 | | | | 1,200,874 | |
| AMN Healthcare Services, Inc. † | | | 33,663 | | | | 1,010,227 | |
| Amphastar Pharmaceuticals, Inc. † | | | 20,654 | | | | 241,445 | |
| Amsurg Corp. † | | | 7,999 | | | | 621,602 | |
| Anacor Pharmaceuticals, Inc. † | | | 8,043 | | | | 946,742 | |
| Analogic Corp. | | | 2,300 | | | | 188,692 | |
| AngioDynamics, Inc. † | | | 12,500 | | | | 164,875 | |
| ANI Pharmaceuticals, Inc. †(a) | | | 10,500 | | | | 414,855 | |
| Anika Therapeutics, Inc. † | | | 5,727 | | | | 182,290 | |
| Anthera Pharmaceuticals, Inc. †(a) | | | 43,342 | | | | 263,953 | |
| Aratana Therapeutics, Inc. † | | | 8,631 | | | | 73,018 | |
| ARIAD Pharmaceuticals, Inc. † | | | 119,514 | | | | 697,962 | |
| Array BioPharma, Inc. †(a) | | | 101,950 | | | | 464,892 | |
| Assembly Biosciences, Inc. †(a) | | | 13,311 | | | | 127,253 | |
| AtriCure, Inc. † | | | 20,400 | | | | 446,964 | |
| Atrion Corp. | | | 700 | | | | 262,472 | |
| BioSpecifics Technologies Corp. † | | | 6,287 | | | | 273,736 | |
| BioTelemetry, Inc. † | | | 25,845 | | | | 316,343 | |
| BioTime, Inc. †(a) | | | 47,742 | | | | 143,226 | |
| Cambrex Corp. † | | | 24,629 | | | | 977,279 | |
| Cantel Medical Corp. | | | 22,204 | | | | 1,258,967 | |
| Capital Senior Living Corp. † | | | 6,600 | | | | 132,330 | |
| Cara Therapeutics, Inc. † | | | 6,672 | | | | 95,343 | |
| Cardiovascular Systems, Inc. † | | | 8,628 | | | | 136,668 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 23.9% (continued) | | | | | | |
| Catalent, Inc. † | | | 16,713 | | | $ | 406,126 | |
| Catalyst Pharmaceuticals, Inc. †(a) | | | 130,280 | | | | 390,840 | |
| Celldex Therapeutics, Inc. †(a) | | | 49,300 | | | | 519,622 | |
| Cellular Biomedicine Group, Inc. †(a) | | | 13,485 | | | | 228,301 | |
| Cempra, Inc. † | | | 38,001 | | | | 1,057,948 | |
| Cepheid † | | | 7,757 | | | | 350,616 | |
| Chemed Corp. | | | 10,400 | | | | 1,388,088 | |
| Chimerix, Inc. † | | | 32,682 | | | | 1,248,452 | |
| Clovis Oncology, Inc. † | | | 6,053 | | | | 556,634 | |
| Concert Pharmaceuticals, Inc. † | | | 28,211 | | | | 529,520 | |
| CONMED Corp. | | | 11,344 | | | | 541,563 | |
| Corcept Therapeutics, Inc. †(a) | | | 59,094 | | | | 222,193 | |
| CorMedix, Inc. †(a) | | | 71,090 | | | | 141,469 | |
| CorVel Corp. † | | | 6,100 | | | | 197,030 | |
| Cross Country Healthcare, Inc. † | | | 33,380 | | | | 454,302 | |
| CTI BioPharma Corp. †(a) | | | 77,000 | | | | 112,420 | |
| Curis, Inc. † | | | 62,196 | | | | 125,636 | |
| Cutera Inc † | | | 8,630 | | | | 112,880 | |
| Cyberonics, Inc. † | | | 1,822 | | | | 110,741 | |
| Cynosure, Inc., Class A † | | | 14,427 | | | | 433,387 | |
| Cytokinetics, Inc. † | | | 18,480 | | | | 123,631 | |
| CytoSorbents Corp. †(a) | | | 1,709 | | | | 10,784 | |
| Durect Corp. † | | | 131,192 | | | | 255,824 | |
| Dyax Corp. † | | | 26,166 | | | | 499,509 | |
| Dynavax Technologies Corp. † | | | 22,837 | | | | 560,420 | |
| Eagle Pharmaceuticals, Inc. †(a) | | | 14,239 | | | | 1,054,113 | |
| Emergent BioSolutions, Inc. † | | | 14,333 | | | | 408,347 | |
| Enanta Pharmaceuticals, Inc. †(a) | | | 3,197 | | | | 115,540 | |
| Endologix, Inc. †(a) | | | 16,646 | | | | 204,080 | |
| Ensign Group, Inc./The | | | 20,800 | | | | 886,704 | |
| Esperion Therapeutics, Inc. †(a) | | | 17,402 | | | | 410,513 | |
| Exact Sciences Corp. †(a) | | | 46,894 | | | | 843,623 | |
| ExamWorks Group, Inc. † | | | 10,354 | | | | 302,751 | |
| Exelixis, Inc. †(a) | | | 76,940 | | | | 431,633 | |
| Five Prime Therapeutics, Inc. † | | | 23,893 | | | | 367,713 | |
| Flexion Therapeutics, Inc. †(a) | | | 16,269 | | | | 241,757 | |
| FONAR Corp. † | | | 2,793 | | | | 37,454 | |
| Fortress Biotech, Inc. †(a) | | | 15,562 | | | | 40,461 | |
| Geron Corp. †(a) | | | 144,460 | | | | 398,710 | |
| Globus Medical, Inc., Class A † | | | 22,202 | | | | 458,693 | |
| Greatbatch, Inc. † | | | 10,740 | | | | 605,951 | |
| Haemonetics Corp. † | | | 8,397 | | | | 271,391 | |
| Halozyme Therapeutics, Inc. † | | | 81,035 | | | | 1,088,300 | |
| HealthEquity, Inc. † | | | 15,821 | | | | 467,511 | |
| HealthStream, Inc. † | | | 10,106 | | | | 220,412 | |
| Healthways, Inc. † | | | 15,174 | | | | 168,735 | |
| Heska Corp. †(a) | | | 11,975 | | | | 364,998 | |
| ICU Medical, Inc. † | | | 11,500 | | | | 1,259,250 | |
| Idera Pharmaceuticals, Inc. †(a) | | | 52,479 | | | | 175,805 | |
| IGI Laboratories, Inc. †(a) | | | 27,952 | | | | 182,806 | |
| Ignyta, Inc. †(a) | | | 27,713 | | | | 243,320 | |
| ImmunoGen, Inc. †(a) | | | 40,411 | | | | 387,946 | |
| Impax Laboratories, Inc. † | | | 10,675 | | | | 375,867 | |
| Infinity Pharmaceuticals, Inc. † | | | 17,867 | | | | 150,976 | |
| Inogen, Inc. † | | | 21,088 | | | | 1,023,822 | |
| Insmed, Inc. † | | | 40,458 | | | | 751,305 | |
| Insys Therapeutics, Inc. †(a) | | | 47,756 | | | | 1,359,136 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
90
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 23.9% (continued) | | | | | | |
| Integra LifeSciences Holdings Corp. † | | | 15,955 | | | $ | 950,120 | |
| Intersect ENT, Inc. † | | | 9,865 | | | | 230,841 | |
| Intra-Cellular Therapies, Inc. † | | | 26,477 | | | | 1,060,139 | |
| Invacare Corp. | | | 12,759 | | | | 184,623 | |
| IsoRay, Inc. †(a) | | | 72,157 | | | | 101,020 | |
| K2M Group Holdings, Inc. † | | | 22,913 | | | | 426,182 | |
| Kite Pharma, Inc. †(a) | | | 25,857 | | | | 1,439,718 | |
| Lannett Co., Inc. †(a) | | | 24,260 | | | | 1,007,275 | |
| LDR Holding Corp. † | | | 24,123 | | | | 832,967 | |
| LHC Group, Inc. † | | | 12,246 | | | | 548,253 | |
| Ligand Pharmaceuticals, Inc. †(a) | | | 12,009 | | | | 1,028,571 | |
| Lion Biotechnologies, Inc. †(a) | | | 33,529 | | | | 193,127 | |
| MacroGenics, Inc. † | | | 22,832 | | | | 489,061 | |
| Magellan Health, Inc. † | | | 2,668 | | | | 147,887 | |
| Masimo Corp. † | | | 27,325 | | | | 1,053,652 | |
| Medcath Corp. (3)†(b) | | | 10,300 | | | | — | |
| Medicines Co./The † | | | 7,987 | | | | 303,187 | |
| Medidata Solutions, Inc. † | | | 6,513 | | | | 274,262 | |
| Merit Medical Systems, Inc. † | | | 27,715 | | | | 662,666 | |
| Merrimack Pharmaceuticals, Inc. †(a) | | | 78,414 | | | | 667,303 | |
| MiMedx Group, Inc. †(a) | | | 76,902 | | | | 742,104 | |
| Mirati Therapeutics, Inc. † | | | 12,588 | | | | 433,279 | |
| Molina Healthcare, Inc. † | | | 6,919 | | | | 476,373 | |
| Momenta Pharmaceuticals, Inc. † | | | 39,468 | | | | 647,670 | |
| National HealthCare Corp. | | | 2,800 | | | | 170,492 | |
| Natus Medical, Inc. † | | | 23,400 | | | | 923,130 | |
| Neogen Corp. † | | | 8,606 | | | | 387,184 | |
| NeoGenomics, Inc. † | | | 53,208 | | | | 304,882 | |
| Neurocrine Biosciences, Inc. † | | | 16,359 | | | | 650,925 | |
| NewLink Genetics Corp. † | | | 22,252 | | | | 797,512 | |
| Northwest Biotherapeutics, Inc. †(a) | | | 39,500 | | | | 246,875 | |
| Novavax, Inc. † | | | 172,476 | | | | 1,219,405 | |
| NuVasive, Inc. † | | | 29,474 | | | | 1,421,236 | |
| NxStage Medical, Inc. † | | | 26,873 | | | | 423,787 | |
| Ocular Therapeutix, Inc. † | | | 6,822 | | | | 95,917 | |
| Ohr Pharmaceutical, Inc. †(a) | | | 7,600 | | | | 20,976 | |
| Omeros Corp. †(a) | | | 21,758 | | | | 238,468 | |
| Omnicell, Inc. † | | | 23,913 | | | | 743,694 | |
| Oncothyreon, Inc. † | | | 37,144 | | | | 101,775 | |
| Ophthotech Corp. † | | | 22,207 | | | | 899,828 | |
| OraSure Technologies, Inc. † | | | 36,400 | | | | 161,616 | |
| Organovo Holdings, Inc. † | | | 37,800 | | | | 101,304 | |
| Osiris Therapeutics, Inc. †(a) | | | 13,502 | | | | 249,382 | |
| OvaScience, Inc. †(a) | | | 31,779 | | | | 269,804 | |
| Pacific Biosciences of California, Inc. †(a) | | | 47,900 | | | | 175,314 | |
| Peregrine Pharmaceuticals, Inc. †(a) | | | 181,400 | | | | 185,028 | |
| Pfenex, Inc. † | | | 6,838 | | | | 102,638 | |
| PharMerica Corp. † | | | 6,200 | | | | 176,514 | |
| Phibro Animal Health Corp., Class A | | | 24,965 | | | | 789,643 | |
| Portola Pharmaceuticals, Inc. † | | | 35,319 | | | | 1,505,296 | |
| POZEN, Inc. † | | | 23,700 | | | | 138,289 | |
| Prestige Brands Holdings, Inc. † | | | 27,567 | | | | 1,244,926 | |
| Progenics Pharmaceuticals, Inc. †(a) | | | 80,442 | | | | 460,128 | |
| Prothena Corp. PLC (Ireland) † | | | 6,683 | | | | 303,007 | |
| Providence Service Corp./The † | | | 11,836 | | | | 515,813 | |
| pSivida Corp. † | | | 2,554 | | | | 9,322 | |
| PTC Therapeutics, Inc. † | | | 19,295 | | | | 515,176 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 23.9% (continued) | | | | | | |
| Radius Health, Inc. † | | | 25,130 | | | $ | 1,741,760 | |
| RadNet, Inc. † | | | 43,062 | | | | 238,994 | |
| Raptor Pharmaceutical Corp. †(a) | | | 47,635 | | | | 288,192 | |
| Regulus Therapeutics, Inc. †(a) | | | 48,590 | | | | 317,779 | |
| Relypsa, Inc. †(a) | | | 24,783 | | | | 458,733 | |
| Repligen Corp. † | | | 28,474 | | | | 793,001 | |
| Retrophin, Inc. † | | | 28,175 | | | | 570,825 | |
| Rockwell Medical, Inc. †(a) | | | 26,667 | | | | 205,603 | |
| RTI Surgical, Inc. † | | | 39,509 | | | | 224,411 | |
| Sage Therapeutics, Inc. †(a) | | | 16,395 | | | | 693,836 | |
| Sagent Pharmaceuticals, Inc. † | | | 7,610 | | | | 116,661 | |
| Sarepta Therapeutics, Inc. † | | | 16,370 | | | | 525,641 | |
| SciClone Pharmaceuticals, Inc. † | | | 47,301 | | | | 328,269 | |
| Select Medical Holdings Corp. | | | 11,378 | | | | 122,769 | |
| Sequenom, Inc. †(a) | | | 70,200 | | | | 122,850 | |
| Sorrento Therapeutics, Inc. †(a) | | | 29,782 | | | | 249,871 | |
| Spectranetics Corp./The † | | | 12,584 | | | | 148,365 | |
| STERIS Corp. | | | 3,218 | | | | 209,073 | |
| Sucampo Pharmaceuticals, Inc., Class A † | | | 44,100 | | | | 876,267 | |
| Supernus Pharmaceuticals, Inc. † | | | 41,767 | | | | 585,991 | |
| Surgical Care Affiliates, Inc. † | | | 9,882 | | | | 323,043 | |
| Synergy Pharmaceuticals, Inc. †(a) | | | 71,825 | | | | 380,673 | |
| TESARO, Inc. †(a) | | | 27,865 | | | | 1,117,387 | |
| Tetraphase Pharmaceuticals, Inc. †(a) | | | 39,304 | | | | 293,208 | |
| TG Therapeutics, Inc. †(a) | | | 50,599 | | | | 510,038 | |
| TherapeuticsMD, Inc. †(a) | | | 93,705 | | | | 549,111 | |
| Trevena, Inc. † | | | 21,723 | | | | 224,833 | |
| Ultragenyx Pharmaceutical, Inc. † | | | 6,694 | | | | 644,699 | |
| Universal American Corp. † | | | 36,400 | | | | 248,976 | |
| US Physical Therapy, Inc. | | | 7,497 | | | | 336,540 | |
| Vascular Solutions, Inc. † | | | 15,785 | | | | 511,592 | |
| WellCare Health Plans, Inc. † | | | 4,747 | | | | 409,096 | |
| West Pharmaceutical Services, Inc. | | | 5,928 | | | | 320,823 | |
| Xencor, Inc. †(a) | | | 32,703 | | | | 399,958 | |
| XenoPort, Inc. †(a) | | | 56,264 | | | | 195,236 | |
| Zafgen, Inc. † | | | 16,676 | | | | 532,798 | |
| Zeltiq Aesthetics, Inc. † | | | 35,600 | | | | 1,140,268 | |
| ZIOPHARM Oncology, Inc. †(a) | | | 101,588 | | | | 915,308 | |
| Zogenix, Inc. † | | | 7,171 | | | | 96,809 | |
| ZS Pharma, Inc. † | | | 15,648 | | | | 1,027,448 | |
| | | | | | | | |
| | | | | | | 96,247,976 | |
| | | | | | | | |
| Industrials - 10.8% | | | | | | |
| AAON, Inc. | | | 14,623 | | | | 283,394 | |
| ABM Industries, Inc. | | | 14,542 | | | | 397,142 | |
| ACCO Brands Corp. † | | | 35,786 | | | | 253,007 | |
| Advanced Drainage Systems, Inc. (a) | | | 13,989 | | | | 404,702 | |
| Aerojet Rocketdyne Holdings, Inc. † | | | 6,871 | | | | 111,173 | |
| Air Transport Services Group, Inc. † | | | 33,900 | | | | 289,845 | |
| Aircastle Ltd. | | | 37,257 | | | | 767,867 | |
| Alamo Group, Inc. | | | 3,400 | | | | 158,950 | |
| Albany International Corp., Class A | | | 6,000 | | | | 171,660 | |
| Allegiant Travel Co. | | | 10,518 | | | | 2,274,517 | |
| Allied Motion Technologies, Inc. (a) | | | 17,011 | | | | 302,285 | |
| American Woodmark Corp. † | | | 15,042 | | | | 975,775 | |
| Apogee Enterprises, Inc. | | | 21,349 | | | | 953,233 | |
| ARC Document Solutions, Inc. † | | | 30,400 | | | | 180,880 | |
| ARC Group Worldwide, Inc. †(a) | | | 4,949 | | | | 8,908 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
91
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Industrials - 10.8% (continued) | | | | | | |
| ArcBest Corp. | | | 7,204 | | | $ | 185,647 | |
| Argan, Inc. | | | 11,710 | | | | 406,103 | |
| Arotech Corp. †(a) | | | 15,890 | | | | 21,134 | |
| Astec Industries, Inc. | | | 4,900 | | | | 164,199 | |
| Astronics Corp. † | | | 14,701 | | | | 594,361 | |
| Astronics Corp., Class B † | | | 357 | | | | 14,541 | |
| Atlas Air Worldwide Holdings, Inc. † | | | 10,700 | | | | 369,792 | |
| Barnes Group, Inc. | | | 3,576 | | | | 128,915 | |
| Beacon Roofing Supply, Inc. † | | | 6,022 | | | | 195,655 | |
| Blount International, Inc. † | | | 25,300 | | | | 140,921 | |
| Brink’s Co./The | | | 14,447 | | | | 390,213 | |
| Builders FirstSource, Inc. † | | | 65,615 | | | | 831,998 | |
| CEB, Inc. | | | 15,729 | | | | 1,074,920 | |
| Comfort Systems USA, Inc. | | | 24,780 | | | | 675,503 | |
| Continental Building Products, Inc. † | | | 23,148 | | | | 475,460 | |
| Covenant Transportation Group, Inc., Class A † | | | 27,846 | | | | 500,393 | |
| CRA International, Inc. † | | | 8,100 | | | | 174,798 | |
| Deluxe Corp. | | | 5,000 | | | | 278,700 | |
| Douglas Dynamics, Inc. | | | 10,400 | | | | 206,544 | |
| Dycom Industries, Inc. † | | | 22,719 | | | | 1,643,947 | |
| Echo Global Logistics, Inc. † | | | 22,720 | | | | 445,312 | |
| Engility Holdings, Inc. | | | 6,857 | | | | 176,773 | |
| Exponent, Inc. | | | 15,703 | | | | 699,726 | |
| Federal Signal Corp. | | | 19,000 | | | | 260,490 | |
| FTI Consulting, Inc. † | | | 8,017 | | | | 332,786 | |
| G&K Services, Inc., Class A | | | 10,900 | | | | 726,158 | |
| Gibraltar Industries, Inc. † | | | 10,850 | | | | 199,097 | |
| GP Strategies Corp. † | | | 6,900 | | | | 157,458 | |
| Griffon Corp. (a) | | | 21,547 | | | | 339,796 | |
| Hawaiian Holdings, Inc. † | | | 39,900 | | | | 984,732 | |
| HC2 Holdings, Inc. †(a) | | | 27,896 | | | | 195,551 | |
| Healthcare Services Group, Inc. | | | 28,824 | | | | 971,369 | |
| Heartland Express, Inc. (a) | | | 14,092 | | | | 280,994 | |
| Heidrick & Struggles International, Inc. | | | 9,306 | | | | 181,002 | |
| Herman Miller, Inc. | | | 5,100 | | | | 147,084 | |
| Hillenbrand, Inc. | | | 5,259 | | | | 136,787 | |
| HNI Corp. | | | 25,400 | | | | 1,089,660 | |
| Huron Consulting Group, Inc. † | | | 5,854 | | | | 366,051 | |
| Insperity, Inc. | | | 16,898 | | | | 742,329 | |
| Interface, Inc. | | | 32,782 | | | | 735,628 | |
| John Bean Technologies Corp. | | | 10,194 | | | | 389,920 | |
| Kadant, Inc. | | | 3,300 | | | | 128,733 | |
| Kaman Corp. | | | 5,100 | | | | 182,835 | |
| Kforce, Inc. | | | 16,200 | | | | 425,736 | |
| Kimball International, Inc., Class B | | | 5,536 | | | | 52,371 | |
| Knight Transportation, Inc. | | | 18,211 | | | | 437,064 | |
| Knoll, Inc. | | | 29,720 | | | | 653,246 | |
| Korn/Ferry International | | | 12,092 | | | | 399,882 | |
| Lydall, Inc. † | | | 12,100 | | | | 344,729 | |
| Marten Transport Ltd. | | | 11,400 | | | | 184,338 | |
| Masonite International Corp. † | | | 10,874 | | | | 658,747 | |
| Matson, Inc. | | | 18,332 | | | | 705,599 | |
| Matthews International Corp., Class A | | | 12,616 | | | | 617,806 | |
| Mobile Mini, Inc. | | | 4,100 | | | | 126,239 | |
| Mueller Industries, Inc. | | | 19,097 | | | | 564,889 | |
| Mueller Water Products, Inc., Class A | | | 26,500 | | | | 202,990 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Industrials - 10.8% (continued) | | | | | | |
| Multi-Color Corp. | | | 13,900 | | | $ | 1,063,211 | |
| MYR Group, Inc. † | | | 5,924 | | | | 155,209 | |
| NCI Building Systems, Inc. † | | | 18,800 | | | | 198,716 | |
| NV5 Holdings, Inc. †(a) | | | 13,579 | | | | 252,026 | |
| On Assignment, Inc. † | | | 7,584 | | | | 279,850 | |
| PAM Transportation Services, Inc. † | | | 6,336 | | | | 209,405 | |
| Park-Ohio Holdings Corp. | | | 7,000 | | | | 202,020 | |
| Patrick Industries, Inc. † | | | 25,350 | | | | 1,001,071 | |
| PGT, Inc. † | | | 33,608 | | | | 412,706 | |
| PowerSecure International, Inc. † | | | 14,419 | | | | 166,107 | |
| Radiant Logistics, Inc. † | | | 36,483 | | | | 162,714 | |
| RBC Bearings, Inc. † | | | 5,606 | | | | 334,846 | |
| Resources Connection, Inc. | | | 13,900 | | | | 209,473 | |
| Rush Enterprises, Inc., Class A † | | | 5,556 | | | | 134,455 | |
| Saia, Inc. † | | | 8,680 | | | | 268,646 | |
| SkyWest, Inc. | | | 25,525 | | | | 425,757 | |
| Sparton Corp. † | | | 9,000 | | | | 192,600 | |
| Standex International Corp. | | | 6,672 | | | | 502,735 | |
| Steelcase, Inc., Class A | | | 50,750 | | | | 934,307 | |
| TASER International, Inc. †(a) | | | 43,030 | | | | 947,736 | |
| Team, Inc. † | | | 4,400 | | | | 141,328 | |
| Tennant Co. | | | 5,900 | | | | 331,462 | |
| Trex Co., Inc. † | | | 21,814 | | | | 727,061 | |
| UniFirst Corp. | | | 3,996 | | | | 426,813 | |
| Universal Forest Products, Inc. | | | 4,557 | | | | 262,848 | |
| US Ecology, Inc. | | | 6,457 | | | | 281,848 | |
| USA Truck, Inc. † | | | 7,500 | | | | 129,225 | |
| Viad Corp. | | | 5,800 | | | | 168,142 | |
| VSE Corp. | | | 4,700 | | | | 188,329 | |
| WageWorks, Inc. † | | | 6,981 | | | | 314,703 | |
| Werner Enterprises, Inc. | | | 13,634 | | | | 342,213 | |
| West Corp. | | | 19,398 | | | | 434,515 | |
| Willdan Group, Inc. † | | | 16,746 | | | | 169,804 | |
| Xerium Technologies, Inc. † | | | 1,411 | | | | 18,315 | |
| XPO Logistics, Inc. †(a) | | | 4,398 | | | | 104,804 | |
| | | | | | | | |
| | | | | | | 43,345,989 | |
| | | | | | | | |
| Information Technology - 18.6% | | | | |
| ACI Worldwide, Inc. † | | | 49,888 | | | | 1,053,635 | |
| Advanced Energy Industries, Inc. † | | | 16,250 | | | | 427,375 | |
| Ambarella, Inc. †(a) | | | 22,649 | | | | 1,308,886 | |
| AVX Corp. | | | 17,500 | | | | 229,075 | |
| Axcelis Technologies, Inc. † | | | 99,000 | | | | 264,330 | |
| Badger Meter, Inc. | | | 3,300 | | | | 191,598 | |
| Barracuda Networks, Inc. †(a) | | | 10,068 | | | | 156,859 | |
| Benefitfocus, Inc. †(a) | | | 3,643 | | | | 113,844 | |
| Blackbaud, Inc. | | | 26,839 | | | | 1,506,205 | |
| Blackhawk Network Holdings, Inc. † | | | 38,176 | | | | 1,618,281 | |
| BroadSoft, Inc. † | | | 17,977 | | | | 538,591 | |
| Brooks Automation, Inc. | | | 36,000 | | | | 421,560 | |
| Cabot Microelectronics Corp. † | | | 4,000 | | | | 154,960 | |
| CACI International, Inc., Class A † | | | 11,600 | | | | 858,052 | |
| Callidus Software, Inc. † | | | 41,370 | | | | 702,876 | |
| Carbonite, Inc. † | | | 13,200 | | | | 146,916 | |
| Cardtronics, Inc. † | | | 7,814 | | | | 255,518 | |
| Cavium, Inc. † | | | 5,482 | | | | 336,430 | |
| CEVA, Inc. † | | | 12,650 | | | | 234,910 | |
| Ciena Corp. † | | | 59,377 | | | | 1,230,291 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
92
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 18.6% (continued) | | | | |
| Cimpress NV (Netherlands) †(a) | | | 3,151 | | | $ | 239,823 | |
| Cirrus Logic, Inc. † | | | 36,762 | | | | 1,158,371 | |
| Clearfield, Inc. †(a) | | | 15,000 | | | | 201,450 | |
| comScore, Inc. † | | | 26,388 | | | | 1,217,806 | |
| Constant Contact, Inc. † | | | 5,533 | | | | 134,120 | |
| Convergys Corp. | | | 34,508 | | | | 797,480 | |
| Cray, Inc. † | | | 7,714 | | | | 152,814 | |
| CSG Systems International, Inc. | | | 12,521 | | | | 385,647 | |
| CTS Corp. | | | 12,200 | | | | 225,822 | |
| DHI Group, Inc. † | | | 25,100 | | | | 183,481 | |
| Digimarc Corp. †(a) | | | 7,784 | | | | 237,801 | |
| Diodes, Inc. † | | | 7,561 | | | | 161,579 | |
| DTS, Inc. † | | | 16,111 | | | | 430,164 | |
| EarthLink Holdings Corp. | | | 98,874 | | | | 769,240 | |
| Ebix, Inc. (a) | | | 31,209 | | | | 778,977 | |
| Electronics For Imaging, Inc. † | | | 6,900 | | | | 298,632 | |
| Ellie Mae, Inc. † | | | 25,912 | | | | 1,724,962 | |
| Endurance International Group Holdings, Inc. †(a) | | | 74,698 | | | | 997,965 | |
| Entegris, Inc. † | | | 51,536 | | | | 679,760 | |
| Envestnet, Inc. † | | | 5,194 | | | | 155,664 | |
| EPAM Systems, Inc. † | | | 9,750 | | | | 726,570 | |
| Epiq Systems, Inc. | | | 13,174 | | | | 170,208 | |
| ePlus, Inc. † | | | 7,216 | | | | 570,569 | |
| Euronet Worldwide, Inc. † | | | 4,150 | | | | 307,473 | |
| ExlService Holdings, Inc. † | | | 15,533 | | | | 573,634 | |
| Fabrinet (Thailand) † | | | 9,400 | | | | 172,302 | |
| Fair Isaac Corp. | | | 18,834 | | | | 1,591,473 | |
| Fairchild Semiconductor International, Inc. † | | | 14,138 | | | | 198,498 | |
| FARO Technologies, Inc. † | | | 3,800 | | | | 133,000 | |
| Fleetmatics Group PLC (Ireland) †(a) | | | 28,747 | | | | 1,411,190 | |
| FormFactor, Inc. † | | | 30,700 | | | | 208,146 | |
| Gigamon, Inc. † | | | 27,827 | | | | 556,818 | |
| Globant SA (Luxembourg) †(a) | | | 7,835 | | | | 239,673 | |
| Glu Mobile, Inc. †(a) | | | 101,300 | | | | 442,681 | |
| Gogo, Inc. †(a) | | | 32,429 | | | | 495,515 | |
| GSI Group, Inc. † | | | 11,800 | | | | 150,214 | |
| GTT Communications, Inc. † | | | 24,583 | | | | 571,801 | |
| Guidewire Software, Inc. † | | | 6,317 | | | | 332,148 | |
| Hackett Group, Inc./The | | | 26,961 | | | | 370,714 | |
| Heartland Payment Systems, Inc. | | | 15,305 | | | | 964,368 | |
| II-VI, Inc. † | | | 19,798 | | | | 318,352 | |
| Imperva, Inc. † | | | 21,630 | | | | 1,416,332 | |
| Infinera Corp. † | | | 89,900 | | | | 1,758,444 | |
| Infoblox, Inc. † | | | 39,629 | | | | 633,271 | |
| Information Services Group, Inc. | | | 8,157 | | | | 31,894 | |
| Inphi Corp. † | | | 27,451 | | | | 659,922 | |
| Insight Enterprises, Inc. † | | | 9,667 | | | | 249,892 | |
| Integrated Device Technology, Inc. † | | | 10,544 | | | | 214,043 | |
| InterDigital, Inc. | | | 23,400 | | | | 1,184,040 | |
| Internap Corp. † | | | 42,061 | | | | 257,834 | |
| Intersil Corp., Class A | | | 10,965 | | | | 128,290 | |
| Intralinks Holdings, Inc. † | | | 16,496 | | | | 136,752 | |
| Ixia † | | | 11,039 | | | | 159,955 | |
| j2 Global, Inc. | | | 7,093 | | | | 502,539 | |
| Lionbridge Technologies, Inc. † | | | 33,300 | | | | 164,502 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 18.6% (continued) | | | | |
| Littelfuse, Inc. | | | 1,800 | | | $ | 164,070 | |
| LiveDeal, Inc. †(a) | | | 23,792 | | | | 39,971 | |
| LogMeIn, Inc. † | | | 17,173 | | | | 1,170,512 | |
| Luxoft Holding, Inc. (Switzerland) † | | | 4,057 | | | | 256,768 | |
| M/A-COM Technology Solutions Holdings, Inc. † | | | 35,551 | | | | 1,030,623 | |
| Manhattan Associates, Inc. † | | | 13,981 | | | | 871,016 | |
| Mattson Technology, Inc. † | | | 78,668 | | | | 183,296 | |
| MAXIMUS, Inc. | | | 7,989 | | | | 475,825 | |
| Mentor Graphics Corp. | | | 9,300 | | | | 229,059 | |
| Mercury Systems, Inc. † | | | 18,800 | | | | 299,108 | |
| Mesa Laboratories, Inc. (a) | | | 1,461 | | | | 162,755 | |
| Methode Electronics, Inc. | | | 6,757 | | | | 215,548 | |
| Microsemi Corp. † | | | 4,690 | | | | 153,926 | |
| MicroStrategy, Inc., Class A † | | | 6,526 | | | | 1,282,163 | |
| MicroVision, Inc. †(a) | | | 33,591 | | | | 107,155 | |
| MKS Instruments, Inc. | | | 21,090 | | | | 707,148 | |
| Monolithic Power Systems, Inc. | | | 22,400 | | | | 1,146,880 | |
| Monotype Imaging Holdings, Inc. | | | 8,200 | | | | 178,924 | |
| Monster Worldwide, Inc. † | | | 18,488 | | | | 118,693 | |
| MTS Systems Corp. | | | 2,200 | | | | 132,242 | |
| Multi-Fineline Electronix, Inc. † | | | 19,878 | | | | 331,963 | |
| NeoPhotonics Corp. †(a) | | | 46,104 | | | | 313,968 | |
| Novatel Wireless, Inc. †(a) | | | 82,852 | | | | 183,103 | |
| NVE Corp. | | | 3,355 | | | | 162,852 | |
| Oclaro, Inc. † | | | 49,751 | | | | 114,427 | |
| OmniVision Technologies, Inc. † | | | 13,058 | | | | 342,903 | |
| OSI Systems, Inc. † | | | 6,164 | | | | 474,381 | |
| Park City Group, Inc. †(a) | | | 1,348 | | | | 14,248 | |
| Paycom Software, Inc. † | | | 42,155 | | | | 1,513,786 | |
| Paylocity Holding Corp. † | | | 30,805 | | | | 923,842 | |
| PC Connection, Inc. | | | 11,500 | | | | 238,395 | |
| Perceptron, Inc. † | | | 647 | | | | 4,911 | |
| Perficient, Inc. † | | | 8,400 | | | | 129,612 | |
| PFSweb, Inc. †(a) | | | 16,898 | | | | 240,290 | |
| Photronics, Inc. † | | | 18,100 | | | | 163,986 | |
| Planar Systems, Inc. †(a) | | | 9,339 | | | | 54,166 | |
| Plantronics, Inc. | | | 17,400 | | | | 884,790 | |
| PMC-Sierra, Inc. † | | | 70,795 | | | | 479,282 | |
| Polycom, Inc. † | | | 12,216 | | | | 128,024 | |
| Progress Software Corp. † | | | 7,042 | | | | 181,895 | |
| Proofpoint, Inc. † | | | 30,250 | | | | 1,824,680 | |
| Q2 Holdings, Inc. † | | | 24,645 | | | | 609,224 | |
| QAD, Inc., Class A | | | 5,645 | | | | 144,512 | |
| Qlik Technologies, Inc. † | | | 10,360 | | | | 377,622 | |
| QLogic Corp. † | | | 29,020 | | | | 297,455 | |
| Qualys, Inc. † | | | 29,523 | | | | 840,225 | |
| Rambus, Inc. † | | | 16,958 | | | | 200,104 | |
| RF Industries Ltd. (a) | | | 6,183 | | | | 28,318 | |
| RingCentral, Inc., Class A † | | | 35,274 | | | | 640,223 | |
| Rogers Corp. † | | | 5,088 | | | | 270,580 | |
| Rubicon Project, Inc./The † | | | 29,433 | | | | 427,661 | |
| Rudolph Technologies, Inc. † | | | 14,942 | | | | 186,028 | |
| Sanmina Corp. † | | | 6,151 | | | | 131,447 | |
| ServiceSource International, Inc. † | | | 27,897 | | | | 111,588 | |
| Sigma Designs, Inc. † | | | 59,878 | | | | 412,559 | |
| Silicon Laboratories, Inc. † | | | 4,733 | | | | 196,609 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
93
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 18.6% (continued) | | | | |
| Solar3D, Inc. †(a) | | | 19,005 | | | $ | 52,454 | |
| Speed Commerce, Inc. † | | | 25,500 | | | | 4,947 | |
| SPS Commerce, Inc. † | | | 6,789 | | | | 460,905 | |
| Stamps.com, Inc. † | | | 14,844 | | | | 1,098,604 | |
| Super Micro Computer, Inc. † | | | 9,133 | | | | 248,966 | |
| Sykes Enterprises, Inc. † | | | 7,600 | | | | 193,800 | |
| Synchronoss Technologies, Inc. † | | | 18,474 | | | | 605,947 | |
| SYNNEX Corp. | | | 2,883 | | | | 245,228 | |
| Take-Two Interactive Software, Inc. † | | | 52,140 | | | | 1,497,982 | |
| TechTarget, Inc. † | | | 26,500 | | | | 225,780 | |
| Telenav, Inc. † | | | 41,098 | | | | 320,975 | |
| Tessera Technologies, Inc. | | | 37,000 | | | | 1,199,170 | |
| Textura Corp. †(a) | | | 5,970 | | | | 154,265 | |
| TTM Technologies, Inc. † | | | 32,406 | | | | 201,889 | |
| Tyler Technologies, Inc. † | | | 4,742 | | | | 708,028 | |
| Ultra Clean Holdings, Inc. † | | | 36,000 | | | | 206,640 | |
| United Online, Inc. † | | | 19,896 | | | | 198,960 | |
| Universal Display Corp. † | | | 25,342 | | | | 859,094 | |
| VASCO Data Security International, Inc. †(a) | | | 31,140 | | | | 530,626 | |
| Verint Systems, Inc. † | | | 4,758 | | | | 205,308 | |
| Virtusa Corp. † | | | 19,151 | | | | 982,638 | |
| Westell Technologies, Inc., Class A † | | | 16,796 | | | | 19,147 | |
| Xcerra Corp. † | | | 33,800 | | | | 212,264 | |
| XO Group, Inc. † | | | 23,185 | | | | 327,604 | |
| Zendesk, Inc. †(a) | | | 27,895 | | | | 549,810 | |
| Zhone Technologies, Inc. †(a) | | | 20,445 | | | | 28,419 | |
| Zix Corp. † | | | 50,931 | | | | 214,420 | |
| | | | | | | | |
| | | | | | | 74,744,018 | |
| | | | | | | | |
| Materials - 1.9% | | | | |
| A Schulman, Inc. | | | 8,346 | | | | 270,995 | |
| Balchem Corp. | | | 3,133 | | | | 190,393 | |
| Berry Plastics Group, Inc. † | | | 11,617 | | | | 349,323 | |
| Boise Cascade Co. † | | | 12,447 | | | | 313,913 | |
| Clearwater Paper Corp. † | | | 4,164 | | | | 196,707 | |
| Core Molding Technologies, Inc. † | | | 11,679 | | | | 215,478 | |
| Ferro Corp. † | | | 18,052 | | | | 197,669 | |
| Handy & Harman Ltd. † | | | 5,226 | | | | 125,320 | |
| Headwaters, Inc. † | | | 54,114 | | | | 1,017,343 | |
| Innophos Holdings, Inc. | | | 8,582 | | | | 340,191 | |
| Innospec, Inc. | | | 3,800 | | | | 176,738 | |
| Kaiser Aluminum Corp. | | | 2,015 | | | | 161,704 | |
| KMG Chemicals, Inc. | | | 10,063 | | | | 194,115 | |
| Louisiana-Pacific Corp. † | | | 34,435 | | | | 490,354 | |
| Materion Corp. | | | 9,415 | | | | 282,638 | |
| Minerals Technologies, Inc. | | | 12,640 | | | | 608,742 | |
| Neenah Paper, Inc. | | | 6,335 | | | | 369,204 | |
| Quaker Chemical Corp. | | | 3,331 | | | | 256,754 | |
| Sensient Technologies Corp. | | | 6,678 | | | | 409,361 | |
| Trinseo SA †(a) | | | 23,489 | | | | 593,097 | |
| US Concrete, Inc. † | | | 15,000 | | | | 716,850 | |
| | | | | | | | |
| | | | | | | 7,476,889 | |
| | | | | | | | |
| Telecommunication Services - 1.4% | | | | |
| Atlantic Tele-Network, Inc. | | | 4,200 | | | | 310,506 | |
| Boingo Wireless, Inc. † | | | 30,340 | | | | 251,215 | |
| Cincinnati Bell, Inc. † | | | 36,600 | | | | 114,192 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Telecommunication Services - 1.4% (continued) | | | | |
| Consolidated Communications Holdings, Inc. (a) | | | 17,961 | | | $ | 346,109 | |
| FairPoint Communications, Inc. † | | | 15,800 | | | | 243,478 | |
| General Communication, Inc., Class A † | | | 22,600 | | | | 390,076 | |
| IDT Corp., Class B | | | 16,700 | | | | 238,810 | |
| inContact, Inc. † | | | 33,446 | | | | 251,179 | |
| Inteliquent, Inc. | | | 35,100 | | | | 783,783 | |
| Iridium Communications, Inc. †(a) | | | 33,997 | | | | 209,082 | |
| Lumos Networks Corp. | | | 13,800 | | | | 167,808 | |
| ORBCOMM, Inc. † | | | 27,400 | | | | 152,892 | |
| Shenandoah Telecommunications Co. | | | 6,500 | | | | 278,265 | |
| Spok Holdings, Inc. | | | 10,576 | | | | 174,081 | |
| Straight Path Communications, Inc., Class B †(a) | | | 24,162 | | | | 976,386 | |
| Vonage Holdings Corp. † | | | 108,093 | | | | 635,587 | |
| | | | | | | | |
| | | | | | | 5,523,449 | |
| | | | | | | | |
| Utilities - 1.7% | | | | |
| American States Water Co. | | | 20,078 | | | | 831,229 | |
| Chesapeake Utilities Corp. | | | 12,750 | | | | 676,770 | |
| Empire District Electric Co./The (a) | | | 6,374 | | | | 140,419 | |
| Laclede Group, Inc./The | | | 7,574 | | | | 413,010 | |
| MGE Energy, Inc. | | | 10,129 | | | | 417,214 | |
| New Jersey Resources Corp. | | | 19,012 | | | | 570,930 | |
| Northwest Natural Gas Co. | | | 5,926 | | | | 271,648 | |
| ONE Gas, Inc. | | | 19,458 | | | | 882,031 | |
| Ormat Technologies, Inc. | | | 11,741 | | | | 399,546 | |
| Southwest Gas Corp. | | | 3,686 | | | | 214,968 | |
| Unitil Corp. | | | 11,800 | | | | 435,184 | |
| WGL Holdings, Inc. | | | 28,098 | | | | 1,620,412 | |
| | | | | | | | |
| | | | | | | 6,873,361 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $370,919,857) | | | | | | | 389,283,676 | |
| | | | | | | | |
| | |
| RIGHTS - 0.0% (c) | | | | | | |
| | |
| Health Care - 0.0% (c) | | | | | | |
| Durata Therapeutics, Inc. (3)†(b) | | | 9,900 | | | | 10,342 | |
| | | | | | | | |
| | |
| Information Technology - 0.0% (c) | | | | | | |
| Gerber Scientific, Inc. (3)†(a)(b) | | | 4,000 | | | | — | |
| | | | | | | | |
TOTAL RIGHTS
(cost $—) | | | | | | | 10,342 | |
| | | | | | | | |
| | |
| WARRANTS - 0.0% (c) | | | | | | |
| | |
| Consumer Discretionary - 0.0% (c) | | | | | | |
| Education Management Corp. (3)†(b) | | | | | |
(cost $—) | | | 6,600 | | | | 31 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 2.9% | | | | |
J.P. Morgan U.S. Treasury Plus
Money Market Fund - IM Shares,
0.000% (2)(d) | | | | | |
(cost $11,732,024) | | | 11,732,024 | | | | 11,732,024 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
94
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
SECURITIES LENDING
COLLATERAL - 10.9% | | SHARES | | | VALUE
(Note 4) | |
| Money Market Funds - 10.9% | | | | |
Investments in a Pooled Account through
Securities Lending Program with
JPMorgan Chase Bank
Dreyfus Treasury Cash Management,
0.010% (2)(d)(e) | | | | | |
(cost $43,938,129) | | | 43,938,129 | | | $ | 43,938,129 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 110.7%
(cost $426,590,010) | | | | | | | 444,964,202 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (10.7%) (f) | | | | | (43,120,828) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 401,843,374 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non-income producing security. |
| (a) | All or a portion of the security on loan. The aggregate market value of such securities is $43,335,173; cash collateral of |
| | $43,938,129 was received with which the Fund purchased a money market fund. |
| (b) | Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $10,373 or 0.0% of total net assets. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | Represents annualized seven-day yield as of the close of the reporting period. |
| (e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (f) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
Open futures contracts outstanding at September 30, 2015:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | |
| 71 | | Barclays Capital | | E-Mini Russell 2000 Futures | | | 12/2015 | | | | $8,159,274 | | | | $7,780,890 | | | | $(378,384 | ) |
| | | | | | | | | | | | | | | | | | | | |
Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:
| | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | EXCHANGE TRADED/
CENTRALLY CLEARED | | TOTAL | |
| Barclays Capital | | | | | | | | |
| Cash | | $ — | | $865,406 | | | $865,406 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
95
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 97.0% | | SHARES | | | VALUE (Note 4) | |
| Australia - 2.7% | | | | | | |
| Amcor Ltd. | | | 103,107 | | | $ | 958,880 | |
| AMP Ltd. | | | 53,851 | | | | 211,504 | |
| Aristocrat Leisure Ltd. | | | 41,609 | | | | 253,066 | |
| Aurizon Holdings Ltd. | | | 27,946 | | | | 98,729 | |
| Brambles Ltd. | | | 40,768 | | | | 280,055 | |
| Caltex Australia Ltd. | | | 4,252 | | | | 93,862 | |
| Cochlear Ltd. | | | 4,718 | | | | 277,615 | |
| Commonwealth Bank of Australia | | | 3,082 | | | | 158,195 | |
| CSL Ltd. | | | 7,685 | | | | 483,642 | |
| Dexus Property Group REIT | | | 36,964 | | | | 186,407 | |
| Goodman Group REIT | | | 46,489 | | | | 192,163 | |
| GPT Group/The REIT | | | 128,260 | | | | 407,633 | |
| Harvey Norman Holdings Ltd. | | | 63,440 | | | | 173,772 | |
| Incitec Pivot Ltd. | | | 83,576 | | | | 230,356 | |
| Insurance Australia Group Ltd. | | | 33,454 | | | | 114,383 | |
| Macquarie Group Ltd. | | | 16,720 | | | | 906,142 | |
| Qantas Airways Ltd. † | | | 210,110 | | | | 551,617 | |
| Ramsay Health Care Ltd. | | | 24,395 | | | | 1,006,146 | |
| Scentre Group REIT | | | 119,951 | | | | 330,141 | |
| Stockland REIT | | | 84,500 | | | | 229,571 | |
| Suncorp Group Ltd. | | | 27,579 | | | | 237,252 | |
| Tabcorp Holdings Ltd. | | | 103,175 | | | | 339,670 | |
| Telstra Corp. Ltd. | | | 187,609 | | | | 741,749 | |
| TPG Telecom Ltd. | | | 32,414 | | | | 248,431 | |
| | | | | | | | |
| | | | | | | 8,710,981 | |
| | | | | | | | |
| Austria - 0.3% | | | | | | |
| ANDRITZ AG | | | 13,046 | | | | 587,865 | |
| Erste Group Bank AG † | | | 14,666 | | | | 426,207 | |
| | | | | | | | |
| | | | | | | 1,014,072 | |
| | | | | | | | |
| Belgium - 2.2% | | | | | | |
| Ageas | | | 10,271 | | | | 422,101 | |
| Anheuser-Busch InBev SA/NV | | | 42,362 | | | | 4,505,434 | |
| KBC Groep NV | | | 18,728 | | | | 1,184,396 | |
| Proximus | | | 19,238 | | | | 665,480 | |
| UCB SA | | | 2,672 | | | | 209,332 | |
| | | | | | | | |
| | | | | | | 6,986,743 | |
| | | | | | | | |
| Canada - 5.1% | | | | | | |
| Agrium, Inc. (1) | | | 6,600 | | | | 591,502 | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 55,631 | | | | 2,558,317 | |
| BCE, Inc. (1) | | | 21,078 | | | | 862,705 | |
| Brookfield Asset Management, Inc., Class A (1) | | | 70,950 | | | | 2,232,439 | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 6,010 | | | | 540,652 | |
| CGI Group, Inc., Class A (1)† | | | 13,259 | | | | 480,384 | |
| CI Financial Corp. (1) | | | 12,100 | | | | 274,732 | |
| Constellation Software, Inc. (1) | | | 2,641 | | | | 1,106,964 | |
| Dollarama, Inc. (1) | | | 19,549 | | | | 1,320,308 | |
| Empire Co., Ltd., Class A (1) | | | 9,000 | | | | 185,126 | |
| Fairfax Financial Holdings Ltd. (1) | | | 786 | | | | 357,950 | |
| Fortis, Inc. (1) | | | 14,462 | | | | 413,649 | |
| George Weston Ltd. (1) | | | 3,136 | | | | 253,700 | |
| Gildan Activewear, Inc. (1) | | | 7,324 | | | | 221,065 | |
| Industrial Alliance Insurance & Financial Services, Inc. (1) | | | 4,583 | | | | 136,752 | |
| Intact Financial Corp. (1) | | | 8,978 | | | | 630,512 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 4) | |
| Canada - 5.1% (continued) | | | | | | |
| Jean Coutu Group PJC, Inc./The, Class A (1) | | | 9,100 | | | $ | 137,131 | |
| Loblaw Cos., Ltd. (1) | | | 26,516 | | | | 1,365,241 | |
| Magna International, Inc. (1) | | | 22,203 | | | | 1,064,979 | |
| Metro, Inc. (1) | | | 30,346 | | | | 826,812 | |
| Onex Corp. (1) | | | 2,400 | | | | 138,533 | |
| Open Text Corp. (1) | | | 2,104 | | | | 94,219 | |
| Saputo, Inc. (1) | | | 7,177 | | | | 157,577 | |
| Shaw Communications, Inc., Class B (1) | | | 15,200 | | | | 294,318 | |
| Sun Life Financial, Inc. (1) | | | 4,408 | | | | 142,166 | |
| West Fraser Timber Co., Ltd. (1) | | | 3,400 | | | | 108,025 | |
| | | | | | | | |
| | | | | | | 16,495,758 | |
| | | | | | | | |
| Denmark - 3.4% | | | | | | |
| Coloplast A/S, Class B | | | 6,595 | | | | 467,579 | |
| Danske Bank A/S | | | 45,188 | | | | 1,365,597 | |
| DSV A/S | | | 13,154 | | | | 491,525 | |
| ISS A/S | | | 9,106 | | | | 302,472 | |
| Novo Nordisk A/S, Class B | | | 103,623 | | | | 5,591,971 | |
| Novozymes A/S, B Shares | | | 4,372 | | | | 190,803 | |
| Pandora A/S | | | 12,250 | | | | 1,431,033 | |
| Tryg A/S | | | 28,927 | | | | 562,034 | |
| Vestas Wind Systems A/S | | | 12,785 | | | | 664,680 | |
| | | | | | | | |
| | | | | | | 11,067,694 | |
| | | | | | | | |
| Finland - 0.8% | | | | | | |
| Elisa OYJ | | | 15,783 | | | | 533,894 | |
| Kone OYJ, Class B | | | 9,273 | | | | 352,910 | |
| Neste OYJ | | | 13,054 | | | | 300,437 | |
| Nokia OYJ | | | 23,727 | | | | 162,240 | |
| Orion OYJ, Class B | | | 4,687 | | | | 177,358 | |
| Sampo OYJ, A Shares | | | 14,826 | | | | 717,536 | |
| Stora Enso OYJ, R Shares | | | 27,856 | | | | 210,773 | |
| UPM-Kymmene OYJ | | | 14,530 | | | | 218,106 | |
| | | | | | | | |
| | | | | | | 2,673,254 | |
| | | | | | | | |
| France - 9.2% | | | | | | |
| Accor SA | | | 10,546 | | | | 494,473 | |
| Air Liquide SA | | | 3,961 | | | | 469,585 | |
| Airbus Group SE | | | 55,040 | | | | 3,259,472 | |
| AXA SA | | | 142,147 | | | | 3,451,182 | |
| Cap Gemini SA | | | 13,074 | | | | 1,167,545 | |
| Carrefour SA | | | 7,343 | | | | 217,620 | |
| Christian Dior SE | | | 2,681 | | | | 502,297 | |
| Dassault Systemes | | | 13,270 | | | | 980,721 | |
| Essilor International SA | | | 11,330 | | | | 1,384,168 | |
| Groupe Eurotunnel SE | | | 9,549 | | | | 130,100 | |
| Hermes International | | | 1,920 | | | | 698,905 | |
| Iliad SA | | | 1,060 | | | | 214,430 | |
| Ingenico Group | | | 1,933 | | | | 233,577 | |
| JCDecaux SA | | | 3,627 | | | | 131,845 | |
| Kering | | | 1,110 | | | | 181,701 | |
| Legrand SA | | | 1,775 | | | | 94,435 | |
| L’Oreal SA | | | 10,484 | | | | 1,822,267 | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 16,844 | | | | 2,867,575 | |
| Natixis SA | | | 99,537 | | | | 551,116 | |
| Numericable-SFR SAS † | | | 15,715 | | | | 727,514 | |
| Orange SA | | | 76,912 | | | | 1,165,929 | |
| Pernod Ricard SA | | | 4,394 | | | | 443,655 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
96
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 4) | |
| France - 9.2% (continued) | | | | | | |
| Peugeot SA † | | | 71,227 | | | $ | 1,079,272 | |
| Renault SA | | | 18,922 | | | | 1,365,275 | |
| Safran SA | | | 24,075 | | | | 1,810,239 | |
| Sanofi | | | 2,231 | | | | 212,391 | |
| Societe BIC SA | | | 1,113 | | | | 172,949 | |
| Sodexo SA | | | 1,964 | | | | 162,961 | |
| Thales SA | | | 5,357 | | | | 373,517 | |
| Valeo SA | | | 5,134 | | | | 697,079 | |
| Veolia Environnement SA | | | 28,559 | | | | 651,321 | |
| Vinci SA | | | 6,608 | | | | 420,194 | |
| Vivendi SA | | | 58,338 | | | | 1,382,127 | |
| Zodiac Aerospace | | | 8,360 | | | | 191,948 | |
| | | | | | | | |
| | | | | | | 29,709,385 | |
| | | | | | | | |
| Germany - 7.7% | | | | | | |
| Allianz SE | | | 4,469 | | | | 702,049 | |
| Bayer AG | | | 47,106 | | | | 6,043,626 | |
| Brenntag AG | | | 9,176 | | | | 495,080 | |
| Continental AG | | | 2,964 | | | | 633,069 | |
| Daimler AG | | | 40,800 | | | | 2,970,366 | |
| Deutsche Boerse AG | | | 15,486 | | | | 1,335,575 | |
| Deutsche Telekom AG | | | 209,354 | | | | 3,726,821 | |
| Deutsche Wohnen AG | | | 7,701 | | | | 205,959 | |
| Fresenius Medical Care AG & Co. KGaA | | | 21,024 | | | | 1,643,130 | |
| GEA Group AG | | | 19,493 | | | | 743,276 | |
| Hannover Rueck SE | | | 14,104 | | | | 1,444,688 | |
| Infineon Technologies AG | | | 41,345 | | | | 464,529 | |
| Merck KGaA | | | 11,493 | | | | 1,017,548 | |
| OSRAM Licht AG | | | 3,338 | | | | 172,936 | |
| ProSiebenSat.1 Media SE | | | 20,090 | | | | 986,130 | |
| Symrise AG | | | 12,205 | | | | 735,391 | |
| Telefonica Deutschland Holding AG | | | 27,168 | | | | 166,132 | |
| United Internet AG | | | 10,148 | | | | 514,487 | |
| Vonovia SE | | | 26,431 | | | | 850,709 | |
| | | | | | | | |
| | | | | | | 24,851,501 | |
| | | | | | | | |
| Hong Kong - 2.1% | | | | | | |
| AIA Group Ltd. | | | 317,000 | | | | 1,648,638 | |
| BOC Hong Kong Holdings Ltd. | | | 458,500 | | | | 1,352,245 | |
| Cathay Pacific Airways Ltd. | | | 160,000 | | | | 301,308 | |
| CLP Holdings Ltd. | | | 43,500 | | | | 371,880 | |
| Goldin Financial Holdings Ltd. † | | | 278,000 | | | | 595,329 | |
| Hang Seng Bank Ltd. | | | 8,300 | | | | 149,719 | |
| Henderson Land Development Co., Ltd. | | | 60,429 | | | | 361,346 | |
| Heritage International Holdings Ltd. † | | | 672,000 | | | | 58,554 | |
| Hong Kong & China Gas Co., Ltd. | | | 189,256 | | | | 354,888 | |
| Hong Kong Exchanges and Clearing Ltd. | | | 23,200 | | | | 532,231 | |
| Hysan Development Co., Ltd. | | | 25,000 | | | | 104,097 | |
| Kerry Properties Ltd. | | | 39,000 | | | | 107,079 | |
| Link REIT | | | 17,500 | | | | 96,345 | |
| MTR Corp. Ltd. | | | 64,000 | | | | 278,272 | |
| NWS Holdings Ltd. | | | 114,000 | | | | 150,271 | |
| PCCW Ltd. | | | 299,000 | | | | 153,912 | |
| Sino Land Co., Ltd. | | | 96,000 | | | | 146,171 | |
| Techtronic Industries Co., Ltd. | | | 48,000 | | | | 178,947 | |
| | | | | | | | |
| | | | | | | 6,941,232 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 4) | |
| Italy - 2.8% | | | | | | |
| Atlantia SpA | | | 13,599 | | | $ | 380,401 | |
| Banco Popolare SC † | | | 6,366 | | | | 94,188 | |
| EXOR SpA | | | 10,000 | | | | 435,948 | |
| Finmeccanica SpA † | | | 83,852 | | | | 1,050,062 | |
| Intesa Sanpaolo SpA | | | 1,004,380 | | | | 3,548,174 | |
| Luxottica Group SpA | | | 17,288 | | | | 1,198,138 | |
| Mediobanca SpA | | | 75,831 | | | | 746,081 | |
| Pirelli & C. SpA | | | 26,067 | | | | 436,206 | |
| Prysmian SpA | | | 23,402 | | | | 483,703 | |
| Snam SpA | | | 32,761 | | | | 168,257 | |
| Telecom Italia SpA † | | | 378,548 | | | | 466,494 | |
| UnipolSai SpA | | | 87,754 | | | | 190,822 | |
| | | | | | | | |
| | | | | | | 9,198,474 | |
| | | | | | | | |
| Japan - 34.8% | | | | | | |
| Acom Co., Ltd. † | | | 135,500 | | | | 693,337 | |
| Aeon Co., Ltd. | | | 53,100 | | | | 823,788 | |
| AEON Financial Service Co., Ltd. | | | 17,500 | | | | 346,255 | |
| Aisin Seiki Co., Ltd. | | | 8,300 | | | | 278,481 | |
| Ajinomoto Co., Inc. | | | 35,000 | | | | 738,080 | |
| Alfresa Holdings Corp. | | | 9,100 | | | | 155,405 | |
| Alps Electric Co., Ltd. | | | 20,400 | | | | 576,097 | |
| ANA Holdings, Inc. | | | 122,000 | | | | 341,774 | |
| Asics Corp. | | | 13,700 | | | | 326,529 | |
| Astellas Pharma, Inc. | | | 15,100 | | | | 195,456 | |
| Bank of Kyoto Ltd./The | | | 73,000 | | | | 742,464 | |
| Bank of Yokohama Ltd./The | | | 73,000 | | | | 443,696 | |
| Calbee, Inc. | | | 10,900 | | | | 352,724 | |
| Casio Computer Co., Ltd. | | | 5,000 | | | | 91,009 | |
| Central Japan Railway Co. | | | 14,100 | | | | 2,273,311 | |
| Chiba Bank Ltd./The | | | 96,000 | | | | 681,704 | |
| Chubu Electric Power Co., Inc. | | | 78,300 | | | | 1,154,474 | |
| Chugai Pharmaceutical Co., Ltd. | | | 22,900 | | | | 703,333 | |
| Daicel Corp. | | | 26,900 | | | | 330,219 | |
| Dai-ichi Life Insurance Co., Ltd./The | | | 115,500 | | | | 1,838,742 | |
| Daiichi Sankyo Co., Ltd. | | | 24,000 | | | | 416,447 | |
| Daiwa House Industry Co., Ltd. | | | 44,200 | | | | 1,095,756 | |
| Dentsu, Inc. | | | 27,200 | | | | 1,395,907 | |
| Don Quijote Holdings Co., Ltd. | | | 11,100 | | | | 418,200 | |
| East Japan Railway Co. | | | 28,000 | | | | 2,359,438 | |
| Eisai Co., Ltd. | | | 26,700 | | | | 1,575,341 | |
| FANUC Corp. | | | 5,000 | | | | 769,194 | |
| Fast Retailing Co., Ltd. | | | 4,700 | | | | 1,911,769 | |
| Fuji Heavy Industries Ltd. | | | 47,900 | | | | 1,723,657 | |
| FUJIFILM Holdings Corp. | | | 37,000 | | | | 1,383,140 | |
| Fukuoka Financial Group, Inc. | | | 165,000 | | | | 785,871 | |
| Gunma Bank Ltd./The | | | 36,000 | | | | 230,414 | |
| Hachijuni Bank Ltd./The | | | 99,000 | | | | 702,723 | |
| Hamamatsu Photonics KK | | | 12,600 | | | | 285,153 | |
| Hiroshima Bank Ltd./The | | | 109,000 | | | | 629,943 | |
| Hitachi Chemical Co., Ltd. | | | 10,000 | | | | 137,973 | |
| Hokuhoku Financial Group, Inc. | | | 179,000 | | | | 409,853 | |
| Hoya Corp. | | | 28,900 | | | | 946,530 | |
| Iida Group Holdings Co., Ltd. | | | 33,100 | | | | 517,832 | |
| Isetan Mitsukoshi Holdings Ltd. | | | 38,400 | | | | 576,165 | |
| Iyo Bank Ltd./The | | | 40,700 | | | | 467,875 | |
| J Front Retailing Co., Ltd. | | | 30,800 | | | | 498,917 | |
| Japan Airlines Co., Ltd. | | | 22,500 | | | | 796,161 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
97
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 4) | |
| Japan - 34.8% (continued) | | | | | | |
| Japan Airport Terminal Co., Ltd. | | | 14,500 | | | $ | 626,699 | |
| Japan Tobacco, Inc. | | | 47,000 | | | | 1,457,949 | |
| JTEKT Corp. | | | 9,900 | | | | 138,610 | |
| Kansai Electric Power Co., Inc./The † | | | 69,200 | | | | 769,312 | |
| Kao Corp. | | | 15,800 | | | | 716,227 | |
| Kawasaki Heavy Industries Ltd. | | | 74,000 | | | | 255,473 | |
| KDDI Corp. | | | 116,200 | | | | 2,600,917 | |
| Keihan Electric Railway Co., Ltd. | | | 15,000 | | | | 100,047 | |
| Keisei Electric Railway Co., Ltd. | | | 14,000 | | | | 153,580 | |
| Keyence Corp. | | | 2,840 | | | | 1,268,282 | |
| Kikkoman Corp. | | | 18,000 | | | | 495,776 | |
| Koito Manufacturing Co., Ltd. | | | 22,800 | | | | 745,022 | |
| Konica Minolta, Inc. | | | 8,600 | | | | 90,599 | |
| Kose Corp. | | | 8,300 | | | | 757,535 | |
| Kubota Corp. | | | 80,000 | | | | 1,100,994 | |
| Kyowa Hakko Kirin Co., Ltd. | | | 26,000 | | | | 387,599 | |
| Kyushu Electric Power Co., Inc. † | | | 47,800 | | | | 521,518 | |
| M3, Inc. | | | 23,000 | | | | 457,075 | |
| Mabuchi Motor Co., Ltd. | | | 9,000 | | | | 390,776 | |
| Marui Group Co., Ltd. | | | 49,000 | | | | 591,047 | |
| Medipal Holdings Corp. | | | 22,400 | | | | 355,421 | |
| MEIJI Holdings Co., Ltd. | | | 15,200 | | | | 1,114,625 | |
| Minebea Co., Ltd. | | | 39,000 | | | | 414,001 | |
| Mitsubishi Chemical Holdings Corp. | | | 131,400 | | | | 686,117 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 919,300 | | | | 5,554,631 | |
| Mitsui Chemicals, Inc. | | | 74,000 | | | | 237,168 | |
| Mizuho Financial Group, Inc. | | | 1,341,600 | | | | 2,509,600 | |
| MS&AD Insurance Group Holdings, Inc. | | | 48,200 | | | | 1,293,200 | |
| Murata Manufacturing Co., Ltd. | | | 18,200 | | | | 2,350,976 | |
| Nexon Co., Ltd. | | | 44,200 | | | | 590,935 | |
| Nidec Corp. | | | 21,100 | | | | 1,450,962 | |
| Nintendo Co., Ltd. | | | 10,400 | | | | 1,752,938 | |
| Nippon Express Co., Ltd. | | | 34,000 | | | | 162,464 | |
| Nippon Paint Holdings Co., Ltd. | | | 30,000 | | | | 524,693 | |
| Nippon Telegraph & Telephone Corp. | | | 93,200 | | | | 3,282,843 | |
| Nissan Motor Co., Ltd. | | | 63,900 | | | | 587,535 | |
| Nitori Holdings Co., Ltd. | | | 7,700 | | | | 602,943 | |
| Nitto Denko Corp. | | | 18,800 | | | | 1,125,983 | |
| NOK Corp. | | | 19,100 | | | | 413,242 | |
| Nomura Holdings, Inc. | | | 232,500 | | | | 1,349,515 | |
| Nomura Research Institute Ltd. | | | 8,250 | | | | 316,695 | |
| NSK Ltd. | | | 8,700 | | | | 84,329 | |
| NTT Data Corp. | | | 13,000 | | | | 655,416 | |
| NTT DOCOMO, Inc. | | | 70,300 | | | | 1,185,754 | |
| Ono Pharmaceutical Co., Ltd. | | | 7,300 | | | | 865,528 | |
| Oriental Land Co., Ltd. | | | 20,000 | | | | 1,116,861 | |
| Otsuka Corp. | | | 1,900 | | | | 92,575 | |
| Panasonic Corp. | | | 70,300 | | | | 711,445 | |
| Rakuten, Inc. | | | 93,200 | | | | 1,191,324 | |
| Rohm Co., Ltd. | | | 1,900 | | | | 84,493 | |
| Ryohin Keikaku Co., Ltd. | | | 2,400 | | | | 488,661 | |
| Santen Pharmaceutical Co., Ltd. | | | 42,000 | | | | 563,876 | |
| Seibu Holdings, Inc. | | | 27,700 | | | | 561,345 | |
| Sekisui House Ltd. | | | 31,000 | | | | 485,582 | |
| Seven & i Holdings Co., Ltd. | | | 28,500 | | | | 1,300,545 | |
| Seven Bank Ltd. | | | 84,700 | | | | 366,588 | |
| Shikoku Electric Power Co., Inc. | | | 24,300 | | | | 396,289 | |
| Shimadzu Corp. | | | 39,000 | | | | 563,053 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 4) | |
| Japan - 34.8% (continued) | | | | | | |
| Shimano, Inc. | | | 5,900 | | | $ | 828,925 | |
| Shimizu Corp. | | | 17,000 | | | | 145,965 | |
| Shionogi & Co., Ltd. | | | 36,500 | | | | 1,308,349 | |
| Shiseido Co., Ltd. | | | 24,300 | | | | 529,902 | |
| Sompo Japan Nipponkoa Holdings, Inc. | | | 43,400 | | | | 1,260,546 | |
| Sony Corp. | | | 97,400 | | | | 2,387,481 | |
| Sumitomo Chemical Co., Ltd. | | | 165,000 | | | | 834,360 | |
| Sumitomo Heavy Industries Ltd. | | | 31,000 | | | | 122,840 | |
| Suruga Bank Ltd. | | | 32,400 | | | | 602,881 | |
| Sysmex Corp. | | | 15,800 | | | | 834,426 | |
| T&D Holdings, Inc. | | | 18,200 | | | | 214,976 | |
| Taiyo Nippon Sanso Corp. | | | 52,800 | | | | 501,607 | |
| Takeda Pharmaceutical Co., Ltd. | | | 5,700 | | | | 250,072 | |
| TDK Corp. | | | 13,500 | | | | 763,531 | |
| Teijin Ltd. | | | 120,000 | | | | 364,498 | |
| Terumo Corp. | | | 4,000 | | | | 113,211 | |
| Tohoku Electric Power Co., Inc. | | | 63,000 | | | | 853,746 | |
| Tokio Marine Holdings, Inc. | | | 56,000 | | | | 2,092,160 | |
| Tokyo Electric Power Co., Inc. † | | | 183,100 | | | | 1,223,040 | |
| Toray Industries, Inc. | | | 74,000 | | | | 639,748 | |
| TOTO Ltd. | | | 20,500 | | | | 638,855 | |
| Toyota Industries Corp. | | | 3,800 | | | | 180,762 | |
| Toyota Motor Corp. | | | 141,700 | | | | 8,296,240 | |
| Trend Micro, Inc. | | | 2,800 | | | | 98,908 | |
| West Japan Railway Co. | | | 18,300 | | | | 1,146,970 | |
| Yakult Honsha Co., Ltd. | | | 5,800 | | | | 288,912 | |
| Yamaguchi Financial Group, Inc. | | | 24,000 | | | | 294,191 | |
| Yamaha Corp. | | | 29,000 | | | | 642,297 | |
| Yamaha Motor Co., Ltd. | | | 36,100 | | | | 726,269 | |
| Yamato Holdings Co., Ltd. | | | 16,500 | | | | 315,912 | |
| Yamazaki Baking Co., Ltd. | | | 8,000 | | | | 123,270 | |
| | | | | | | | |
| | | | | | | 112,761,175 | |
| | | | | | | | |
| Netherlands - 3.5% | | | | | | |
| Akzo Nobel NV | | | 9,798 | | | | 637,255 | |
| Altice NV, Class A † | | | 49,945 | | | | 1,045,015 | |
| ASML Holding NV | | | 15,275 | | | | 1,342,717 | |
| Heineken Holding NV | | | 3,988 | | | | 284,330 | |
| Heineken NV | | | 14,046 | | | | 1,137,286 | |
| ING Groep NV CVA | | | 278,504 | | | | 3,945,711 | |
| Koninklijke Ahold NV | | | 60,134 | | | | 1,173,096 | |
| Koninklijke KPN NV | | | 222,283 | | | | 833,653 | |
| NN Group NV | | | 6,458 | | | | 185,391 | |
| Randstad Holding NV | | | 11,219 | | | | 670,569 | |
| | | | | | | | |
| | | | | | | 11,255,023 | |
| | | | | | | | |
| Norway - 0.0% (a) | | | | | | |
| Golar LNG Ltd. (3)(b) | | | 2,009 | | | | 84,955 | |
| | | | | | | | |
| | |
| Portugal - 0.0% (a) | | | | | | |
| Jeronimo Martins SGPS SA | | | 8,855 | | | | 119,510 | |
| | | | | | | | |
| | |
| Singapore - 0.6% | | | | | | |
| ComfortDelGro Corp. Ltd. | | | 125,500 | | | | 253,533 | |
| DBS Group Holdings Ltd. | | | 36,300 | | | | 414,340 | |
| Jardine Cycle & Carriage Ltd. | | | 6,000 | | | | 114,001 | |
| Singapore Airlines Ltd. | | | 17,200 | | | | 129,479 | |
| Singapore Technologies Engineering Ltd. | | | 155,000 | | | | 325,188 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
98
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 4) | |
| | |
| Singapore - 0.6% (continued) | | | | | | |
| United Overseas Bank Ltd. | | | 27,300 | | | $ | 356,459 | |
| UOL Group Ltd. | | | 23,600 | | | | 99,920 | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 179,400 | | | | 143,449 | |
| | | | | | | | |
| | | | | | | 1,836,369 | |
| | | | | | | | |
| South Africa - 0.1% | | | | | | |
| Mondi PLC | | | 10,030 | | | | 210,221 | |
| | | | | | | | |
| | |
| Spain - 1.9% | | | | | | |
| Abertis Infraestructuras SA | | | 17,400 | | | | 275,308 | |
| Amadeus IT Holding SA, A Shares | | | 17,437 | | | | 747,091 | |
| Endesa SA | | | 12,725 | | | | 268,350 | |
| Ferrovial SA | | | 38,847 | | | | 929,227 | |
| Iberdrola SA | | | 84,556 | | | | 563,415 | |
| Industria de Diseno Textil SA | | | 79,535 | | | | 2,666,926 | |
| Red Electrica Corp. SA | | | 4,436 | | | | 368,347 | |
| Telefonica SA | | | 23,500 | | | | 285,102 | |
| | | | | | | | |
| | | | | | | 6,103,766 | |
| | | | | | | | |
| Sweden - 2.6% | | | | | | |
| Assa Abloy AB, Class B | | | 56,499 | | | | 1,013,353 | |
| Atlas Copco AB, A Shares | | | 29,530 | | | | 710,167 | |
| Boliden AB | | | 10,119 | | | | 158,445 | |
| Electrolux AB, Series B | | | 25,955 | | | | 733,406 | |
| Hennes & Mauritz AB, B Shares | | | 5,902 | | | | 215,638 | |
| Hexagon AB, B Shares | | | 13,079 | | | | 399,584 | |
| Husqvarna AB, B Shares | | | 22,273 | | | | 146,074 | |
| ICA Gruppen AB | | | 12,128 | | | | 410,584 | |
| Investor AB, B Shares | | | 34,510 | | | | 1,185,798 | |
| Securitas AB, B Shares | | | 29,331 | | | | 358,720 | |
| Skanska AB, B Shares | | | 15,528 | | | | 304,856 | |
| Svenska Cellulosa AB SCA, Class B | | | 40,527 | | | | 1,134,032 | |
| Svenska Handelsbanken AB, A Shares | | | 17,763 | | | | 254,808 | |
| Tele2 AB, B Shares | | | 31,861 | | | | 310,728 | |
| Telefonaktiebolaget LM Ericsson, B Shares | | | 20,581 | | | | 201,892 | |
| Volvo AB, B Shares | | | 82,877 | | | | 793,891 | |
| | | | | | | | |
| | | | | | | 8,331,976 | |
| | | | | | | | |
| Switzerland - 3.0% | | | | | | |
| Actelion Ltd. † | | | 8,233 | | | | 1,046,381 | |
| Chocoladefabriken Lindt & Spruengli AG | | | 62 | | | | 363,514 | |
| EMS-Chemie Holding AG | | | 791 | | | | 325,418 | |
| Geberit AG | | | 1,176 | | | | 359,757 | |
| Givaudan SA † | | | 811 | | | | 1,319,630 | |
| Julius Baer Group Ltd. † | | | 17,182 | | | | 780,269 | |
| Lonza Group AG † | | | 3,705 | | | | 486,155 | |
| Novartis AG | | | 6,382 | | | | 586,582 | |
| Partners Group Holding AG | | | 2,201 | | | | 746,005 | |
| Schindler Holding AG | | | 1,395 | | | | 200,387 | |
| Sonova Holding AG | | | 1,208 | | | | 155,552 | |
| Swiss Life Holding AG † | | | 747 | | | | 166,630 | |
| Swiss Re AG | | | 8,242 | | | | 707,140 | |
| Swisscom AG | | | 750 | | | | 374,301 | |
| Syngenta AG | | | 1,180 | | | | 378,085 | |
| Wolseley PLC | | | 9,774 | | | | 571,720 | |
| Zurich Insurance Group AG † | | | 4,200 | | | | 1,031,126 | |
| | | | | | | | |
| | | | | | | 9,598,652 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 4) | |
| United Kingdom - 12.8% | | | | | | |
| 3i Group PLC | | | 56,789 | | | $ | 401,151 | |
| Aberdeen Asset Management PLC | | | 54,480 | | | | 244,723 | |
| Aggreko PLC | | | 7,256 | | | | 104,604 | |
| ARM Holdings PLC | | | 22,515 | | | | 323,478 | |
| Ashtead Group PLC | | | 21,861 | | | | 309,150 | |
| Associated British Foods PLC | | | 15,182 | | | | 768,349 | |
| AstraZeneca PLC | | | 3,789 | | | | 240,293 | |
| Aviva PLC | | | 36,331 | | | | 248,488 | |
| BAE Systems PLC | | | 81,669 | | | | 553,601 | |
| Barclays PLC | | | 931,528 | | | | 3,447,391 | |
| Barratt Developments PLC | | | 86,562 | | | | 845,537 | |
| British American Tobacco PLC | | | 2,537 | | | | 139,981 | |
| BT Group PLC | | | 198,034 | | | | 1,260,396 | |
| Bunzl PLC | | | 7,883 | | | | 211,534 | |
| Compass Group PLC | | | 39,030 | | | | 623,422 | |
| Croda International PLC | | | 3,164 | | | | 129,831 | |
| Direct Line Insurance Group PLC | | | 241,246 | | | | 1,368,868 | |
| Dixons Carphone PLC | | | 91,723 | | | | 589,504 | |
| easyJet PLC | | | 20,601 | | | | 556,105 | |
| Experian PLC | | | 30,790 | | | | 494,280 | |
| Fiat Chrysler Automobiles NV † | | | 98,620 | | | | 1,281,818 | |
| Hargreaves Lansdown PLC | | | 13,845 | | | | 253,202 | |
| HSBC Holdings PLC | | | 50,345 | | | | 379,789 | |
| ICAP PLC | | | 22,128 | | | | 153,260 | |
| Imperial Tobacco Group PLC | | | 38,385 | | | | 1,984,459 | |
| Inmarsat PLC | | | 33,918 | | | | 504,578 | |
| International Consolidated Airlines Group SA † | | | 59,476 | | | | 532,843 | |
| ITV PLC | | | 284,289 | | | | 1,059,390 | |
| Kingfisher PLC | | | 42,770 | | | | 232,337 | |
| Legal & General Group PLC | | | 152,969 | | | | 551,571 | |
| London Stock Exchange Group PLC | | | 9,129 | | | | 334,617 | |
| Marks & Spencer Group PLC | | | 86,022 | | | | 652,974 | |
| Meggitt PLC | | | 17,966 | | | | 129,609 | |
| National Grid PLC | | | 39,676 | | | | 552,573 | |
| Next PLC | | | 8,109 | | | | 934,498 | |
| Old Mutual PLC | | | 139,415 | | | | 399,544 | |
| Pearson PLC | | | 28,179 | | | | 481,662 | |
| Persimmon PLC † | | | 30,357 | | | | 923,957 | |
| Prudential PLC | | | 33,052 | | | | 697,283 | |
| Reckitt Benckiser Group PLC | | | 3,848 | | | | 348,959 | |
| RELX NV | | | 175,448 | | | | 2,866,291 | |
| Sage Group PLC/The | | | 65,264 | | | | 493,760 | |
| Schroders PLC | | | 2,193 | | | | 93,185 | |
| Severn Trent PLC | | | 3,568 | | | | 118,030 | |
| Shire PLC | | | 3,830 | | | | 261,826 | |
| Sky PLC | | | 6,035 | | | | 95,480 | |
| Smith & Nephew PLC | | | 33,760 | | | | 589,829 | |
| Sports Direct International PLC † | | | 15,088 | | | | 173,100 | |
| SSE PLC | | | 39,551 | | | | 895,159 | |
| Standard Life PLC | | | 55,872 | | | | 328,145 | |
| Taylor Wimpey PLC | | | 324,580 | | | | 961,659 | |
| Travis Perkins PLC | | | 5,606 | | | | 167,243 | |
| Unilever NV CVA | | | 59,959 | | | | 2,403,456 | |
| United Utilities Group PLC | | | 34,524 | | | | 483,889 | |
| Vodafone Group PLC | | | 1,502,450 | | | | 4,738,855 | |
| Whitbread PLC | | | 10,735 | | | | 760,536 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
99
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 4) | |
| United Kingdom - 12.8% (continued) | | | | | | |
| WPP PLC | | | 43,221 | | | $ | 899,819 | |
| | | | | | | | |
| | | | | | | 41,579,871 | |
| | | | | | | | |
| United States - 1.4% | | | | | | |
| Thomson Reuters Corp. (1) | | | 2,372 | | | | 95,342 | |
| Valeant Pharmaceuticals International, Inc. (1)† | | | 24,079 | | | | 4,297,953 | |
| | | | | | | | |
| | | | | | | 4,393,295 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $311,891,624) | | | | | | | 313,923,907 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 2.3% | | | | | | |
J.P. Morgan U.S. Treasury Plus Money
Market Fund - IM Shares, 0.000% (c) | | | | | |
(cost $7,508,280) | | | 7,508,280 | | | | 7,508,280 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.3%
(cost $319,399,904) | | | | | | | 321,432,187 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.7% (d) | | | | | 2,267,764 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 323,699,951 | |
| | | | | | | | |
| † | Non-income producing security. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $84,955 or 0.0% of total net assets. |
| (c) | Represents annualized seven-day yield as of the close of the reporting period. |
| (d) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 67,083,102 | | | | 20.7 | % |
| Consumer Staples | | | 31,439,770 | | | | 9.7 | |
| Energy | | | 479,254 | | | | 0.1 | |
| Financials | | | 73,654,326 | | | | 22.9 | |
| Health Care | | | 35,307,143 | | | | 10.9 | |
| Industrials | | | 38,286,291 | | | | 11.8 | |
| Information Technology | | | 19,585,981 | | | | 6.1 | |
| Materials | | | 12,254,673 | | | | 3.8 | |
| Telecommunication Services | | | 25,705,230 | | | | 7.9 | |
| Utilities | | | 10,128,137 | | | | 3.1 | |
| Money Market Funds | | | 7,508,280 | | | | 2.3 | |
| | | | | | | | |
Total Investments In Securities, At Value | | | 321,432,187 | | | | 99.3 | |
| Other Assets in Excess of Liabilities (d) | | | 2,267,764 | | | | 0.7 | |
| | | | | | | | |
Net Assets | | $ | 323,699,951 | | | | 100.0 | % |
| | | | | | | | |
Open futures contracts outstanding at September 30, 2015:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | |
| 94 | | Barclays Capital | | E-Mini MSCI EAFE Index Futures | | | 12/2015 | | | | $7,932,847 | | | | $7,752,650 | | | | $(180,197) | |
| | | | | | | | | | | | | | | | | | | | |
Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/ CENTRALLY CLEARED | | | TOTAL | |
| Barclays Capital | | | | | | | | | |
| Cash | | | $— | | | | $696,325 | | | | $696,325 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
100
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR EMERGING MOMENTUM STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 98.0% | | SHARES | | | VALUE
(Note 4) | |
| Brazil - 5.7% | | | | | | |
| Ambev SA ADR (1) | | | 18,933 | | | $ | 92,772 | |
| BB Seguridade Participacoes SA (1) | | | 2,200 | | | | 13,701 | |
| BRF SA (1) | | | 3,900 | | | | 69,501 | |
| CETIP SA - Mercados Organizados (1) | | | 3,300 | | | | 27,377 | |
| Cielo SA (1) | | | 4,700 | | | | 43,698 | |
| EDP - Energias do Brasil SA (1) | | | 3,800 | | | | 11,176 | |
| Embraer SA ADR (1) | | | 175 | | | | 4,476 | |
| Equatorial Energia SA (1) | | | 2,500 | | | | 21,428 | |
| Fibria Celulose SA ADR (1) | | | 1,425 | | | | 19,323 | |
| JBS SA (1) | | | 3,800 | | | | 16,093 | |
| Kroton Educacional SA (1) | | | 1,400 | | | | 2,740 | |
| Lojas Renner SA (1) | | | 6,400 | | | | 29,930 | |
| Porto Seguro SA (1) | | | 1,400 | | | | 10,594 | |
| Qualicorp SA (1) | | | 900 | | | | 3,335 | |
| Raia Drogasil SA (1) | | | 3,500 | | | | 34,528 | |
| Souza Cruz SA (1) | | | 500 | | | | 3,361 | |
| Ultrapar Participacoes SA (1) | | | 1,800 | | | | 30,234 | |
| WEG SA (1) | | | 2,400 | | | | 9,365 | |
| | | | | | | | |
| | | | | | | 443,632 | |
| | | | | | | | |
| Chile - 1.5% | | | | | | |
| Cia Cervecerias Unidas SA ADR (1) | | | 471 | | | | 10,433 | |
| Colbun SA (1) | | | 105,746 | | | | 27,249 | |
| Corpbanca SA (1) | | | 1,089,380 | | | | 9,596 | |
| Empresa Nacional de Electricidad SA ADR (1) | | | 129 | | | | 4,581 | |
| Empresas CMPC SA (1) | | | 12,402 | | | | 31,919 | |
| Enersis SA ADR (1) | | | 1,118 | | | | 14,132 | |
| SONDA SA (1) | | | 11,314 | | | | 16,934 | |
| | | | | | | | |
| | | | | | | 114,844 | |
| | | | | | | | |
| China - 30.8% | | | | | | |
| Air China Ltd., H Shares | | | 14,000 | | | | 11,088 | |
| ANTA Sports Products Ltd. | | | 1,000 | | | | 2,596 | |
| AviChina Industry & Technology Co., Ltd., H Shares | | | 11,000 | | | | 8,161 | |
| Bank of China Ltd., H Shares | | | 374,000 | | | | 161,281 | |
| Bank of Communications Co., Ltd., H Shares | | | 69,000 | | | | 48,096 | |
| China Communications Construction Co., Ltd., H Shares | | | 25,000 | | | | 31,011 | |
| China Construction Bank Corp., H Shares | | | 498,000 | | | | 332,332 | |
| China COSCO Holdings Co., Ltd., H Shares (3)†(a) | | | 16,500 | | | | 10,513 | |
| China Everbright Bank Co., Ltd., H Shares | | | 6,000 | | | | 2,622 | |
| China Galaxy Securities Co., Ltd., H Shares | | | 21,500 | | | | 15,232 | |
| China Huishan Dairy Holdings Co., Ltd. | | | 6,000 | | | | 2,168 | |
| China Life Insurance Co., Ltd., H Shares | | | 54,000 | | | | 188,156 | |
| China Merchants Bank Co., Ltd., H Shares | | | 57,000 | | | | 138,926 | |
| China Minsheng Banking Corp. Ltd., H Shares | | | 112,500 | | | | 104,278 | |
| China Pacific Insurance Group Co., Ltd., H Shares | | | 11,800 | | | | 44,018 | |
| China Railway Construction Corp. Ltd., H Shares | | | 24,500 | | | | 36,244 | |
| China Railway Group Ltd., H Shares | | | 47,000 | | | | 42,928 | |
| China Shipping Container Lines Co., Ltd., H Shares (3)†(a) | | | 28,000 | | | | 11,250 | |
| China Southern Airlines Co., Ltd., H Shares | | | 30,000 | | | | 21,984 | |
| China Vanke Co., Ltd., H Shares | | | 20,600 | | | | 44,256 | |
| CITIC Securities Co., Ltd., H Shares | | | 9,000 | | | | 16,177 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| China - 30.8% (continued) | | | | | | |
| CRRC Corp. Ltd., H Shares †(b) | | | 65,000 | | | $ | 82,892 | |
| Evergrande Real Estate Group Ltd. (b) | | | 14,000 | | | | 8,000 | |
| Fosun International Ltd. | | | 18,000 | | | | 31,081 | |
| GOME Electrical Appliances Holding Ltd. | | | 28,000 | | | | 4,275 | |
| Great Wall Motor Co., Ltd., H Shares | | | 7,500 | | | | 8,368 | |
| Haitong Securities Co., Ltd., H Shares | | | 42,400 | | | | 61,786 | |
| Huadian Power International Corp. Ltd., H Shares | | | 12,000 | | | | 9,416 | |
| Industrial & Commercial Bank of China Ltd., H Shares | | | 338,000 | | | | 195,264 | |
| New China Life Insurance Co., Ltd., H Shares | | | 4,400 | | | | 19,073 | |
| PICC Property & Casualty Co., Ltd., H Shares | | | 10,000 | | | | 19,587 | |
| Ping An Insurance Group Co. of China Ltd., H Shares | | | 56,000 | | | | 279,831 | |
| Shanghai Electric Group Co., Ltd., H Shares (b) | | | 38,000 | | | | 20,789 | |
| Shanghai Pharmaceuticals Holding Co., Ltd., H Shares | | | 4,300 | | | | 9,013 | |
| Sihuan Pharmaceutical Holdings Group Ltd. (3)(a) | | | 36,000 | | | | 19,881 | |
| Sinopec Shanghai Petrochemical Co., Ltd., H Shares † | | | 30,000 | | | | 11,503 | |
| Sinopharm Group Co., Ltd., H Shares | | | 2,400 | | | | 8,442 | |
| Tencent Holdings Ltd. (b) | | | 16,900 | | | | 284,876 | |
| ZHuzhou CSR Times Electric Co., Ltd., H Shares | | | 2,000 | | | | 14,882 | |
| Zijin Mining Group Co., Ltd., H Shares | | | 132,000 | | | | 34,629 | |
| ZTE Corp., H Shares | | | 6,000 | | | | 13,724 | |
| | | | | | | | |
| | | | | | | 2,410,629 | |
| | | | | | | | |
| Hong Kong - 7.0% | | | | | | |
| Alibaba Health Information Technology Ltd. † | | | 20,000 | | | | 12,827 | |
| Alibaba Pictures Group Ltd. † | | | 30,000 | | | | 6,704 | |
| Beijing Enterprises Water Group Ltd. † | | | 6,000 | | | | 4,197 | |
| China Everbright Ltd. | | | 8,000 | | | | 18,374 | |
| China Mobile Ltd. ADR (1) | | | 5,905 | | | | 351,347 | |
| China Overseas Land & Investment Ltd. | | | 20,000 | | | | 60,808 | |
| China Power International Development Ltd. | | | 14,000 | | | | 9,132 | |
| China Resources Land Ltd. | | | 14,000 | | | | 33,058 | |
| China Taiping Insurance Holdings Co., Ltd. † | | | 8,200 | | | | 25,663 | |
| Goldin Properties Holdings Ltd. † | | | 12,000 | | | | 10,867 | |
| Hanergy Thin Film Power Group Ltd. (3)†(a) | | | 86,000 | | | | 14,414 | |
| | | | | | | | |
| | | | | | | 547,391 | |
| | | | | | | | |
| Hungary - 1.4% | | | | | | |
| MOL Hungarian Oil & Gas PLC | | | 463 | | | | 20,177 | |
| OTP Bank PLC | | | 3,661 | | | | 70,671 | |
| Richter Gedeon Nyrt | | | 1,399 | | | | 22,242 | |
| | | | | | | | |
| | | | | | | 113,090 | |
| | | | | | | | |
| India - 3.1% | | | | | | |
| Dr. Reddy’s Laboratories Ltd. ADR (1) | | | 917 | | | | 58,605 | |
| Infosys Ltd. ADR (1) | | | 7,569 | | | | 144,492 | |
| Reliance Industries Ltd. GDR 144A (c) | | | 335 | | | | 8,714 | |
| State Bank of India GDR | | | 642 | | | | 23,379 | |
| Tata Motors Ltd. ADR (1)† | | | 400 | | | | 9,000 | |
| | | | | | | | |
| | | | | | | 244,190 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
101
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR EMERGING MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Indonesia - 0.6% | | | | | | |
| Bank Central Asia Tbk PT | | | 3,400 | | | $ | 2,854 | |
| Bank Negara Indonesia Persero Tbk PT | | | 31,000 | | | | 8,782 | |
| Bank Rakyat Indonesia Persero Tbk PT | | | 5,700 | | | | 3,375 | |
| Indofood CBP Sukses Makmur Tbk PT | | | 5,700 | | | | 4,834 | |
| Kalbe Farma Tbk PT | | | 81,000 | | | | 7,621 | |
| Matahari Department Store Tbk PT | | | 4,200 | | | | 4,639 | |
| Summarecon Agung Tbk PT | | | 75,000 | | | | 5,760 | |
| Unilever Indonesia Tbk PT | | | 3,100 | | | | 8,053 | |
| | | | | | | | |
| | | | | | | 45,918 | |
| | | | | | | | |
| Korea, Republic of - 11.3% | | | | | | |
| Amorepacific Corp. | | | 172 | | | | 56,049 | |
| AMOREPACIFIC Group | | | 219 | | | | 30,245 | |
| BGF retail Co., Ltd. | | | 47 | | | | 8,028 | |
| Celltrion, Inc. † | | | 640 | | | | 36,857 | |
| CJ CheilJedang Corp. | | | 51 | | | | 16,433 | |
| CJ Corp. | | | 129 | | | | 28,805 | |
| CJ Korea Express Co., Ltd. † | | | 117 | | | | 19,747 | |
| Coway Co., Ltd. | | | 123 | | | | 8,704 | |
| Daewoo Securities Co., Ltd. | | | 2,413 | | | | 24,448 | |
| Dongbu Insurance Co., Ltd. | | | 175 | | | | 9,076 | |
| Dongsuh Cos., Inc. | | | 164 | | | | 5,090 | |
| Hankook Tire Co., Ltd. | | | 139 | | | | 4,653 | |
| Hanmi Pharm Co., Ltd. † | | | 67 | | | | 21,099 | |
| Hanmi Science Co., Ltd. † | | | 66 | | | | 7,800 | |
| Hanssem Co., Ltd. | | | 116 | | | | 28,086 | |
| Hanwha Chemical Corp. | | | 1,067 | | | | 19,566 | |
| Hanwha Corp. | | | 505 | | | | 16,633 | |
| Hanwha Life Insurance Co., Ltd. | | | 717 | | | | 4,941 | |
| Hotel Shilla Co., Ltd. | | | 79 | | | | 7,700 | |
| Hyosung Corp. | | | 268 | | | | 25,600 | |
| Hyundai Development Co.-Engineering & Construction | | | 631 | | | | 29,138 | |
| Hyundai Glovis Co., Ltd. | | | 31 | | | | 5,876 | |
| Hyundai Steel Co. | | | 318 | | | | 13,861 | |
| Kangwon Land, Inc. | | | 651 | | | | 23,268 | |
| KB Financial Group, Inc. | | | 282 | | | | 8,382 | |
| KCC Corp. | | | 25 | | | | 8,734 | |
| KEPCO Plant Service & Engineering Co., Ltd. | | | 186 | | | | 19,038 | |
| Korea Aerospace Industries Ltd. | | | 545 | | | | 31,393 | |
| Korea Electric Power Corp. | | | 283 | | | | 11,668 | |
| Korea Investment Holdings Co., Ltd. | | | 418 | | | | 21,619 | |
| Korea Zinc Co., Ltd. | | | 58 | | | | 22,808 | |
| Korean Air Lines Co., Ltd. † | | | 218 | | | | 5,778 | |
| KT&G Corp. | | | 282 | | | | 26,555 | |
| LG Corp. | | | 197 | | | | 10,143 | |
| LG Display Co., Ltd. | | | 261 | | | | 4,983 | |
| LG Household & Health Care Ltd. | | | 58 | | | | 41,974 | |
| LG Innotek Co., Ltd. | | | 60 | | | | 4,477 | |
| Lotte Chemical Corp. | | | 125 | | | | 28,645 | |
| Mirae Asset Securities Co., Ltd. | | | 758 | | | | 17,939 | |
| NAVER Corp. | | | 10 | | | | 4,334 | |
| NCSoft Corp. | | | 113 | | | | 18,067 | |
| NH Investment & Securities Co., Ltd. | | | 2,532 | | | | 21,406 | |
| Orion Corp. | | | 31 | | | | 24,687 | |
| Samsung Electro-Mechanics Co., Ltd. | | | 43 | | | | 2,344 | |
| Samsung Fire & Marine Insurance Co., Ltd. | | | 35 | | | | 8,265 | |
| Samsung Life Insurance Co., Ltd. | | | 38 | | | | 3,178 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Korea, Republic of - 11.3% (continued) | | | | | | |
| Samsung Securities Co., Ltd. | | | 514 | | | $ | 19,839 | |
| Shinsegae Co., Ltd. | | | 31 | | | | 6,207 | |
| SK Holdings Co., Ltd. | | | 134 | | | | 27,660 | |
| SK Innovation Co., Ltd. † | | | 135 | | | | 11,244 | |
| S-Oil Corp. | | | 227 | | | | 12,079 | |
| Yuhan Corp. | | | 43 | | | | 8,848 | |
| | | | | | | | |
| | | | | | | 883,997 | |
| | | | | | | | |
| Malaysia - 4.3% | | | | | | |
| AirAsia Bhd | | | 34,600 | | | | 10,091 | |
| DiGi.Com Bhd | | | 21,400 | | | | 27,018 | |
| IHH Healthcare Bhd | | | 54,000 | | | | 73,300 | |
| IJM Corp. Bhd | | | 87,500 | | | | 64,094 | |
| Malaysia Airports Holdings Bhd | | | 3,800 | | | | 4,547 | |
| MISC Bhd | | | 20,600 | | | | 41,340 | |
| Telekom Malaysia Bhd | | | 16,500 | | | | 25,094 | |
| Tenaga Nasional Bhd | | | 17,000 | | | | 46,496 | |
| Westports Holdings Bhd | | | 45,200 | | | | 43,678 | |
| | | | | | | | |
| | | | | | | 335,658 | |
| | | | | | | | |
| Malta - 0.5% | | | | | | |
| Brait SE † | | | 3,937 | | | | 40,000 | |
| | | | | | | | |
| | |
| Mexico - 1.4% | | | | | | |
| El Puerto de Liverpool SAB de CV (1) | | | 200 | | | | 2,597 | |
| Gentera SAB de CV (1) | | | 8,000 | | | | 13,095 | |
| Gruma SAB de CV, Class B (1) | | | 1,500 | | | | 20,834 | |
| Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | | | 1,600 | | | | 13,915 | |
| Grupo Aeroportuario del Sureste SAB de CV ADR (1) | | | 105 | | | | 15,988 | |
| Kimberly-Clark de Mexico SAB de CV, Class A (1) | | | 4,400 | | | | 9,951 | |
| Wal-Mart de Mexico SAB de CV (1) | | | 14,200 | | | | 34,868 | |
| | | | | | | | |
| | | | | | | 111,248 | |
| | | | | | | | |
| Peru - 0.5% | | | | | | |
| Cia de Minas Buenaventura SAA ADR (1) | | | 4,648 | | | | 27,702 | |
| Southern Copper Corp. (1)(b) | | | 300 | | | | 8,016 | |
| | | | | | | | |
| | | | | | | 35,718 | |
| | | | | | | | |
| Poland - 1.6% | | | | | | |
| Alior Bank SA † | | | 174 | | | | 3,631 | |
| CCC SA | | | 424 | | | | 18,315 | |
| Enea SA | | | 1,321 | | | | 4,698 | |
| Energa SA | | | 3,730 | | | | 16,555 | |
| Eurocash SA | | | 958 | | | | 11,283 | |
| Grupa Azoty SA † | | | 200 | | | | 4,665 | |
| PGE Polska Grupa Energetyczna SA | | | 2,230 | | | | 7,923 | |
| Polski Koncern Naftowy Orlen SA | | | 1,978 | | | | 34,535 | |
| Polskie Gornictwo Naftowe i Gazownictwo SA | | | 6,495 | | | | 11,165 | |
| Powszechny Zaklad Ubezpieczen SA | | | 142 | | | | 14,580 | |
| | | | | | | | |
| | | | | | | 127,350 | |
| | | | | | | | |
| Russia - 1.9% | | | | | | |
| MMC Norilsk Nickel PJSC ADR | | | 5,060 | | | | 72,707 | |
| Severstal PAO GDR | | | 5,639 | | | | 59,836 | |
| Tatneft PAO ADR | | | 488 | | | | 13,685 | |
| | | | | | | | |
| | | | | | | 146,228 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
102
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR EMERGING MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| South Africa - 9.9% | | | | | | |
| Aspen Pharmacare Holdings Ltd. † | | | 1,180 | | | $ | 25,107 | |
| Capitec Bank Holdings Ltd. | | | 423 | | | | 15,309 | |
| Coronation Fund Managers Ltd. | | | 1,528 | | | | 7,211 | |
| Discovery Ltd. | | | 1,856 | | | | 18,465 | |
| FirstRand Ltd. | | | 19,133 | | | | 67,989 | |
| Foschini Group Ltd./The | | | 1,433 | | | | 14,553 | |
| Gold Fields Ltd. ADR (1) | | | 4,089 | | | | 10,877 | |
| Hyprop Investments Ltd. REIT | | | 1,271 | | | | 11,071 | |
| Impala Platinum Holdings Ltd. † | | | 1,336 | | | | 3,710 | |
| Investec Ltd. | | | 3,387 | | | | 25,923 | |
| Life Healthcare Group Holdings Ltd. | | | 2,629 | | | | 6,763 | |
| Mediclinic International Ltd. | | | 1,448 | | | | 11,559 | |
| Mondi Ltd. | | | 1,156 | | | | 24,238 | |
| Mr Price Group Ltd. | | | 732 | | | | 10,218 | |
| MTN Group Ltd. | | | 279 | | | | 3,588 | |
| Naspers Ltd., N Shares | | | 1,406 | | | | 176,210 | |
| Netcare Ltd. | | | 12,498 | | | | 32,816 | |
| PSG Group Ltd. | | | 2,659 | | | | 42,705 | |
| Redefine Properties Ltd. REIT | | | 9,527 | | | | 8,053 | |
| Remgro Ltd. | | | 2,505 | | | | 45,688 | |
| RMB Holdings Ltd. | | | 6,249 | | | | 29,792 | |
| Sanlam Ltd. | | | 5,572 | | | | 24,096 | |
| Shoprite Holdings Ltd. | | | 540 | | | | 6,133 | |
| SPAR Group Ltd./The | | | 1,247 | | | | 16,683 | |
| Standard Bank Group Ltd. | | | 1,940 | | | | 18,943 | |
| Steinhoff International Holdings Ltd. | | | 8,951 | | | | 54,963 | |
| Telkom SA SOC Ltd. | | | 3,391 | | | | 16,304 | |
| Tiger Brands Ltd. | | | 113 | | | | 2,488 | |
| Truworths International Ltd. | | | 2,329 | | | | 14,312 | |
| Woolworths Holdings Ltd. | | | 3,986 | | | | 27,897 | |
| | | | | | | | |
| | | | | | | 773,664 | |
| | | | | | | | |
| Taiwan - 12.6% | | | | | | |
| Advantech Co., Ltd. | | | 1,198 | | | | 8,227 | |
| Asia Cement Corp. | | | 7,160 | | | | 7,023 | |
| Asustek Computer, Inc. | | | 1,000 | | | | 8,598 | |
| AU Optronics Corp. | | | 28,000 | | | | 8,290 | |
| Casetek Holdings Ltd. | | | 1,000 | | | | 4,276 | |
| Catcher Technology Co., Ltd. | | | 5,000 | | | | 53,454 | |
| Cathay Financial Holding Co., Ltd. | | | 17,600 | | | | 24,106 | |
| Chailease Holding Co., Ltd. | | | 24,960 | | | | 39,245 | |
| Chang Hwa Commercial Bank Ltd. | | | 29,467 | | | | 14,551 | |
| China Airlines Ltd. † | | | 67,000 | | | | 22,970 | |
| China Development Financial Holding Corp. | | | 73,000 | | | | 19,693 | |
| China Life Insurance Co., Ltd./Taiwan | | | 47,300 | | | | 36,031 | |
| Compal Electronics, Inc. | | | 7,000 | | | | 3,976 | |
| CTBC Financial Holding Co., Ltd. | | | 24,660 | | | | 12,747 | |
| Delta Electronics, Inc. | | | 1,000 | | | | 4,717 | |
| E.Sun Financial Holding Co., Ltd. | | | 14,044 | | | | 8,278 | |
| Eclat Textile Co., Ltd. | | | 2,040 | | | | 32,392 | |
| Eva Airways Corp. † | | | 43,000 | | | | 24,124 | |
| Far EasTone Telecommunications Co., Ltd. | | | 5,000 | | | | 10,783 | |
| Feng TAY Enterprise Co., Ltd. | | | 4,120 | | | | 25,678 | |
| First Financial Holding Co., Ltd. | | | 25,070 | | | | 11,447 | |
| Foxconn Technology Co., Ltd. | | | 8,080 | | | | 23,224 | |
| Fubon Financial Holding Co., Ltd. | | | 59,000 | | | | 92,361 | |
| Highwealth Construction Corp. | | | 20,800 | | | | 29,461 | |
| Hiwin Technologies Corp. | | | 1,060 | | | | 5,660 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Taiwan - 12.6% (continued) | | | | | | |
| Hon Hai Precision Industry Co., Ltd. | | | 10,038 | | | $ | 26,224 | |
| Innolux Corp. | | | 56,000 | | | | 17,538 | |
| Pegatron Corp. | | | 16,000 | | | | 39,157 | |
| Pou Chen Corp. | | | 6,000 | | | | 9,026 | |
| President Chain Store Corp. | | | 1,000 | | | | 6,237 | |
| Standard Foods Corp. | | | 1,000 | | | | 2,168 | |
| Taishin Financial Holding Co., Ltd. | | | 27,880 | | | | 9,908 | |
| Taiwan Cement Corp. | | | 11,000 | | | | 11,183 | |
| Taiwan Mobile Co., Ltd. | | | 3,000 | | | | 9,185 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | | | 13,492 | | | | 279,959 | |
| Teco Electric and Machinery Co., Ltd. | | | 10,000 | | | | 7,886 | |
| Uni-President Enterprises Corp. | | | 3,000 | | | | 5,210 | |
| Wan Hai Lines Ltd. | | | 29,000 | | | | 18,361 | |
| WPG Holdings Ltd. | | | 6,000 | | | | 5,796 | |
| Zhen Ding Technology Holding Ltd. | | | 3,000 | | | | 8,599 | |
| | | | | | | | |
| | | | | | | 987,749 | |
| | | | | | | | |
| Thailand - 3.3% | | | | | | |
| Airports of Thailand PCL NVDR | | | 4,200 | | | | 32,600 | |
| Bangkok Dusit Medical Services PCL NVDR | | | 76,000 | | | | 38,819 | |
| BTS Group Holdings PCL NVDR | | | 49,100 | | | | 13,195 | |
| Bumrungrad Hospital PCL NVDR | | | 6,100 | | | | 36,364 | |
| Delta Electronics Thailand PCL NVDR | | | 8,900 | | | | 21,607 | |
| Energy Absolute PCL NVDR | | | 7,000 | | | | 4,151 | |
| IRPC PCL NVDR | | | 191,900 | | | | 19,954 | |
| Kasikornbank PCL NVDR | | | 900 | | | | 4,251 | |
| Krung Thai Bank PCL NVDR | | | 8,800 | | | | 4,154 | |
| Minor International PCL NVDR | | | 11,460 | | | | 9,096 | |
| PTT PCL NVDR | | | 2,300 | | | | 15,274 | |
| Siam Cement PCL/The NVDR | | | 2,400 | | | | 30,719 | |
| Thai Union Group PCL NVDR | | | 41,000 | | | | 20,822 | |
| TMB Bank PCL NVDR | | | 36,400 | | | | 2,431 | |
| True Corp. PCL NVDR † | | | 32,600 | | | | 8,778 | |
| | | | | | | | |
| | | | | | | 262,215 | |
| | | | | | | | |
| Turkey - 0.6% | | | | | | |
| Eregli Demir ve Celik Fabrikalari TAS | | | 9,337 | | | | 11,526 | |
| Tofas Turk Otomobil Fabrikasi AS | | | 1,578 | | | | 9,368 | |
| Turk Hava Yollari AO † | | | 9,247 | | | | 24,396 | |
| | | | | | | | |
| | | | | | | 45,290 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $8,577,893) | | | | | | | 7,668,811 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.4% | | | | | | |
| | |
| Brazil - 0.4% | | | | | | |
| Lojas Americanas SA (1) | | | 700 | | | | 2,864 | |
| Suzano Papel e Celulose SA, Series A (1) | | | 5,200 | | | | 25,301 | |
| | | | | | | | |
| | | | | | | 28,165 | |
| | | | | | | | |
| | |
| Chile - 0.0% (d) | | | | | | |
| Embotelladora Andina SA, Series B (1) | | | 876 | | | | 3,032 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $29,892) | | | | | | | 31,197 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
103
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR EMERGING MOMENTUM STYLE FUND | | |
| | | | | | | | |
| EXCHANGE-TRADED FUNDS (ETF) - 0.4% | | SHARES | | | VALUE
(Note 4) | |
| United States - 0.4% | | | | | | |
iShares MSCI Emerging Markets ETF (1)(b)
(cost $30,565) | | | 939 | | | $ | 30,781 | |
| | | | | | | | |
| | |
| RIGHTS - 0.0% (d) | | | | | | |
| | |
| China - 0.0% (d) | | | | | | |
| Fosun International Ltd. † | | | 2,688 | | | | — | |
| | | | | | | | |
| | |
| Korea, Republic of - 0.0% (d) | | | | | | |
| Mirae Asset Securities Co., Ltd. † | | | 660 | | | | 2,896 | |
| | | | | | | | |
TOTAL RIGHTS
(cost $5,808) | | | | | | | 2,896 | |
| | | | | | | | |
|
| SECURITIES LENDING COLLATERAL - 4.8% | |
| | |
| Money Market Funds - 4.8% | | | | | | |
Investments in a Pooled Account through Securities Lending Program with JPMorgan
Chase Bank
Dreyfus Treasury Cash Management, 0.010% (e)(f) | | | | | | | | |
(cost $371,933) | | | 371,933 | | | | 371,933 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE- 103.6%
(cost $9,016,091) | | | | | | | 8,105,618 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (3.6%) | | | | | (282,254) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 7,823,364 | |
| | | | | | | | |
| † | Non-income producing security. |
| (a) | Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $56,058 or 0.7% of total net assets. |
| (b) | All or a portion of the security on loan. The aggregate market value of such securities is $362,771; cash collateral of $371,933 was received with which the Fund purchased a money market fund. |
| (c) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
| (d) | Represents less than 0.05% of net assets. |
| (e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (f) | Represents annualized seven-day yield as of the close of the reporting period. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 554,360 | | | | 7.1 | % |
| Consumer Staples | | | 590,509 | | | | 7.5 | |
| Energy | | | 181,211 | | | | 2.3 | |
| Exchange-Traded Funds | | | 30,781 | | | | 0.4 | |
| Financials | | | 2,840,977 | | | | 36.3 | |
| Health Care | | | 428,473 | | | | 5.5 | |
| Industrials | | | 865,822 | | | | 11.1 | |
| Information Technology | | | 1,065,987 | | | | 13.6 | |
| Materials | | | 521,991 | | | | 6.7 | |
| Telecommunication Services | | | 464,924 | | | | 5.9 | |
| Utilities | | | 188,650 | | | | 2.4 | |
| Securities Lending Collateral | | | 371,933 | | | | 4.8 | |
| | | | | | | | |
Total Investments In Securities, At Value | | | 8,105,618 | | | | 103.6 | |
| Liabilities in Excess of Other Assets | | | (282,254 | ) | | | (3.6 | ) |
| | | | | | | | |
Net Assets | | $ | 7,823,364 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
104
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 97.0% | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 20.6% | | | | | | |
| Advance Auto Parts, Inc. | | | 600 | | | $ | 113,718 | |
| Amazon.com, Inc. † | | | 6,330 | | | | 3,240,264 | |
| AutoZone, Inc. † | | | 339 | | | | 245,378 | |
| Best Buy Co., Inc. | | | 4,648 | | | | 172,534 | |
| BorgWarner, Inc. | | | 4,288 | | | | 178,338 | |
| Brunswick Corp. | | | 1,969 | | | | 94,295 | |
| CarMax, Inc. † | | | 1,571 | | | | 93,192 | |
| Carnival Corp. | | | 4,534 | | | | 225,340 | |
| CBS Corp., Class B | | | 4,744 | | | | 189,286 | |
| Charter Communications, Inc., Class A † | | | 1,597 | | | | 280,832 | |
| Chipotle Mexican Grill, Inc. † | | | 642 | | | | 462,400 | |
| Comcast Corp., Class A | | | 6,751 | | | | 383,997 | |
| DISH Network Corp., Class A † | | | 6,730 | | | | 392,628 | |
| Dollar General Corp. | | | 5,246 | | | | 380,020 | |
| Dollar Tree, Inc. † | | | 6,199 | | | | 413,225 | |
| Expedia, Inc. | | | 1,532 | | | | 180,286 | |
| GNC Holdings, Inc., Class A | | | 2,197 | | | | 88,803 | |
| Goodyear Tire & Rubber Co./The | | | 3,168 | | | | 92,917 | |
| GoPro, Inc., Class A † | | | 1,793 | | | | 55,977 | |
| Hanesbrands, Inc. | | | 5,676 | | | | 164,263 | |
| Harman International Industries, Inc. | | | 1,600 | | | | 153,584 | |
| Hilton Worldwide Holdings, Inc. | | | 7,663 | | | | 175,789 | |
| Home Depot, Inc./The | | | 21,375 | | | | 2,468,599 | |
| Johnson Controls, Inc. | | | 4,435 | | | | 183,432 | |
| L Brands, Inc. | | | 6,312 | | | | 568,901 | |
| LKQ Corp. † | | | 2,515 | | | | 71,325 | |
| Lowe’s Cos., Inc. | | | 18,662 | | | | 1,286,185 | |
| Macy’s, Inc. | | | 1,624 | | | | 83,344 | |
| Madison Square Garden Co./The, Class A † | | | 948 | | | | 68,389 | |
| Marriott International, Inc., Class A | | | 2,528 | | | | 172,410 | |
| Mohawk Industries, Inc. † | | | 1,586 | | | | 288,319 | |
| Netflix, Inc. † | | | 8,302 | | | | 857,264 | |
| NIKE, Inc., Class B | | | 13,945 | | | | 1,714,817 | |
| Nordstrom, Inc. | | | 1,100 | | | | 78,881 | |
| Norwegian Cruise Line Holdings Ltd. † | | | 4,573 | | | | 262,033 | |
| O’Reilly Automotive, Inc. † | | | 2,852 | | | | 713,000 | |
| Polaris Industries, Inc. | | | 1,008 | | | | 120,829 | |
| Ross Stores, Inc. | | | 11,170 | | | | 541,410 | |
| Royal Caribbean Cruises Ltd. | | | 796 | | | | 70,916 | |
| ServiceMaster Global Holdings, Inc. † | | | 2,514 | | | | 84,345 | |
| Signet Jewelers Ltd. | | | 800 | | | | 108,904 | |
| Skechers U.S.A., Inc., Class A † | | | 1,860 | | | | 249,389 | |
| Starbucks Corp. | | | 27,242 | | | | 1,548,435 | |
| Target Corp. | | | 10,808 | | | | 850,157 | |
| TEGNA, Inc. | | | 2,894 | | | | 64,797 | |
| Tesla Motors, Inc. † | | | 906 | | | | 225,050 | |
| Time Warner, Inc. | | | 9,213 | | | | 633,394 | |
| TJX Cos., Inc./The | | | 9,649 | | | | 689,132 | |
| Tractor Supply Co. | | | 663 | | | | 55,904 | |
| TripAdvisor, Inc. † | | | 1,729 | | | | 108,962 | |
| Twenty-First Century Fox, Inc., Class A | | | 6,684 | | | | 180,334 | |
| Ulta Salon Cosmetics & Fragrance, Inc. † | | | 1,847 | | | | 301,707 | |
| Under Armour, Inc., Class A † | | | 6,273 | | | | 607,101 | |
| VF Corp. | | | 5,956 | | | | 406,259 | |
| Viacom, Inc., Class B | | | 1,042 | | | | 44,962 | |
| Walt Disney Co./The | | | 23,171 | | | | 2,368,076 | |
| Whirlpool Corp. | | | 1,142 | | | | 168,171 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 20.6% (continued) | | | | |
| Yum! Brands, Inc. | | | 1,045 | | | $ | 83,548 | |
| | | | | | | | |
| | | | | | | 26,105,747 | |
| | | | | | | | |
| Consumer Staples - 9.4% | | | | | | |
| Altria Group, Inc. | | | 36,875 | | | | 2,006,000 | |
| Archer-Daniels-Midland Co. | | | 2,109 | | | | 87,418 | |
| Constellation Brands, Inc., Class A | | | 4,163 | | | | 521,249 | |
| Costco Wholesale Corp. | | | 8,982 | | | | 1,298,528 | |
| Coty, Inc., Class A | | | 3,028 | | | | 81,938 | |
| CVS Health Corp. | | | 20,976 | | | | 2,023,764 | |
| Dr Pepper Snapple Group, Inc. | | | 5,100 | | | | 403,155 | |
| Keurig Green Mountain, Inc. | | | 2,091 | | | | 109,025 | |
| Kroger Co./The | | | 25,084 | | | | 904,780 | |
| Mondelez International, Inc., Class A | | | 14,319 | | | | 599,537 | |
| Monster Beverage Corp. † | | | 3,934 | | | | 531,641 | |
| PepsiCo, Inc. | | | 5,384 | | | | 507,711 | |
| Pilgrim’s Pride Corp. | | | 3,191 | | | | 66,309 | |
| Reynolds American, Inc. | | | 20,708 | | | | 916,743 | |
| Rite Aid Corp. † | | | 28,118 | | | | 170,676 | |
| Tyson Foods, Inc., Class A | | | 5,589 | | | | 240,886 | |
| Walgreens Boots Alliance, Inc. | | | 15,384 | | | | 1,278,410 | |
| WhiteWave Foods Co./The † | | | 2,600 | | | | 104,390 | |
| | | | | | | | |
| | | | | | | 11,852,160 | |
| | | | | | | | |
| Energy - 1.0% | | | | | | |
| Cheniere Energy, Inc. † | | | 5,410 | | | | 261,303 | |
| Cimarex Energy Co. | | | 1,073 | | | | 109,961 | |
| Diamondback Energy, Inc. † | | | 1,700 | | | | 109,820 | |
| Energen Corp. | | | 1,000 | | | | 49,860 | |
| EQT Corp. | | | 1,200 | | | | 77,724 | |
| Kinder Morgan, Inc. | | | 11,308 | | | | 313,006 | |
| Marathon Petroleum Corp. | | | 1,801 | | | | 83,440 | |
| Targa Resources Corp. | | | 1,698 | | | | 87,481 | |
| Valero Energy Corp. | | | 2,674 | | | | 160,707 | |
| | | | | | | | |
| | | | | | | 1,253,302 | |
| | | | | | | | |
| Financials - 12.2% | | | | | | |
| American Express Co. | | | 902 | | | | 66,865 | |
| American Financial Group, Inc. | | | 1,065 | | | | 73,389 | |
| American International Group, Inc. | | | 4,937 | | | | 280,520 | |
| American Tower Corp. REIT | | | 4,634 | | | | 407,699 | |
| Ameriprise Financial, Inc. | | | 1,200 | | | | 130,956 | |
| AvalonBay Communities, Inc. REIT | | | 4,737 | | | | 828,122 | |
| Bank of New York Mellon Corp./The | | | 3,577 | | | | 140,040 | |
| Berkshire Hathaway, Inc., Class B † | | | 4,260 | | | | 555,504 | |
| BlackRock, Inc. | | | 1,012 | | | | 301,040 | |
| Boston Properties, Inc. REIT | | | 5,439 | | | | 643,978 | |
| Capital One Financial Corp. | | | 2,317 | | | | 168,029 | |
| Care Capital Properties, Inc. REIT | | | 1,405 | | | | 46,267 | |
| CBOE Holdings, Inc. | | | 1,623 | | | | 108,871 | |
| Charles Schwab Corp./The | | | 4,132 | | | | 118,010 | |
| CME Group, Inc. | | | 4,272 | | | | 396,185 | |
| Comerica, Inc. | | | 1,500 | | | | 61,650 | |
| Digital Realty Trust, Inc. REIT | | | 3,200 | | | | 209,024 | |
| Discover Financial Services | | | 3,539 | | | | 183,993 | |
| E*TRADE Financial Corp. † | | | 5,200 | | | | 136,916 | |
| Equity Residential REIT | | | 11,412 | | | | 857,269 | |
| Essex Property Trust, Inc. REIT | | | 2,600 | | | | 580,892 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
105
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 12.2% (continued) | | | | | | |
| Extra Space Storage, Inc. REIT | | | 1,500 | | | $ | 115,740 | |
| Federal Realty Investment Trust REIT | | | 700 | | | | 95,515 | |
| Fifth Third Bancorp | | | 6,600 | | | | 124,806 | |
| First Republic Bank/CA | | | 1,824 | | | | 114,492 | |
| General Growth Properties, Inc. REIT | | | 11,239 | | | | 291,877 | |
| Goldman Sachs Group, Inc./The | | | 4,587 | | | | 797,037 | |
| Hartford Financial Services Group, Inc./The | | | 3,282 | | | | 150,250 | |
| HCP, Inc. REIT | | | 5,000 | | | | 186,250 | |
| Huntington Bancshares, Inc. | | | 10,400 | | | | 110,240 | |
| Interactive Brokers Group, Inc., Class A | | | 2,788 | | | | 110,042 | |
| Intercontinental Exchange, Inc. | | | 867 | | | | 203,736 | |
| JPMorgan Chase & Co. | | | 40,795 | | | | 2,487,271 | |
| KeyCorp | | | 8,100 | | | | 105,381 | |
| Lincoln National Corp. | | | 2,367 | | | | 112,338 | |
| LPL Financial Holdings, Inc. | | | 1,500 | | | | 59,655 | |
| McGraw Hill Financial, Inc. | | | 2,820 | | | | 243,930 | |
| Moody’s Corp. | | | 2,313 | | | | 227,137 | |
| Morgan Stanley | | | 10,343 | | | | 325,804 | |
| Principal Financial Group, Inc. | | | 1,500 | | | | 71,010 | |
| Public Storage REIT | | | 3,552 | | | | 751,710 | |
| Realty Income Corp. REIT | | | 1,500 | | | | 71,085 | |
| Retail Properties of America, Inc., Class A REIT | | | 5,600 | | | | 78,904 | |
| Signature Bank † | | | 600 | | | | 82,536 | |
| Simon Property Group, Inc. REIT | | | 1,725 | | | | 316,917 | |
| Springleaf Holdings, Inc. † | | | 2,508 | | | | 109,650 | |
| State Street Corp. | | | 2,150 | | | | 144,502 | |
| SunTrust Banks, Inc. | | | 3,600 | | | | 137,664 | |
| SVB Financial Group † | | | 700 | | | | 80,878 | |
| Synchrony Financial † | | | 3,450 | | | | 107,985 | |
| Travelers Cos., Inc./The | | | 1,000 | | | | 99,530 | |
| UDR, Inc. REIT | | | 2,100 | | | | 72,408 | |
| Ventas, Inc. REIT | | | 5,620 | | | | 315,057 | |
| Vornado Realty Trust REIT | | | 4,200 | | | | 379,764 | |
| Welltower, Inc. REIT | | | 7,492 | | | | 507,358 | |
| | | | | | | | |
| | | | | | | 15,483,678 | |
| | | | | | | | |
| Health Care - 19.8% | | | | | | |
| Abbott Laboratories | | | 13,215 | | | | 531,507 | |
| AbbVie, Inc. | | | 19,251 | | | | 1,047,447 | |
| Acadia Healthcare Co., Inc. † | | | 889 | | | | 58,914 | |
| Aetna, Inc. | | | 7,757 | | | | 848,693 | |
| Agios Pharmaceuticals, Inc. † | | | 2,377 | | | | 167,792 | |
| Akorn, Inc. † | | | 1,738 | | | | 49,542 | |
| Alexion Pharmaceuticals, Inc. † | | | 2,907 | | | | 454,626 | |
| Align Technology, Inc. † | | | 1,400 | | | | 79,464 | |
| Allergan PLC † | | | 1,701 | | | | 462,349 | |
| Alnylam Pharmaceuticals, Inc. † | | | 2,625 | | | | 210,945 | |
| AmerisourceBergen Corp. | | | 4,065 | | | | 386,134 | |
| Amgen, Inc. | | | 10,855 | | | | 1,501,464 | |
| Anthem, Inc. | | | 5,781 | | | | 809,340 | |
| athenahealth, Inc. † | | | 1,017 | | | | 135,617 | |
| Becton Dickinson and Co. | | | 509 | | | | 67,524 | |
| Biogen, Inc. † | | | 2,125 | | | | 620,096 | |
| BioMarin Pharmaceutical, Inc. † | | | 3,879 | | | | 408,536 | |
| Bluebird Bio, Inc. † | | | 2,025 | | | | 173,239 | |
| Boston Scientific Corp. † | | | 15,571 | | | | 255,520 | |
| Bristol-Myers Squibb Co. | | | 20,297 | | | | 1,201,582 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 19.8% (continued) | | | | | | |
| Cardinal Health, Inc. | | | 3,661 | | | $ | 281,238 | |
| Celgene Corp. † | | | 12,610 | | | | 1,364,024 | |
| Centene Corp. † | | | 3,293 | | | | 178,579 | |
| Cerner Corp. † | | | 2,661 | | | | 159,554 | |
| DexCom, Inc. † | | | 2,200 | | | | 188,892 | |
| Edwards Lifesciences Corp. † | | | 1,635 | | | | 232,448 | |
| Eli Lilly & Co. | | | 19,000 | | | | 1,590,110 | |
| Endo International PLC (Ireland) † | | | 1,372 | | | | 95,052 | |
| Express Scripts Holding Co. † | | | 8,478 | | | | 686,379 | |
| Gilead Sciences, Inc. | | | 9,471 | | | | 929,957 | |
| HCA Holdings, Inc. † | | | 8,427 | | | | 651,913 | |
| Hologic, Inc. † | | | 1,160 | | | | 45,391 | |
| Illumina, Inc. † | | | 2,631 | | | | 462,582 | |
| Incyte Corp. † | | | 4,491 | | | | 495,492 | |
| Intercept Pharmaceuticals, Inc. † | | | 400 | | | | 66,344 | |
| Intrexon Corp. † | | | 3,842 | | | | 122,176 | |
| Isis Pharmaceuticals, Inc. † | | | 4,236 | | | | 171,219 | |
| McKesson Corp. | | | 4,104 | | | | 759,363 | |
| Medivation, Inc. † | | | 4,314 | | | | 183,345 | |
| Medtronic PLC (Ireland) | | | 6,510 | | | | 435,779 | |
| Merck & Co., Inc. | | | 4,546 | | | | 224,527 | |
| OPKO Health, Inc. † | | | 4,868 | | | | 40,940 | |
| Pfizer, Inc. | | | 36,157 | | | | 1,135,691 | |
| Puma Biotechnology, Inc. † | | | 1,652 | | | | 124,495 | |
| Quintiles Transnational Holdings, Inc. † | | | 1,288 | | | | 89,606 | |
| Regeneron Pharmaceuticals, Inc. † | | | 2,271 | | | | 1,056,333 | |
| St. Jude Medical, Inc. | | | 2,465 | | | | 155,517 | |
| Tenet Healthcare Corp. † | | | 1,805 | | | | 66,641 | |
| Thermo Fisher Scientific, Inc. | | | 5,346 | | | | 653,709 | |
| United Therapeutics Corp. † | | | 512 | | | | 67,195 | |
| UnitedHealth Group, Inc. | | | 18,553 | | | | 2,152,334 | |
| Vertex Pharmaceuticals, Inc. † | | | 4,034 | | | | 420,101 | |
| Zoetis, Inc. | | | 6,810 | | | | 280,436 | |
| | | | | | | | |
| | | | | | | 25,037,693 | |
| | | | | | | | |
| Industrials - 9.2% | | | | | | |
| 3M Co. | | | 5,664 | | | | 802,985 | |
| A. O. Smith Corp. | | | 2,198 | | | | 143,288 | |
| Acuity Brands, Inc. | | | 600 | | | | 105,348 | |
| Alaska Air Group, Inc. | | | 2,312 | | | | 183,688 | |
| American Airlines Group, Inc. | | | 4,967 | | | | 192,869 | |
| Avis Budget Group, Inc. † | | | 4,091 | | | | 178,695 | |
| B/E Aerospace, Inc. | | | 2,772 | | | | 121,691 | |
| Cummins, Inc. | | | 2,472 | | | | 268,410 | |
| Danaher Corp. | | | 1,449 | | | | 123,469 | |
| Delta Air Lines, Inc. | | | 14,818 | | | | 664,884 | |
| Dover Corp. | | | 2,493 | | | | 142,550 | |
| FedEx Corp. | | | 6,286 | | | | 905,058 | |
| Fortune Brands Home & Security, Inc. | | | 3,256 | | | | 154,562 | |
| General Dynamics Corp. | | | 5,500 | | | | 758,725 | |
| HD Supply Holdings, Inc. † | | | 1,192 | | | | 34,115 | |
| Honeywell International, Inc. | | | 5,345 | | | | 506,118 | |
| Huntington Ingalls Industries, Inc. | | | 1,500 | | | | 160,725 | |
| Illinois Tool Works, Inc. | | | 871 | | | | 71,692 | |
| JetBlue Airways Corp. † | | | 8,441 | | | | 217,524 | |
| Lockheed Martin Corp. | | | 6,291 | | | | 1,304,187 | |
| Macquarie Infrastructure Corp. | | | 800 | | | | 59,728 | |
| Masco Corp. | | | 2,809 | | | | 70,731 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
106
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Industrials - 9.2% (continued) | | | | | | |
| Middleby Corp./The † | | | 1,800 | | | $ | 189,342 | |
| Norfolk Southern Corp. | | | 2,055 | | | | 157,002 | |
| Northrop Grumman Corp. | | | 5,646 | | | | 936,954 | |
| Old Dominion Freight Line, Inc. † | | | 1,956 | | | | 119,316 | |
| Parker-Hannifin Corp. | | | 1,500 | | | | 145,950 | |
| Raytheon Co. | | | 6,276 | | | | 685,716 | |
| Rockwell Automation, Inc. | | | 2,600 | | | | 263,822 | |
| SolarCity Corp. † | | | 2,391 | | | | 102,120 | |
| Southwest Airlines Co. | | | 17,404 | | | | 662,048 | |
| Spirit Airlines, Inc. † | | | 3,636 | | | | 171,983 | |
| Textron, Inc. | | | 2,100 | | | | 79,044 | |
| Trinity Industries, Inc. | | | 3,400 | | | | 77,078 | |
| Union Pacific Corp. | | | 516 | | | | 45,619 | |
| United Continental Holdings, Inc. † | | | 6,818 | | | | 361,695 | |
| United Rentals, Inc. † | | | 2,943 | | | | 176,727 | |
| WABCO Holdings, Inc. † | | | 800 | | | | 83,864 | |
| Wabtec Corp. | | | 785 | | | | 69,119 | |
| Xylem, Inc. | | | 2,200 | | | | 72,270 | |
| | | | | | | | |
| | | | | | | 11,570,711 | |
| | | | | | | | |
| Information Technology - 21.6% | | | | | | |
| Accenture PLC, Class A (Ireland) | | | 883 | | | | 86,764 | |
| Activision Blizzard, Inc. | | | 10,763 | | | | 332,469 | |
| Adobe Systems, Inc. † | | | 8,721 | | | | 717,041 | |
| Akamai Technologies, Inc. † | | | 1,700 | | | | 117,402 | |
| Alliance Data Systems Corp. † | | | 903 | | | | 233,859 | |
| Apple, Inc. | | | 71,837 | | | | 7,923,621 | |
| Applied Materials, Inc. | | | 21,557 | | | | 316,672 | |
| ARRIS Group, Inc. † | | | 2,800 | | | | 72,716 | |
| Autodesk, Inc. † | | | 1,500 | | | | 66,210 | |
| Automatic Data Processing, Inc. | | | 3,680 | | | | 295,725 | |
| Brocade Communications Systems, Inc. | | | 7,800 | | | | 80,964 | |
| CA, Inc. | | | 2,700 | | | | 73,710 | |
| Cisco Systems, Inc. | | | 33,726 | | | | 885,308 | |
| Cognizant Technology Solutions Corp., Class A † | | | 6,809 | | | | 426,312 | |
| Corning, Inc. | | | 17,100 | | | | 292,752 | |
| CoStar Group, Inc. † | | | 500 | | | | 86,530 | |
| eBay, Inc. † | | | 11,450 | | | | 279,838 | |
| Electronic Arts, Inc. † | | | 8,389 | | | | 568,355 | |
| F5 Networks, Inc. † | | | 1,500 | | | | 173,700 | |
| Facebook, Inc., Class A † | | | 10,961 | | | | 985,394 | |
| FireEye, Inc. † | | | 1,492 | | | | 47,475 | |
| Fiserv, Inc. † | | | 2,409 | | | | 208,643 | |
| FleetCor Technologies, Inc. † | | | 1,727 | | | | 237,670 | |
| Fortinet, Inc. † | | | 1,807 | | | | 76,761 | |
| Google, Inc., Class A † | | | 2,342 | | | | 1,495,063 | |
| Hewlett-Packard Co. | | | 9,976 | | | | 255,485 | |
| Intuit, Inc. | | | 2,897 | | | | 257,109 | |
| Jack Henry & Associates, Inc. | | | 1,350 | | | | 93,974 | |
| Juniper Networks, Inc. | | | 7,300 | | | | 187,683 | |
| LinkedIn Corp., Class A † | | | 1,616 | | | | 307,250 | |
| Marvell Technology Group Ltd. (2) | | | 6,200 | | | | 56,110 | |
| MasterCard, Inc., Class A | | | 16,598 | | | | 1,495,812 | |
| Micron Technology, Inc. † | | | 6,574 | | | | 98,479 | |
| Microsoft Corp. | | | 3,555 | | | | 157,344 | |
| NVIDIA Corp. | | | 8,300 | | | | 204,595 | |
| Palo Alto Networks, Inc. † | | | 3,029 | | | | 520,988 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 21.6% (continued) | | | | |
| PayPal Holdings, Inc. † | | | 4,017 | | | $ | 124,688 | |
| Qorvo, Inc. † | | | 2,781 | | | | 125,284 | |
| Red Hat, Inc. † | | | 1,240 | | | | 89,131 | |
| Sabre Corp. | | | 1,337 | | | | 36,340 | |
| salesforce.com, inc. † | | | 8,181 | | | | 568,007 | |
| SanDisk Corp. | | | 3,186 | | | | 173,095 | |
| ServiceNow, Inc. † | | | 5,378 | | | | 373,502 | |
| Skyworks Solutions, Inc. | | | 8,005 | | | | 674,101 | |
| Splunk, Inc. † | | | 1,904 | | | | 105,386 | |
| SS&C Technologies Holdings, Inc. | | | 1,261 | | | | 88,320 | |
| SunEdison, Inc. † | | | 11,081 | | | | 79,562 | |
| SunPower Corp. † | | | 3,373 | | | | 67,595 | |
| Tableau Software, Inc., Class A † | | | 2,053 | | | | 163,788 | |
| Texas Instruments, Inc. | | | 11,714 | | | | 580,077 | |
| Total System Services, Inc. | | | 2,043 | | | | 92,813 | |
| Twitter, Inc. † | | | 3,520 | | | | 94,829 | |
| Vantiv, Inc., Class A † | | | 822 | | | | 36,924 | |
| Visa, Inc., Class A | | | 37,976 | | | | 2,645,408 | |
| VMware, Inc., Class A † | | | 2,940 | | | | 231,643 | |
| Western Digital Corp. | | | 4,905 | | | | 389,653 | |
| Workday, Inc., Class A † | | | 2,678 | | | | 184,407 | |
| Xerox Corp. | | | 11,832 | | | | 115,125 | |
| Xilinx, Inc. | | | 2,840 | | | | 120,416 | |
| Yahoo!, Inc. † | | | 11,628 | | | | 336,165 | |
| Zillow Group, Inc., Class C † | | | 2,870 | | | | 77,490 | |
| | | | | | | | |
| | | | | | | 27,289,532 | |
| | | | | | | | |
| Materials - 1.4% | | | | | | |
| Air Products & Chemicals, Inc. | | | 1,700 | | | | 216,886 | |
| Alcoa, Inc. | | | 18,300 | | | | 176,778 | |
| Ball Corp. | | | 1,400 | | | | 87,080 | |
| Dow Chemical Co./The | | | 2,240 | | | | 94,976 | |
| Ecolab, Inc. | | | 2,147 | | | | 235,569 | |
| EI du Pont de Nemours & Co. | | | 3,708 | | | | 178,726 | |
| PPG Industries, Inc. | | | 3,826 | | | | 335,502 | |
| Royal Gold, Inc. | | | 2,500 | | | | 117,450 | |
| Sherwin-Williams Co./The | | | 961 | | | | 214,091 | |
| Vulcan Materials Co. | | | 775 | | | | 69,130 | |
| Westlake Chemical Corp. | | | 1,100 | | | | 57,079 | |
| | | | | | | | |
| | | | | | | 1,783,267 | |
| | | | | | | | |
| Telecommunication Services - 0.3% | | | | | | |
| Level 3 Communications, Inc. † | | | 3,900 | | | | 170,391 | |
| T-Mobile US, Inc. † | | | 3,760 | | | | 149,686 | |
| | | | | | | | |
| | | | | | | 320,077 | |
| | | | | | | | |
| Utilities - 1.5% | | | | | | |
| American Electric Power Co., Inc. | | | 3,727 | | | | 211,917 | |
| CMS Energy Corp. | | | 2,100 | | | | 74,172 | |
| Consolidated Edison, Inc. | | | 2,370 | | | | 158,435 | |
| DTE Energy Co. | | | 3,287 | | | | 264,176 | |
| Edison International | | | 5,703 | | | | 359,688 | |
| Entergy Corp. | | | 1,400 | | | | 91,140 | |
| PG&E Corp. | | | 4,123 | | | | 217,695 | |
| Public Service Enterprise Group, Inc. | | | 1,552 | | | | 65,432 | |
| Sempra Energy | | | 3,095 | | | | 299,348 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
107
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Utilities - 1.5% (continued) | | | | | | |
| Xcel Energy, Inc. | | | 5,700 | | | $ | 201,837 | |
| | | | | | | | |
| | | | | | | 1,943,840 | |
| | | | | | | | |
TOTAL COMMON STOCKS (cost $114,674,244) | | | | | | | 122,640,007 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 2.7% | | | | |
J.P. Morgan U.S. Treasury Plus Money
Market Fund - IM Shares, 0.000% (2)(a) | | | | | |
(cost $3,434,826) | | | 3,434,826 | | | | 3,434,826 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.7%
(cost $118,109,070) | | | | | | | 126,074,833 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.3% (b) | | | | | 409,838 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 126,484,671 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non-income producing security. |
| (a) | Represents annualized seven-day yield as of the close of the reporting period. |
| (b) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
Open futures contracts outstanding at September 30, 2015:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | |
| 25 | | Goldman Sachs | | S&P 500 E-Mini Futures | | | 12/2015 | | | $ | 2,435,124 | | | $ | 2,385,875 | | | $ | (49,249 | ) |
| | | | | | | | | | | | | | | | | | | | |
Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/ CENTRALLY CLEARED | | | TOTAL | |
| Goldman Sachs | | | | | | | | | |
| Cash | | | $— | | | | $210,528 | | | | $210,528 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
108
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 94.5% | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 14.8% | | | | | | |
| 1-800-Flowers.com, Inc., Class A † | | | 3,613 | | | $ | 32,878 | |
| 2U, Inc. † | | | 1,417 | | | | 50,870 | |
| AMC Entertainment Holdings, Inc., Class A | | | 1,905 | | | | 47,987 | |
| American Axle & Manufacturing Holdings, Inc. † | | | 1,298 | | | | 25,882 | |
| American Eagle Outfitters, Inc. (a) | | | 4,324 | | | | 67,584 | |
| America’s Car-Mart, Inc. † | | | 284 | | | | 9,398 | |
| Asbury Automotive Group, Inc. † | | | 660 | | | | 53,559 | |
| Barnes & Noble, Inc. | | | 1,300 | | | | 15,743 | |
| Bassett Furniture Industries, Inc. | | | 576 | | | | 16,042 | |
| Big Lots, Inc. | | | 872 | | | | 41,786 | |
| BJ’s Restaurants, Inc. † | | | 600 | | | | 25,818 | |
| Bloomin’ Brands, Inc. | | | 983 | | | | 17,871 | |
| Bright Horizons Family Solutions, Inc. † | | | 449 | | | | 28,844 | |
| Buckle, Inc./The (a) | | | 400 | | | | 14,788 | |
| Buffalo Wild Wings, Inc. † | | | 261 | | | | 50,485 | |
| Build-A-Bear Workshop, Inc. † | | | 1,000 | | | | 18,890 | |
| Burlington Stores, Inc. † | | | 1,224 | | | | 62,473 | |
| Caleres, Inc. | | | 931 | | | | 28,423 | |
| Capella Education Co. | | | 200 | | | | 9,904 | |
| Carriage Services, Inc. | | | 552 | | | | 11,918 | |
| Carrols Restaurant Group, Inc. † | | | 742 | | | | 8,830 | |
| Cato Corp./The, Class A | | | 400 | | | | 13,612 | |
| Chegg, Inc. † | | | 2,968 | | | | 21,399 | |
| Citi Trends, Inc. | | | 600 | | | | 14,028 | |
| ClubCorp Holdings, Inc. | | | 1,814 | | | | 38,928 | |
| Columbia Sportswear Co. | | | 800 | | | | 47,032 | |
| Cooper Tire & Rubber Co. | | | 576 | | | | 22,758 | |
| Cooper-Standard Holding, Inc. ��� | | | 400 | | | | 23,200 | |
| Core-Mark Holding Co., Inc. | | | 1,000 | | | | 65,450 | |
| Cracker Barrel Old Country Store, Inc. (a) | | | 609 | | | | 89,694 | |
| Culp, Inc. | | | 327 | | | | 10,487 | |
| Denny’s Corp. † | | | 2,000 | | | | 22,060 | |
| Diamond Resorts International, Inc. † | | | 2,037 | | | | 47,645 | |
| DineEquity, Inc. | | | 299 | | | | 27,406 | |
| Drew Industries, Inc. | | | 234 | | | | 12,779 | |
| Entravision Communications Corp., Class A | | | 2,467 | | | | 16,381 | |
| EW Scripps Co./The, Class A | | | 1,235 | | | | 21,822 | |
| Express, Inc. † | | | 1,369 | | | | 24,464 | |
| Fiesta Restaurant Group, Inc. † | | | 693 | | | | 31,441 | |
| Finish Line, Inc./The, Class A | | | 838 | | | | 16,173 | |
| FTD Cos., Inc. † | | | 500 | | | | 14,900 | |
| Gentherm, Inc. † | | | 1,057 | | | | 47,480 | |
| G-III Apparel Group Ltd. † | | | 1,123 | | | | 69,244 | |
| Global Eagle Entertainment, Inc. †(a) | | | 1,196 | | | | 13,730 | |
| Grand Canyon Education, Inc. † | | | 538 | | | | 20,439 | |
| Gray Television, Inc. † | | | 2,135 | | | | 27,243 | |
| Group 1 Automotive, Inc. | | | 200 | | | | 17,030 | |
| Helen of Troy Ltd. † | | | 942 | | | | 84,121 | |
| Hooker Furniture Corp. (a) | | | 465 | | | | 10,946 | |
| Houghton Mifflin Harcourt Co. † | | | 1,697 | | | | 34,466 | |
| IMAX Corp. (Canada) †(a) | | | 229 | | | | 7,738 | |
| Installed Building Products, Inc. † | | | 1,315 | | | | 33,243 | |
| Isle of Capri Casinos, Inc. † | | | 660 | | | | 11,510 | |
| Jack in the Box, Inc. | | | 1,435 | | | | 110,552 | |
| Kirkland’s, Inc. | | | 900 | | | | 19,386 | |
| Kona Grill, Inc. † | | | 1,191 | | | | 18,758 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 14.8% (continued) | | | | |
| Krispy Kreme Doughnuts, Inc. † | | | 925 | | | $ | 13,533 | |
| Lands’ End, Inc. †(a) | | | 436 | | | | 11,776 | |
| La-Z-Boy, Inc. | | | 430 | | | | 11,421 | |
| Libbey, Inc. | | | 400 | | | | 13,044 | |
| Lithia Motors, Inc., Class A | | | 602 | | | | 65,082 | |
| MarineMax, Inc. † | | | 669 | | | | 9,453 | |
| Marriott Vacations Worldwide Corp. | | | 1,196 | | | | 81,495 | |
| Mattress Firm Holding Corp. †(a) | | | 1,251 | | | | 52,242 | |
| MDC Partners, Inc., Class A | | | 944 | | | | 17,398 | |
| Monro Muffler Brake, Inc. | | | 414 | | | | 27,966 | |
| Motorcar Parts of America, Inc. † | | | 1,306 | | | | 40,930 | |
| NACCO Industries, Inc., Class A | | | 210 | | | | 9,986 | |
| Nautilus, Inc. † | | | 1,157 | | | | 17,355 | |
| New Home Co., Inc./The † | | | 667 | | | | 8,638 | |
| New Media Investment Group, Inc. | | | 1,547 | | | | 23,917 | |
| Nexstar Broadcasting Group, Inc., Class A | | | 356 | | | | 16,857 | |
| Nutrisystem, Inc. | | | 1,800 | | | | 47,736 | |
| Overstock.com, Inc. † | | | 485 | | | | 8,323 | |
| Oxford Industries, Inc. | | | 148 | | | | 10,934 | |
| Papa John’s International, Inc. | | | 1,424 | | | | 97,516 | |
| Papa Murphy’s Holdings, Inc. †(a) | | | 974 | | | | 14,298 | |
| Penn National Gaming, Inc. †(a) | | | 999 | | | | 16,763 | |
| Performance Sports Group Ltd. † | | | 1,435 | | | | 19,258 | |
| Pool Corp. | | | 699 | | | | 50,538 | |
| Popeyes Louisiana Kitchen, Inc. † | | | 873 | | | | 49,202 | |
| Red Robin Gourmet Burgers, Inc. † | | | 219 | | | | 16,587 | |
| Rent-A-Center, Inc. | | | 400 | | | | 9,700 | |
| Rentrak Corp. †(a) | | | 300 | | | | 16,221 | |
| Restoration Hardware Holdings, Inc. † | | | 349 | | | | 32,565 | |
| Ruth’s Hospitality Group, Inc. | | | 972 | | | | 15,785 | |
| Scientific Games Corp., Class A †(a) | | | 2,062 | | | | 21,548 | |
| Select Comfort Corp. † | | | 1,997 | | | | 43,694 | |
| Sequential Brands Group, Inc. † | | | 674 | | | | 9,753 | |
| Skullcandy, Inc. † | | | 1,954 | | | | 10,806 | |
| Sonic Corp. | | | 1,127 | | | | 25,865 | |
| Sportsman’s Warehouse Holdings, Inc. † | | | 1,609 | | | | 19,823 | |
| Standard Motor Products, Inc. | | | 641 | | | | 22,358 | |
| Stein Mart, Inc. | | | 1,340 | | | | 12,971 | |
| Steven Madden Ltd. † | | | 651 | | | | 23,840 | |
| Strattec Security Corp. | | | 300 | | | | 18,918 | |
| Texas Roadhouse, Inc. | | | 2,000 | | | | 74,400 | |
| Tile Shop Holdings, Inc. †(a) | | | 792 | | | | 9,488 | |
| Tilly’s, Inc., A Shares † | | | 1,588 | | | | 11,688 | |
| Tower International, Inc. † | | | 753 | | | | 17,891 | |
| Tuesday Morning Corp. † | | | 1,155 | | | | 6,249 | |
| Universal Electronics, Inc. † | | | 400 | | | | 16,812 | |
| World Wrestling Entertainment, Inc., Class A (a) | | | 1,183 | | | | 19,993 | |
| ZAGG, Inc. † | | | 1,866 | | | | 12,670 | |
| Zoe’s Kitchen, Inc. †(a) | | | 509 | | | | 20,100 | |
| Zumiez, Inc. † | | | 1,129 | | | | 17,646 | |
| | | | | | | | |
| | | | | | | 2,990,550 | |
| | | | | | | | |
| Consumer Staples - 3.4% | | | | | | |
| Boston Beer Co., Inc./The, Class A † | | | 72 | | | | 15,164 | |
| Calavo Growers, Inc. | | | 300 | | | | 13,392 | |
| Cal-Maine Foods, Inc. (a) | | | 1,202 | | | | 65,641 | |
| Coca-Cola Bottling Co. Consolidated | | | 202 | | | | 39,063 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
109
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Staples - 3.4% (continued) | | | | | | |
| Diamond Foods, Inc. † | | | 500 | | | $ | 15,430 | |
| Fresh Del Monte Produce, Inc. | | | 1,300 | | | | 51,363 | |
| Fresh Market, Inc./The †(a) | | | 265 | | | | 5,986 | |
| HRG Group, Inc. † | | | 3,776 | | | | 44,292 | |
| Ingles Markets, Inc., Class A | | | 500 | | | | 23,915 | |
| J&J Snack Foods Corp. | | | 384 | | | | 43,645 | |
| John B. Sanfilippo & Son, Inc. | | | 300 | | | | 15,378 | |
| Natural Health Trends Corp. (a) | | | 1,142 | | | | 37,321 | |
| Post Holdings, Inc. † | | | 874 | | | | 51,653 | |
| Revlon, Inc., Class A † | | | 830 | | | | 24,444 | |
| Sanderson Farms, Inc. | | | 700 | | | | 47,999 | |
| SpartanNash Co. | | | 755 | | | | 19,517 | |
| SUPERVALU, Inc. † | | | 3,000 | | | | 21,540 | |
| USANA Health Sciences, Inc. † | | | 300 | | | | 40,209 | |
| Vector Group Ltd. | | | 4,541 | | | | 102,678 | |
| WD-40 Co. | | | 200 | | | | 17,814 | |
| | | | | | | | |
| | | | | | | 696,444 | |
| | | | | | | | |
| Energy - 0.8% | | | | | | |
| Alon USA Energy, Inc. | | | 841 | | | | 15,197 | |
| Delek US Holdings, Inc. | | | 600 | | | | 16,620 | |
| Green Plains, Inc. | | | 616 | | | | 11,987 | |
| Matrix Service Co. † | | | 700 | | | | 15,729 | |
| Newpark Resources, Inc. † | | | 1,331 | | | | 6,815 | |
| Nordic American Tankers Ltd. (Norway) | | | 1,290 | | | | 19,608 | |
| Pacific Ethanol, Inc. †(a) | | | 900 | | | | 5,841 | |
| REX American Resources Corp. †(a) | | | 300 | | | | 15,186 | |
| RigNet, Inc. †(a) | | | 451 | | | | 11,501 | |
| Ship Finance International Ltd. (Norway) (a) | | | 1,000 | | | | 16,250 | |
| Synergy Resources Corp. † | | | 1,416 | | | | 13,877 | |
| Teekay Tankers Ltd., Class A | | | 2,395 | | | | 16,525 | |
| | | | | | | | |
| | | | | | | 165,136 | |
| | | | | | | | |
| Financials - 18.6% | | | | | | |
| Acadia Realty Trust REIT | | | 1,244 | | | | 37,407 | |
| Access National Corp. (a) | | | 511 | | | | 10,409 | |
| Actua Corp. † | | | 900 | | | | 10,584 | |
| American Assets Trust, Inc. REIT | | | 1,348 | | | | 55,079 | |
| American Equity Investment Life Holding Co. | | | 641 | | | | 14,942 | |
| Ameris Bancorp | | | 1,531 | | | | 44,016 | |
| AMERISAFE, Inc. | | | 315 | | | | 15,665 | |
| Argo Group International Holdings Ltd. | | | 600 | | | | 33,954 | |
| Ashford Hospitality Trust, Inc. REIT | | | 1,500 | | | | 9,150 | |
| Astoria Financial Corp. | | | 1,400 | | | | 22,540 | |
| Banc of California, Inc. | | | 1,402 | | | | 17,203 | |
| Bank of the Ozarks, Inc. | | | 985 | | | | 43,104 | |
| Banner Corp. | | | 455 | | | | 21,735 | |
| BGC Partners, Inc., Class A | | | 6,967 | | | | 57,269 | |
| BNC Bancorp | | | 978 | | | | 21,741 | |
| BofI Holding, Inc. † | | | 488 | | | | 62,869 | |
| Boston Private Financial Holdings, Inc. | | | 1,225 | | | | 14,332 | |
| Capital Bank Financial Corp., Class A † | | | 2,887 | | | | 87,274 | |
| Cash America International, Inc. | | | 692 | | | | 19,355 | |
| Cathay General Bancorp | | | 829 | | | | 24,837 | |
| Cedar Realty Trust, Inc. REIT | | | 1,989 | | | | 12,352 | |
| Central Pacific Financial Corp. | | | 835 | | | | 17,510 | |
| Chatham Lodging Trust REIT | | | 1,619 | | | | 34,776 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 18.6% (continued) | | | | | | |
| Chesapeake Lodging Trust REIT | | | 734 | | | $ | 19,128 | |
| CNO Financial Group, Inc. | | | 725 | | | | 13,637 | |
| ConnectOne Bancorp, Inc. | | | 900 | | | | 17,370 | |
| CoreSite Realty Corp. REIT | | | 1,387 | | | | 71,347 | |
| Cowen Group, Inc., Class A † | | | 3,463 | | | | 15,791 | |
| CubeSmart REIT | | | 2,871 | | | | 78,120 | |
| Customers Bancorp, Inc. † | | | 1,237 | | | | 31,791 | |
| CVB Financial Corp. | | | 1,182 | | | | 19,739 | |
| CyrusOne, Inc. REIT | | | 3,157 | | | | 103,108 | |
| DCT Industrial Trust, Inc. REIT | �� | | 572 | | | | 19,254 | |
| DuPont Fabros Technology, Inc. REIT | | | 1,100 | | | | 28,468 | |
| Eagle Bancorp, Inc. † | | | 980 | | | | 44,590 | |
| EastGroup Properties, Inc. REIT | | | 329 | | | | 17,825 | |
| Education Realty Trust, Inc. REIT | | | 1,567 | | | | 51,633 | |
| Enstar Group Ltd. † | | | 155 | | | | 23,250 | |
| Essent Group Ltd. † | | | 2,194 | | | | 54,521 | |
| FBL Financial Group, Inc., Class A | | | 241 | | | | 14,826 | |
| FCB Financial Holdings, Inc., Class A † | | | 399 | | | | 13,015 | |
| Federated National Holding Co. | | | 2,074 | | | | 49,817 | |
| FelCor Lodging Trust, Inc. REIT | | | 3,003 | | | | 21,231 | |
| Fidelity Southern Corp. | | | 1,125 | | | | 23,782 | |
| First American Financial Corp. | | | 1,911 | | | | 74,663 | |
| First Defiance Financial Corp. | | | 453 | | | | 16,562 | |
| First Interstate BancSystem, Inc., Class A | | | 2,290 | | | | 63,754 | |
| GAIN Capital Holdings, Inc. | | | 1,922 | | | | 13,992 | |
| GAMCO Investors, Inc., Class A | | | 344 | | | | 18,886 | |
| GEO Group, Inc./The REIT | | | 1,257 | | | | 37,383 | |
| Gladstone Commercial Corp. REIT | | | 800 | | | | 11,288 | |
| Greenlight Capital Re Ltd., Class A † | | | 400 | | | | 8,912 | |
| Hanmi Financial Corp. | | | 1,300 | | | | 32,760 | |
| HCI Group, Inc. | | | 313 | | | | 12,135 | |
| Healthcare Realty Trust, Inc. REIT | | | 560 | | | | 13,916 | |
| Heritage Insurance Holdings, Inc. † | | | 770 | | | | 15,192 | |
| Hersha Hospitality Trust REIT | | | 1,090 | | | | 24,699 | |
| HFF, Inc., Class A | | | 1,079 | | | | 36,427 | |
| Hilltop Holdings, Inc. † | | | 800 | | | | 15,848 | |
| Hingham Institution for Savings (a) | | | 91 | | | | 10,559 | |
| Home BancShares, Inc. | | | 1,005 | | | | 40,702 | |
| HomeStreet, Inc. † | | | 693 | | | | 16,008 | |
| HomeTrust Bancshares, Inc. † | | | 439 | | | | 8,143 | |
| Hudson Pacific Properties, Inc. REIT | | | 2,172 | | | | 62,532 | |
| Impac Mortgage Holdings, Inc. †(a) | | | 1,013 | | | | 16,563 | |
| Independent Bank Corp./MI | | | 1,043 | | | | 15,395 | |
| Independent Bank Group, Inc. | | | 300 | | | | 11,529 | |
| Investment Technology Group, Inc. | | | 682 | | | | 9,098 | |
| Investors Bancorp, Inc. | | | 7,598 | | | | 93,759 | |
| Janus Capital Group, Inc. | | | 800 | | | | 10,880 | |
| KCG Holdings, Inc., Class A † | | | 843 | | | | 9,248 | |
| Kennedy-Wilson Holdings, Inc. | | | 1,600 | | | | 35,472 | |
| Ladenburg Thalmann Financial Services, Inc. †(a) | | | 5,000 | | | | 10,550 | |
| Lakeland Financial Corp. | | | 500 | | | | 22,575 | |
| LegacyTexas Financial Group, Inc. | | | 492 | | | | 14,996 | |
| LendingTree, Inc. † | | | 622 | | | | 57,865 | |
| Maiden Holdings Ltd. | | | 1,054 | | | | 14,630 | |
| Marcus & Millichap, Inc. † | | | 1,307 | | | | 60,109 | |
| MarketAxess Holdings, Inc. | | | 370 | | | | 34,366 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
110
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Financials - 18.6% (continued) | | | | | | |
| MB Financial, Inc. | | | 627 | | | $ | 20,465 | |
| Meta Financial Group, Inc. | | | 618 | | | | 25,814 | |
| National Health Investors, Inc. REIT | | | 101 | | | | 5,806 | |
| Navigators Group, Inc./The † | | | 200 | | | | 15,596 | |
| Nelnet, Inc., Class A | | | 400 | | | | 13,844 | |
| Opus Bank | | | 274 | | | | 10,478 | |
| Pebblebrook Hotel Trust REIT | | | 369 | | | | 13,081 | |
| PennyMac Financial Services, Inc., Class A † | | | 835 | | | | 13,360 | |
| Physicians Realty Trust REIT | | | 3,036 | | | | 45,813 | |
| Pinnacle Financial Partners, Inc. | | | 881 | | | | 43,530 | |
| Primerica, Inc. | | | 641 | | | | 28,890 | |
| PrivateBancorp, Inc. | | | 981 | | | | 37,602 | |
| PS Business Parks, Inc. REIT (a) | | | 147 | | | | 11,669 | |
| QCR Holdings, Inc. | | | 485 | | | | 10,607 | |
| QTS Realty Trust, Inc., Class A REIT | | | 1,071 | | | | 46,792 | |
| Ramco-Gershenson Properties Trust REIT | | | 1,967 | | | | 29,525 | |
| RE/MAX Holdings, Inc., Class A | | | 657 | | | | 23,639 | |
| Retail Opportunity Investments Corp. REIT | | | 2,273 | | | | 37,595 | |
| Rexford Industrial Realty, Inc. REIT | | | 1,134 | | | | 15,638 | |
| Ryman Hospitality Properties, Inc. REIT | | | 1,068 | | | | 52,578 | |
| Sabra Health Care REIT, Inc. | | | 554 | | | | 12,842 | |
| Seacoast Banking Corp of Florida † | | | 1,142 | | | | 16,765 | |
| Selective Insurance Group, Inc. | | | 415 | | | | 12,890 | |
| ServisFirst Bancshares, Inc. | | | 845 | | | | 35,093 | |
| Simmons First National Corp., Class A | | | 600 | | | | 28,758 | |
| South State Corp. | | | 302 | | | | 23,215 | |
| Southside Bancshares, Inc. | | | 840 | | | | 23,142 | |
| Sovran Self Storage, Inc. REIT | | | 786 | | | | 74,120 | |
| State Bank Financial Corp. | | | 950 | | | | 19,646 | |
| Stonegate Bank | | | 988 | | | | 31,428 | |
| Summit Hotel Properties, Inc. REIT | | | 2,630 | | | | 30,692 | |
| Sun Communities, Inc. REIT | | | 1,200 | | | | 81,312 | |
| Talmer Bancorp, Inc., Class A | | | 2,155 | | | | 35,881 | |
| Terreno Realty Corp. REIT | | | 915 | | | | 17,971 | |
| Territorial Bancorp, Inc. | | | 231 | | | | 6,015 | |
| TriState Capital Holdings, Inc. † | | | 475 | | | | 5,923 | |
| United Community Banks, Inc. | | | 2,308 | | | | 47,176 | |
| United Insurance Holdings Corp. | | | 2,600 | | | | 34,190 | |
| Universal Health Realty Income Trust REIT | | | 283 | | | | 13,284 | |
| Universal Insurance Holdings, Inc. | | | 1,100 | | | | 32,494 | |
| Walker & Dunlop, Inc. † | | | 776 | | | | 20,238 | |
| Washington Real Estate Investment Trust REIT (a) | | | 1,600 | | | | 39,888 | |
| Waterstone Financial, Inc. | | | 2,000 | | | | 26,960 | |
| Webster Financial Corp. | | | 1,302 | | | | 46,390 | |
| WesBanco, Inc. | | | 352 | | | | 11,070 | |
| Western Alliance Bancorp † | | | 2,469 | | | | 75,823 | |
| Whitestone REIT | | | 665 | | | | 7,667 | |
| Wilshire Bancorp, Inc. | | | 1,800 | | | | 18,918 | |
| WisdomTree Investments, Inc. (a) | | | 3,311 | | | | 53,406 | |
| | | | | | | | |
| | | | | | | 3,757,261 | |
| | | | | | | | |
| Health Care - 23.3% | | | | | | |
| AAC Holdings, Inc. †(a) | | | 541 | | | | 12,037 | |
| Abaxis, Inc. | | | 657 | | | | 28,901 | |
| ABIOMED, Inc. † | | | 1,317 | | | | 122,165 | |
| ACADIA Pharmaceuticals, Inc. † | | | 669 | | | | 22,124 | |
| Accelerate Diagnostics, Inc. † | | | 1,539 | | | | 24,901 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 23.3% (continued) | | | | | | |
| Acceleron Pharma, Inc. †(a) | | | 500 | | | $ | 12,450 | |
| Aceto Corp. | | | 1,044 | | | | 28,658 | |
| Adamas Pharmaceuticals, Inc. † | | | 448 | | | | 7,500 | |
| Addus HomeCare Corp. † | | | 1,246 | | | | 38,813 | |
| Adeptus Health, Inc., Class A † | | | 632 | | | | 51,040 | |
| Advaxis, Inc. †(a) | | | 2,125 | | | | 21,739 | |
| Aerie Pharmaceuticals, Inc. †(a) | | | 811 | | | | 14,387 | |
| Affymetrix, Inc. † | | | 1,156 | | | | 9,872 | |
| Agenus, Inc. † | | | 3,037 | | | | 13,970 | |
| Air Methods Corp. † | | | 300 | | | | 10,227 | |
| Albany Molecular Research, Inc. †(a) | | | 622 | | | | 10,835 | |
| Alder Biopharmaceuticals, Inc. † | | | 1,603 | | | | 52,514 | |
| AMAG Pharmaceuticals, Inc. † | | | 1,000 | | | | 39,730 | |
| Amedisys, Inc. † | | | 745 | | | | 28,288 | |
| Amicus Therapeutics, Inc. † | | | 3,379 | | | | 47,272 | |
| AMN Healthcare Services, Inc. † | | | 1,210 | | | | 36,312 | |
| Amphastar Pharmaceuticals, Inc. † | | | 1,011 | | | | 11,819 | |
| Amsurg Corp. † | | | 500 | | | | 38,855 | |
| Anacor Pharmaceuticals, Inc. † | | | 722 | | | | 84,987 | |
| Analogic Corp. | | | 156 | | | | 12,798 | |
| ANI Pharmaceuticals, Inc. †(a) | | | 574 | | | | 22,679 | |
| Anika Therapeutics, Inc. † | | | 794 | | | | 25,273 | |
| Anthera Pharmaceuticals, Inc. † | | | 2,206 | | | | 13,435 | |
| Aratana Therapeutics, Inc. † | | | 475 | | | | 4,018 | |
| ARIAD Pharmaceuticals, Inc. † | | | 4,416 | | | | 25,789 | |
| Array BioPharma, Inc. †(a) | | | 4,750 | | | | 21,660 | |
| Assembly Biosciences, Inc. †(a) | | | 704 | | | | 6,730 | |
| Asterias Biotherapeutics, Inc. † | | | 1,225 | | | | 4,741 | |
| AtriCure, Inc. † | | | 800 | | | | 17,528 | |
| BioCryst Pharmaceuticals, Inc. † | | | 1,562 | | | | 17,807 | |
| BioSpecifics Technologies Corp. † | | | 174 | | | | 7,576 | |
| BioTelemetry, Inc. † | | | 1,700 | | | | 20,808 | |
| Cambrex Corp. † | | | 1,200 | | | | 47,616 | |
| Cantel Medical Corp. | | | 420 | | | | 23,814 | |
| Capital Senior Living Corp. † | | | 432 | | | | 8,662 | |
| Cara Therapeutics, Inc. † | | | 330 | | | | 4,716 | |
| Cardiovascular Systems, Inc. † | | | 542 | | | | 8,585 | |
| Catalent, Inc. † | | | 601 | | | | 14,604 | |
| Catalyst Pharmaceuticals, Inc. † | | | 9,282 | | | | 27,846 | |
| Celldex Therapeutics, Inc. †(a) | | | 1,396 | | | | 14,714 | |
| Cellular Biomedicine Group, Inc. †(a) | | | 975 | | | | 16,507 | |
| Cempra, Inc. † | | | 2,144 | | | | 59,689 | |
| Cerus Corp. †(a) | | | 3,201 | | | | 14,533 | |
| Chemed Corp. | | | 500 | | | | 66,735 | |
| Chimerix, Inc. † | | | 1,789 | | | | 68,340 | |
| Clovis Oncology, Inc. † | | | 353 | | | | 32,462 | |
| Concert Pharmaceuticals, Inc. † | | | 1,751 | | | | 32,866 | |
| CONMED Corp. | | | 500 | | | | 23,870 | |
| Corcept Therapeutics, Inc. † | | | 2,685 | | | | 10,096 | |
| CorMedix, Inc. †(a) | | | 2,893 | | | | 5,757 | |
| CorVel Corp. † | | | 404 | | | | 13,049 | |
| Cross Country Healthcare, Inc. † | | | 1,400 | | | | 19,054 | |
| CTI BioPharma Corp. † | | | 3,700 | | | | 5,402 | |
| Cyberonics, Inc. † | | | 400 | | | | 24,312 | |
| Cynosure, Inc., Class A † | | | 663 | | | | 19,917 | |
| Durect Corp. †(a) | | | 2,981 | | | | 5,813 | |
| Dyax Corp. † | | | 2,187 | | | | 41,750 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
111
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 23.3% (continued) | | | | | | |
| Dynavax Technologies Corp. † | | | 1,030 | | | $ | 25,276 | |
| Eagle Pharmaceuticals, Inc. † | | | 849 | | | | 62,851 | |
| Emergent BioSolutions, Inc. † | | | 500 | | | | 14,245 | |
| Enanta Pharmaceuticals, Inc. †(a) | | | 400 | | | | 14,456 | |
| Ensign Group, Inc./The | | | 1,000 | | | | 42,630 | |
| Esperion Therapeutics, Inc. †(a) | | | 972 | | | | 22,929 | |
| Exact Sciences Corp. †(a) | | | 2,262 | | | | 40,693 | |
| ExamWorks Group, Inc. † | | | 961 | | | | 28,100 | |
| Exelixis, Inc. † | | | 2,734 | | | | 15,338 | |
| Fibrocell Science, Inc. † | | | 1,204 | | | | 4,635 | |
| Five Prime Therapeutics, Inc. † | | | 1,269 | | | | 19,530 | |
| Flexion Therapeutics, Inc. † | | | 708 | | | | 10,521 | |
| GenMark Diagnostics, Inc. † | | | 1,549 | | | | 12,191 | |
| Genomic Health, Inc. †(a) | | | 455 | | | | 9,628 | |
| Geron Corp. †(a) | | | 3,240 | | | | 8,942 | |
| Globus Medical, Inc., Class A † | | | 1,343 | | | | 27,746 | |
| Greatbatch, Inc. † | | | 400 | | | | 22,568 | |
| Halozyme Therapeutics, Inc. † | | | 3,321 | | | | 44,601 | |
| HealthEquity, Inc. † | | | 516 | | | | 15,248 | |
| HealthStream, Inc. † | | | 397 | | | | 8,659 | |
| Healthways, Inc. † | | | 1,200 | | | | 13,344 | |
| Heska Corp. † | | | 716 | | | | 21,824 | |
| ICU Medical, Inc. † | | | 559 | | | | 61,210 | |
| IGI Laboratories, Inc. †(a) | | | 4,300 | | | | 28,122 | |
| Ignyta, Inc. †(a) | | | 1,451 | | | | 12,740 | |
| ImmunoGen, Inc. † | | | 1,324 | | | | 12,710 | |
| Impax Laboratories, Inc. † | | | 1,600 | | | | 56,336 | |
| Infinity Pharmaceuticals, Inc. † | | | 1,367 | | | | 11,551 | |
| Inogen, Inc. † | | | 1,089 | | | | 52,871 | |
| Inovio Pharmaceuticals, Inc. † | | | 1,375 | | | | 7,947 | |
| Insmed, Inc. † | | | 1,900 | | | | 35,283 | |
| Insys Therapeutics, Inc. †(a) | | | 2,497 | | | | 71,065 | |
| Intersect ENT, Inc. † | | | 422 | | | | 9,875 | |
| Intra-Cellular Therapies, Inc. † | | | 1,374 | | | | 55,015 | |
| iRadimed Corp. † | | | 217 | | | | 5,286 | |
| Ironwood Pharmaceuticals, Inc. † | | | 1,353 | | | | 14,098 | |
| K2M Group Holdings, Inc. † | | | 1,170 | | | | 21,762 | |
| Kindred Healthcare, Inc. | | | 600 | | | | 9,450 | |
| Kite Pharma, Inc. †(a) | | | 1,171 | | | | 65,201 | |
| Lannett Co., Inc. †(a) | | | 1,002 | | | | 41,603 | |
| LDR Holding Corp. † | | | 1,323 | | | | 45,683 | |
| Ligand Pharmaceuticals, Inc. † | | | 567 | | | | 48,564 | |
| Lion Biotechnologies, Inc. †(a) | | | 1,693 | | | | 9,752 | |
| Loxo Oncology, Inc. † | | | 281 | | | | 4,912 | |
| MacroGenics, Inc. † | | | 1,039 | | | | 22,255 | |
| Masimo Corp. † | | | 819 | | | | 31,581 | |
| Medicines Co./The † | | | 290 | | | | 11,008 | |
| Medidata Solutions, Inc. † | | | 471 | | | | 19,834 | |
| Merit Medical Systems, Inc. † | | | 612 | | | | 14,633 | |
| Merrimack Pharmaceuticals, Inc. † | | | 4,483 | | | | 38,150 | |
| MiMedx Group, Inc. †(a) | | | 4,489 | | | | 43,319 | |
| Mirati Therapeutics, Inc. † | | | 693 | | | | 23,853 | |
| Molina Healthcare, Inc. † | | | 800 | | | | 55,080 | |
| Momenta Pharmaceuticals, Inc. † | | | 1,517 | | | | 24,894 | |
| Nanosphere, Inc. † | | | 99 | | | | 161 | |
| Natus Medical, Inc. † | | | 1,478 | | | | 58,307 | |
| Nektar Therapeutics † | | | 909 | | | | 9,963 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 23.3% (continued) | | | | | | |
| NeoGenomics, Inc. † | | | 1,062 | | | $ | 6,085 | |
| Neurocrine Biosciences, Inc. † | | | 1,600 | | | | 63,664 | |
| NewLink Genetics Corp. † | | | 1,335 | | | | 47,846 | |
| Novavax, Inc. † | | | 8,398 | | | | 59,374 | |
| NuVasive, Inc. † | | | 896 | | | | 43,205 | |
| NxStage Medical, Inc. † | | | 1,351 | | | | 21,305 | |
| Ocular Therapeutix, Inc. † | | | 366 | | | | 5,146 | |
| Omeros Corp. †(a) | | | 2,021 | | | | 22,150 | |
| Omnicell, Inc. † | | | 1,035 | | | | 32,188 | |
| Ophthotech Corp. † | | | 940 | | | | 38,089 | |
| Organovo Holdings, Inc. †(a) | | | 2,400 | | | | 6,432 | |
| Osiris Therapeutics, Inc. † | | | 672 | | | | 12,412 | |
| OvaScience, Inc. †(a) | | | 883 | | | | 7,497 | |
| Pacific Biosciences of California, Inc. †(a) | | | 2,694 | | | | 9,860 | |
| PAREXEL International Corp. † | | | 228 | | | | 14,118 | |
| Peregrine Pharmaceuticals, Inc. † | | | 9,591 | | | | 9,783 | |
| Pernix Therapeutics Holdings, Inc. †(a) | | | 1,894 | | | | 5,985 | |
| Pfenex, Inc. † | | | 427 | | | | 6,409 | |
| PharMerica Corp. † | | | 900 | | | | 25,623 | |
| Phibro Animal Health Corp., Class A | | | 1,158 | | | | 36,628 | |
| Portola Pharmaceuticals, Inc. † | | | 1,745 | | | | 74,372 | |
| POZEN, Inc. † | | | 1,300 | | | | 7,586 | |
| Prestige Brands Holdings, Inc. † | | | 735 | | | | 33,193 | |
| Progenics Pharmaceuticals, Inc. † | | | 3,435 | | | | 19,648 | |
| Prothena Corp. PLC (Ireland) † | | | 329 | | | | 14,917 | |
| Providence Service Corp./The † | | | 400 | | | | 17,432 | |
| PTC Therapeutics, Inc. † | | | 1,287 | | | | 34,363 | |
| Radius Health, Inc. † | | | 1,323 | | | | 91,697 | |
| RadNet, Inc. † | | | 2,500 | | | | 13,875 | |
| Raptor Pharmaceutical Corp. † | | | 1,845 | | | | 11,162 | |
| Regulus Therapeutics, Inc. † | | | 2,561 | | | | 16,749 | |
| Relypsa, Inc. † | | | 1,289 | | | | 23,859 | |
| Repligen Corp. † | | | 1,200 | | | | 33,420 | |
| Retrophin, Inc. † | | | 1,553 | | | | 31,464 | |
| Rockwell Medical, Inc. †(a) | | | 1,724 | | | | 13,292 | |
| RTI Surgical, Inc. † | | | 2,746 | | | | 15,597 | |
| Sage Therapeutics, Inc. †(a) | | | 768 | | | | 32,502 | |
| Sagent Pharmaceuticals, Inc. † | | | 600 | | | | 9,198 | |
| Sarepta Therapeutics, Inc. † | | | 705 | | | | 22,638 | |
| Select Medical Holdings Corp. | | | 2,344 | | | | 25,292 | |
| Sorrento Therapeutics, Inc. † | | | 1,268 | | | | 10,639 | |
| Spectranetics Corp./The † | | | 1,257 | | | | 14,820 | |
| STERIS Corp. | | | 619 | | | | 40,216 | |
| Sucampo Pharmaceuticals, Inc., Class A † | | | 1,836 | | | | 36,481 | |
| Supernus Pharmaceuticals, Inc. † | | | 2,382 | | | | 33,419 | |
| Surgical Care Affiliates, Inc. † | | | 493 | | | | 16,116 | |
| Synergy Pharmaceuticals, Inc. †(a) | | | 2,921 | | | | 15,481 | |
| TESARO, Inc. † | | | 1,320 | | | | 52,932 | |
| Tetraphase Pharmaceuticals, Inc. †(a) | | | 2,643 | | | | 19,717 | |
| TG Therapeutics, Inc. †(a) | | | 2,524 | | | | 25,442 | |
| TherapeuticsMD, Inc. † | | | 4,274 | | | | 25,046 | |
| Trevena, Inc. † | | | 521 | | | | 5,392 | |
| Ultragenyx Pharmaceutical, Inc. † | | | 397 | | | | 38,235 | |
| US Physical Therapy, Inc. | | | 280 | | | | 12,569 | |
| Vascular Solutions, Inc. † | | | 769 | | | | 24,923 | |
| Vital Therapies, Inc. †(a) | | | 1,708 | | | | 6,900 | |
| Xencor, Inc. † | | | 1,298 | | | | 15,875 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
112
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 23.3% (continued) | | | | | | |
| XenoPort, Inc. † | | | 1,877 | | | $ | 6,513 | |
| Zafgen, Inc. † | | | 960 | | | | 30,672 | |
| Zeltiq Aesthetics, Inc. † | | | 2,122 | | | | 67,968 | |
| ZIOPHARM Oncology, Inc. †(a) | | | 5,258 | | | | 47,375 | |
| ZS Pharma, Inc. † | | | 650 | | | | 42,679 | |
| | | | | | | | |
| | | | | | | 4,706,441 | |
| | | | | | | | |
| Industrials - 9.0% | | | | | | |
| AAON, Inc. | | | 1,050 | | | | 20,349 | |
| AAR Corp. | | | 688 | | | | 13,051 | |
| Advanced Drainage Systems, Inc. (a) | | | 332 | | | | 9,605 | |
| Aerojet Rocketdyne Holdings, Inc. †(a) | | | 588 | | | | 9,514 | |
| Air Transport Services Group, Inc. † | | | 1,277 | | | | 10,918 | |
| Aircastle Ltd. | | | 1,474 | | | | 30,379 | |
| Albany International Corp., Class A | | | 329 | | | | 9,413 | |
| Allegiant Travel Co. | | | 618 | | | | 133,642 | |
| Allied Motion Technologies, Inc. (a) | | | 729 | | | | 12,954 | |
| American Woodmark Corp. † | | | 564 | | | | 36,587 | |
| Apogee Enterprises, Inc. | | | 791 | | | | 35,318 | |
| ARC Document Solutions, Inc. † | | | 1,784 | | | | 10,615 | |
| ArcBest Corp. | | | 1,099 | | | | 28,321 | |
| Argan, Inc. | | | 730 | | | | 25,316 | |
| Astronics Corp. † | | | 515 | | | | 20,821 | |
| Atlas Air Worldwide Holdings, Inc. † | | | 400 | | | | 13,824 | |
| Builders FirstSource, Inc. † | | | 1,831 | | | | 23,217 | |
| CEB, Inc. | | | 456 | | | | 31,163 | |
| Comfort Systems USA, Inc. | | | 727 | | | | 19,818 | |
| Continental Building Products, Inc. † | | | 1,526 | | | | 31,344 | |
| Covenant Transportation Group, Inc., Class A † | | | 1,000 | | | | 17,970 | |
| Curtiss-Wright Corp. | | | 182 | | | | 11,360 | |
| Deluxe Corp. | | | 267 | | | | 14,883 | |
| Douglas Dynamics, Inc. | | | 715 | | | | 14,200 | |
| Ducommun, Inc. † | | | 564 | | | | 11,319 | |
| Dycom Industries, Inc. † | | | 848 | | | | 61,361 | |
| Echo Global Logistics, Inc. † | | | 1,722 | | | | 33,751 | |
| EnerSys | | | 213 | | | | 11,413 | |
| Engility Holdings, Inc. | | | 470 | | | | 12,117 | |
| Enphase Energy, Inc. † | | | 1,813 | | | | 6,708 | |
| EnPro Industries, Inc. | | | 400 | | | | 15,668 | |
| Exponent, Inc. | | | 286 | | | | 12,744 | |
| Federal Signal Corp. | | | 2,000 | | | | 27,420 | |
| G&K Services, Inc., Class A | | | 400 | | | | 26,648 | |
| Gibraltar Industries, Inc. † | | | 704 | | | | 12,918 | |
| Greenbrier Cos., Inc./The | | | 214 | | | | 6,872 | |
| Hawaiian Holdings, Inc. † | | | 1,800 | | | | 44,424 | |
| HC2 Holdings, Inc. †(a) | | | 962 | | | | 6,744 | |
| Healthcare Services Group, Inc. | | | 518 | | | | 17,457 | |
| Heartland Express, Inc. (a) | | | 2,500 | | | | 49,850 | |
| HNI Corp. | | | 700 | | | | 30,030 | |
| Hub Group, Inc., Class A † | | | 700 | | | | 25,487 | |
| Huron Consulting Group, Inc. † | | | 402 | | | | 25,137 | |
| Hyster-Yale Materials Handling, Inc. | | | 348 | | | | 20,125 | |
| Insperity, Inc. | | | 534 | | | | 23,459 | |
| Interface, Inc. | | | 687 | | | | 15,416 | |
| John Bean Technologies Corp. | | | 400 | | | | 15,300 | |
| Kforce, Inc. | | | 539 | | | | 14,165 | |
| Kimball International, Inc., Class B | | | 1,371 | | | | 12,970 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Industrials - 9.0% (continued) | | | | | | |
| Knight Transportation, Inc. | | | 2,562 | | | $ | 61,488 | |
| Korn/Ferry International | | | 1,020 | | | | 33,731 | |
| Lydall, Inc. † | | | 699 | | | | 19,914 | |
| Marten Transport Ltd. | | | 800 | | | | 12,936 | |
| Masonite International Corp. † | | | 877 | | | | 53,129 | |
| Meritor, Inc. † | | | 1,638 | | | | 17,412 | |
| Mobile Mini, Inc. | | | 427 | | | | 13,147 | |
| Mueller Industries, Inc. | | | 332 | | | | 9,821 | |
| Multi-Color Corp. | | | 444 | | | | 33,962 | |
| NN, Inc. | | | 927 | | | | 17,149 | |
| Nortek, Inc. † | | | 191 | | | | 12,092 | |
| NV5 Holdings, Inc. †(a) | | | 842 | | | | 15,627 | |
| Park-Ohio Holdings Corp. | | | 324 | | | | 9,351 | |
| Patrick Industries, Inc. † | | | 1,644 | | | | 64,922 | |
| PGT, Inc. † | | | 881 | | | | 10,819 | |
| Plug Power, Inc. †(a) | | | 4,900 | | | | 8,967 | |
| Ply Gem Holdings, Inc. † | | | 466 | | | | 5,452 | |
| Radiant Logistics, Inc. † | | | 1,689 | | | | 7,533 | |
| RBC Bearings, Inc. † | | | 181 | | | | 10,811 | |
| Saia, Inc. † | | | 643 | | | | 19,901 | |
| Standex International Corp. | | | 200 | | | | 15,070 | |
| Steelcase, Inc., Class A | | | 1,047 | | | | 19,275 | |
| TASER International, Inc. †(a) | | | 1,681 | | | | 37,024 | |
| Tennant Co. | | | 497 | | | | 27,921 | |
| Trex Co., Inc. † | | | 402 | | | | 13,399 | |
| TriNet Group, Inc. † | | | 382 | | | | 6,418 | |
| UniFirst Corp. | | | 100 | | | | 10,681 | |
| US Ecology, Inc. | | | 349 | | | | 15,234 | |
| VSE Corp. | | | 200 | | | | 8,014 | |
| WageWorks, Inc. † | | | 382 | | | | 17,221 | |
| Werner Enterprises, Inc. | | | 1,200 | | | | 30,120 | |
| West Corp. | | | 1,653 | | | | 37,027 | |
| XPO Logistics, Inc. †(a) | | | 948 | | | | 22,591 | |
| | | | | | | | |
| | | | | | | 1,822,244 | |
| | | | | | | | |
| Information Technology - 18.5% | | | | | | |
| ACI Worldwide, Inc. † | | | 1,294 | | | | 27,329 | |
| Advanced Energy Industries, Inc. † | | | 716 | | | | 18,831 | |
| Alliance Fiber Optic Products, Inc. | | | 1,541 | | | | 26,336 | |
| Ambarella, Inc. †(a) | | | 1,886 | | | | 108,992 | |
| Aspen Technology, Inc. † | | | 281 | | | | 10,653 | |
| Axcelis Technologies, Inc. † | | | 7,009 | | | | 18,714 | |
| Barracuda Networks, Inc. †(a) | | | 1,047 | | | | 16,312 | |
| Blackbaud, Inc. | | | 610 | | | | 34,233 | |
| Blackhawk Network Holdings, Inc. † | | | 2,462 | | | | 104,364 | |
| BroadSoft, Inc. † | | | 878 | | | | 26,305 | |
| Cabot Microelectronics Corp. † | | | 300 | | | | 11,622 | |
| CACI International, Inc., Class A † | | | 241 | | | | 17,827 | |
| Callidus Software, Inc. † | | | 2,014 | | | | 34,218 | |
| Cardtronics, Inc. † | | | 345 | | | | 11,282 | |
| Cavium, Inc. † | | | 740 | | | | 45,414 | |
| Ciena Corp. † | | | 1,152 | | | | 23,869 | |
| Cirrus Logic, Inc. † | | | 963 | | | | 30,344 | |
| Clearfield, Inc. †(a) | | | 1,561 | | | | 20,964 | |
| comScore, Inc. † | | | 900 | | | | 41,535 | |
| Constant Contact, Inc. † | | | 446 | | | | 10,811 | |
| Cray, Inc. † | | | 1,006 | | | | 19,929 | |
| CTS Corp. | | | 722 | | | | 13,364 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
113
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 18.5% (continued) | | | | |
| Diebold, Inc. | | | 339 | | | $ | 10,092 | |
| Diodes, Inc. † | | | 696 | | | | 14,874 | |
| DTS, Inc. † | | | 339 | | | | 9,051 | |
| EarthLink Holdings Corp. | | | 3,871 | | | | 30,116 | |
| Ebix, Inc. | | | 1,032 | | | | 25,759 | |
| Electronics For Imaging, Inc. † | | | 983 | | | | 42,544 | |
| Ellie Mae, Inc. † | | | 1,511 | | | | 100,587 | |
| Endurance International Group Holdings, Inc. †(a) | | | 4,120 | | | | 55,043 | |
| Entegris, Inc. † | | | 1,000 | | | | 13,190 | |
| Envestnet, Inc. † | | | 566 | | | | 16,963 | |
| EPAM Systems, Inc. † | | | 847 | | | | 63,118 | |
| ePlus, Inc. † | | | 336 | | | | 26,568 | |
| Euronet Worldwide, Inc. † | | | 640 | | | | 47,418 | |
| ExlService Holdings, Inc. † | | | 374 | | | | 13,812 | |
| Fabrinet (Thailand) † | | | 1,300 | | | | 23,829 | |
| Fair Isaac Corp. | | | 683 | | | | 57,714 | |
| Fairchild Semiconductor International, Inc. † | | | 958 | | | | 13,450 | |
| FARO Technologies, Inc. † | | | 279 | | | | 9,765 | |
| Fleetmatics Group PLC (Ireland) † | | | 1,685 | | | | 82,717 | |
| Gigamon, Inc. † | | | 1,325 | | | | 26,513 | |
| Globant SA (Luxembourg) † | | | 182 | | | | 5,567 | |
| Glu Mobile, Inc. † | | | 5,554 | | | | 24,271 | |
| Gogo, Inc. † | | | 1,942 | | | | 29,674 | |
| GTT Communications, Inc. † | | | 809 | | | | 18,817 | |
| Guidewire Software, Inc. † | | | 230 | | | | 12,093 | |
| Heartland Payment Systems, Inc. | | | 574 | | | | 36,168 | |
| Immersion Corp. † | | | 870 | | | | 9,770 | |
| Imperva, Inc. † | | | 1,093 | | | | 71,570 | |
| Infinera Corp. † | | | 3,609 | | | | 70,592 | |
| Infoblox, Inc. † | | | 1,650 | | | | 26,367 | |
| Inphi Corp. † | | | 1,489 | | | | 35,796 | |
| Insight Enterprises, Inc. † | | | 700 | | | | 18,095 | |
| Integrated Device Technology, Inc. † | | | 1,575 | | | | 31,973 | |
| InterDigital, Inc. | | | 800 | | | | 40,480 | |
| Intersil Corp., Class A | | | 2,200 | | | | 25,740 | |
| Intralinks Holdings, Inc. † | | | 1,674 | | | | 13,877 | |
| j2 Global, Inc. | | | 800 | | | | 56,680 | |
| Littelfuse, Inc. | | | 300 | | | | 27,345 | |
| LogMeIn, Inc. † | | | 1,174 | | | | 80,020 | |
| Luxoft Holding, Inc. (Switzerland) † | | | 96 | | | | 6,076 | |
| M/A-COM Technology Solutions Holdings, Inc. † | | | 1,823 | | | | 52,849 | |
| Manhattan Associates, Inc. † | | | 1,052 | | | | 65,540 | |
| Mattson Technology, Inc. † | | | 5,468 | | | | 12,740 | |
| MAXIMUS, Inc. | | | 274 | | | | 16,319 | |
| Mentor Graphics Corp. | | | 559 | | | | 13,768 | |
| Methode Electronics, Inc. | | | 887 | | | | 28,295 | |
| Microsemi Corp. † | | | 1,200 | | | | 39,384 | |
| MicroStrategy, Inc., Class A † | | | 200 | | | | 39,294 | |
| MKS Instruments, Inc. | | | 500 | | | | 16,765 | |
| Monolithic Power Systems, Inc. | | | 1,143 | | | | 58,522 | |
| Monotype Imaging Holdings, Inc. | | | 488 | | | | 10,648 | |
| Multi-Fineline Electronix, Inc. † | | | 601 | | | | 10,037 | |
| NeoPhotonics Corp. †(a) | | | 2,298 | | | | 15,649 | |
| NetScout Systems, Inc. † | | | 776 | | | | 27,447 | |
| Novatel Wireless, Inc. †(a) | | | 2,918 | | | | 6,449 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 18.5% (continued) | | | | |
| OmniVision Technologies, Inc. † | | | 1,005 | | | $ | 26,391 | |
| OSI Systems, Inc. † | | | 155 | | | | 11,929 | |
| Paycom Software, Inc. † | | | 2,074 | | | | 74,477 | |
| Paylocity Holding Corp. † | | | 1,310 | | | | 39,287 | |
| Perficient, Inc. † | | | 546 | | | | 8,425 | |
| PFSweb, Inc. † | | | 842 | | | | 11,973 | |
| Photronics, Inc. † | | | 1,352 | | | | 12,249 | |
| Plantronics, Inc. | | | 393 | | | | 19,984 | |
| Plexus Corp. † | | | 600 | | | | 23,148 | |
| PMC-Sierra, Inc. † | | | 3,800 | | | | 25,726 | |
| Power Integrations, Inc. | | | 424 | | | | 17,880 | |
| Proofpoint, Inc. † | | | 1,637 | | | | 98,744 | |
| Q2 Holdings, Inc. † | | | 1,155 | | | | 28,552 | |
| QAD, Inc., Class A | | | 564 | | | | 14,438 | |
| Qlik Technologies, Inc. † | | | 645 | | | | 23,510 | |
| QLogic Corp. † | | | 1,610 | | | | 16,503 | |
| Qualys, Inc. † | | | 1,867 | | | | 53,135 | |
| Quantum Corp. † | | | 7,641 | | | | 5,328 | |
| Rambus, Inc. † | | | 3,205 | | | | 37,819 | |
| RingCentral, Inc., Class A † | | | 1,294 | | | | 23,486 | |
| Rogers Corp. † | | | 300 | | | | 15,954 | |
| Rubicon Project, Inc./The † | | | 1,827 | | | | 26,546 | |
| Ruckus Wireless, Inc. † | | | 1,132 | | | | 13,448 | |
| Sanmina Corp. † | | | 1,891 | | | | 40,411 | |
| ServiceSource International, Inc. † | | | 2,114 | | | | 8,456 | |
| Sigma Designs, Inc. † | | | 1,966 | | | | 13,546 | |
| SPS Commerce, Inc. † | | | 460 | | | | 31,229 | |
| Stamps.com, Inc. † | | | 678 | | | | 50,179 | |
| Super Micro Computer, Inc. † | | | 1,470 | | | | 40,072 | |
| Synaptics, Inc. † | | | 155 | | | | 12,781 | |
| Synchronoss Technologies, Inc. † | | | 968 | | | | 31,750 | |
| SYNNEX Corp. | | | 700 | | | | 59,542 | |
| Take-Two Interactive Software, Inc. † | | | 2,243 | | | | 64,441 | |
| Tech Data Corp. † | | | 434 | | | | 29,729 | |
| Telenav, Inc. † | | | 1,979 | | | | 15,456 | |
| Tessera Technologies, Inc. | | | 1,800 | | | | 58,338 | |
| Textura Corp. † | | | 640 | | | | 16,538 | |
| TTM Technologies, Inc. † | | | 1,385 | | | | 8,629 | |
| TubeMogul, Inc. † | | | 807 | | | | 8,490 | |
| Tyler Technologies, Inc. † | | | 137 | | | | 20,455 | |
| Universal Display Corp. † | | | 1,034 | | | | 35,053 | |
| VASCO Data Security International, Inc. †(a) | | | 1,100 | | | | 18,744 | |
| Verint Systems, Inc. † | | | 900 | | | | 38,835 | |
| VirnetX Holding Corp. † | | | 80 | | | | 285 | |
| Virtusa Corp. † | | | 479 | | | | 24,578 | |
| WebMD Health Corp. † | | | 472 | | | | 18,804 | |
| Xcerra Corp. † | | | 1,800 | | | | 11,304 | |
| Zendesk, Inc. † | | | 1,688 | | | | 33,270 | |
| | | | | | | | |
| | | | | | | 3,730,895 | |
| | | | | | | | |
| Materials - 2.2% | | | | | | |
| A Schulman, Inc. | | | 500 | | | | 16,235 | |
| Berry Plastics Group, Inc. † | | | 1,831 | | | | 55,058 | |
| Boise Cascade Co. † | | | 1,132 | | | | 28,549 | |
| Calgon Carbon Corp. | | | 582 | | | | 9,068 | |
| Chemtura Corp. † | | | 364 | | | | 10,418 | |
| Clearwater Paper Corp. † | | | 200 | | | | 9,448 | |
| Core Molding Technologies, Inc. † | | | 709 | | | | 13,081 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
114
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Materials - 2.2% (continued) | | | | | | |
| Ferro Corp. † | | | 2,400 | | | $ | 26,280 | |
| FutureFuel Corp. | | | 1,187 | | | | 11,728 | |
| Headwaters, Inc. † | | | 2,139 | | | | 40,213 | |
| Innophos Holdings, Inc. | | | 300 | | | | 11,892 | |
| Kaiser Aluminum Corp. | | | 329 | | | | 26,402 | |
| Minerals Technologies, Inc. | | | 800 | | | | 38,528 | |
| PH Glatfelter Co. | | | 528 | | | | 9,092 | |
| Sensient Technologies Corp. | | | 1,100 | | | | 67,430 | |
| Trinseo SA †(a) | | | 750 | | | | 18,937 | |
| US Concrete, Inc. † | | | 1,314 | | | | 62,796 | |
| | | | | | | | |
| | | | | | | 455,155 | |
| | | | | | | | |
| Telecommunication Services - 1.2% | | | | | | |
| 8x8, Inc. † | | | 1,152 | | | | 9,527 | |
| Atlantic Tele-Network, Inc. | | | 181 | | | | 13,381 | |
| Boingo Wireless, Inc. † | | | 1,931 | | | | 15,989 | |
| Cogent Communications Holdings, Inc. | | | 519 | | | | 14,096 | |
| Consolidated Communications Holdings, Inc. | | | 1,600 | | | | 30,832 | |
| Globalstar, Inc. † | | | 6,697 | | | | 10,514 | |
| IDT Corp., Class B | | | 755 | | | | 10,797 | |
| Inteliquent, Inc. | | | 1,436 | | | | 32,066 | |
| Iridium Communications, Inc. †(a) | | | 3,284 | | | | 20,197 | |
| Lumos Networks Corp. | | | 1,202 | | | | 14,616 | |
| Straight Path Communications, Inc., Class B †(a) | | | 1,332 | | | | 53,826 | |
| Vonage Holdings Corp. † | | | 2,700 | | | | 15,876 | |
| | | | | | | | |
| | | | | | | 241,717 | |
| | | | | | | | |
| Utilities - 2.7% | | | | | | |
| American States Water Co. | | | 700 | | | | 28,980 | |
| Avista Corp. | | | 1,423 | | | | 47,315 | |
| Chesapeake Utilities Corp. | | | 258 | | | | 13,695 | |
| El Paso Electric Co. | | | 544 | | | | 20,030 | |
| Empire District Electric Co./The | | | 1,300 | | | | 28,639 | |
| Laclede Group, Inc./The | | | 900 | | | | 49,077 | |
| New Jersey Resources Corp. | | | 440 | | | | 13,213 | |
| Northwest Natural Gas Co. | | | 500 | | | | 22,920 | |
| NorthWestern Corp. | | | 700 | | | | 37,681 | |
| ONE Gas, Inc. | | | 1,878 | | | | 85,130 | |
| PNM Resources, Inc. | | | 2,086 | | | | 58,512 | |
| Portland General Electric Co. | | | 872 | | | | 32,238 | |
| Southwest Gas Corp. | | | 400 | | | | 23,328 | |
| WGL Holdings, Inc. | | | 1,400 | | | | 80,738 | |
| | | | | | | | |
| | | | | | | 541,496 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $18,291,689) | | | | | | | 19,107,339 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS (ETF) - 4.1% | | | | |
| iShares Russell 2000 ETF (a) | | | | | |
(cost $843,751) | | | 7,692 | | | | 839,966 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 3.3% | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(b) | | | | | | | | |
(cost $662,689) | | | 662,689 | | | | 662,689 | |
| | | | | | | | |
| | | | | | | | |
SECURITIES LENDING
COLLATERAL - 10.0% | | SHARES | | | VALUE
(Note 4) | |
| Money Market Funds - 10.0% | | | | | | |
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank
Dreyfus Treasury Cash Management, 0.010% (2)(b)(c) | | | | | | | | |
(cost $2,011,744) | | | 2,011,744 | | | $ | 2,011,744 | |
| | | | | | | | |
TOTAL INVESTMENTS IN
SECURITIES, AT VALUE - 111.9%
(cost $21,809,873) | | | | | | | 22,621,738 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (11.9%) | | | | | (2,405,050) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 20,216,688 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non-income producing security. |
| (a) | All or a portion of the security on loan. The aggregate market value of such securities is $1,978,864; cash collateral of $2,011,744 was received with which the Fund purchased a money market fund. |
| (b) | Represents annualized seven-day yield as of the close of the reporting period. |
| (c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
115
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 93.9% | | SHARES | | | VALUE
(Note 4) | |
| Australia - 3.2% | |
| Amcor Ltd. | | | 28,362 | | | $ | 263,762 | |
| Australia & New Zealand Banking Group Ltd. | | | 2,199 | | | | 42,014 | |
| Brambles Ltd. | | | 11,872 | | | | 81,554 | |
| Commonwealth Bank of Australia | | | 3,536 | | | | 181,498 | |
| Crown Resorts Ltd. | | | 11,649 | | | | 81,479 | |
| CSL Ltd. | | | 2,131 | | | | 134,111 | |
| Insurance Australia Group Ltd. | | | 28,183 | | | | 96,361 | |
| Qantas Airways Ltd. † | | | 37,326 | | | | 97,995 | |
| Ramsay Health Care Ltd. | | | 11,496 | | | | 474,141 | |
| Scentre Group REIT | | | 123,001 | | | | 338,536 | |
| Suncorp Group Ltd. | | | 11,005 | | | | 94,672 | |
| Telstra Corp. Ltd. | | | 102,357 | | | | 404,688 | |
| | | | | | | | |
| | | | | | | 2,290,811 | |
| | | | | | | | |
| Austria - 0.2% | | | | | | |
| ANDRITZ AG | | | 2,003 | | | | 90,257 | |
| voestalpine AG | | | 1,869 | | | | 64,261 | |
| | | | | | | | |
| | | | | | | 154,518 | |
| | | | | | | | |
| Belgium - 2.5% | | | | | | |
| Anheuser-Busch InBev SA/NV | | | 10,965 | | | | 1,166,189 | |
| KBC Groep NV | | | 4,858 | | | | 307,230 | |
| Proximus | | | 5,258 | | | | 181,884 | |
| UCB SA | | | 1,538 | | | | 120,491 | |
| | | | | | | | |
| | | | | | | 1,775,794 | |
| | | | | | | | |
| Canada - 5.6% | | | | | | |
| Agrium, Inc. (1) | | | 400 | | | | 35,849 | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 12,723 | | | | 585,096 | |
| BCE, Inc. (1) | | | 3,936 | | | | 161,097 | |
| BlackBerry Ltd. (1)† | | | 5,191 | | | | 31,858 | |
| Brookfield Asset Management, Inc., Class A (1) | | | 12,450 | | | | 391,739 | |
| Canadian Pacific Railway Ltd. (1) | | | 327 | | | | 46,934 | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 2,137 | | | | 192,242 | |
| CGI Group, Inc., Class A (1)† | | | 2,369 | | | | 85,831 | |
| CI Financial Corp. (1) | | | 9,647 | | | | 219,036 | |
| Constellation Software, Inc. (1) | | | 749 | | | | 313,940 | |
| Dollarama, Inc. (1) | | | 5,438 | | | | 367,274 | |
| Fortis, Inc. (1) | | | 4,800 | | | | 137,292 | |
| Gildan Activewear, Inc. (1) | | | 8,622 | | | | 260,243 | |
| Jean Coutu Group PJC, Inc./The, Class A (1) | | | 3,300 | | | | 49,729 | |
| Loblaw Cos., Ltd. (1) | | | 6,778 | | | | 348,982 | |
| Magna International, Inc. (1) | | | 5,714 | | | | 274,075 | |
| Methanex Corp. (1) | | | 1,018 | | | | 33,732 | |
| Metro, Inc. (1) | | | 1,705 | | | | 46,455 | |
| Open Text Corp. (1) | | | 1,410 | | | | 63,141 | |
| Rogers Communications, Inc., Class B (1) | | | 3,763 | | | | 129,653 | |
| Saputo, Inc. (1) | | | 3,000 | | | | 65,867 | |
| Sun Life Financial, Inc. (1) | | | 6,406 | | | | 206,605 | |
| | | | | | | | |
| | | | | | | 4,046,670 | |
| | | | | | | | |
| Denmark - 3.6% | | | | | | |
| AP Moeller - Maersk A/S, Class B | | | 103 | | | | 158,773 | |
| Coloplast A/S, Class B | | | 5,113 | | | | 362,506 | |
| Danske Bank A/S | | | 4,267 | | | | 128,950 | |
| Novo Nordisk A/S, Class B | | | 23,244 | | | | 1,254,353 | |
| Pandora A/S | | | 2,888 | | | | 337,373 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Denmark - 3.6% (continued) | | | | | | |
| Tryg A/S | | | 11,965 | | | $ | 232,473 | |
| Vestas Wind Systems A/S | | | 2,491 | | | | 129,505 | |
| | | | | | | | |
| | | | | | | 2,603,933 | |
| | | | | | | | |
| Finland - 1.0% | | | | | | |
| Kone OYJ, Class B | | | 885 | | | | 33,681 | |
| Nokia OYJ | | | 32,155 | | | | 219,869 | |
| Sampo OYJ, A Shares | | | 8,956 | | | | 433,445 | |
| | | | | | | | |
| | | | | | | 686,995 | |
| | | | | | | | |
| France - 5.6% | | | | | | |
| Accor SA | | | 917 | | | | 42,996 | |
| Airbus Group SE | | | 10,257 | | | | 607,420 | |
| AXA SA | | | 15,660 | | | | 380,209 | |
| Cap Gemini SA | | | 1,863 | | | | 166,371 | |
| Credit Agricole SA | | | 3,215 | | | | 37,013 | |
| Dassault Systemes | | | 2,145 | | | | 158,526 | |
| Essilor International SA | | | 726 | | | | 88,694 | |
| Hermes International | | | 304 | | | | 110,660 | |
| Iliad SA | | | 718 | | | | 145,246 | |
| JCDecaux SA | | | 894 | | | | 32,498 | |
| L’Oreal SA | | | 1,023 | | | | 177,812 | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 1,666 | | | | 283,625 | |
| Numericable-SFR SAS † | | | 3,839 | | | | 177,724 | |
| Orange SA | | | 18,570 | | | | 281,508 | |
| Peugeot SA † | | | 19,662 | | | | 297,930 | |
| Renault SA | | | 4,326 | | | | 312,133 | |
| Safran SA | | | 2,841 | | | | 213,619 | |
| Sanofi | | | 811 | | | | 77,207 | |
| Unibail-Rodamco SE REIT | | | 780 | | | | 202,163 | |
| Valeo SA | | | 1,866 | | | | 253,360 | |
| | | | | | | | |
| | | | | | | 4,046,714 | |
| | | | | | | | |
| Germany - 7.8% | | | | | | |
| Allianz SE | | | 2,321 | | | | 364,613 | |
| Bayer AG | | | 10,060 | | | | 1,290,682 | |
| Brenntag AG | | | 387 | | | | 20,880 | |
| Continental AG | | | 680 | | | | 145,238 | |
| Daimler AG | | | 10,455 | | | | 761,156 | |
| Deutsche Boerse AG | | | 4,625 | | | | 398,879 | |
| Deutsche Telekom AG | | | 57,759 | | | | 1,028,198 | |
| Fresenius Medical Care AG & Co. KGaA | | | 3,351 | | | | 261,897 | |
| GEA Group AG | | | 2,774 | | | | 105,774 | |
| Hannover Rueck SE | | | 2,177 | | | | 222,992 | |
| Infineon Technologies AG | | | 9,947 | | | | 111,759 | |
| Merck KGaA | | | 2,173 | | | | 192,390 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 264 | | | | 49,306 | |
| OSRAM Licht AG | | | 395 | | | | 20,464 | |
| ProSiebenSat.1 Media SE | | | 4,809 | | | | 236,053 | |
| Symrise AG | | | 928 | | | | 55,915 | |
| Telefonica Deutschland Holding AG | | | 3,254 | | | | 19,898 | |
| ThyssenKrupp AG | | | 5,297 | | | | 93,079 | |
| United Internet AG | | | 883 | | | | 44,767 | |
| Vonovia SE | | | 6,457 | | | | 207,825 | |
| | | | | | | | |
| | | | | | | 5,631,765 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
116
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Hong Kong - 2.7% | | | | | | |
| AIA Group Ltd. | | | 104,400 | | | $ | 542,958 | |
| BOC Hong Kong Holdings Ltd. | | | 108,000 | | | | 318,522 | |
| Cathay Pacific Airways Ltd. | | | 44,000 | | | | 82,860 | |
| Cheung Kong Property Holdings Ltd. | | | 7,000 | | | | 51,284 | |
| CK Hutchison Holdings Ltd. | | | 7,000 | | | | 91,053 | |
| CLP Holdings Ltd. | | | 8,000 | | | | 68,392 | |
| Goldin Financial Holdings Ltd. † | | | 58,000 | | | | 124,205 | |
| Henderson Land Development Co., Ltd. | | | 16,500 | | | | 98,665 | |
| Heritage International Holdings Ltd. † | | | 162,000 | | | | 14,116 | |
| Hong Kong Exchanges and Clearing Ltd. | | | 8,700 | | | | 199,587 | |
| Link REIT | | | 10,500 | | | | 57,807 | |
| MTR Corp. Ltd. | | | 19,500 | | | | 84,786 | |
| PCCW Ltd. | | | 75,000 | | | | 38,607 | |
| Sun Hung Kai Properties Ltd. | | | 4,000 | | | | 52,173 | |
| Wharf Holdings Ltd./The | | | 16,000 | | | | 90,279 | |
| Wheelock & Co., Ltd. | | | 9,000 | | | | 39,086 | |
| | | | | | | | |
| | | | | | | 1,954,380 | |
| | | | | | | | |
| Italy - 2.3% | | | | | | |
| Enel SpA | | | 9,323 | | | | 41,599 | |
| Finmeccanica SpA † | | | 22,460 | | | | 281,262 | |
| Intesa Sanpaolo SpA | | | 226,877 | | | | 801,488 | |
| Luxottica Group SpA | | | 2,330 | | | | 161,480 | |
| Mediobanca SpA | | | 10,729 | | | | 105,560 | |
| Pirelli & C. SpA | | | 2,692 | | | | 45,048 | |
| Prysmian SpA | | | 2,292 | | | | 47,374 | |
| Snam SpA | | | 36,381 | | | | 186,849 | |
| | | | | | | | |
| | | | | | | 1,670,660 | |
| | | | | | | | |
| Japan - 33.6% | | | | | | |
| Acom Co., Ltd. † | | | 32,200 | | | | 164,764 | |
| Aeon Co., Ltd. | | | 8,300 | | | | 128,765 | |
| AEON Financial Service Co., Ltd. | | | 2,300 | | | | 45,508 | |
| Aisin Seiki Co., Ltd. | | | 2,500 | | | | 83,880 | |
| Ajinomoto Co., Inc. | | | 8,000 | | | | 168,704 | |
| Alps Electric Co., Ltd. | | | 900 | | | | 25,416 | |
| ANA Holdings, Inc. | | | 27,000 | | | | 75,638 | |
| Asics Corp. | | | 2,100 | | | | 50,052 | |
| Astellas Pharma, Inc. | | | 10,400 | | | | 134,618 | |
| Bank of Kyoto Ltd./The | | | 14,000 | | | | 142,390 | |
| Bank of Yokohama Ltd./The | | | 19,000 | | | | 115,483 | |
| Bridgestone Corp. | | | 2,800 | | | | 96,897 | |
| Calbee, Inc. | | | 3,700 | | | | 119,732 | |
| Casio Computer Co., Ltd. | | | 2,500 | | | | 45,505 | |
| Central Japan Railway Co. | | | 3,100 | | | | 499,806 | |
| Chiba Bank Ltd./The | | | 25,000 | | | | 177,527 | |
| Chubu Electric Power Co., Inc. | | | 15,300 | | | | 225,587 | |
| Chugai Pharmaceutical Co., Ltd. | | | 4,700 | | | | 144,352 | |
| COLOPL, Inc. | | | 1,700 | | | | 27,342 | |
| Daicel Corp. | | | 3,400 | | | | 41,738 | |
| Dai-ichi Life Insurance Co., Ltd./The | | | 25,800 | | | | 410,732 | |
| Daikin Industries Ltd. | | | 1,500 | | | | 84,129 | |
| Daiwa House Industry Co., Ltd. | | | 6,800 | | | | 168,578 | |
| Denso Corp. | | | 800 | | | | 33,887 | |
| Dentsu, Inc. | | | 5,500 | | | | 282,261 | |
| Don Quijote Holdings Co., Ltd. | | | 900 | | | | 33,908 | |
| East Japan Railway Co. | | | 5,800 | | | | 488,741 | |
| Eisai Co., Ltd. | | | 5,500 | | | | 324,509 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Japan - 33.6% (continued) | | | | | | |
| Electric Power Development Co., Ltd. | | | 1,300 | | | $ | 39,675 | |
| FANUC Corp. | | | 2,200 | | | | 338,445 | |
| Fast Retailing Co., Ltd. | | | 900 | | | | 366,083 | |
| Fuji Heavy Industries Ltd. | | | 9,100 | | | | 327,459 | |
| FUJIFILM Holdings Corp. | | | 6,400 | | | | 239,246 | |
| Fujitsu Ltd. | | | 20,000 | | | | 86,996 | |
| Fukuoka Financial Group, Inc. | | | 51,000 | | | | 242,906 | |
| Hachijuni Bank Ltd./The | | | 18,000 | | | | 127,768 | |
| Hino Motors Ltd. | | | 11,000 | | | | 112,099 | |
| Hiroshima Bank Ltd./The | | | 17,000 | | | | 98,248 | |
| Hokuhoku Financial Group, Inc. | | | 64,000 | | | | 146,540 | |
| Hoya Corp. | | | 9,000 | | | | 294,767 | |
| Iida Group Holdings Co., Ltd. | | | 6,600 | | | | 103,253 | |
| Isetan Mitsukoshi Holdings Ltd. | | | 6,500 | | | | 97,528 | |
| J Front Retailing Co., Ltd. | | | 3,400 | | | | 55,075 | |
| Japan Airlines Co., Ltd. | | | 6,400 | | | | 226,464 | |
| Japan Airport Terminal Co., Ltd. | | | 3,700 | | | | 159,916 | |
| Japan Tobacco, Inc. | | | 6,200 | | | | 192,325 | |
| JFE Holdings, Inc. | | | 2,100 | | | | 27,581 | |
| JTEKT Corp. | | | 11,400 | | | | 159,611 | |
| Kansai Electric Power Co., Inc./The † | | | 8,300 | | | | 92,273 | |
| Kao Corp. | | | 2,400 | | | | 108,794 | |
| Kawasaki Heavy Industries Ltd. | | | 10,000 | | | | 34,523 | |
| KDDI Corp. | | | 24,900 | | | | 557,339 | |
| Keihan Electric Railway Co., Ltd. | | | 13,000 | | | | 86,707 | |
| Keisei Electric Railway Co., Ltd. | | | 8,000 | | | | 87,760 | |
| Keyence Corp. | | | 900 | | | | 401,920 | |
| Kikkoman Corp. | | | 4,000 | | | | 110,172 | |
| Koito Manufacturing Co., Ltd. | | | 5,000 | | | | 163,382 | |
| Konica Minolta, Inc. | | | 5,700 | | | | 60,048 | |
| Kose Corp. | | | 1,400 | | | | 127,777 | |
| Kubota Corp. | | | 13,000 | | | | 178,911 | |
| Kyowa Hakko Kirin Co., Ltd. | | | 5,000 | | | | 74,538 | |
| Kyushu Electric Power Co., Inc. † | | | 2,800 | | | | 30,549 | |
| M3, Inc. | | | 5,800 | | | | 115,262 | |
| Mabuchi Motor Co., Ltd. | | | 3,400 | | | | 147,627 | |
| Marui Group Co., Ltd. | | | 9,800 | | | | 118,209 | |
| Mazda Motor Corp. | | | 2,500 | | | | 39,503 | |
| Medipal Holdings Corp. | | | 1,600 | | | | 25,387 | |
| MEIJI Holdings Co., Ltd. | | | 3,000 | | | | 219,992 | |
| Minebea Co., Ltd. | | | 10,000 | | | | 106,154 | |
| Mitsubishi Chemical Holdings Corp. | | | 18,900 | | | | 98,688 | |
| Mitsubishi Electric Corp. | | | 7,000 | | | | 64,124 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 205,900 | | | | 1,244,097 | |
| Mitsui Chemicals, Inc. | | | 10,000 | | | | 32,050 | |
| Mixi, Inc. | | | 1,700 | | | | 58,179 | |
| Mizuho Financial Group, Inc. | | | 237,000 | | | | 443,333 | |
| MS&AD Insurance Group Holdings, Inc. | | | 10,400 | | | | 279,031 | |
| Murata Manufacturing Co., Ltd. | | | 3,700 | | | | 477,946 | |
| Nexon Co., Ltd. | | | 9,200 | | | | 123,000 | |
| NGK Insulators Ltd. | | | 2,000 | | | | 38,271 | |
| Nidec Corp. | | | 4,100 | | | | 281,941 | |
| Nintendo Co., Ltd. | | | 2,200 | | | | 370,814 | |
| Nippon Paint Holdings Co., Ltd. | | | 9,000 | | | | 157,408 | |
| Nippon Telegraph & Telephone Corp. | | | 20,300 | | | | 715,040 | |
| Nissan Motor Co., Ltd. | | | 16,600 | | | | 152,630 | |
| Nitori Holdings Co., Ltd. | | | 1,800 | | | | 140,948 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
117
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Japan - 33.6% (continued) | | | | | | |
| Nitto Denko Corp. | | | 3,800 | | | $ | 227,592 | |
| NOK Corp. | | | 2,200 | | | | 47,599 | |
| Nomura Holdings, Inc. | | | 35,700 | | | | 207,216 | |
| NSK Ltd. | | | 5,900 | | | | 57,189 | |
| NTT Data Corp. | | | 2,100 | | | | 105,875 | |
| NTT DOCOMO, Inc. | | | 14,700 | | | | 247,946 | |
| Olympus Corp. | | | 900 | | | | 28,078 | |
| Omron Corp. | | | 3,200 | | | | 96,327 | |
| Ono Pharmaceutical Co., Ltd. | | | 2,000 | | | | 237,131 | |
| Oriental Land Co., Ltd. | | | 3,800 | | | | 212,204 | |
| Panasonic Corp. | | | 22,400 | | | | 226,691 | |
| Rakuten, Inc. | | | 15,400 | | | | 196,850 | |
| Ryohin Keikaku Co., Ltd. | | | 300 | | | | 61,083 | |
| Santen Pharmaceutical Co., Ltd. | | | 4,000 | | | | 53,702 | |
| Seibu Holdings, Inc. | | | 5,100 | | | | 103,352 | |
| Seiko Epson Corp. | | | 3,400 | | | | 48,097 | |
| Sekisui House Ltd. | | | 1,400 | | | | 21,930 | |
| Seven & i Holdings Co., Ltd. | | | 3,000 | | | | 136,900 | |
| Shimadzu Corp. | | | 5,000 | | | | 72,186 | |
| Shimano, Inc. | | | 1,300 | | | | 182,645 | |
| Shimizu Corp. | | | 12,000 | | | | 103,034 | |
| Shin-Etsu Chemical Co., Ltd. | | | 1,000 | | | | 51,284 | |
| Shionogi & Co., Ltd. | | | 7,500 | | | | 268,839 | |
| SMC Corp. | | | 300 | | | | 65,688 | |
| Sompo Japan Nipponkoa Holdings, Inc. | | | 9,700 | | | | 281,735 | |
| Sony Corp. | | | 20,400 | | | | 500,047 | |
| Sumitomo Chemical Co., Ltd. | | | 33,000 | | | | 166,872 | |
| Sumitomo Heavy Industries Ltd. | | | 7,000 | | | | 27,738 | |
| Suruga Bank Ltd. | | | 11,000 | | | | 204,682 | |
| Suzuki Motor Corp. | | | 4,800 | | | | 147,600 | |
| Sysmex Corp. | | | 2,500 | | | | 132,029 | |
| Taiyo Nippon Sanso Corp. | | | 11,700 | | | | 111,152 | |
| TDK Corp. | | | 2,500 | | | | 141,395 | |
| Teijin Ltd. | | | 9,000 | | | | 27,337 | |
| Tohoku Electric Power Co., Inc. | | | 13,100 | | | | 177,525 | |
| Tokio Marine Holdings, Inc. | | | 11,200 | | | | 418,432 | |
| Tokyo Electric Power Co., Inc. † | | | 39,300 | | | | 262,509 | |
| Toray Industries, Inc. | | | 5,000 | | | | 43,226 | |
| TOTO Ltd. | | | 3,500 | | | | 109,073 | |
| Toyo Seikan Group Holdings Ltd. | | | 3,000 | | | | 47,752 | |
| Toyota Motor Corp. | | | 36,600 | | | | 2,142,854 | |
| Unicharm Corp. | | | 3,700 | | | | 65,534 | |
| USS Co., Ltd. | | | 4,900 | | | | 81,497 | |
| West Japan Railway Co. | | | 4,100 | | | | 256,971 | |
| Yamaguchi Financial Group, Inc. | | | 3,000 | | | | 36,774 | |
| Yamaha Corp. | | | 6,000 | | | | 132,889 | |
| Yamaha Motor Co., Ltd. | | | 7,100 | | | | 142,840 | |
| Yamato Holdings Co., Ltd. | | | 2,100 | | | | 40,207 | |
| | | | | | | | |
| | | | | | | 24,104,869 | |
| | | | | | | | |
| Netherlands - 3.5% | | | | | | |
| Altice NV, Class A † | | | 12,143 | | | | 254,072 | |
| ASML Holding NV | | | 5,818 | | | | 511,419 | |
| Heineken NV | | | 3,124 | | | | 252,946 | |
| ING Groep NV CVA | | | 75,289 | | | | 1,066,659 | |
| Koninklijke Ahold NV | | | 9,236 | | | | 180,176 | |
| Koninklijke KPN NV | | | 29,416 | | | | 110,322 | |
| NN Group NV | | | 755 | | | | 21,674 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Netherlands - 3.5% (continued) | | | | | | |
| Randstad Holding NV | | | 1,696 | | | $ | 101,371 | |
| | | | | | | | |
| | | | | | | 2,498,639 | |
| | | | | | | | |
| Norway - 0.0% (a) | | | | | | |
| Golar LNG Ltd. (3)(b) | | | 70 | | | | 2,960 | |
| | | | | | | | |
| | |
| Portugal - 0.1% | | | | | | |
| EDP - Energias de Portugal SA | | | 18,666 | | | | 68,384 | |
| | | | | | | | |
| | |
| Singapore - 0.1% | | | | | | |
| ComfortDelGro Corp. Ltd. | | | 16,200 | | | | 32,727 | |
| DBS Group Holdings Ltd. | | | 2,900 | | | | 33,101 | |
| Super Group Ltd. | | | 64,300 | | | | 34,871 | |
| | | | | | | | |
| | | | | | | 100,699 | |
| | | | | | | | |
| Spain - 2.3% | | | | | | |
| Abertis Infraestructuras SA | | | 2,967 | | | | 46,945 | |
| Amadeus IT Holding SA, A Shares | | | 2,904 | | | | 124,422 | |
| Ferrovial SA | | | 10,815 | | | | 258,697 | |
| Gas Natural SDG SA | | | 4,011 | | | | 78,263 | |
| Iberdrola SA | | | 49,748 | | | | 331,482 | |
| Industria de Diseno Textil SA | | | 23,937 | | | | 802,643 | |
| | | | | | | | |
| | | | | | | 1,642,452 | |
| | | | | | | | |
| Sweden - 2.8% | | | | | | |
| Assa Abloy AB, Class B | | | 13,497 | | | | 242,079 | |
| Atlas Copco AB, A Shares | | | 9,439 | | | | 226,999 | |
| Electrolux AB, Series B | | | 4,582 | | | | 129,473 | |
| Hennes & Mauritz AB, B Shares | | | 3,205 | | | | 117,099 | |
| ICA Gruppen AB | | | 3,756 | | | | 127,156 | |
| Investment AB Kinnevik, B Shares | | | 4,637 | | | | 132,550 | |
| Investor AB, B Shares | | | 4,857 | | | | 166,891 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 9,336 | | | | 99,851 | |
| Skanska AB, B Shares | | | 15,522 | | | | 304,739 | |
| Svenska Cellulosa AB SCA, Class B | | | 4,247 | | | | 118,840 | |
| Svenska Handelsbanken AB, A Shares | | | 9,726 | | | | 139,518 | |
| Telefonaktiebolaget LM Ericsson, B Shares | | | 17,992 | | | | 176,495 | |
| | | | | | | | |
| | | | | | | 1,981,690 | |
| | | | | | | | |
| Switzerland - 3.3% | | | | | | |
| Actelion Ltd. † | | | 2,690 | | | | 341,888 | |
| EMS-Chemie Holding AG | | | 460 | | | | 189,244 | |
| Givaudan SA † | | | 360 | | | | 585,779 | |
| Novartis AG | | | 3,931 | | | | 361,306 | |
| Partners Group Holding AG | | | 1,371 | | | | 464,686 | |
| Swiss Re AG | | | 1,118 | | | | 95,921 | |
| Swisscom AG | | | 346 | | | | 172,677 | |
| Zurich Insurance Group AG † | | | 532 | | | | 130,609 | |
| | | | | | | | |
| | | | | | | 2,342,110 | |
| | | | | | | | |
| United Kingdom - 12.4% | | | | | | |
| 3i Group PLC | | | 5,219 | | | | 36,866 | |
| ARM Holdings PLC | | | 11,962 | | | | 171,861 | |
| Ashtead Group PLC | | | 4,765 | | | | 67,385 | |
| Associated British Foods PLC | | | 8,836 | | | | 447,183 | |
| AstraZeneca PLC | | | 5,411 | | | | 343,158 | |
| Barclays PLC | | | 24,559 | | | | 90,888 | |
| Barratt Developments PLC | | | 28,853 | | | | 281,836 | |
| British American Tobacco PLC | | | 4,134 | | | | 228,096 | |
| Bunzl PLC | | | 3,162 | | | | 84,850 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
118
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| United Kingdom - 12.4% (continued) | | | | | | |
| Capita PLC | | | 4,384 | | | $ | 79,622 | |
| Compass Group PLC | | | 4,990 | | | | 79,705 | |
| Diageo PLC | | | 1,887 | | | | 50,698 | |
| Direct Line Insurance Group PLC | | | 42,210 | | | | 239,506 | |
| Dixons Carphone PLC | | | 18,897 | | | | 121,451 | |
| Experian PLC | | | 1,929 | | | | 30,967 | |
| Fiat Chrysler Automobiles NV † | | | 30,340 | | | | 394,346 | |
| HSBC Holdings PLC | | | 10,509 | | | | 79,277 | |
| Imperial Tobacco Group PLC | | | 8,407 | | | | 434,632 | |
| Inmarsat PLC | | | 6,370 | | | | 94,763 | |
| International Consolidated Airlines Group SA † | | | 16,323 | | | | 146,237 | |
| ITV PLC | | | 79,090 | | | | 294,725 | |
| Kingfisher PLC | | | 13,199 | | | | 71,700 | |
| Legal & General Group PLC | | | 45,149 | | | | 162,797 | |
| London Stock Exchange Group PLC | | | 1,581 | | | | 57,950 | |
| Marks & Spencer Group PLC | | | 12,540 | | | | 95,188 | |
| National Grid PLC | | | 39,004 | | | | 543,214 | |
| Next PLC | | | 1,489 | | | | 171,596 | |
| Pearson PLC | | | 4,138 | | | | 70,731 | |
| Persimmon PLC † | | | 4,571 | | | | 139,125 | |
| Prudential PLC | | | 20,491 | | | | 432,289 | |
| Reckitt Benckiser Group PLC | | | 500 | | | | 45,343 | |
| RELX NV | | | 42,556 | | | | 695,237 | |
| SABMiller PLC | | | 6,977 | | | | 395,092 | |
| Sage Group PLC/The | | | 8,974 | | | | 67,893 | |
| Shire PLC | | | 6,046 | | | | 413,316 | |
| Smith & Nephew PLC | | | 3,009 | | | | 52,571 | |
| Sports Direct International PLC † | | | 6,364 | | | | 73,012 | |
| SSE PLC | | | 1,950 | | | | 44,134 | |
| Taylor Wimpey PLC | | | 76,759 | | | | 227,420 | |
| Travis Perkins PLC | | | 1,058 | | | | 31,563 | |
| Unilever NV CVA | | | 20,068 | | | | 804,426 | |
| United Utilities Group PLC | | | 6,524 | | | | 91,440 | |
| Vodafone Group PLC | | | 112,703 | | | | 355,475 | |
| Whitbread PLC | | | 1,309 | | | | 92,738 | |
| | | | | | | | |
| | | | | | | 8,932,302 | |
| | | | | | | | |
| United States - 1.3% | | | | | | |
| Valeant Pharmaceuticals International, Inc. (1)† | | | 5,058 | | | | 902,822 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $69,359,748) | | | | | | | 67,439,167 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS (ETF) - 5.0% | | | | |
| | |
| United States - 5.0% | | | | | | |
| iShares MSCI EAFE ETF (1) | | | | | |
(cost $3,582,469) | | | 62,341 | | | | 3,573,386 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 2.9% | | | | |
J.P. Morgan U.S. Treasury Plus
Money Market Fund - IM Shares, 0.000% (c) | | | | | |
(cost $2,052,955) | | | 2,052,955 | | | | 2,052,955 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 101.8%
(cost $74,995,172) | | | | | | | 73,065,508 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (1.8%) | | | | | (1,260,744) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 71,804,764 | |
| | | | | | | | |
| † | Non-income producing security. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $2,960 or 0.0% of total net assets. |
| (c) | Represents annualized seven-day yield as of the close of the reporting period. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 14,771,867 | | | | 20.6 | % |
| Consumer Staples | | | 6,938,284 | | | | 9.7 | |
| Energy | | | 2,960 | | | | 0.0 | (a) |
| Exchange-Traded Funds | | | 3,573,386 | | | | 5.0 | |
| Financials | | | 15,438,065 | | | | 21.4 | |
| Health Care | | | 8,504,747 | | | | 11.8 | |
| Industrials | | | 7,782,492 | | | | 10.8 | |
| Information Technology | | | 4,582,940 | | | | 6.4 | |
| Materials | | | 2,354,302 | | | | 3.3 | |
| Telecommunication Services | | | 4,644,342 | | | | 6.5 | |
| Utilities | | | 2,419,168 | | | | 3.4 | |
| Money Market Funds | | | 2,052,955 | | | | 2.9 | |
| | | | | | | | |
Total Investments In Securities, At Value | | | 73,065,508 | | | | 101.8 | |
| Liabilities in Excess of Other Assets | | | (1,260,744 | ) | | | (1.8 | ) |
| | | | | | | | |
Net Assets | | $ | 71,804,764 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
119
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 89.9% | | SHARES | | | VALUE
(Note 4) | |
| Consumer Discretionary - 11.8% | | | | | | |
| Amazon.com, Inc. † | | | 2,912 | | | $ | 1,490,624 | |
| AutoZone, Inc. † | | | 1,660 | | | | 1,201,558 | |
| Bed Bath & Beyond, Inc. † | | | 7,721 | | | | 440,251 | |
| Chipotle Mexican Grill, Inc. † | | | 1,659 | | | | 1,194,895 | |
| Dollar Tree, Inc. † | | | 13,270 | | | | 884,578 | |
| Domino’s Pizza, Inc. | | | 7,900 | | | | 852,489 | |
| Expedia, Inc. | | | 4,827 | | | | 568,041 | |
| Gap, Inc./The | | | 12,632 | | | | 360,012 | |
| Home Depot, Inc./The | | | 12,813 | | | | 1,479,773 | |
| L Brands, Inc. | | | 987 | | | | 88,958 | |
| Lowe’s Cos., Inc. | | | 11,809 | | | | 813,876 | |
| Madison Square Garden Co./The, Class A † | | | 2,779 | | | | 200,477 | |
| McDonald’s Corp. | | | 25,171 | | | | 2,480,099 | |
| Michaels Cos., Inc./The † | | | 1,740 | | | | 40,194 | |
| NIKE, Inc., Class B | | | 10,758 | | | | 1,322,911 | |
| O’Reilly Automotive, Inc. † | | | 4,649 | | | | 1,162,250 | |
| Panera Bread Co., Class A † | | | 2,624 | | | | 507,508 | |
| Priceline Group, Inc./The † | | | 389 | | | | 481,139 | |
| Ralph Lauren Corp. | | | 1,522 | | | | 179,840 | |
| Sally Beauty Holdings, Inc. † | | | 1,344 | | | | 31,920 | |
| Scripps Networks Interactive, Inc., Class A | | | 408 | | | | 20,070 | |
| Starbucks Corp. | | | 21,420 | | | | 1,217,513 | |
| Target Corp. | | | 7,850 | | | | 617,481 | |
| Time Warner, Inc. | | | 2,875 | | | | 197,656 | |
| TJX Cos., Inc./The | | | 10,375 | | | | 740,982 | |
| Tractor Supply Co. | | | 2,856 | | | | 240,818 | |
| TripAdvisor, Inc. † | | | 5,959 | | | | 375,536 | |
| Walt Disney Co./The | | | 8,000 | | | | 817,600 | |
| Williams-Sonoma, Inc. | | | 7,798 | | | | 595,377 | |
| Yum! Brands, Inc. | | | 21,360 | | | | 1,707,732 | |
| | | | | | | | |
| | | | | | | 22,312,158 | |
| | | | | | | | |
| Consumer Staples - 19.5% | | | | | | |
| Altria Group, Inc. | | | 44,024 | | | | 2,394,906 | |
| Archer-Daniels-Midland Co. | | | 8,366 | | | | 346,771 | |
| Brown-Forman Corp., Class B | | | 5,402 | | | | 523,454 | |
| Church & Dwight Co., Inc. | | | 15,271 | | | | 1,281,237 | |
| Clorox Co./The | | | 7,601 | | | | 878,144 | |
| Coca-Cola Co./The | | | 32,767 | | | | 1,314,612 | |
| Colgate-Palmolive Co. | | | 40,162 | | | | 2,548,680 | |
| Costco Wholesale Corp. | | | 14,923 | | | | 2,157,418 | |
| CVS Health Corp. | | | 12,019 | | | | 1,159,593 | |
| Dr Pepper Snapple Group, Inc. | | | 5,100 | | | | 403,155 | |
| Estee Lauder Cos., Inc./The, Class A | | | 17,617 | | | | 1,421,340 | |
| General Mills, Inc. | | | 13,854 | | | | 777,625 | |
| Hershey Co./The | | | 10,137 | | | | 931,388 | |
| Hormel Foods Corp. | | | 11,749 | | | | 743,829 | |
| Kellogg Co. | | | 1,576 | | | | 104,883 | |
| Kimberly-Clark Corp. | | | 18,670 | | | | 2,035,777 | |
| Kroger Co./The | | | 29,402 | | | | 1,060,530 | |
| McCormick & Co., Inc. | | | 11,780 | | | | 968,080 | |
| Mead Johnson Nutrition Co. | | | 8,502 | | | | 598,541 | |
| Monster Beverage Corp. † | | | 8,803 | | | | 1,189,637 | |
| PepsiCo, Inc. | | | 27,057 | | | | 2,551,475 | |
| Philip Morris International, Inc. | | | 19,684 | | | | 1,561,532 | |
| Procter & Gamble Co./The | | | 36,026 | | | | 2,591,710 | |
| Reynolds American, Inc. | | | 62,318 | | | | 2,758,818 | |
| Sysco Corp. | | | 33,344 | | | | 1,299,416 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Consumer Staples - 19.5% (continued) | | | | | | |
| Walgreens Boots Alliance, Inc. | | | 8,655 | | | $ | 719,230 | |
| Wal-Mart Stores, Inc. | | | 39,011 | | | | 2,529,473 | |
| | | | | | | | |
| | | | | | | 36,851,254 | |
| | | | | | | | |
| Energy - 0.4% | | | | | | |
| Exxon Mobil Corp. | | | 8,656 | | | | 643,574 | |
| Marathon Petroleum Corp. | | | 1,770 | | | | 82,004 | |
| | | | | | | | |
| | | | | | | 725,578 | |
| | | | | | | | |
| Financials - 13.4% | | | | | | |
| ACE Ltd. (Switzerland) | | | 6,764 | | | | 699,398 | |
| Alleghany Corp. † | | | 1,115 | | | | 521,943 | |
| American Express Co. | | | 5,042 | | | | 373,763 | |
| Aon PLC (United Kingdom) | | | 9,700 | | | | 859,517 | |
| Arch Capital Group Ltd. † | | | 13,532 | | | | 994,196 | |
| Arthur J Gallagher & Co. | | | 888 | | | | 36,657 | |
| Bank of Hawaii Corp. | | | 18,263 | | | | 1,159,518 | |
| BB&T Corp. | | | 11,600 | | | | 412,960 | |
| Commerce Bancshares, Inc. | | | 13,070 | | | | 595,469 | |
| Cullen/Frost Bankers, Inc. | | | 7,749 | | | | 492,681 | |
| Everest Re Group Ltd. | | | 7,870 | | | | 1,364,186 | |
| M&T Bank Corp. | | | 11,117 | | | | 1,355,718 | |
| Markel Corp. † | | | 2,100 | | | | 1,683,906 | |
| Marsh & McLennan Cos., Inc. | | | 21,331 | | | | 1,113,905 | |
| Mercury General Corp. | | | 11,027 | | | | 556,974 | |
| New York Community Bancorp, Inc. | | | 85,179 | | | | 1,538,333 | |
| Northern Trust Corp. | | | 11,714 | | | | 798,426 | |
| People’s United Financial, Inc. | | | 85,844 | | | | 1,350,326 | |
| PNC Financial Services Group, Inc./The | | | 9,746 | | | | 869,343 | |
| ProAssurance Corp. | | | 717 | | | | 35,183 | |
| Progressive Corp./The | | | 31,400 | | | | 962,096 | |
| RenaissanceRe Holdings Ltd. | | | 9,300 | | | | 988,776 | |
| Signature Bank † | | | 2,833 | | | | 389,707 | |
| TFS Financial Corp. | | | 14,968 | | | | 258,198 | |
| Travelers Cos., Inc./The | | | 16,543 | | | | 1,646,525 | |
| US Bancorp | | | 39,516 | | | | 1,620,551 | |
| Wells Fargo & Co. | | | 39,562 | | | | 2,031,509 | |
| White Mountains Insurance Group Ltd. | | | 823 | | | | 615,028 | |
| | | | | | | | |
| | | | | | | 25,324,792 | |
| | | | | | | | |
| Health Care - 14.1% | | | | | | |
| Abbott Laboratories | | | 16,148 | | | | 649,473 | |
| AbbVie, Inc. | | | 16,789 | | | | 913,489 | |
| Aetna, Inc. | | | 13,432 | | | | 1,469,595 | |
| Alexion Pharmaceuticals, Inc. † | | | 5,107 | | | | 798,684 | |
| Align Technology, Inc. † | | | 1,519 | | | | 86,218 | |
| AmerisourceBergen Corp. | | | 10,001 | | | | 949,995 | |
| Amgen, Inc. | | | 786 | | | | 108,720 | |
| Anthem, Inc. | | | 4,271 | | | | 597,940 | |
| athenahealth, Inc. † | | | 1,051 | | | | 140,151 | |
| Baxter International, Inc. | | | 9,229 | | | | 303,173 | |
| Becton Dickinson and Co. | | | 3,902 | | | | 517,639 | |
| Bristol-Myers Squibb Co. | | | 23,257 | | | | 1,376,814 | |
| Bruker Corp. † | | | 1,833 | | | | 30,116 | |
| Cardinal Health, Inc. | | | 4,424 | | | | 339,852 | |
| Celgene Corp. † | | | 2,471 | | | | 267,288 | |
| Centene Corp. † | | | 10,776 | | | | 584,382 | |
| Cerner Corp. † | | | 1,797 | | | | 107,748 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
120
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Health Care - 14.1% (continued) | | | | | | |
| CR Bard, Inc. | | | 5,104 | | | $ | 950,926 | |
| DexCom, Inc. † | | | 4,648 | | | | 399,077 | |
| Edwards Lifesciences Corp. † | | | 5,469 | | | | 777,528 | |
| Eli Lilly & Co. | | | 29,178 | | | | 2,441,907 | |
| Express Scripts Holding Co. † | | | 1,500 | | | | 121,440 | |
| Henry Schein, Inc. † | | | 5,650 | | | | 749,868 | |
| IDEXX Laboratories, Inc. † | | | 1,566 | | | | 116,275 | |
| Intuitive Surgical, Inc. † | | | 634 | | | | 291,374 | |
| Johnson & Johnson | | | 27,074 | | | | 2,527,358 | |
| Laboratory Corp of America Holdings † | | | 4,244 | | | | 460,347 | |
| McKesson Corp. | | | 2,261 | | | | 418,353 | |
| Medtronic PLC (Ireland) | | | 3,608 | | | | 241,519 | |
| Merck & Co., Inc. | | | 27,805 | | | | 1,373,289 | |
| Mettler-Toledo International, Inc. † | | | 1,556 | | | | 443,055 | |
| Patterson Cos., Inc. | | | 5,297 | | | | 229,095 | |
| Pfizer, Inc. | | | 46,470 | | | | 1,459,623 | |
| Quintiles Transnational Holdings, Inc. † | | | 542 | | | | 37,707 | |
| Sirona Dental Systems, Inc. † | | | 2,082 | | | | 194,334 | |
| St. Jude Medical, Inc. | | | 704 | | | | 44,415 | |
| Stryker Corp. | | | 17,409 | | | | 1,638,187 | |
| United Therapeutics Corp. † | | | 797 | | | | 104,598 | |
| UnitedHealth Group, Inc. | | | 17,378 | | | | 2,016,022 | |
| Zimmer Biomet Holdings, Inc. | | | 1,077 | | | | 101,163 | |
| Zoetis, Inc. | | | 10,114 | | | | 416,495 | |
| | | | | | | | |
| | | | | | | 26,795,232 | |
| | | | | | | | |
| Industrials - 9.1% | | | | | | |
| 3M Co. | | | 16,119 | | | | 2,285,191 | |
| Boeing Co./The | | | 1,634 | | | | 213,972 | |
| CH Robinson Worldwide, Inc. | | | 1,600 | | | | 108,448 | |
| Cintas Corp. | | | 4,682 | | | | 401,481 | |
| Covanta Holding Corp. | | | 21,628 | | | | 377,408 | |
| Danaher Corp. | | | 5,049 | | | | 430,225 | |
| Emerson Electric Co. | | | 5,898 | | | | 260,515 | |
| Equifax, Inc. | | | 3,815 | | | | 370,742 | |
| Fastenal Co. | | | 4,600 | | | | 168,406 | |
| FedEx Corp. | | | 3,300 | | | | 475,134 | |
| General Dynamics Corp. | | | 2,685 | | | | 370,396 | |
| General Electric Co. | | | 9,009 | | | | 227,207 | |
| Honeywell International, Inc. | | | 3,896 | | | | 368,912 | |
| Landstar System, Inc. | | | 6,905 | | | | 438,260 | |
| Lockheed Martin Corp. | | | 5,300 | | | | 1,098,743 | |
| Northrop Grumman Corp. | | | 4,718 | | | | 782,952 | |
| Raytheon Co. | | | 6,945 | | | | 758,811 | |
| Republic Services, Inc. | | | 19,794 | | | | 815,513 | |
| Robert Half International, Inc. | | | 642 | | | | 32,845 | |
| Rockwell Automation, Inc. | | | 1,008 | | | | 102,282 | |
| Rockwell Collins, Inc. | | | 2,530 | | | | 207,055 | |
| Rollins, Inc. | | | 12,533 | | | | 336,762 | |
| Stericycle, Inc. † | | | 16,806 | | | | 2,341,244 | |
| Union Pacific Corp. | | | 4,600 | | | | 406,686 | |
| United Parcel Service, Inc., Class B | | | 11,473 | | | | 1,132,270 | |
| United Technologies Corp. | | | 2,137 | | | | 190,172 | |
| Waste Connections, Inc. | | | 4,300 | | | | 208,894 | |
| Waste Management, Inc. | | | 34,990 | | | | 1,742,852 | |
| WW Grainger, Inc. | | | 2,712 | | | | 583,107 | |
| | | | | | | | |
| | | | | | | 17,236,485 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Information Technology - 10.0% | | | | | | |
| Accenture PLC, Class A (Ireland) | | | 10,600 | | | $ | 1,041,556 | |
| Amdocs Ltd. | | | 500 | | | | 28,440 | |
| Apple, Inc. | | | 5,361 | | | | 591,318 | |
| Autodesk, Inc. † | | | 5,391 | | | | 237,959 | |
| Automatic Data Processing, Inc. | | | 17,029 | | | | 1,368,450 | |
| eBay, Inc. † | | | 1,882 | | | | 45,996 | |
| F5 Networks, Inc. † | | | 4,918 | | | | 569,504 | |
| FactSet Research Systems, Inc. | | | 7,520 | | | | 1,201,771 | |
| Gartner, Inc. † | | | 9,599 | | | | 805,644 | |
| Google, Inc., Class A † | | | 1,473 | | | | 940,319 | |
| Intel Corp. | | | 19,388 | | | | 584,354 | |
| International Business Machines Corp. | | | 8,621 | | | | 1,249,786 | |
| Intuit, Inc. | | | 16,163 | | | | 1,434,466 | |
| Jack Henry & Associates, Inc. | | | 1,800 | | | | 125,298 | |
| Linear Technology Corp. | | | 16,666 | | | | 672,473 | |
| MasterCard, Inc., Class A | | | 11,622 | | | | 1,047,375 | |
| Microsoft Corp. | | | 25,465 | | | | 1,127,081 | |
| NetApp, Inc. | | | 28,092 | | | | 831,523 | |
| NVIDIA Corp. | | | 13,244 | | | | 326,465 | |
| Oracle Corp. | | | 1,755 | | | | 63,391 | |
| Palo Alto Networks, Inc. † | | | 2,771 | | | | 476,612 | |
| Paychex, Inc. | | | 30,150 | | | | 1,436,045 | |
| Splunk, Inc. † | | | 1,155 | | | | 63,929 | |
| Tableau Software, Inc., Class A † | | | 2,526 | | | | 201,524 | |
| Teradata Corp. † | | | 6,838 | | | | 198,029 | |
| Texas Instruments, Inc. | | | 3,934 | | | | 194,812 | |
| Visa, Inc., Class A | | | 28,596 | | | | 1,991,997 | |
| VMware, Inc., Class A † | | | 330 | | | | 26,001 | |
| | | | | | | | |
| | | | | | | 18,882,118 | |
| | | | | | | | |
| Materials - 0.9% | | | | | | |
| Avery Dennison Corp. | | | 1,360 | | | | 76,935 | |
| EI du Pont de Nemours & Co. | | | 2,210 | | | | 106,522 | |
| International Flavors & Fragrances, Inc. | | | 1,127 | | | | 116,374 | |
| NewMarket Corp. | | | 383 | | | | 136,731 | |
| PPG Industries, Inc. | | | 5,000 | | | | 438,450 | |
| Praxair, Inc. | | | 626 | | | | 63,764 | |
| Sherwin-Williams Co./The | | | 3,670 | | | | 817,603 | |
| | | | | | | | |
| | | | | | | 1,756,379 | |
| | | | | | | | |
| Telecommunication Services - 2.3% | | | | |
| AT&T, Inc. | | | 58,664 | | | | 1,911,273 | |
| Verizon Communications, Inc. (NYSE) | | | 54,556 | | | | 2,373,732 | |
| | | | | | | | |
| | | | | | | 4,285,005 | |
| | | | | | | | |
| Utilities - 8.4% | | | | | | |
| AGL Resources, Inc. | | | 7,400 | | | | 451,696 | |
| American Electric Power Co., Inc. | | | 15,879 | | | | 902,880 | |
| American Water Works Co., Inc. | | | 20,801 | | | | 1,145,719 | |
| Aqua America, Inc. | | | 13,249 | | | | 350,701 | |
| Atmos Energy Corp. | | | 11,600 | | | | 674,888 | |
| Consolidated Edison, Inc. | | | 12,218 | | | | 816,773 | |
| Dominion Resources, Inc. | | | 15,626 | | | | 1,099,758 | |
| DTE Energy Co. | | | 3,510 | | | | 282,099 | |
| Duke Energy Corp. | | | 15,796 | | | | 1,136,364 | |
| NextEra Energy, Inc. | | | 10,575 | | | | 1,031,591 | |
| PG&E Corp. | | | 600 | | | | 31,680 | |
| Pinnacle West Capital Corp. | | | 3,094 | | | | 198,449 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
121
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 4) | |
| Utilities - 8.4% (continued) | | | | | | |
| Public Service Enterprise Group, Inc. | | | 41,321 | | | $ | 1,742,094 | |
| Questar Corp. | | | 43,352 | | | | 841,462 | |
| Sempra Energy | | | 12,921 | | | | 1,249,719 | |
| Southern Co./The | | | 40,337 | | | | 1,803,064 | |
| UGI Corp. | | | 1,112 | | | | 38,720 | |
| Vectren Corp. | | | 31,004 | | | | 1,302,478 | |
| WEC Energy Group, Inc. | | | 7,466 | | | | 389,875 | |
| Xcel Energy, Inc. | | | 14,091 | | | | 498,962 | |
| | | | | | | | |
| | | | | | | 15,988,972 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $143,721,368) | | | | | | | 170,157,973 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 9.6% | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | | | | | | | | |
(cost $18,079,824) | | | 18,079,824 | | | | 18,079,824 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE- 99.5%
(cost $161,801,192) | | | | | | | 188,237,797 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.5% (b) | | | | | 968,513 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 189,206,310 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non-income producing security. |
| (a) | Represents annualized seven-day yield as of the close of the reporting period. |
| (b) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
NYSE - New York Stock Exchange
Open futures contracts outstanding at September 30, 2015:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | | | | | | | | | | |
| 183 | | Goldman Sachs | | S&P 500 E-Mini Futures | | | 12/2015 | | | | $17,663,388 | | | | $17,464,605 | | | | $(198,783 | ) |
| | | | | | | | | | | | | | | | | | | | |
Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| Goldman Sachs | | | | | | | | | |
| Cash | | | $— | | | | $1,188,284 | | | | $1,188,284 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
122
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 95.0% | | SHARES | | | VALUE
(Note 4) | |
| Australia - 15.9% | |
| AGL Energy Ltd. | | | 35,574 | | | $ | 400,370 | |
| Amcor Ltd. | | | 12,922 | | | | 120,173 | |
| APA Group | | | 20,729 | | | | 125,108 | |
| ASX Ltd. | | | 2,877 | | | | 76,809 | |
| Aurizon Holdings Ltd. | | | 32,955 | | | | 116,425 | |
| Australia & New Zealand Banking Group Ltd. | | | 8,913 | | | | 170,293 | |
| Boral Ltd. | | | 14,636 | | | | 54,434 | |
| Brambles Ltd. | | | 40,110 | | | | 275,535 | |
| Caltex Australia Ltd. | | | 8,514 | | | | 187,946 | |
| Coca-Cola Amatil Ltd. | | | 15,165 | | | | 96,139 | |
| Cochlear Ltd. | | | 2,349 | | | | 138,219 | |
| Commonwealth Bank of Australia | | | 1,776 | | | | 91,159 | |
| Crown Resorts Ltd. | | | 2,043 | | | | 14,290 | |
| CSL Ltd. | | | 2,708 | | | | 170,423 | |
| Flight Centre Travel Group Ltd. | | | 4,566 | | | | 116,299 | |
| Iluka Resources Ltd. | | | 4,402 | | | | 19,339 | |
| Incitec Pivot Ltd. | | | 17,862 | | | | 49,232 | |
| Insurance Australia Group Ltd. | | | 35,624 | | | | 121,803 | |
| Medibank Pvt Ltd. | | | 107,992 | | | | 183,978 | |
| National Australia Bank Ltd. | | | 3,694 | | | | 78,176 | |
| Newcrest Mining Ltd. † | | | 12,792 | | | | 115,112 | |
| Orica Ltd. | | | 4,865 | | | | 51,634 | |
| Ramsay Health Care Ltd. | | | 5,526 | | | | 227,914 | |
| REA Group Ltd. | | | 822 | | | | 25,741 | |
| Sonic Healthcare Ltd. | | | 14,967 | | | | 192,511 | |
| Suncorp Group Ltd. | | | 10,272 | | | | 88,366 | |
| Sydney Airport | | | 18,501 | | | | 77,755 | |
| Tatts Group Ltd. | | | 72,906 | | | | 193,433 | |
| Telstra Corp. Ltd. | | | 123,680 | | | | 488,993 | |
| TPG Telecom Ltd. | | | 5,105 | | | | 39,126 | |
| Transurban Group | | | 20,147 | | | | 141,126 | |
| Wesfarmers Ltd. | | | 17,836 | | | | 493,043 | |
| Westpac Banking Corp. | | | 2,508 | | | | 52,685 | |
| Woodside Petroleum Ltd. | | | 5,598 | | | | 114,571 | |
| Woolworths Ltd. | | | 28,282 | | | | 495,744 | |
| WorleyParsons Ltd. | | | 12,526 | | | | 52,437 | |
| | | | | | | | |
| | | | | | | 5,456,341 | |
| | | | | | | | |
| Austria - 0.1% | | | | | | |
| OMV AG | | | 1,409 | | | | 34,284 | |
| | | | | | | | |
| | |
| Belgium - 1.0% | | | | | | |
| Colruyt SA † | | | 2,324 | | | | 112,009 | |
| Proximus | | | 6,096 | | | | 210,873 | |
| Umicore SA | | | 954 | | | | 36,792 | |
| | | | | | | | |
| | | | | | | 359,674 | |
| | | | | | | | |
| Canada - 16.7% | | | | | | |
| Agnico Eagle Mines Ltd. (1) | | | 8,589 | | | | 217,734 | |
| Agrium, Inc. (1) | | | 1,300 | | | | 116,508 | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 9,091 | | | | 418,070 | |
| ARC Resources Ltd. (1) | | | 3,338 | | | | 44,123 | |
| Bank of Montreal (1) | | | 3,003 | | | | 163,775 | |
| Bank of Nova Scotia/The (1) | | | 4,080 | | | | 179,862 | |
| Barrick Gold Corp. (1) | | | 14,889 | | | | 94,723 | |
| BCE, Inc. (1) | | | 11,533 | | | | 472,036 | |
| Canadian Imperial Bank of Commerce (1) | | | 3,183 | | | | 228,689 | |
| Canadian National Railway Co. (1) | | | 3,265 | | | | 185,404 | |
| Canadian Natural Resources Ltd. (1) | | | 500 | | | | 9,738 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Canada - 16.7% (continued) | | | | | | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 588 | | | $ | 52,896 | |
| Dollarama, Inc. (1) | | | 4,800 | | | | 324,184 | |
| Eldorado Gold Corp. (1) | | | 44,612 | | | | 143,079 | |
| Empire Co., Ltd., Class A (1) | | | 12,234 | | | | 251,647 | |
| Enbridge, Inc. (1) | | | 1,142 | | | | 42,402 | |
| Fairfax Financial Holdings Ltd. (1) | | | 100 | | | | 45,541 | |
| Fortis, Inc. (1) | | | 700 | | | | 20,022 | |
| Franco-Nevada Corp. (1) | | | 2,963 | | | | 130,576 | |
| Goldcorp, Inc. (1) | | | 6,874 | | | | 86,176 | |
| Husky Energy, Inc. (1) | | | 5,900 | | | | 92,004 | |
| Imperial Oil Ltd. (1) | | | 7,787 | | | | 246,710 | |
| Intact Financial Corp. (1) | | | 3,904 | | | | 274,172 | |
| Keyera Corp. (1) | | | 1,228 | | | | 33,817 | |
| Kinross Gold Corp. (1)† | | | 76,824 | | | | 133,557 | |
| Loblaw Cos., Ltd. (1) | | | 2,096 | | | | 107,918 | |
| Metro, Inc. (1) | | | 9,822 | | | | 267,612 | |
| National Bank of Canada (1) | | | 5,046 | | | | 161,079 | |
| Potash Corp of Saskatchewan, Inc. (1) | | | 2,340 | | | | 48,098 | |
| Power Financial Corp. (1) | | | 5,416 | | | | 124,189 | |
| Rogers Communications, Inc., Class B (1) | | | 4,737 | | | | 163,213 | |
| Royal Bank of Canada (1) | | | 4,402 | | | | 243,405 | |
| Saputo, Inc. (1) | | | 3,300 | | | | 72,454 | |
| Shaw Communications, Inc., Class B (1) | | | 4,406 | | | | 85,314 | |
| Silver Wheaton Corp. (1) | | | 14,395 | | | | 173,020 | |
| Toronto-Dominion Bank/The (1) | | | 5,898 | | | | 232,473 | |
| TransCanada Corp. (1) | | | 1,197 | | | | 37,852 | |
| Yamana Gold, Inc. (1) | | | 15,953 | | | | 26,897 | |
| | | | | | | | |
| | | | | | | 5,750,969 | |
| | | | | | | | |
| Denmark - 1.6% | | | | | | |
| Coloplast A/S, Class B | | | 3,086 | | | | 218,794 | |
| DSV A/S | | | 2,449 | | | | 91,512 | |
| Novo Nordisk A/S, Class B | | | 4,374 | | | | 236,041 | |
| Novozymes A/S, B Shares | | | 140 | | | | 6,110 | |
| | | | | | | | |
| | | | | | | 552,457 | |
| | | | | | | | |
| Finland - 0.3% | | | | | | |
| Kone OYJ, Class B | | | 1,603 | | | | 61,007 | |
| Sampo OYJ, A Shares | | | 796 | | | | 38,524 | |
| | | | | | | | |
| | | | | | | 99,531 | |
| | | | | | | | |
| France - 4.5% | | | | | | |
| Air Liquide SA | | | 37 | | | | 4,386 | |
| Atos SE | | | 474 | | | | 36,435 | |
| Cie Generale des Etablissements Michelin | | | 282 | | | | 25,801 | |
| CNP Assurances | | | 4,625 | | | | 64,264 | |
| Danone SA | | | 4,618 | | | | 291,503 | |
| Dassault Systemes | | | 2,643 | | | | 195,331 | |
| Electricite de France SA | | | 3,830 | | | | 67,628 | |
| Engie | | | 1,139 | | | | 18,430 | |
| Essilor International SA | | | 289 | | | | 35,307 | |
| Iliad SA | | | 455 | | | | 92,043 | |
| L’Oreal SA | | | 1,386 | | | | 240,906 | |
| Pernod Ricard SA | | | 898 | | | | 90,670 | |
| Sanofi | | | 751 | | | | 71,495 | |
| SCOR SE | | | 2,005 | | | | 72,000 | |
| SES SA FDR | | | 361 | | | | 11,393 | |
| Sodexo SA | | | 910 | | | | 75,507 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
123
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| France - 4.5% (continued) | | | | | | |
| TOTAL SA | | | 3,147 | | | $ | 141,561 | |
| | | | | | | | |
| | | | | | | 1,534,660 | |
| | | | | | | | |
| Germany - 2.5% | | | | | | |
| adidas AG | | | 610 | | | | 49,183 | |
| Bayer AG | | | 871 | | | | 111,748 | |
| Beiersdorf AG | | | 3,124 | | | | 276,914 | |
| Deutsche Post AG | | | 1,190 | | | | 32,966 | |
| E.ON SE | | | 782 | | | | 6,711 | |
| Fresenius Medical Care AG & Co. KGaA | | | 1,716 | | | | 134,114 | |
| Hannover Rueck SE | | | 529 | | | | 54,186 | |
| HUGO BOSS AG | | | 510 | | | | 57,345 | |
| Merck KGaA | | | 458 | | | | 40,550 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 180 | | | | 33,618 | |
| SAP SE | | | 1,098 | | | | 71,132 | |
| | | | | | | | |
| | | | | | | 868,467 | |
| | | | | | | | |
| Hong Kong - 3.8% | | | | | | |
| BOC Hong Kong Holdings Ltd. | | | 21,500 | | | | 63,410 | |
| CLP Holdings Ltd. | | | 37,500 | | | | 320,586 | |
| Hang Seng Bank Ltd. | | | 14,700 | | | | 265,165 | |
| HKT Trust & HKT Ltd. | | | 7,000 | | | | 8,331 | |
| Hong Kong & China Gas Co., Ltd. | | | 118,459 | | | | 222,131 | |
| MGM China Holdings Ltd. | | | 11,200 | | | | 13,047 | |
| MTR Corp. Ltd. | | | 52,500 | | | | 228,270 | |
| SJM Holdings Ltd. | | | 212,000 | | | | 150,936 | |
| WH Group Ltd. 144A †(a) | | | 22,000 | | | | 10,948 | |
| Yue Yuen Industrial Holdings Ltd. | | | 3,500 | | | | 13,022 | |
| | | | | | | | |
| | | | | | | 1,295,846 | |
| | | | | | | | |
| Italy - 0.6% | | | | | | |
| Assicurazioni Generali SpA | | | 362 | | | | 6,623 | |
| Eni SpA | | | 575 | | | | 9,045 | |
| Luxottica Group SpA | | | 2,742 | | | | 190,033 | |
| | | | | | | | |
| | | | | | | 205,701 | |
| | | | | | | | |
| Japan - 16.9% | | | | | | |
| Ajinomoto Co., Inc. | | | 1,000 | | | | 21,088 | |
| Asahi Group Holdings Ltd. | | | 1,400 | | | | 45,421 | |
| Astellas Pharma, Inc. | | | 13,000 | | | | 168,273 | |
| Bandai Namco Holdings, Inc. | | | 7,500 | | | | 174,065 | |
| Bridgestone Corp. | | | 3,500 | | | | 121,122 | |
| Brother Industries Ltd. | | | 8,400 | | | | 101,254 | |
| Calbee, Inc. | | | 3,700 | | | | 119,732 | |
| Canon, Inc. | | | 5,700 | | | | 164,887 | |
| Chugai Pharmaceutical Co., Ltd. | | | 4,800 | | | | 147,424 | |
| COLOPL, Inc. | | | 5,800 | | | | 93,286 | |
| Dai Nippon Printing Co., Ltd. | | | 1,000 | | | | 9,662 | |
| Daihatsu Motor Co., Ltd. | | | 1,700 | | | | 19,665 | |
| Eisai Co., Ltd. | | | 2,100 | | | | 123,903 | |
| FamilyMart Co., Ltd. | | | 3,300 | | | | 150,456 | |
| Fuji Heavy Industries Ltd. | | | 1,400 | | | | 50,378 | |
| GungHo Online Entertainment, Inc. | | | 76,500 | | | | 227,241 | |
| Hitachi Metals Ltd. | | | 7,300 | | | | 84,774 | |
| Hoya Corp. | | | 2,500 | | | | 81,880 | |
| Inpex Corp. | | | 4,000 | | | | 35,763 | |
| ITOCHU Corp. | | | 1,300 | | | | 13,743 | |
| Japan Airlines Co., Ltd. | | | 5,900 | | | | 208,771 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Japan - 16.9% (continued) | | | | | | |
| Japan Tobacco, Inc. | | | 1,800 | | | $ | 55,836 | |
| JX Holdings, Inc. | | | 21,800 | | | | 78,718 | |
| Kakaku.com, Inc. | | | 900 | | | | 14,616 | |
| Kao Corp. | | | 4,300 | | | | 194,923 | |
| Konica Minolta, Inc. | | | 4,300 | | | | 45,299 | |
| Kuraray Co., Ltd. | | | 1,300 | | | | 16,202 | |
| Lawson, Inc. | | | 900 | | | | 66,404 | |
| Marubeni Corp. | | | 1,200 | | | | 5,879 | |
| Mitsubishi Motors Corp. | | | 7,400 | | | | 56,597 | |
| Mitsubishi Tanabe Pharma Corp. | | | 300 | | | | 5,294 | |
| Nexon Co., Ltd. | | | 3,300 | | | | 44,120 | |
| NH Foods Ltd. | | | 1,000 | | | | 20,407 | |
| Nippon Express Co., Ltd. | | | 12,000 | | | | 57,340 | |
| Nippon Telegraph & Telephone Corp. | | | 200 | | | | 7,045 | |
| Nissin Foods Holdings Co., Ltd. | | | 2,900 | | | | 133,409 | |
| Nitori Holdings Co., Ltd. | | | 2,500 | | | | 195,761 | |
| Nitto Denko Corp. | | | 1,100 | | | | 65,882 | |
| Nomura Research Institute Ltd. | | | 1,870 | | | | 71,784 | |
| NTT DOCOMO, Inc. | | | 3,500 | | | | 59,035 | |
| Omron Corp. | | | 900 | | | | 27,092 | |
| Ono Pharmaceutical Co., Ltd. | | | 300 | | | | 35,570 | |
| Osaka Gas Co., Ltd. | | | 76,000 | | | | 288,148 | |
| Otsuka Corp. | | | 600 | | | | 29,234 | |
| Otsuka Holdings Co., Ltd. | | | 8,300 | | | | 265,032 | |
| Recruit Holdings Co., Ltd. | | | 7,800 | | | | 233,878 | |
| Sanrio Co., Ltd. | | | 1,200 | | | | 32,780 | |
| Santen Pharmaceutical Co., Ltd. | | | 6,500 | | | | 87,266 | |
| Secom Co., Ltd. | | | 600 | | | | 36,084 | |
| Seven & i Holdings Co., Ltd. | | | 800 | | | | 36,507 | |
| Shimamura Co., Ltd. | | | 2,700 | | | | 290,829 | |
| Shin-Etsu Chemical Co., Ltd. | | | 800 | | | | 41,027 | |
| Shiseido Co., Ltd. | | | 600 | | | | 13,084 | |
| Sumitomo Dainippon Pharma Co., Ltd. | | | 1,100 | | | | 10,997 | |
| Suzuki Motor Corp. | | | 400 | | | | 12,300 | |
| Sysmex Corp. | | | 800 | | | | 42,249 | |
| Takeda Pharmaceutical Co., Ltd. | | | 1,000 | | | | 43,872 | |
| Toho Gas Co., Ltd. | | | 27,000 | | | | 159,213 | |
| Tokyo Gas Co., Ltd. | | | 56,000 | | | | 270,890 | |
| Toyo Suisan Kaisha Ltd. | | | 5,000 | | | | 189,560 | |
| Trend Micro, Inc. | | | 3,200 | | | | 113,038 | |
| Unicharm Corp. | | | 1,200 | | | | 21,254 | |
| West Japan Railway Co. | | | 700 | | | | 43,873 | |
| Yamato Holdings Co., Ltd. | | | 7,200 | | | | 137,853 | |
| | | | | | | | |
| | | | | | | 5,818,969 | |
| | | | | | | | |
| Netherlands - 1.3% | | | | | | |
| Aegon NV | | | 15,225 | | | | 87,302 | |
| Koninklijke Ahold NV | | | 16,757 | | | | 326,896 | |
| NN Group NV | | | 640 | | | | 18,373 | |
| Randstad Holding NV | | | 201 | | | | 12,014 | |
| | | | | | | | |
| | | | | | | 444,585 | |
| | | | | | | | |
| Norway - 1.1% | | | | | | |
| Norsk Hydro ASA | | | 6,286 | | | | 20,961 | |
| Orkla ASA | | | 5,852 | | | | 43,277 | |
| Statoil ASA | | | 5,809 | | | | 84,690 | |
| Telenor ASA | | | 11,356 | | | | 212,205 | |
| Yara International ASA | | | 330 | | | | 13,164 | |
| | | | | | | | |
| | | | | | | 374,297 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
124
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Portugal - 0.1% | | | | | | |
| EDP - Energias de Portugal SA | | | 10,308 | | | $ | 37,764 | |
| | | | | | | | |
| | |
| Singapore - 5.0% | | | | | | |
| ComfortDelGro Corp. Ltd. | | | 16,500 | | | | 33,333 | |
| DBS Group Holdings Ltd. | | | 16,400 | | | | 187,195 | |
| Genting Singapore PLC | | | 87,600 | | | | 44,745 | |
| Golden Agri-Resources Ltd. | | | 139,000 | | | | 32,309 | |
| Keppel Corp. Ltd. | | | 17,500 | | | | 83,693 | |
| Oversea-Chinese Banking Corp. Ltd. | | | 37,100 | | | | 229,734 | |
| Singapore Airlines Ltd. | | | 18,600 | | | | 140,018 | |
| Singapore Telecommunications Ltd. | | | 162,400 | | | | 411,053 | |
| StarHub Ltd. | | | 41,100 | | | | 100,074 | |
| United Overseas Bank Ltd. | | | 12,900 | | | | 168,437 | |
| Wilmar International Ltd. | | | 158,200 | | | | 286,250 | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 26,500 | | | | 21,190 | |
| | | | | | | | |
| | | | | | | 1,738,031 | |
| | | | | | | | |
| Spain - 1.5% | | | | | | |
| Enagas SA | | | 1,116 | | | | 32,002 | |
| Endesa SA | | | 3,730 | | | | 78,659 | |
| Gas Natural SDG SA | | | 4,471 | | | | 87,239 | |
| Iberdrola SA | | | 19,499 | | | | 129,926 | |
| Industria de Diseno Textil SA | | | 4,730 | | | | 158,604 | |
| Telefonica SA | | | 3,067 | | | | 37,209 | |
| | | | | | | | |
| | | | | | | 523,639 | |
| | | | | | | | |
| Sweden - 3.3% | | | | | | |
| Boliden AB | | | 4,866 | | | | 76,193 | |
| Elekta AB, B Shares | | | 2,486 | | | | 16,548 | |
| Hennes & Mauritz AB, B Shares | | | 8,294 | | | | 303,033 | |
| ICA Gruppen AB | | | 3,047 | | | | 103,154 | |
| Svenska Cellulosa AB SCA, Class B | | | 3,372 | | | | 94,356 | |
| Swedish Match AB | | | 6,532 | | | | 197,453 | |
| Tele2 AB, B Shares | | | 11,168 | | | | 108,917 | |
| TeliaSonera AB | | | 46,084 | | | | 248,751 | |
| | | | | | | | |
| | | | | | | 1,148,405 | |
| | | | | | | | |
| Switzerland - 5.1% | | | | | | |
| Coca-Cola HBC AG † | | | 1,073 | | | | 22,714 | |
| Kuehne + Nagel International AG | | | 2,322 | | | | 298,578 | |
| Nestle SA | | | 4,807 | | | | 361,514 | |
| Novartis AG | | | 3,246 | | | | 298,346 | |
| Roche Holding AG | | | 701 | | | | 186,096 | |
| SGS SA | | | 71 | | | | 124,065 | |
| Swiss Life Holding AG † | | | 81 | | | | 18,068 | |
| Swiss Re AG | | | 2,641 | | | | 226,590 | |
| Swisscom AG | | | 229 | | | | 114,286 | |
| Zurich Insurance Group AG † | | | 426 | | | | 104,586 | |
| | | | | | | | |
| | | | | | | 1,754,843 | |
| | | | | | | | |
| United Kingdom - 13.3% | | | | | | |
| Admiral Group PLC | | | 4,533 | | | | 103,098 | |
| Aggreko PLC | | | 4,381 | | | | 63,157 | |
| Associated British Foods PLC | | | 6,170 | | | | 312,259 | |
| AstraZeneca PLC | | | 3,542 | | | | 224,629 | |
| BP PLC | | | 15,556 | | | | 78,921 | |
| British American Tobacco PLC | | | 2,943 | | | | 162,382 | |
| BT Group PLC | | | 27,999 | | | | 178,201 | |
| Burberry Group PLC | | | 2,556 | | | | 52,982 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| United Kingdom - 13.3% (continued) | | | | | | |
| Centrica PLC | | | 66,140 | | | $ | 229,772 | |
| Compass Group PLC | | | 11,100 | | | | 177,299 | |
| Diageo PLC | | | 926 | | | | 24,879 | |
| easyJet PLC | | | 547 | | | | 14,766 | |
| Experian PLC | | | 561 | | | | 9,006 | |
| GKN PLC | | | 4,783 | | | | 19,428 | |
| GlaxoSmithKline PLC | | | 4,957 | | | | 95,144 | |
| HSBC Holdings PLC | | | 34,351 | | | | 259,134 | |
| Imperial Tobacco Group PLC | | | 2,019 | | | | 104,380 | |
| J Sainsbury PLC | | | 42,531 | | | | 168,204 | |
| Marks & Spencer Group PLC | | | 4,636 | | | | 35,191 | |
| National Grid PLC | | | 20,399 | | | | 284,100 | |
| Next PLC | | | 481 | | | | 55,431 | |
| Pearson PLC | | | 795 | | | | 13,589 | |
| Reckitt Benckiser Group PLC | | | 3,113 | | | | 282,305 | |
| Royal Dutch Shell PLC, B Shares | | | 8,717 | | | | 206,116 | |
| Royal Mail PLC | | | 33,723 | | | | 234,319 | |
| SABMiller PLC | | | 623 | | | | 35,279 | |
| Sage Group PLC/The | | | 3,363 | | | | 25,443 | |
| Shire PLC | | | 288 | | | | 19,688 | |
| Sky PLC | | | 13,247 | | | | 209,581 | |
| Smith & Nephew PLC | | | 14,510 | | | | 253,508 | |
| SSE PLC | | | 9,272 | | | | 209,853 | |
| Tate & Lyle PLC | | | 5,428 | | | | 48,367 | |
| Unilever NV CVA | | | 4,882 | | | | 195,695 | |
| United Utilities Group PLC | | | 2,762 | | | | 38,712 | |
| Whitbread PLC | | | 1,298 | | | | 91,959 | |
| WM Morrison Supermarkets PLC | | | 19,883 | | | | 50,035 | |
| | | | | | | | |
| | | | | | | 4,566,812 | |
| | | | | | | | |
| United States - 0.4% | | | | | | |
| Thomson Reuters Corp. (1) | | | 3,338 | | | | 134,170 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $34,209,244) | | | | | | | 32,699,445 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.4% | | | | | | |
| | |
| Germany - 0.4% | | | | | | |
| Henkel AG & Co. KGaA | | | | | | | | |
(cost $133,153) | | | 1,444 | | | | 148,726 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS (ETF) - 3.4% | | | | |
| |
| United States - 3.4% | | | | |
| iShares MSCI EAFE ETF (1) | | | | | | | | |
(cost $1,190,525) | | | 20,425 | | | | 1,170,761 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 0.8% | | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b) | | | | | | | | |
(cost $264,443) | | | 264,443 | | | | 264,443 | |
| | | | | | | | |
TOTAL INVESTMENTS IN
SECURITIES, AT VALUE - 99.6%
(cost $35,797,365) | | | | | | | 34,283,375 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.4% | | | | | 137,225 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 34,420,600 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
125
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | |
| † | Non-income producing security. |
| (a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
| (b) | Represents annualized seven-day yield as of the close of the reporting period. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
CVA - Dutch Certificate of Shares
FDR - Fiduciary Depositary Receipt
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 3,647,932 | | | | 10.6 | % |
| Consumer Staples | | | 7,294,090 | | | | 21.1 | |
| Energy | | | 1,530,698 | | | | 4.4 | |
| Exchange-Traded Funds | | | 1,170,761 | | | | 3.4 | |
| Financials | | | 4,516,761 | | | | 13.1 | |
| Health Care | | | 3,682,835 | | | | 10.7 | |
| Industrials | | | 2,991,222 | | | | 8.7 | |
| Information Technology | | | 1,260,192 | | | | 3.7 | |
| Materials | | | 1,945,785 | | | | 5.7 | |
| Telecommunication Services | | | 2,951,391 | | | | 8.6 | |
| Utilities | | | 3,027,265 | | | | 8.8 | |
| Money Market Funds | | | 264,443 | | | | 0.8 | |
| | | | | | | | |
Total Investments In Securities, At Value | | | 34,283,375 | | | | 99.6 | |
| Other Assets in Excess of Liabilities | | | 137,225 | | | | 0.4 | |
| | | | | | | | |
Net Assets | | $ | 34,420,600 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
126
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR EMERGING DEFENSIVE STYLE FUND | | |
| | | | | | | | |
| COMMON STOCKS - 97.0% | | SHARES | | | VALUE
(Note 4) | |
| Brazil - 7.7% | |
| Ambev SA ADR (1) | | | 68,019 | | | $ | 333,293 | |
| BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros (1) | | | 32,000 | | | | 88,788 | |
| BRF SA (1) | | | 9,400 | | | | 167,514 | |
| Cia Energetica de Minas Gerais ADR (1) | | | 25,021 | | | | 44,537 | |
| Cia Paranaense de Energia ADR (1)(a) | | | 2,663 | | | | 21,863 | |
| Cielo SA (1) | | | 2,536 | | | | 23,579 | |
| Localiza Rent a Car SA (1) | | | 15,110 | | | | 93,073 | |
| Natura Cosmeticos SA (1) | | | 17,100 | | | | 83,893 | |
| Odontoprev SA (1) | | | 147,500 | | | | 364,239 | |
| Qualicorp SA (1) | | | 7,900 | | | | 29,273 | |
| Souza Cruz SA (1) | | | 25,500 | | | | 171,415 | |
| Telefonica Brasil SA ADR (1) | | | 3,051 | | | | 27,856 | |
| TOTVS SA (1) | | | 8,100 | | | | 59,925 | |
| Tractebel Energia SA (1) | | | 31,200 | | | | 265,056 | |
| Ultrapar Participacoes SA ADR (1)(a) | | | 11,660 | | | | 194,955 | |
| WEG SA (1) | | | 34,580 | | | | 134,936 | |
| | | | | | | | |
| | | | | | | 2,104,195 | |
| | | | | | | | |
| Chile - 8.0% | | | | | | |
| Banco de Chile (1) | | | 3,902,370 | | | | 406,757 | |
| Banco Santander Chile ADR (1) | | | 8,450 | | | | 153,959 | |
| Cencosud SA (1) | | | 36,858 | | | | 71,774 | |
| Corpbanca SA (1) | | | 3,385,732 | | | | 29,823 | |
| Empresa Nacional de Electricidad SA ADR (1)(a) | | | 10,944 | | | | 388,621 | |
| Empresas COPEC SA (1) | | | 41,134 | | | | 373,237 | |
| Enersis SA ADR (1) | | | 30,012 | | | | 379,352 | |
| SACI Falabella (1) | | | 63,745 | | | | 394,998 | |
| | | | | | | | |
| | | | | | | 2,198,521 | |
| | | | | | | | |
| China - 0.6% | | | | | | |
| ANTA Sports Products Ltd. | | | 54,000 | | | | 140,174 | |
| Belle International Holdings Ltd. | | | 19,000 | | | | 16,524 | |
| China Communications Services Corp. Ltd., H Shares | | | 24,000 | | | | 9,264 | |
| | | | | | | | |
| | | | | | | 165,962 | |
| | | | | | | | |
| Hong Kong - 0.9% | | | | | | |
| Guangdong Investment Ltd. | | | 76,000 | | | | 113,447 | |
| Sino Biopharmaceutical Ltd. | | | 108,000 | | | | 133,743 | |
| | | | | | | | |
| | | | | | | 247,190 | |
| | | | | | | | |
| India - 1.4% | | | | | | |
| Dr. Reddy’s Laboratories Ltd. ADR (1) | | | 3,284 | | | | 209,880 | |
| Infosys Ltd. ADR (1) | | | 8,264 | | | | 157,760 | |
| | | | | | | | |
| | | | | | | 367,640 | |
| | | | | | | | |
| Indonesia - 4.4% | | | | | | |
| Bank Central Asia Tbk PT | | | 119,600 | | | | 100,414 | |
| Indofood Sukses Makmur Tbk PT | | | 118,700 | | | | 44,672 | |
| Kalbe Farma Tbk PT | | | 3,430,500 | | | | 322,786 | |
| Perusahaan Gas Negara Persero Tbk PT | | | 844,700 | | | | 146,167 | |
| Semen Indonesia Persero Tbk PT | | | 500,100 | | | | 309,293 | |
| Telekomunikasi Indonesia Persero Tbk PT ADR (1) | | | 6,245 | | | | 222,634 | |
| Unilever Indonesia Tbk PT | | | 21,500 | | | | 55,849 | |
| United Tractors Tbk PT | | | 11,100 | | | | 13,288 | |
| | | | | | | | |
| | | | | | | 1,215,103 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Korea, Republic of - 12.8% | | | | | | |
| Amorepacific Corp. | | | 251 | | | $ | 81,793 | |
| Cheil Worldwide, Inc. † | | | 9,226 | | | | 142,548 | |
| Coway Co., Ltd. | | | 2,050 | | | | 145,060 | |
| Dongbu Insurance Co., Ltd. | | | 9,086 | | | | 471,235 | |
| Hyundai Glovis Co., Ltd. | | | 1,059 | | | | 200,728 | |
| Hyundai Marine & Fire Insurance Co., Ltd. | | | 10,105 | | | | 257,826 | |
| Kangwon Land, Inc. | | | 6,617 | | | | 236,501 | |
| KEPCO Plant Service & Engineering Co., Ltd. | | | 1,227 | | | | 125,587 | |
| Kia Motors Corp. | | | 9,785 | | | | 443,566 | |
| KT&G Corp. | | | 439 | | | | 41,339 | |
| LG Chem Ltd. | | | 458 | | | | 111,018 | |
| LG Display Co., Ltd. | | | 803 | | | | 15,330 | |
| LG Household & Health Care Ltd. | | | 86 | | | | 62,237 | |
| S-1 Corp. | | | 5,048 | | | | 397,751 | |
| Samsung Electronics Co., Ltd. GDR | | | 575 | | | | 271,934 | |
| Samsung Fire & Marine Insurance Co., Ltd. | | | 1,325 | | | | 312,888 | |
| Samsung Life Insurance Co., Ltd. | | | 2,063 | | | | 172,519 | |
| SK Hynix, Inc. | | | 601 | | | | 17,141 | |
| | | | | | | | |
| | | | | | | 3,507,001 | |
| | | | | | | | |
| Malaysia - 14.6% | | | | | | |
| AMMB Holdings Bhd | | | 120,200 | | | | 124,921 | |
| Axiata Group Bhd | | | 271,500 | | | | 358,624 | |
| British American Tobacco Malaysia Bhd | | | 2,700 | | | | 37,074 | |
| Dialog Group Bhd | | | 188,600 | | | | 68,865 | |
| DiGi.Com Bhd | | | 319,800 | | | | 403,761 | |
| Genting Malaysia Bhd | | | 32,900 | | | | 31,088 | |
| IHH Healthcare Bhd | | | 209,200 | | | | 283,971 | |
| IJM Corp. Bhd | | | 15,800 | | | | 11,574 | |
| IOI Corp. Bhd | | | 125,000 | | | | 115,690 | |
| Malayan Banking Bhd | | | 144,300 | | | | 281,509 | |
| Maxis Bhd | | | 253,100 | | | | 377,571 | |
| Petronas Dagangan Bhd | | | 13,700 | | | | 68,159 | |
| Petronas Gas Bhd | | | 80,300 | | | | 402,435 | |
| Public Bank Bhd | | | 88,900 | | | | 354,483 | |
| Sime Darby Bhd | | | 154,900 | | | | 274,341 | |
| Telekom Malaysia Bhd | | | 254,600 | | | | 387,201 | |
| Tenaga Nasional Bhd | | | 134,500 | | | | 367,862 | |
| Westports Holdings Bhd | | | 52,200 | | | | 50,442 | |
| | | | | | | | |
| | | | | | | 3,999,571 | |
| | | | | | | | |
| Mexico - 11.8% | | | | | | |
| America Movil SAB de CV, Class L ADR (1) | | | 1,212 | | | | 20,058 | |
| Arca Continental SAB de CV (1) | | | 71,400 | | | | 402,005 | |
| Coca-Cola Femsa SAB de CV ADR (1) | | | 2,897 | | | | 200,994 | |
| El Puerto de Liverpool SAB de CV (1) | | | 10,400 | | | | 135,056 | |
| Gentera SAB de CV (1) | | | 139,000 | | | | 227,516 | |
| Gruma SAB de CV, Class B (1)(a) | | | 30,400 | | | | 422,240 | |
| Grupo Aeroportuario del Pacifico SAB de CV ADR (1) | | | 4,912 | | | | 426,558 | |
| Grupo Aeroportuario del Sureste SAB de CV ADR (1) | | | 969 | | | | 147,550 | |
| Grupo Financiero Banorte SAB de CV, Class O (1) | | | 18,800 | | | | 92,082 | |
| Grupo Financiero Inbursa SAB de CV, Class O (1) | | | 35,200 | | | | 72,753 | |
| Grupo Lala SAB de CV (1) | | | 37,900 | | | | 89,544 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
127
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR EMERGING DEFENSIVE STYLE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Mexico - 11.8% (continued) | | | | | | |
| Industrias Penoles SAB de CV (1) | | | 5,530 | | | $ | 75,379 | |
| Kimberly-Clark de Mexico SAB de CV, Class A (1) | | | 125,100 | | | | 282,910 | |
| Promotora y Operadora de Infraestructura SAB de CV (1)† | | | 20,900 | | | | 229,957 | |
| Wal-Mart de Mexico SAB de CV (1) | | | 168,100 | | | | 412,770 | |
| | | | | | | | |
| | | | | | | 3,237,372 | |
| | | | | | | | |
| Poland - 5.6% | | | | | | |
| Bank Pekao SA | | | 9,562 | | | | 388,647 | |
| Bank Zachodni WBK SA † | | | 492 | | | | 38,055 | |
| Energa SA | | | 32,281 | | | | 143,271 | |
| Orange Polska SA | | | 120,107 | | | | 229,613 | |
| PGE Polska Grupa Energetyczna SA | | | 100,796 | | | | 358,138 | |
| Polskie Gornictwo Naftowe i Gazownictwo SA | | | 4,665 | | | | 8,019 | |
| Powszechna Kasa Oszczednosci Bank Polski SA † | | | 1,563 | | | | 12,120 | |
| Powszechny Zaklad Ubezpieczen SA | | | 3,513 | | | | 360,694 | |
| | | | | | | | |
| | | | | | | 1,538,557 | |
| | | | | | | | |
| South Africa - 12.8% | | | | | | |
| Bidvest Group Ltd./The | | | 16,896 | | | | 398,754 | |
| FirstRand Ltd. | | | 41,745 | | | | 148,341 | |
| Kumba Iron Ore Ltd. | | | 1,285 | | | | 7,308 | |
| Mr Price Group Ltd. | | | 23,619 | | | | 329,710 | |
| Nedbank Group Ltd. | | | 5,788 | | | | 91,917 | |
| Netcare Ltd. | | | 113,890 | | | | 299,041 | |
| Pick n Pay Stores Ltd. | | | 19,621 | | | | 94,113 | |
| RMB Holdings Ltd. | | | 81,180 | | | | 387,027 | |
| Sasol Ltd. | | | 1,486 | | | | 41,627 | |
| Shoprite Holdings Ltd. | | | 26,846 | | | | 304,887 | |
| SPAR Group Ltd./The | | | 20,243 | | | | 270,817 | |
| Standard Bank Group Ltd. | | | 22,776 | | | | 222,389 | |
| Telkom SA SOC Ltd. | | | 22,480 | | | | 108,081 | |
| Tiger Brands Ltd. | | | 8,525 | | | | 187,704 | |
| Truworths International Ltd. | | | 60,093 | | | | 369,272 | |
| Vodacom Group Ltd. | | | 24,261 | | | | 241,328 | |
| | | | | | | | |
| | | | | | | 3,502,316 | |
| | | | | | | | |
| Taiwan - 11.2% | | | | | | |
| Advantech Co., Ltd. | | | 25,000 | | | | 171,679 | |
| Asustek Computer, Inc. | | | 34,000 | | | | 292,332 | |
| Cheng Shin Rubber Industry Co., Ltd. | | | 16,000 | | | | 26,310 | |
| China Steel Corp. | | | 104,359 | | | | 60,987 | |
| Chunghwa Telecom Co., Ltd. ADR (1) | | | 13,483 | | | | 407,456 | |
| Far EasTone Telecommunications Co., Ltd. | | | 189,000 | | | | 407,614 | |
| First Financial Holding Co., Ltd. | | | 15,975 | | | | 7,294 | |
| Hon Hai Precision Industry Co., Ltd. | | | 40,530 | | | | 105,883 | |
| HTC Corp. | | | 29,000 | | | | 56,141 | |
| Inotera Memories, Inc. † | | | 30,000 | | | | 18,860 | |
| Kinsus Interconnect Technology Corp. | | | 65,000 | | | | 125,087 | |
| Lite-On Technology Corp. | | | 30,869 | | | | 28,439 | |
| MediaTek, Inc. | | | 5,000 | | | | 37,208 | |
| Mega Financial Holding Co., Ltd. | | | 148,000 | | | | 102,805 | |
| Pegatron Corp. | | | 8,000 | | | | 19,578 | |
| President Chain Store Corp. | | | 63,000 | | | | 392,911 | |
| Realtek Semiconductor Corp. | | | 62,442 | | | | 106,306 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Taiwan - 11.2% (continued) | | | | | | |
| Taiwan Mobile Co., Ltd. | | | 108,000 | | | $ | 330,653 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | | | 2,895 | | | | 60,071 | |
| Uni-President Enterprises Corp. | | | 176,172 | | | | 305,932 | |
| | | | | | | | |
| | | | | | | 3,063,546 | |
| | | | | | | | |
| Thailand - 3.3% | | | | | | |
| Advanced Info Service PCL NVDR | | | 55,600 | | | | 346,775 | |
| Bangkok Dusit Medical Services PCL NVDR | | | 50,000 | | | | 25,539 | |
| BTS Group Holdings PCL NVDR | | | 950,800 | | | | 255,525 | |
| Delta Electronics Thailand PCL NVDR | | | 38,900 | | | | 94,441 | |
| Siam Cement PCL/The NVDR | | | 13,000 | | | | 166,394 | |
| | | | | | | | |
| | | | | | | 888,674 | |
| | | | | | | | |
| Turkey - 1.9% | | | | | | |
| BIM Birlesik Magazalar AS | | | 13,048 | | | | 231,354 | |
| Eregli Demir ve Celik Fabrikalari TAS | | | 19,919 | | | | 24,588 | |
| Turk Telekomunikasyon AS | | | 127,627 | | | | 251,900 | |
| | | | | | | | |
| | | | | | | 507,842 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $30,748,241) | | | | | | | 26,543,490 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.3% | | | | | | |
| | |
| Brazil - 0.3% | | | | | | |
| Cia Brasileira de Distribuicao (1) | | | 800 | | | | 10,059 | |
| Cia Energetica de Sao Paulo, Series B (1) | | | 15,800 | | | | 60,617 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $165,141) | | | | | | | 70,676 | |
| | | | | | | | |
|
| MONEY MARKET FUNDS - 2.6% | |
J.P. Morgan U.S. Treasury Plus Money
Market Fund - IM Shares, 0.000% (b) | | | | | | | | |
(cost $709,325) | | | 709,325 | | | | 709,325 | |
| | | | | | | | |
| |
| SECURITIES LENDING COLLATERAL - 2.8% | | | | |
| | |
| Money Market Funds - 2.8% | | | | | | |
| Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank Dreyfus Treasury Cash Management, 0.010% (b)(c) | | | | | | | | |
(cost $762,700) | | | 762,700 | | | | 762,700 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 102.7%
(cost $32,385,407) | | | | | | | 28,086,191 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (2.7%) (d) | | | | | (736,618) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 27,349,573 | |
| | | | | | | | |
| † | Non-income producing security. |
| (a) | All or a portion of the security on loan. The aggregate market value of such securities is $755,626; cash collateral of $762,700 was received with which the Fund purchased a money market fund. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
128
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR EMERGING DEFENSIVE STYLE FUND | | |
| (b) | Represents annualized seven-day yield as of the close of the reporting period. |
| (c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (d) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 2,410,807 | | | | 8.8 | % |
| Consumer Staples | | | 4,874,783 | | | | 17.8 | |
| Energy | | | 685,998 | | | | 2.5 | |
| Financials | | | 4,906,759 | | | | 18.0 | |
| Health Care | | | 1,668,472 | | | | 6.1 | |
| Industrials | | | 2,828,929 | | | | 10.3 | |
| Information Technology | | | 1,661,693 | | | | 6.1 | |
| Materials | | | 754,967 | | | | 2.8 | |
| Telecommunication Services | | | 4,130,390 | | | | 15.1 | |
| Utilities | | | 2,691,368 | | | | 9.8 | |
| Money Market Funds | | | 709,325 | | | | 2.6 | |
| Securities Lending Collateral | | | 762,700 | | | | 2.8 | |
| | | | | | | | |
Total Investments In Securities, At Value | | | 28,086,191 | | | | 102.7 | |
| Liabilities in Excess of Other Assets (d) | | | (736,618 | ) | | | (2.7 | ) |
| | | | | | | | |
Net Assets | | $ | 27,349,573 | | | | 100.0 | % |
| | | | | | | | |
Open futures contracts outstanding at September 30, 2015:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | |
| 18 | | J.P. Morgan | | E-Mini MSCI Emerging Markets Index Futures | | | 12/2015 | | | | $709,962 | | | | $711,990 | | | | $2,028 | |
| | | | | | | | | | | | | | | | | | | | |
Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:
| | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | EXCHANGE TRADED/
CENTRALLY CLEARED | | TOTAL | |
| J.P. Morgan | | | | | | | |
| Cash | | $— | | $58,090 | | | $58,090 | |
| | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
129
| | |
| Schedule of Investments | | September 30, 2015 |
| | | | | | | | |
| COMMON STOCKS - 87.7% | | SHARES | | | VALUE
(Note 4) | |
| Australia - 1.4% | |
| Asciano Ltd. | | | 52,264 | | | $ | 309,419 | |
| ASX Ltd. | | | 1,555 | | | | 41,515 | |
| Australia & New Zealand Banking Group Ltd. | | | 20,973 | | | | 400,713 | |
| BHP Billiton Ltd. | | | 25,910 | | | | 409,230 | |
| Boral Ltd. | | | 66,155 | | | | 246,042 | |
| Computershare Ltd. | | | 3,819 | | | | 28,518 | |
| Dexus Property Group REIT | | | 6,812 | | | | 34,352 | |
| Federation Centres REIT | | | 25,640 | | | | 49,512 | |
| Flight Centre Travel Group Ltd. | | | 8,882 | | | | 226,230 | |
| Goodman Group REIT | | | 14,552 | | | | 60,151 | |
| GPT Group/The REIT (Escrow) (3)†(a) | | | 96,388 | | | | — | |
| GPT Group/The REIT | | | 14,949 | | | | 47,511 | |
| Harvey Norman Holdings Ltd. | | | 38,061 | | | | 104,255 | |
| Lend Lease Group | | | 44,864 | | | | 397,188 | |
| Macquarie Group Ltd. | | | 18,475 | | | | 1,001,255 | |
| Mirvac Group REIT | | | 30,051 | | | | 36,487 | |
| National Australia Bank Ltd. | | | 18,772 | | | | 397,270 | |
| Newcrest Mining Ltd. † | | | 6,113 | | | | 55,010 | |
| Qantas Airways Ltd. † | | | 127,269 | | | | 334,129 | |
| Scentre Group REIT | | | 45,297 | | | | 124,671 | |
| Stockland REIT | | | 18,057 | | | | 49,057 | |
| Telstra Corp. Ltd. | | | 35,604 | | | | 140,767 | |
| Westfield Corp. REIT | | | 15,829 | | | | 111,384 | |
| | | | | | | | |
| | | | | | | 4,604,666 | |
| | | | | | | | |
| Belgium - 0.9% | |
| Ageas | | | 17,255 | | | | 709,119 | |
| Delhaize Group | | | 950 | | | | 84,208 | |
| KBC Groep NV | | | 10,780 | | | | 681,749 | |
| Proximus | | | 43,687 | | | | 1,511,219 | |
| | | | | | | | |
| | | | | | | 2,986,295 | |
| | | | | | | | |
| Canada - 2.1% | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 7,800 | | | | 358,701 | |
| Bank of Montreal (1) | | | 5,180 | | | | 282,503 | |
| Bank of Nova Scotia/The (1) | | | 3,199 | | | | 141,024 | |
| BlackBerry Ltd. (1)† | | | 15,669 | | | | 96,163 | |
Brookfield Asset Management, Inc.,
Class A (1) | | | 7,203 | | | | 226,642 | |
| Cameco Corp. (1) | | | 14,860 | | | | 181,171 | |
| Canadian Imperial Bank of Commerce (1) | | | 5,300 | | | | 380,790 | |
| Canadian National Railway Co. (1) | | | 3,800 | | | | 215,784 | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 1,100 | | | | 98,955 | |
| CGI Group, Inc., Class A (1)† | | | 7,266 | | | | 263,253 | |
| Constellation Software, Inc. (1) | | | 1,359 | | | | 569,619 | |
| Crescent Point Energy Corp. (1) | | | 3,000 | | | | 34,327 | |
| Dollarama, Inc. (1) | | | 8,200 | | | | 553,815 | |
| Fairfax Financial Holdings Ltd. (1) | | | 1,273 | | | | 579,732 | |
| Great-West Lifeco, Inc. (1) | | | 2,245 | | | | 53,782 | |
| Magna International, Inc. (1) | | | 17,181 | | | | 824,096 | |
| Manulife Financial Corp. (1) | | | 17,400 | | | | 269,117 | |
| National Bank of Canada (1) | | | 3,800 | | | | 121,304 | |
| Power Corp. of Canada (1) | | | 2,746 | | | | 56,937 | |
RioCan Real Estate Investment
Trust REIT (1) | | | 2,100 | | | | 40,080 | |
| Royal Bank of Canada (1) | | | 5,424 | | | | 299,915 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Canada - 2.1% (continued) | |
| Suncor Energy, Inc. (1) | | | 38,982 | | | $ | 1,042,538 | |
| West Fraser Timber Co., Ltd. (1) | | | 7,112 | | | | 225,964 | |
| | | | | | | | |
| | | | | | | 6,916,212 | |
| | | | | | | | |
| Denmark - 0.9% | |
| DSV A/S | | | 6,183 | | | | 231,040 | |
| ISS A/S | | | 8,901 | | | | 295,662 | |
| Novo Nordisk A/S, Class B | | | 26,461 | | | | 1,427,956 | |
| Pandora A/S | | | 8,263 | | | | 965,276 | |
| Vestas Wind Systems A/S | | | 2,026 | | | | 105,330 | |
| | | | | | | | |
| | | | | | | 3,025,264 | |
| | | | | | | | |
| Finland - 0.6% | |
| Nokia OYJ | | | 31,442 | | | | 214,994 | |
| Orion OYJ, Class B | | | 24,802 | | | | 938,517 | |
| Stora Enso OYJ, R Shares | | | 14,947 | | | | 113,097 | |
| UPM-Kymmene OYJ | | | 43,423 | | | | 651,810 | |
| | | | | | | | |
| | | | | | | 1,918,418 | |
| | | | | | | | |
| France - 3.8% | |
| Airbus Group SE | | | 3,662 | | | | 216,864 | |
| Atos SE | | | 5,225 | | | | 401,627 | |
| AXA SA | | | 5,038 | | | | 122,317 | |
| BNP Paribas SA | | | 3,297 | | | | 194,108 | |
| Cap Gemini SA | | | 11,570 | | | | 1,033,233 | |
| CNP Assurances | | | 19,110 | | | | 265,531 | |
| Dassault Systemes | | | 2,084 | | | | 154,018 | |
| Eutelsat Communications SA | | | 4,858 | | | | 149,000 | |
| Klepierre REIT | | | 1,740 | | | | 78,861 | |
| Lagardere SCA | | | 6,968 | | | | 193,078 | |
| Natixis SA | | | 21,230 | | | | 117,546 | |
| Orange SA | | | 29,526 | | | | 447,592 | |
| Peugeot SA † | | | 138,687 | | | | 2,101,465 | |
| Sanofi | | | 21,061 | | | | 2,005,010 | |
| SCOR SE | | | 17,540 | | | | 629,866 | |
| Societe BIC SA | | | 2,699 | | | | 419,397 | |
| Societe Generale SA | | | 14,280 | | | | 638,188 | |
| Thales SA | | | 6,355 | | | | 443,102 | |
| TOTAL SA | | | 12,094 | | | | 544,023 | |
| Unibail-Rodamco SE REIT | | | 1,072 | | | | 277,845 | |
| Valeo SA | | | 1,605 | | | | 217,922 | |
| Vinci SA | | | 8,065 | | | | 512,843 | |
| Vivendi SA | | | 58,611 | | | | 1,388,595 | |
| | | | | | | | |
| | | | | | | 12,552,031 | |
| | | | | | | | |
| Germany - 3.0% | |
| Allianz SE | | | 5,912 | | | | 928,734 | |
| Deutsche Boerse AG | | | 1,565 | | | | 134,972 | |
| Deutsche Lufthansa AG † | | | 12,997 | | | | 180,928 | |
| Deutsche Post AG | | | 13,027 | | | | 360,887 | |
| Evonik Industries AG | | | 19,209 | | | | 643,167 | |
| Fresenius SE & Co. KGaA | | | 5,283 | | | | 354,636 | |
| Hannover Rueck SE | | | 11,225 | | | | 1,149,789 | |
| Infineon Technologies AG | | | 9,616 | | | | 108,040 | |
| K+S AG | | | 1,756 | | | | 58,920 | |
| LANXESS AG | | | 3,846 | | | | 180,081 | |
| Merck KGaA | | | 14,897 | | | | 1,318,926 | |
| METRO AG | | | 19,958 | | | | 552,196 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
130
| | |
| Schedule of Investments | | September 30, 2015 |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Germany - 3.0% (continued) | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 3,761 | | | $ | 702,422 | |
| OSRAM Licht AG | | | 25,614 | | | | 1,327,020 | |
| ProSiebenSat.1 Media SE | | | 22,217 | | | | 1,090,535 | |
| SAP SE | | | 9,891 | | | | 640,776 | |
| Siemens AG | | | 2,417 | | | | 215,927 | |
| TUI AG | | | 11,631 | | | | 214,901 | |
| | | | | | | | |
| | | | | | | 10,162,857 | |
| | | | | | | | |
| Hong Kong - 0.6% | |
| AIA Group Ltd. | | | 28,800 | | | | 149,782 | |
| ASM Pacific Technology Ltd. | | | 1,882 | | | | 12,344 | |
| Cheung Kong Infrastructure Holdings Ltd. | | | 4,749 | | | | 42,564 | |
| Cheung Kong Property Holdings Ltd. | | | 30,201 | | | | 221,262 | |
| First Pacific Co., Ltd. | | | 18,000 | | | | 10,997 | |
| Hong Kong Exchanges and Clearing Ltd. | | | 9,069 | | | | 208,052 | |
| Kerry Properties Ltd. | | | 108,500 | | | | 297,898 | |
| Link REIT | | | 18,829 | | | | 103,662 | |
| New World Development Co., Ltd. | | | 108,000 | | | | 105,180 | |
| NWS Holdings Ltd. | | | 12,500 | | | | 16,477 | |
| PCCW Ltd. | | | 32,406 | | | | 16,681 | |
| Sino Land Co., Ltd. | | | 104,000 | | | | 158,352 | |
| Swire Pacific Ltd., Class A | | | 5,318 | | | | 59,607 | |
| Techtronic Industries Co., Ltd. | | | 25,000 | | | | 93,201 | |
| Wheelock & Co., Ltd. | | | 26,000 | | | | 112,916 | |
| Yue Yuen Industrial Holdings Ltd. | | | 70,123 | | | | 260,890 | |
| | | | | | | | |
| | | | | | | 1,869,865 | |
| | | | | | | | |
| Ireland - 0.2% | |
| Accenture PLC, Class A (1) | | | 1,527 | | | | 150,043 | |
| XL Group PLC (1) | | | 11,315 | | | | 410,961 | |
| | | | | | | | |
| | | | | | | 561,004 | |
| | | | | | | | |
| Italy - 1.4% | |
| Atlantia SpA | | | 11,543 | | | | 322,889 | |
| Banco Popolare SC † | | | 40,962 | | | | 606,050 | |
| Eni SpA | | | 44,060 | | | | 693,079 | |
| Finmeccanica SpA † | | | 40,354 | | | | 505,345 | |
| Intesa Sanpaolo SpA | | | 90,630 | | | | 320,169 | |
| Mediobanca SpA | | | 16,365 | | | | 161,011 | |
| Pirelli & C. SpA | | | 61,320 | | | | 1,026,130 | |
| Prysmian SpA | | | 29,005 | | | | 599,513 | |
| UniCredit SpA | | | 57,305 | | | | 357,251 | |
| | | | | | | | |
| | | | | | | 4,591,437 | |
| | | | | | | | |
| Japan - 7.8% | |
| Aeon Mall Co., Ltd. | | | 1,100 | | | | 16,897 | |
| Ajinomoto Co., Inc. | | | 18,000 | | | | 379,584 | |
| Astellas Pharma, Inc. | | | 34,700 | | | | 449,160 | |
| Bandai Namco Holdings, Inc. | | | 13,400 | | | | 310,997 | |
| Brother Industries Ltd. | | | 12,600 | | | | 151,881 | |
| Central Japan Railway Co. | | | 3,200 | | | | 515,929 | |
| Chubu Electric Power Co., Inc. | | | 26,200 | | | | 386,299 | |
| Daicel Corp. | | | 11,900 | | | | 146,082 | |
| Dai-ichi Life Insurance Co., Ltd./The | | | 8,400 | | | | 133,727 | |
| Daito Trust Construction Co., Ltd. | | | 686 | | | | 69,701 | |
| Daiwa House Industry Co., Ltd. | | | 4,151 | | | | 102,907 | |
| Daiwa Securities Group, Inc. | | | 22,000 | | | | 142,351 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Japan - 7.8% (continued) | |
| Don Quijote Holdings Co., Ltd. | | | 3,800 | | | $ | 143,168 | |
| East Japan Railway Co. | | | 2,512 | | | | 211,675 | |
| Fuji Heavy Industries Ltd. | | | 10,033 | | | | 361,032 | |
| FUJIFILM Holdings Corp. | | | 12,144 | | | | 453,969 | |
| Fujitsu Ltd. | | | 59,115 | | | | 257,138 | |
| Hachijuni Bank Ltd./The | | | 21,000 | | | | 149,062 | |
| Hakuhodo DY Holdings, Inc. | | | 35,000 | | | | 331,828 | |
| Hitachi High-Technologies Corp. | | | 9,658 | | | | 209,128 | |
| Hokuhoku Financial Group, Inc. | | | 95,000 | | | | 217,520 | |
| Hoya Corp. | | | 14,906 | | | | 488,200 | |
| Hulic Co., Ltd. | | | 2,600 | | | | 23,520 | |
| Isetan Mitsukoshi Holdings Ltd. | | | 10,500 | | | | 157,545 | |
| Japan Airlines Co., Ltd. | | | 48,400 | | | | 1,712,630 | |
| Japan Real Estate Investment Corp. REIT | | | 10 | | | | 46,063 | |
| Japan Retail Fund Investment Corp. REIT | | | 19 | | | | 36,762 | |
| Japan Tobacco, Inc. | | | 14,700 | | | | 455,997 | |
| JTEKT Corp. | | | 7,688 | | | | 107,640 | |
| Kamigumi Co., Ltd. | | | 28,000 | | | | 229,435 | |
| Kao Corp. | | | 3,300 | | | | 149,592 | |
| KDDI Corp. | | | 10,100 | | | | 226,069 | |
| Koito Manufacturing Co., Ltd. | | | 12,400 | | | | 405,187 | |
| Konami Corp. | | | 10,700 | | | | 231,251 | |
| Konica Minolta, Inc. | | | 71,800 | | | | 756,396 | |
| Medipal Holdings Corp. | | | 6,200 | | | | 98,375 | |
| MEIJI Holdings Co., Ltd. | | | 8,200 | | | | 601,311 | |
| Mitsubishi Chemical Holdings Corp. | | | 24,000 | | | | 125,318 | |
| Mitsubishi Electric Corp. | | | 36,000 | | | | 329,780 | |
| Mitsubishi Estate Co., Ltd. | | | 9,764 | | | | 199,454 | |
| Mitsubishi Tanabe Pharma Corp. | | | 15,600 | | | | 275,304 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 105,449 | | | | 637,148 | |
| Mitsui Fudosan Co., Ltd. | | | 7,598 | | | | 208,272 | |
| Mixi, Inc. | | | 15,900 | | | | 544,146 | |
| Mizuho Financial Group, Inc. | | | 95,400 | | | | 178,455 | |
| MS&AD Insurance Group Holdings, Inc. | | | 21,100 | | | | 566,110 | |
| Murata Manufacturing Co., Ltd. | | | 1,600 | | | | 206,679 | |
| Nexon Co., Ltd. | | | 42,300 | | | | 565,533 | |
| NHK Spring Co., Ltd. | | | 46,700 | | | | 452,826 | |
| Nintendo Co., Ltd. | | | 2,100 | | | | 353,959 | |
| Nippon Building Fund, Inc. REIT | | | 12 | | | | 58,066 | |
| Nippon Express Co., Ltd. | | | 93,000 | | | | 444,387 | |
| Nippon Prologis REIT, Inc. | | | 15 | | | | 27,217 | |
| Nippon Telegraph & Telephone Corp. | | | 6,896 | | | | 242,902 | |
| Nippon Yusen KK | | | 119,000 | | | | 275,775 | |
| Nitto Denko Corp. | | | 3,100 | | | | 185,667 | |
| NOK Corp. | | | 19,800 | | | | 428,387 | |
| Nomura Holdings, Inc. | | | 47,700 | | | | 276,868 | |
| Nomura Real Estate Holdings, Inc. | | | 1,700 | | | | 34,177 | |
| ORIX Corp. | | | 59,590 | | | | 768,672 | |
| Otsuka Corp. | | | 6,600 | | | | 321,576 | |
| Otsuka Holdings Co., Ltd. | | | 9,500 | | | | 303,350 | |
| Panasonic Corp. | | | 51,400 | | | | 520,174 | |
| Rakuten, Inc. | | | 8,200 | | | | 104,816 | |
| Resona Holdings, Inc. | | | 41,000 | | | | 208,905 | |
| Santen Pharmaceutical Co., Ltd. | | | 26,200 | | | | 351,751 | |
| Sekisui Chemical Co., Ltd. | | | 9,000 | | | | 94,730 | |
| Sekisui House Ltd. | | | 5,000 | | | | 78,320 | |
| Seven & i Holdings Co., Ltd. | | | 2,830 | | | | 129,142 | |
| Shimadzu Corp. | | | 11,000 | | | | 158,810 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
131
| | |
| Schedule of Investments | | September 30, 2015 |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Japan - 7.8% (continued) | |
| Shimamura Co., Ltd. | | | 2,600 | | | $ | 280,058 | |
| Shionogi & Co., Ltd. | | | 12,700 | | | | 455,234 | |
| Sompo Japan Nipponkoa Holdings, Inc. | | | 15,000 | | | | 435,673 | |
| Sony Corp. | | | 23,100 | | | | 566,230 | |
| Sumitomo Heavy Industries Ltd. | | | 152,000 | | | | 602,314 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 11,749 | | | | 445,526 | |
| Sumitomo Realty & Development Co., Ltd. | | | 3,624 | | | | 115,343 | |
| Suzuken Co., Ltd. | | | 7,700 | | | | 256,772 | |
| T&D Holdings, Inc. | | | 32,800 | | | | 387,429 | |
| Takashimaya Co., Ltd. | | | 18,000 | | | | 145,438 | |
| TDK Corp. | | | 2,700 | | | | 152,706 | |
| Teijin Ltd. | | | 77,000 | | | | 233,886 | |
| Tokio Marine Holdings, Inc. | | | 2,500 | | | | 93,400 | |
| Tokyo Electric Power Co., Inc. † | | | 83,470 | | | | 557,549 | |
| Tokyo Tatemono Co., Ltd. | | | 2,000 | | | | 23,846 | |
| Tokyu Corp. | | | 15,000 | | | | 110,079 | |
| Tokyu Fudosan Holdings Corp. | | | 5,000 | | | | 33,268 | |
| Toyo Suisan Kaisha Ltd. | | | 4,000 | | | | 151,648 | |
| Toyoda Gosei Co., Ltd. | | | 6,400 | | | | 125,791 | |
| United Urban Investment Corp. REIT | | | 12 | | | | 16,026 | |
| West Japan Railway Co. | | | 2,000 | | | | 125,352 | |
| Yamaha Corp. | | | 6,600 | | | | 146,178 | |
| | | | | | | | |
| | | | | | | 25,982,430 | |
| | | | | | | | |
| Netherlands - 1.4% | |
| Aegon NV | | | 57,417 | | | | 329,237 | |
| ASML Holding NV | | | 2,938 | | | | 258,259 | |
| Boskalis Westminster | | | 10,032 | | | | 439,126 | |
| Delta Lloyd NV | | | 10,479 | | | | 88,052 | |
| ING Groep NV CVA | | | 34,347 | | | | 486,612 | |
| Koninklijke Ahold NV | | | 71,282 | | | | 1,390,572 | |
| NN Group NV | | | 14,925 | | | | 428,456 | |
| Wolters Kluwer NV | | | 41,765 | | | | 1,288,005 | |
| | | | | | | | |
| | | | | | | 4,708,319 | |
| | | | | | | | |
| Singapore - 0.0% (b) | |
| Ascendas Real Estate Investment Trust REIT | | | 16,478 | | | | 27,147 | |
| CapitaLand Commercial Trust Ltd. REIT | | | 16,000 | | | | 15,106 | |
| CapitaLand Mall Trust REIT | | | 19,494 | | | | 26,067 | |
| Sembcorp Industries Ltd. | | | 7,777 | | | | 18,981 | |
| Singapore Exchange Ltd. | | | 6,967 | | | | 34,465 | |
| Singapore Technologies Engineering Ltd. | | | 12,103 | | | | 25,392 | |
| UOL Group Ltd. | | | 3,340 | | | | 14,141 | |
| | | | | | | | |
| | | | | | | 161,299 | |
| | | | | | | | |
| South Africa - 0.1% | |
| Investec PLC | | | 16,447 | | | | 125,933 | |
| Mondi PLC | | | 17,535 | | | | 367,519 | |
| | | | | | | | |
| | | | | | | 493,452 | |
| | | | | | | | |
| Spain - 0.6% | |
| Banco Bilbao Vizcaya Argentaria SA | | | 15,367 | | | | 129,941 | |
| Banco Santander SA | | | 175,643 | | | | 933,966 | |
| Iberdrola SA | | | 110,198 | | | | 734,273 | |
| Industria de Diseno Textil SA | | | 2,660 | | | | 89,194 | |
| | | | | | | | |
| | | | | | | 1,887,374 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Sweden - 1.6% | |
| Boliden AB | | | 22,125 | | | $ | 346,437 | |
| Electrolux AB, Series B | | | 56,975 | | | | 1,609,932 | |
| Husqvarna AB, B Shares | | | 120,631 | | | | 791,139 | |
| Investment AB Kinnevik, B Shares | | | 2,409 | | | | 68,862 | |
| Investor AB, B Shares | | | 3,849 | | | | 132,255 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 26,676 | | | | 285,306 | |
| Svenska Cellulosa AB SCA, Class B | | | 13,092 | | | | 366,342 | |
| Swedish Match AB | | | 36,337 | | | | 1,098,415 | |
| Tele2 AB, B Shares | | | 22,832 | | | | 222,671 | |
| Telefonaktiebolaget LM Ericsson, B Shares | | | 34,123 | | | | 334,734 | |
| TeliaSonera AB | | | 34,247 | | | | 184,858 | |
| | | | | | | | |
| | | | | | | 5,440,951 | |
| | | | | | | | |
| Switzerland - 2.7% | |
| Actelion Ltd. † | | | 835 | | | | 106,125 | |
| Baloise Holding AG | | | 1,693 | | | | 194,025 | |
| Credit Suisse Group AG † | | | 14,192 | | | | 341,131 | |
| Lonza Group AG † | | | 5,497 | | | | 721,294 | |
| Nestle SA | | | 26,603 | | | | 2,000,697 | |
| Novartis AG | | | 14,848 | | | | 1,364,708 | |
| Roche Holding AG | | | 5,827 | | | | 1,546,903 | |
| Sika AG | | | 107 | | | | 330,049 | |
| Swiss Life Holding AG † | | | 5,316 | | | | 1,185,814 | |
| Swiss Re AG | | | 11,436 | | | | 981,176 | |
| Zurich Insurance Group AG † | | | 592 | | | | 145,340 | |
| | | | | | | | |
| | | | | | | 8,917,262 | |
| | | | | | | | |
| United Kingdom - 7.1% | |
| 3i Group PLC | | | 16,669 | | | | 117,748 | |
| AstraZeneca PLC | | | 11,156 | | | | 707,498 | |
| Aviva PLC | | | 15,730 | | | | 107,586 | |
| Barclays PLC | | | 353,271 | | | | 1,307,382 | |
| BG Group PLC | | | 29,060 | | | | 419,216 | |
| BP PLC | | | 144,625 | | | | 733,737 | |
| British American Tobacco PLC | | | 6,784 | | | | 374,312 | |
| British Land Co. PLC/The REIT | | | 13,261 | | | | 168,410 | |
| BT Group PLC | | | 267,814 | | | | 1,704,514 | |
| Delphi Automotive PLC (1) | | | 8,229 | | | | 625,733 | |
| Direct Line Insurance Group PLC | | | 191,087 | | | | 1,084,258 | |
| Dixons Carphone PLC | | | 61,718 | | | | 396,662 | |
| Fiat Chrysler Automobiles NV † | | | 13,858 | | | | 180,120 | |
| GlaxoSmithKline PLC | | | 24,172 | | | | 463,955 | |
| Hammerson PLC REIT | | | 10,329 | | | | 97,533 | |
| HSBC Holdings PLC | | | 67,310 | | | | 507,768 | |
| ICAP PLC | | | 16,897 | | | | 117,030 | |
| Imperial Tobacco Group PLC | | | 48,713 | | | | 2,518,405 | |
| International Consolidated Airlines Group SA † | | | 91,663 | | | | 821,205 | |
| ITV PLC | | | 57,194 | | | | 213,131 | |
| Kingfisher PLC | | | 181,194 | | | | 984,289 | |
| Land Securities Group PLC REIT | | | 8,648 | | | | 164,865 | |
| Lloyds Banking Group PLC | | | 156,323 | | | | 177,968 | |
| Michael Kors Holdings Ltd. (1)† | | | 17,276 | | | | 729,738 | |
| Next PLC | | | 1,302 | | | | 150,045 | |
| Persimmon PLC † | | | 56,462 | | | | 1,718,498 | |
| Randgold Resources Ltd. | | | 1,514 | | | | 89,213 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
132
| | |
| Schedule of Investments | | September 30, 2015 |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| United Kingdom - 7.1% (continued) | |
| Reckitt Benckiser Group PLC | | | 8,186 | | | $ | 742,354 | |
| Royal Bank of Scotland Group PLC † | | | 109,905 | | | | 524,368 | |
| Royal Dutch Shell PLC, A Shares | | | 31,097 | | | | 734,108 | |
| Royal Dutch Shell PLC, B Shares | | | 19,975 | | | | 472,314 | |
| Taylor Wimpey PLC | | | 362,533 | | | | 1,074,105 | |
| Travis Perkins PLC | | | 20,474 | | | | 610,798 | |
| Unilever NV CVA | | | 8,694 | | | | 348,499 | |
| Unilever PLC | | | 10,377 | | | | 422,653 | |
| Vodafone Group PLC | | | 234,558 | | | | 739,816 | |
| William Hill PLC | | | 83,449 | | | | 443,835 | |
| WPP PLC | | | 34,071 | | | | 709,325 | |
| | | | | | | | |
| | | | | | | 23,502,994 | |
| | | | | | | | |
| United States - 51.5% | |
| 3M Co. (1) | | | 2,916 | | | | 413,401 | |
| Aetna, Inc. (1) | | | 16,400 | | | | 1,794,324 | |
| Akamai Technologies, Inc. (1)† | | | 3,125 | | | | 215,813 | |
| Alleghany Corp. (1)† | | | 1,097 | | | | 513,517 | |
| Allstate Corp./The (1) | | | 41,811 | | | | 2,435,073 | |
| Alnylam Pharmaceuticals, Inc. (1)† | | | 1,680 | | | | 135,005 | |
| Altria Group, Inc. (1) | | | 46,468 | | | | 2,527,859 | |
| Amazon.com, Inc. (1)† | | | 3,229 | | | | 1,652,893 | |
| American Airlines Group, Inc. (1) | | | 16,765 | | | | 650,985 | |
| American Electric Power Co., Inc. (1) | | | 4,718 | | | | 268,265 | |
| American International Group, Inc. (1) | | | 24,432 | | | | 1,388,226 | |
| American Tower Corp. REIT (1) | | | 4,100 | | | | 360,718 | |
| AmerisourceBergen Corp. (1) | | | 22,848 | | | | 2,170,332 | |
| Amgen, Inc. (1) | | | 15,670 | | | | 2,167,474 | |
| Anthem, Inc. (1) | | | 15,300 | | | | 2,142,000 | |
| Apple, Inc. (1) | | | 52,696 | | | | 5,812,369 | |
| Archer-Daniels-Midland Co. (1) | | | 35,219 | | | | 1,459,828 | |
| Ashland, Inc. (1) | | | 1,186 | | | | 119,335 | |
| Assurant, Inc. (1) | | | 15,628 | | | | 1,234,768 | |
| AvalonBay Communities, Inc. REIT (1) | | | 1,311 | | | | 229,189 | |
| Avery Dennison Corp. (1) | | | 11,000 | | | | 622,270 | |
| Avnet, Inc. (1) | | | 13,101 | | | | 559,151 | |
| Axis Capital Holdings Ltd. (1) | | | 8,247 | | | | 443,029 | |
| Baker Hughes, Inc. (1) | | | 3,500 | | | | 182,140 | |
| Bank of New York Mellon Corp./The (1) | | | 10,400 | | | | 407,160 | |
| Berkshire Hathaway, Inc., Class B (1)† | | | 11,132 | | | | 1,451,613 | |
| Best Buy Co., Inc. (1) | | | 35,141 | | | | 1,304,434 | |
| Biogen, Inc. (1)† | | | 6,575 | | | | 1,918,651 | |
| BioMarin Pharmaceutical, Inc. (1)† | | | 2,600 | | | | 273,832 | |
| Boeing Co./The (1) | | | 3,294 | | | | 431,349 | |
| Boston Properties, Inc. REIT (1) | | | 2,763 | | | | 327,139 | |
| Bristol-Myers Squibb Co. (1) | | | 15,284 | | | | 904,813 | |
| Broadcom Corp., Class A (1) | | | 4,664 | | | | 239,870 | |
| Bunge Ltd. (1) | | | 4,679 | | | | 342,971 | |
| Capital One Financial Corp. (1) | | | 4,000 | | | | 290,080 | |
| Cardinal Health, Inc. (1) | | | 12,888 | | | | 990,056 | |
| Carnival Corp. (1) | | | 25,966 | | | | 1,290,510 | |
| Celgene Corp. (1)† | | | 10,986 | | | | 1,188,356 | |
| Cigna Corp. (1) | | | 2,408 | | | | 325,128 | |
| Cintas Corp. (1) | | | 8,459 | | | | 725,359 | |
| Cisco Systems, Inc. (1) | | | 41,232 | | | | 1,082,340 | |
| Citigroup, Inc. (1) | | | 35,256 | | | | 1,749,050 | |
| Citrix Systems, Inc. (1)† | | | 2,703 | | | | 187,264 | |
| Coca-Cola Co./The (1) | | | 31,760 | | | | 1,274,211 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| United States - 51.5% (continued) | |
| Cognizant Technology Solutions Corp., Class A (1)† | | | 10,379 | | | $ | 649,829 | |
| Comcast Corp., Class A (1) | | | 13,500 | | | | 767,880 | |
| Comerica, Inc. (1) | | | 49,090 | | | | 2,017,599 | |
| Crown Castle International Corp. REIT (1) | | | 4,000 | | | | 315,480 | |
| CSX Corp. (1) | | | 15,104 | | | | 406,298 | |
| CVS Health Corp. (1) | | | 25,728 | | | | 2,482,237 | |
| Darden Restaurants, Inc. (1) | | | 19,644 | | | | 1,346,400 | |
| Delta Air Lines, Inc. (1) | | | 48,928 | | | | 2,195,399 | |
| Dick’s Sporting Goods, Inc. (1) | | | 15,402 | | | | 764,093 | |
| Discover Financial Services (1) | | | 2,468 | | | | 128,311 | |
| Dollar General Corp. (1) | | | 8,800 | | | | 637,472 | |
| Dow Chemical Co./The (1) | | | 9,924 | | | | 420,778 | |
| Dr Pepper Snapple Group, Inc. (1) | | | 4,000 | | | | 316,200 | |
| DTE Energy Co. (1) | | | 8,800 | | | | 707,256 | |
| E*TRADE Financial Corp. (1)† | | | 5,807 | | | | 152,898 | |
| eBay, Inc. (1)† | | | 17,655 | | | | 431,488 | |
| Edison International (1) | | | 10,456 | | | | 659,460 | |
| Edwards Lifesciences Corp. (1)† | | | 12,200 | | | | 1,734,474 | |
| Electronic Arts, Inc. (1)† | | | 24,747 | | | | 1,676,609 | |
| Eli Lilly & Co. (1) | | | 2,461 | | | | 205,961 | |
| EMC Corp. (1) | | | 5,896 | | | | 142,447 | |
| Equifax, Inc. (1) | | | 6,865 | | | | 667,141 | |
| Equinix, Inc. REIT (1) | | | 628 | | | | 171,695 | |
| Equity Residential REIT (1) | | | 3,548 | | | | 266,526 | |
| Everest Re Group Ltd. (1) | | | 811 | | | | 140,579 | |
| Exxon Mobil Corp. (1) | | | 5,797 | | | | 431,007 | |
| Facebook, Inc., Class A (1)† | | | 8,027 | | | | 721,627 | |
| FedEx Corp. (1) | | | 2,562 | | | | 368,877 | |
Fidelity National Information Services,
Inc. (1) | | | 15,800 | | | | 1,059,864 | |
| Fifth Third Bancorp (1) | | | 73,818 | | | | 1,395,898 | |
| FireEye, Inc. (1)† | | | 3,762 | | | | 119,707 | |
| Fiserv, Inc. (1)† | | | 5,100 | | | | 441,711 | |
| Flextronics International Ltd. (1)† | | | 48,668 | | | | 512,961 | |
| Foot Locker, Inc. (1) | | | 3,476 | | | | 250,168 | |
| Gap, Inc./The (1) | | | 3,362 | | | | 95,817 | |
| General Dynamics Corp. (1) | | | 12,600 | | | | 1,738,170 | |
| Gilead Sciences, Inc. (1) | | | 32,242 | | | | 3,165,842 | |
| Goldman Sachs Group, Inc./The (1) | | | 1,938 | | | | 336,747 | |
| Goodyear Tire & Rubber Co./The (1) | | | 11,989 | | | | 351,637 | |
| Google, Inc., Class A (1)† | | | 2,094 | | | | 1,336,747 | |
| Google, Inc., Class C (1)† | | | 2,784 | | | | 1,693,841 | |
Hartford Financial Services Group,
Inc./The (1) | | | 16,969 | | | | 776,841 | |
| HCA Holdings, Inc. (1)† | | | 7,682 | | | | 594,280 | |
| HCP, Inc. REIT (1) | | | 4,772 | | | | 177,757 | |
| Hewlett-Packard Co. (1) | | | 32,634 | | | | 835,757 | |
| HollyFrontier Corp. (1) | | | 16,592 | | | | 810,353 | |
| Home Depot, Inc./The (1) | | | 19,100 | | | | 2,205,859 | |
| Honeywell International, Inc. (1) | | | 1,532 | | | | 145,065 | |
| Hormel Foods Corp. (1) | | | 11,364 | | | | 719,455 | |
| Host Hotels & Resorts, Inc. REIT (1) | | | 9,300 | | | | 147,033 | |
| Humana, Inc. (1) | | | 436 | | | | 78,044 | |
| Huntington Bancshares, Inc. (1) | | | 69,528 | | | | 736,997 | |
| Incyte Corp. (1)† | | | 3,925 | | | | 433,045 | |
| Intel Corp. (1) | | | 19,200 | | | | 578,688 | |
| International Business Machines Corp. (1) | | | 4,223 | | | | 612,208 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
133
| | |
| Schedule of Investments | | September 30, 2015 |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| United States - 51.5% (continued) | |
| International Paper Co. (1) | | | 26,396 | | | $ | 997,505 | |
| Interpublic Group of Cos., Inc./The (1) | | | 29,446 | | | | 563,302 | |
| Invesco Ltd. (1) | | | 4,065 | | | | 126,950 | |
| Isis Pharmaceuticals, Inc. (1)† | | | 3,804 | | | | 153,758 | |
| Johnson & Johnson (1) | | | 20,263 | | | | 1,891,551 | |
| JPMorgan Chase & Co. (1) | | | 16,450 | | | | 1,002,957 | |
| KeyCorp (1) | | | 262,525 | | | | 3,415,450 | |
| Kimberly-Clark Corp. (1) | | | 12,263 | | | | 1,337,158 | |
| Kimco Realty Corp. REIT (1) | | | 6,500 | | | | 158,795 | |
| Kraft Heinz Co./The (1) | | | 5,100 | | | | 359,958 | |
| Kroger Co./The (1) | | | 29,220 | | | | 1,053,965 | |
| L Brands, Inc. (1) | | | 6,300 | | | | 567,819 | |
| L-3 Communications Holdings, Inc. (1) | | | 3,166 | | | | 330,910 | |
| Lincoln National Corp. (1) | | | 11,896 | | | | 564,584 | |
| Lockheed Martin Corp. (1) | | | 3,909 | | | | 810,375 | |
| Lowe’s Cos., Inc. (1) | | | 28,739 | | | | 1,980,692 | |
| LyondellBasell Industries NV, Class A (1) | | | 8,348 | | | | 695,889 | |
| Macy’s, Inc. (1) | | | 4,153 | | | | 213,132 | |
| Mallinckrodt PLC (1)† | | | 4,480 | | | | 286,451 | |
| ManpowerGroup, Inc. (1) | | | 13,248 | | | | 1,084,879 | |
| Marathon Petroleum Corp. (1) | | | 35,240 | | | | 1,632,669 | |
| Marvell Technology Group Ltd. | | | 70,118 | | | | 634,568 | |
| Masco Corp. (1) | | | 16,193 | | | | 407,740 | |
| MasterCard, Inc., Class A (1) | | | 3,623 | | | | 326,505 | |
| McKesson Corp. (1) | | | 6,049 | | | | 1,119,246 | |
| Mead Johnson Nutrition Co. (1) | | | 7,759 | | | | 546,234 | |
| Medivation, Inc. (1)† | | | 17,998 | | | | 764,915 | |
| Merck & Co., Inc. (1) | | | 42,226 | | | | 2,085,542 | |
| Micron Technology, Inc. (1)† | | | 21,824 | | | | 326,924 | |
| Microsoft Corp. (1) | | | 69,650 | | | | 3,082,709 | |
| Mondelez International, Inc., Class A (1) | | | 16,200 | | | | 678,294 | |
| Morgan Stanley (1) | | | 16,410 | | | | 516,915 | |
| Mosaic Co./The (1) | | | 18,589 | | | | 578,304 | |
| Nasdaq, Inc. (1) | | | 5,794 | | | | 308,994 | |
| Netflix, Inc. (1)† | | | 5,920 | | | | 611,299 | |
| NIKE, Inc., Class B (1) | | | 15,884 | | | | 1,953,255 | |
| Northrop Grumman Corp. (1) | | | 13,379 | | | | 2,220,245 | |
| NVIDIA Corp. (1) | | | 4,003 | | | | 98,674 | |
| Oracle Corp. (1) | | | 16,645 | | | | 601,217 | |
| PartnerRe Ltd. (1) | | | 401 | | | | 55,691 | |
| PayPal Holdings, Inc. (1)† | | | 9,806 | | | | 304,378 | |
| PepsiCo, Inc. (1) | | | 12,928 | | | | 1,219,110 | |
| Pfizer, Inc. (1) | | | 99,726 | | | | 3,132,394 | |
| Philip Morris International, Inc. (1) | | | 26,773 | | | | 2,123,902 | |
| Phillips 66 (1) | | | 5,511 | | | | 423,465 | |
| Pinnacle West Capital Corp. (1) | | | 4,134 | | | | 265,155 | |
| PNC Financial Services Group, Inc./The (1) | | | 24,907 | | | | 2,221,704 | |
| Procter & Gamble Co./The (1) | | | 10,208 | | | | 734,364 | |
| Prologis, Inc. REIT (1) | | | 5,080 | | | | 197,612 | |
| Public Service Enterprise Group, Inc. (1) | | | 33,850 | | | | 1,427,116 | |
| Public Storage REIT (1) | | | 1,569 | | | | 332,047 | |
| Quest Diagnostics, Inc. (1) | | | 3,272 | | | | 201,130 | |
| Quintiles Transnational Holdings, Inc. (1)† | | | 16,066 | | | | 1,117,712 | |
| Rackspace Hosting, Inc. (1)† | | | 12,188 | | | | 300,800 | |
| Raytheon Co. (1) | | | 8,915 | | | | 974,053 | |
| Regions Financial Corp. (1) | | | 17,648 | | | | 159,008 | |
| Rite Aid Corp. (1)† | | | 51,250 | | | | 311,088 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| United States - 51.5% (continued) | |
| Robert Half International, Inc. (1) | | | 4,242 | | | $ | 217,021 | |
| Ross Stores, Inc. (1) | | | 16,490 | | | | 799,270 | |
| SEI Investments Co. (1) | | | 2,147 | | | | 103,550 | |
| Simon Property Group, Inc. REIT (1) | | | 3,242 | | | | 595,620 | |
| Skyworks Solutions, Inc. (1) | | | 4,422 | | | | 372,377 | |
| Southwest Airlines Co. (1) | | | 62,231 | | | | 2,367,267 | |
| Staples, Inc. (1) | | | 41,521 | | | | 487,041 | |
| Starwood Hotels & Resorts Worldwide, Inc. (1) | | | 6,815 | | | | 453,061 | |
| SunTrust Banks, Inc. (1) | | | 16,460 | | | | 629,430 | |
| Target Corp. (1) | | | 1,765 | | | | 138,835 | |
| Tesoro Corp. (1) | | | 4,529 | | | | 440,400 | |
| Textron, Inc. (1) | | | 2,544 | | | | 95,756 | |
| Time Warner Cable, Inc. (1) | | | 2,386 | | | | 427,977 | |
| Time Warner, Inc. (1) | | | 4,715 | | | | 324,156 | |
| TJX Cos., Inc./The (1) | | | 6,100 | | | | 435,662 | |
| Total System Services, Inc. (1) | | | 3,186 | | | | 144,740 | |
| Travelers Cos., Inc./The (1) | | | 11,778 | | | | 1,172,264 | |
| United Continental Holdings, Inc. (1)† | | | 42,458 | | | | 2,252,397 | |
| United Technologies Corp. (1) | | | 4,488 | | | | 399,387 | |
| United Therapeutics Corp. (1)† | | | 9,299 | | | | 1,220,401 | |
| UnitedHealth Group, Inc. (1) | | | 27,624 | | | | 3,204,660 | |
| Universal Health Services, Inc., Class B (1) | | | 1,300 | | | | 162,253 | |
| Unum Group (1) | | | 27,673 | | | | 887,750 | |
| US Bancorp (1) | | | 3,140 | | | | 128,771 | |
| Valeant Pharmaceuticals International, Inc. (1)† | | | 2,574 | | | | 459,443 | |
| Valero Energy Corp. (1) | | | 28,437 | | | | 1,709,064 | |
| Ventas, Inc. REIT (1) | | | 4,800 | | | | 269,088 | |
| Verizon Communications, Inc. | | | 10,211 | | | | 446,199 | |
| Vertex Pharmaceuticals, Inc. (1)† | | | 4,657 | | | | 484,980 | |
| VF Corp. (1) | | | 11,376 | | | | 775,957 | |
| Viacom, Inc., Class B (1) | | | 17,067 | | | | 736,441 | |
| Visa, Inc., Class A (1) | | | 2,714 | | | | 189,057 | |
| Vornado Realty Trust REIT (1) | | | 2,748 | | | | 248,474 | |
| Wal-Mart Stores, Inc. (1) | | | 26,178 | | | | 1,697,382 | |
| Walt Disney Co./The (1) | | | 2,000 | | | | 204,400 | |
| Wells Fargo & Co. (1) | | | 54,324 | | | | 2,789,537 | |
| Welltower, Inc. REIT (1) | | | 3,000 | | | | 203,160 | |
| Western Digital Corp. (1) | | | 6,630 | | | | 526,687 | |
| WestRock Co. (1) | | | 7,450 | | | | 383,228 | |
| Weyerhaeuser Co. REIT (1) | | | 5,685 | | | | 155,428 | |
| Whirlpool Corp. (1) | | | 1,731 | | | | 254,907 | |
| Williams Cos., Inc./The (1) | | | 6,415 | | | | 236,393 | |
| Wyndham Worldwide Corp. (1) | | | 2,000 | | | | 143,800 | |
| Xerox Corp. (1) | | | 21,389 | | | | 208,115 | |
| Yum! Brands, Inc. (1) | | | 2,313 | | | | 184,924 | |
| Zoetis, Inc. (1) | | | 29,649 | | | | 1,220,946 | |
| | | | | | | | |
| | | | | | | 171,057,377 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $269,473,880) | | | | | | | 291,339,507 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
134
| | |
| Schedule of Investments | | September 30, 2015 |
| | | | | | | | |
| PREFERRED STOCKS - 0.2% | | SHARES | | | VALUE
(Note 4) | |
| Germany - 0.2% | | | | | | |
| Henkel AG & Co. KGaA | | | 3,557 | | | $ | 366,355 | |
| Porsche Automobil Holding SE | | | 9,570 | | | | 407,162 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $1,140,219) | | | | | | | 773,517 | |
| | | | | | | | |
| | |
| WARRANTS - 0.0% (b) | | | | | | |
| | |
| Hong Kong - 0.0% (b) | | | | | | |
| Sun Hung Kai Properties Ltd. † | | | | | | | | |
(cost $—) | | | 20 | | | | 19 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 9.6% | | | | | | |
| J.P. Morgan Prime Money Market Fund - Capital Shares, 0.100% (c)(d) | | | 360 | | | | 360 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c) | | | 31,455,172 | | | | 31,455,172 | |
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares,
0.000% (c)(d) | | | 330,000 | | | | 330,000 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $31,785,532) | | | | | | | 31,785,532 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 97.5%
(cost $302,399,631) | | | | | | | 323,898,575 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 2.5% (e) | | | | | 8,246,583 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 332,145,158 | |
| | | | | | | | |
| † | Non-income producing security. |
| (a) | Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Represents annualized seven-day yield as of the close of the reporting period. |
| (d) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 46,106,461 | | | | 13.9 | % |
| Consumer Staples | | | 31,675,197 | | | | 9.5 | |
| Energy | | | 10,720,005 | | | | 3.2 | |
| Financials | | | 64,955,124 | | | | 19.5 | |
| Health Care | | | 51,360,670 | | | | 15.5 | |
| Industrials | | | 32,095,127 | | | | 9.7 | |
| Information Technology | | | 34,655,835 | | | | 10.4 | |
| Materials | | | 8,224,801 | | | | 2.5 | |
| Telecommunication Services | | | 7,271,885 | | | | 2.2 | |
| Utilities | | | 5,047,938 | | | | 1.5 | |
| Money Market Funds | | | 31,785,532 | | | | 9.6 | |
| | | | | | | | |
Total Investments In Securities, At Value | | | 323,898,575 | | | | 97.5 | |
| Other Assets in Excess of Liabilities (e) | | | 8,246,583 | | | | 2.5 | |
| | | | | | | | |
Net Assets | | $ | 332,145,158 | | | | 100.0 | % |
| | | | | | | | |
Total return swap contracts outstanding as of September 30, 2015:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE
INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Goldman Sachs | | Hang Seng Index October Futures | | 10/2015 | | HKD | | | 30,595,949 | | | | $(57,743 | ) |
| Goldman Sachs | | Swiss Market Index December Futures | | 12/2015 | | CHF | | | 4,521,317 | | | | (110,270 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $(168,013 | ) |
| | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
135
| | |
| Schedule of Investments | | September 30, 2015 |
Open futures contracts outstanding at September 30, 2015:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | |
| 159 | | Barclays Capital | | CAC40 Index Futures | | | 10/2015 | | | | $8,081,071 | | | | $7,908,829 | | | | $(172,242 | ) |
| 55 | | Barclays Capital | | DAX Index Futures | | | 12/2015 | | | | 15,296,668 | | | | 14,841,097 | | | | (455,571 | ) |
| 66 | | Barclays Capital | | Hang Seng Index Futures | | | 10/2015 | | | | 8,945,446 | | | | 8,853,311 | | | | (92,135 | ) |
| 40 | | Barclays Capital | | IBEX 35 Index Futures | | | 10/2015 | | | | 4,324,011 | | | | 4,264,132 | | | | (59,879 | ) |
| 33 | | Barclays Capital | | MSCI Singapore Index Futures | | | 10/2015 | | | | 1,456,874 | | | | 1,449,352 | | | | (7,522 | ) |
| 70 | | Barclays Capital | | SPI 200 Index Futures | | | 12/2015 | | | | 6,160,927 | | | | 6,150,223 | | | | (10,704 | ) |
| 59 | | Barclays Capital | | TOPIX Index Futures | | | 12/2015 | | | | 7,133,650 | | | | 6,941,899 | | | | (191,751 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 51,398,647 | | | | 50,408,843 | | | | (989,804 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | |
| 47 | | Barclays Capital | | Amsterdam Index Futures | | | 10/2015 | | | | $(4,507,916 | ) | | | $(4,424,624 | ) | | | $83,292 | |
| 20 | | Barclays Capital | | FTSE 100 Index Futures | | | 12/2015 | | | | (1,794,116 | ) | | | (1,820,897 | ) | | | (26,781 | ) |
| 79 | | Barclays Capital | | FTSE/MIB Index Futures | | | 12/2015 | | | | (9,494,926 | ) | | | (9,374,321 | ) | | | 120,605 | |
| 71 | | Barclays Capital | | OMXS30 Index Futures | | | 10/2015 | | | | (1,237,445 | ) | | | (1,200,730 | ) | | | 36,715 | |
| 15 | | Barclays Capital | | S&P 500 E-Mini Futures | | | 12/2015 | | | | (1,452,569 | ) | | | (1,431,525 | ) | | | 21,044 | |
| 49 | | Barclays Capital | | S&P/Toronto Stock Exchange 60 Index Futures | | | 12/2015 | | | | (5,788,356 | ) | | | (5,727,989 | ) | | | 60,367 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (24,275,328 | ) | | | (23,980,086 | ) | | | 295,242 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $27,123,319 | | | | $26,428,757 | | | | $(694,562 | ) |
| | | | | | | | | | | | | | | | | | | | |
Forward foreign currency exchange contracts outstanding as of September 30, 2015:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australian Dollar, Expiring 12/16/15 | | CitiBank | | AUD | | | 17,198,500 | | | | $12,093,883 | | | | $12,022,310 | | | | $(71,573 | ) |
| Australian Dollar, Expiring 12/16/15 | | Credit Suisse International | | AUD | | | 17,198,500 | | | | 12,093,386 | | | | 12,022,310 | | | | (71,076 | ) |
| Canadian Dollar, Expiring 12/16/15 | | CitiBank | | CAD | | | 3,028,500 | | | | 2,283,564 | | | | 2,268,658 | | | | (14,906 | ) |
| Canadian Dollar, Expiring 12/16/15 | | Credit Suisse International | | CAD | | | 3,033,500 | | | | 2,286,906 | | | | 2,272,404 | | | | (14,502 | ) |
| Swiss Franc, Expiring 12/16/15 | | CitiBank | | CHF | | | 3,015,000 | | | | 3,138,198 | | | | 3,102,380 | | | | (35,818 | ) |
| Swiss Franc, Expiring 12/16/15 | | Credit Suisse International | | CHF | | | 3,116,000 | | | | 3,241,567 | | | | 3,206,307 | | | | (35,260 | ) |
| Danish Krone, Expiring 12/16/15 | | CitiBank | | DKK | | | 688,500 | | | | 103,969 | | | | 103,304 | | | | (665 | ) |
| Danish Krone, Expiring 12/16/15 | | Credit Suisse International | | DKK | | | 688,500 | | | | 103,950 | | | | 103,304 | | | | (646 | ) |
| Euro, Expiring 12/16/15 | | CitiBank | | EUR | | | 12,966,500 | | | | 14,529,819 | | | | 14,507,991 | | | | (21,828 | ) |
| Euro, Expiring 12/16/15 | | Credit Suisse International | | EUR | | | 12,966,500 | | | | 14,529,671 | | | | 14,507,990 | | | | (21,681 | ) |
| British Pound, Expiring 12/16/15 | | CitiBank | | GBP | | | 573,500 | | | | 879,574 | | | | 867,296 | | | | (12,278 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
136
| | |
| Schedule of Investments | | September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| British Pound, Expiring 12/16/15 | | Credit Suisse International | | GBP | | | 573,500 | | | | $ 879,478 | | | | $ 867,296 | | | | $ (12,182 | ) |
| Hong Kong Dollar, Expiring 12/16/15 | | CitiBank | | HKD | | | 7,890,000 | | | | 1,017,957 | | | | 1,018,012 | | | | 55 | |
| Hong Kong Dollar, Expiring 12/16/15 | | Credit Suisse International | | HKD | | | 7,890,000 | | | | 1,017,909 | | | | 1,018,012 | | | | 103 | |
| Israeli Shekel, Expiring 12/16/15 | | CitiBank | | ILS | | | 1,759,500 | | | | 446,379 | | | | 448,999 | | | | 2,620 | |
| Israeli Shekel, Expiring 12/16/15 | | Credit Suisse International | | ILS | | | 1,759,499 | | | | 446,377 | | | | 448,999 | | | | 2,622 | |
| Japanese Yen, Expiring 12/16/15 | | CitiBank | | JPY | | | 3,510,713,500 | | | | 29,257,679 | | | | 29,304,156 | | | | 46,477 | |
| Japanese Yen, Expiring 12/16/15 | | Credit Suisse International | | JPY | | | 3,510,713,500 | | | | 29,257,028 | | | | 29,304,156 | | | | 47,128 | |
| Norwegian Krone, Expiring 12/16/15 | | CitiBank | | NOK | | | 1,900,000 | | | | 223,295 | | | | 222,912 | | | | (383 | ) |
| Norwegian Krone, Expiring 12/16/15 | | Credit Suisse International | | NOK | | | 1,900,000 | | | | 223,265 | | | | 222,912 | | | | (353 | ) |
| New Zealand Dollar, Expiring 12/16/15 | | CitiBank | | NZD | | | 4,081,500 | | | | 2,564,561 | | | | 2,594,966 | | | | 30,405 | |
| New Zealand Dollar, Expiring 12/16/15 | | Credit Suisse International | | NZD | | | 4,081,500 | | | | 2,563,480 | | | | 2,594,966 | | | | 31,486 | |
| Swedish Krona, Expiring 12/16/15 | | CitiBank | | SEK | | | 54,705,500 | | | | 6,496,222 | | | | 6,548,035 | | | | 51,813 | |
| Swedish Krona, Expiring 12/16/15 | | Credit Suisse International | | SEK | | | 54,705,499 | | | | 6,496,227 | | | | 6,548,034 | | | | 51,807 | |
| Singapore Dollar, Expiring 12/16/15 | | CitiBank | | SGD | | | 1,031,500 | | | | 730,140 | | | | 722,991 | | | | (7,149 | ) |
| Singapore Dollar, Expiring 12/16/15 | | Credit Suisse International | | SGD | | | 1,031,500 | | | | 730,137 | | | | 722,991 | | | | (7,146 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $147,634,621 | | | | $147,571,691 | | | | $(62,930 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australian Dollar, Expiring 12/16/15 | | CitiBank | | AUD | | | (2,895,000 | ) | | | $(2,051,050 | ) | | | $(2,023,699 | ) | | | $27,351 | |
| Australian Dollar, Expiring 12/16/15 | | Credit Suisse International | | AUD | | | (3,108,000 | ) | | | (2,203,815 | ) | | | (2,172,592 | ) | | | 31,223 | |
| Canadian Dollar, Expiring 12/16/15 | | CitiBank | | CAD | | | (7,400,001 | ) | | | (5,601,284 | ) | | | (5,543,363 | ) | | | 57,921 | |
| Canadian Dollar, Expiring 12/16/15 | | Credit Suisse International | | CAD | | | (7,550,001 | ) | | | (5,715,171 | ) | | | (5,655,728 | ) | | | 59,443 | |
| Swiss Franc, Expiring 12/16/15 | | CitiBank | | CHF | | | (9,902,500 | ) | | | (10,220,517 | ) | | | (10,189,492 | ) | | | 31,025 | |
| Swiss Franc, Expiring 12/16/15 | | Credit Suisse International | | CHF | | | (9,902,500 | ) | | | (10,220,517 | ) | | | (10,189,492 | ) | | | 31,025 | |
| Danish Krone, Expiring 12/16/15 | | CitiBank | | DKK | | | (2,039,000 | ) | | | (305,785 | ) | | | (305,936 | ) | | | (151 | ) |
| Danish Krone, Expiring 12/16/15 | | Credit Suisse International | | DKK | | | (4,285,000 | ) | | | (647,408 | ) | | | (642,932 | ) | | | 4,476 | |
| Euro, Expiring 12/16/15 | | CitiBank | | EUR | | | (1,161,500 | ) | | | (1,310,783 | ) | | | (1,299,582 | ) | | | 11,201 | |
| Euro, Expiring 12/16/15 | | Credit Suisse International | | EUR | | | (3,132,500 | ) | | | (3,547,843 | ) | | | (3,504,899 | ) | | | 42,944 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
137
| | |
| Schedule of Investments | | September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| British Pound, Expiring 12/16/15 | | CitiBank | | GBP | | | (12,696,002 | ) | | | $ (19,396,231 | ) | | | $ (19,199,973 | ) | | | $ 196,258 | |
| British Pound, Expiring 12/16/15 | | Credit Suisse International | | GBP | | | (13,486,001 | ) | | | (20,623,651 | ) | | | (20,394,676 | ) | | | 228,975 | |
| Hong Kong Dollar, Expiring 12/16/15 | | CitiBank | | HKD | | | (226,000 | ) | | | (29,155 | ) | | | (29,160 | ) | | | (5 | ) |
| Hong Kong Dollar, Expiring 12/16/15 | | Credit Suisse International | | HKD | | | (226,000 | ) | | | (29,159 | ) | | | (29,160 | ) | | | (1 | ) |
| Israeli Shekel, Expiring 12/16/15 | | CitiBank | | ILS | | | (124,500 | ) | | | (31,743 | ) | | | (31,771 | ) | | | (28 | ) |
| Israeli Shekel, Expiring 12/16/15 | | Credit Suisse International | | ILS | | | (124,500 | ) | | | (31,745 | ) | | | (31,771 | ) | | | (26 | ) |
| Japanese Yen, Expiring 12/16/15 | | CitiBank | | JPY | | | (140,394,000 | ) | | | (1,172,419 | ) | | | (1,171,878 | ) | | | 541 | |
| Japanese Yen, Expiring 12/16/15 | | Credit Suisse International | | JPY | | | (317,753,000 | ) | | | (2,654,089 | ) | | | (2,652,305 | ) | | | 1,784 | |
| Norwegian Krone, Expiring 12/16/15 | | CitiBank | | NOK | | | (95,795,500 | ) | | | (11,602,244 | ) | | | (11,238,951 | ) | | | 363,293 | |
| Norwegian Krone, Expiring 12/16/15 | | Credit Suisse International | | NOK | | | (95,795,499 | ) | | | (11,602,809 | ) | | | (11,238,952 | ) | | | 363,857 | |
| New Zealand Dollar, Expiring 12/16/15 | | CitiBank | | NZD | | | (5,306,500 | ) | | | (3,367,167 | ) | | | (3,373,806 | ) | | | (6,639 | ) |
| New Zealand Dollar, Expiring 12/16/15 | | Credit Suisse International | | NZD | | | (5,306,499 | ) | | | (3,367,677 | ) | | | (3,373,805 | ) | | | (6,128 | ) |
| Swedish Krona, Expiring 12/16/15 | | CitiBank | | SEK | | | (3,679,500 | ) | | | (437,240 | ) | | | (440,422 | ) | | | (3,182 | ) |
| Swedish Krona, Expiring 12/16/15 | | Credit Suisse International | | SEK | | | (3,679,500 | ) | | | (437,285 | ) | | | (440,422 | ) | | | (3,137 | ) |
| Singapore Dollar, Expiring 12/16/15 | | CitiBank | | SGD | | | (7,000 | ) | | | (4,875 | ) | | | (4,906 | ) | | | (31 | ) |
| Singapore Dollar, Expiring 12/16/15 | | Credit Suisse International | | SGD | | | (7,000 | ) | | | (4,874 | ) | | | (4,906 | ) | | | (32 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (116,616,536 | ) | | | (115,184,579 | ) | | | 1,431,957 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $31,018,085 | | | | $32,387,112 | | | | $1,369,027 | |
| | | | | | | | | | | | | | | | | | | | |
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
138
| | |
| Schedule of Investments | | September 30, 2015 |
Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| Barclays Capital | | | | | | | | | |
| Cash | | | $— | | | | $7,279,847 | | | | $7,279,847 | |
| |
| Citibank | | | | | | | | | |
| Cash | | | (580,000 | ) | | | — | | | | (580,000 | ) |
| |
| Credit Suisse International | | | | | | | | | |
| Cash | | | (700,000 | ) | | | — | | | | (700,000 | ) |
| |
| Goldman Sachs | | | | | | | | | |
| Money Market Funds | | | 330,000 | | | | — | | | | 330,000 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
139
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | |
| COMMON STOCKS - 89.5% | | SHARES | | | VALUE
(Note 4) | |
| Australia - 4.9% | |
| AMP Ltd. | | | 94,579 | | | $ | 371,467 | |
| Asciano Ltd. | | | 84,298 | | | | 499,070 | |
| ASX Ltd. | | | 10,285 | | | | 274,584 | |
| Aurizon Holdings Ltd. | | | 272,767 | | | | 963,644 | |
| Australia & New Zealand Banking Group Ltd. | | | 242,705 | | | | 4,637,152 | |
| Bendigo & Adelaide Bank Ltd. | | | 107,174 | | | | 749,015 | |
| BHP Billiton Ltd. | | | 190,282 | | | | 3,005,371 | |
| Boral Ltd. | | | 83,713 | | | | 311,343 | |
| CIMIC Group Ltd. | | | 62,685 | | | | 1,041,380 | |
| Cochlear Ltd. | | | 3,464 | | | | 203,828 | |
| Computershare Ltd. | | | 15,439 | | | | 115,291 | |
| Dexus Property Group REIT | | | 47,299 | | | | 238,526 | |
| Federation Centres REIT | | | 193,958 | | | | 374,541 | |
| Flight Centre Travel Group Ltd. | | | 48,515 | | | | 1,235,706 | |
| Goodman Group REIT | | | 110,663 | | | | 457,427 | |
| GPT Group/The REIT (Escrow) (3)†(a) | | | 143,427 | | | | — | |
| GPT Group/The REIT | | | 113,631 | | | | 361,139 | |
| Harvey Norman Holdings Ltd. | | | 162,654 | | | | 445,536 | |
| Lend Lease Group | | | 184,864 | | | | 1,636,632 | |
| Macquarie Group Ltd. | | | 75,794 | | | | 4,107,664 | |
| Mirvac Group REIT | | | 214,560 | | | | 260,512 | |
| National Australia Bank Ltd. | | | 250,834 | | | | 5,308,379 | |
| Newcrest Mining Ltd. † | | | 41,734 | | | | 375,555 | |
| Qantas Airways Ltd. † | | | 1,819,873 | | | | 4,777,847 | |
| Scentre Group REIT | | | 302,378 | | | | 832,235 | |
| Sonic Healthcare Ltd. | | | 98,692 | | | | 1,269,410 | |
| Stockland REIT | | | 127,919 | | | | 347,532 | |
| Telstra Corp. Ltd. | | | 238,366 | | | | 942,427 | |
| Westfield Corp. REIT | | | 118,519 | | | | 833,982 | |
| | | | | | | | |
| | | | | | | 35,977,195 | |
| | | | | | | | |
| Belgium - 2.1% | | | | | | |
| Ageas | | | 43,860 | | | | 1,802,489 | |
| Delhaize Group | | | 8,535 | | | | 756,548 | |
| Groupe Bruxelles Lambert SA | | | 2,641 | | | | 199,301 | |
| KBC Groep NV | | | 48,628 | | | | 3,075,332 | |
| Proximus | | | 281,115 | | | | 9,724,321 | |
| | | | | | | | |
| | | | | | | 15,557,991 | |
| | | | | | | | |
| | | | | | | | |
| Denmark - 2.4% | | | | | | |
| DSV A/S | | | 16,207 | | | | 605,606 | |
| Novo Nordisk A/S, Class B | | | 195,922 | | | | 10,572,847 | |
| Pandora A/S | | | 42,087 | | | | 4,916,563 | |
| Vestas Wind Systems A/S | | | 30,118 | | | | 1,565,806 | |
| | | | | | | | |
| | | | | | | 17,660,822 | |
| | | | | | | | |
| Finland - 1.3% | | | | | | |
| Nokia OYJ | | | 208,399 | | | | 1,424,991 | |
| Orion OYJ, Class B | | | 107,666 | | | | 4,074,119 | |
| Stora Enso OYJ, R Shares | | | 98,594 | | | | 746,014 | |
| UPM-Kymmene OYJ | | | 202,242 | | | | 3,035,797 | |
| | | | | | | | |
| | | | | | | 9,280,921 | |
| | | | | | | | |
| France - 9.4% | | | | | | |
| Aeroports de Paris | | | 2,791 | | | | 316,779 | |
| Airbus Group SE | | | 18,981 | | | | 1,124,056 | |
| Atos SE | | | 10,486 | | | | 806,021 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| France - 9.4% (continued) | | | | | | |
| AXA SA | | | 32,976 | | | $ | 800,623 | |
| BNP Paribas SA | | | 3,518 | | | | 207,119 | |
| Cap Gemini SA | | | 60,063 | | | | 5,363,794 | |
| CNP Assurances | | | 43,334 | | | | 602,119 | |
| Essilor International SA | | | 9,612 | | | | 1,174,283 | |
| Eutelsat Communications SA | | | 6,907 | | | | 211,845 | |
| Klepierre REIT | | | 3,675 | | | | 166,560 | |
| Lagardere SCA | | | 94,830 | | | | 2,627,662 | |
| Legrand SA | | | 16,807 | | | | 894,184 | |
| L’Oreal SA | | | 10,279 | | | | 1,786,635 | |
| Natixis SA | | | 77,764 | | | | 430,563 | |
| Numericable-SFR SAS † | | | 5,025 | | | | 232,629 | |
| Orange SA | | | 147,501 | | | | 2,236,006 | |
| Peugeot SA † | | | 691,447 | | | | 10,477,202 | |
| Safran SA | | | 11,131 | | | | 836,958 | |
| Sanofi | | | 139,320 | | | | 13,263,279 | |
| SCOR SE | | | 60,067 | | | | 2,157,023 | |
| Societe BIC SA | | | 19,978 | | | | 3,104,377 | |
| Societe Generale SA | | | 87,326 | | | | 3,902,686 | |
| Thales SA | | | 52,059 | | | | 3,629,813 | |
| Unibail-Rodamco SE REIT | | | 7,665 | | | | 1,986,645 | |
| Valeo SA | | | 14,593 | | | | 1,981,395 | |
| Veolia Environnement SA | | | 18,219 | | | | 415,505 | |
| Vinci SA | | | 48,581 | | | | 3,089,201 | |
| Vivendi SA | | | 238,426 | | | | 5,648,720 | |
| | | | | | | | |
| | | | | | | 69,473,682 | |
| | | | | | | | |
| Germany - 7.4% | | | | | | |
| Allianz SE | | | 52,401 | | | | 8,231,830 | |
| BASF SE | | | 13,201 | | | | 1,009,657 | |
| Bayer AG | | | 29,085 | | | | 3,731,560 | |
| Deutsche Bank AG | | | 17,984 | | | | 485,338 | |
| Deutsche Boerse AG | | | 12,335 | | | | 1,063,820 | |
| Deutsche Lufthansa AG † | | | 77,629 | | | | 1,080,657 | |
| Evonik Industries AG | | | 56,024 | | | | 1,875,828 | |
| Fresenius Medical Care AG & Co. KGaA | | | 16,917 | | | | 1,322,148 | |
| Fresenius SE & Co. KGaA | | | 21,127 | | | | 1,418,209 | |
| Hannover Rueck SE | | | 49,557 | | | | 5,076,176 | |
| Infineon Technologies AG | | | 63,427 | | | | 712,630 | |
| LANXESS AG | | | 18,094 | | | | 847,216 | |
| Merck KGaA | | | 97,343 | | | | 8,618,392 | |
| METRO AG | | | 70,345 | | | | 1,946,300 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 27,458 | | | | 5,128,182 | |
| OSRAM Licht AG | | | 98,639 | | | | 5,110,326 | |
| ProSiebenSat.1 Media SE | | | 81,423 | | | | 3,996,698 | |
| Siemens AG | | | 11,869 | | | | 1,060,341 | |
| TUI AG | | | 20,032 | | | | 370,123 | |
| United Internet AG | | | 18,957 | | | | 961,090 | |
| Vonovia SE | | | 14,469 | | | | 465,700 | |
| | | | | | | | |
| | | | | | | 54,512,221 | |
| | | | | | | | |
| Hong Kong - 2.3% | | | | | | |
| AIA Group Ltd. | | | 387,400 | | | | 2,014,771 | |
| ASM Pacific Technology Ltd. | | | 14,204 | | | | 93,161 | |
| BOC Hong Kong Holdings Ltd. | | | 68,000 | | | | 200,551 | |
| Cheung Kong Infrastructure Holdings Ltd. | | | 37,827 | | | | 339,034 | |
| Cheung Kong Property Holdings Ltd. | | | 217,462 | | | | 1,593,197 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
140
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Hong Kong - 2.3% (continued) | | | | | | |
| CLP Holdings Ltd. | | | 108,000 | | | $ | 923,288 | |
| First Pacific Co., Ltd. | | | 144,000 | | | | 87,978 | |
| Hong Kong & China Gas Co., Ltd. | | | 399,000 | | | | 748,194 | |
| Hong Kong Exchanges and Clearing Ltd. | | | 66,154 | | | | 1,517,639 | |
| Hysan Development Co., Ltd. | | | 76,000 | | | | 316,454 | |
| Kerry Properties Ltd. | | | 371,000 | | | | 1,018,620 | |
| Li & Fung Ltd. | | | 1,150,000 | | | | 880,939 | |
| Link REIT | | | 139,382 | | | | 767,358 | |
| New World Development Co., Ltd. | | | 1,411,896 | | | | 1,375,024 | |
| NWS Holdings Ltd. | | | 86,000 | | | | 113,363 | |
| PCCW Ltd. | | | 131,000 | | | | 67,433 | |
| Power Assets Holdings Ltd. | | | 80,000 | | | | 757,030 | |
| Sino Land Co., Ltd. | | | 968,000 | | | | 1,473,887 | |
| Swire Pacific Ltd., Class A | | | 41,030 | | | | 459,886 | |
| Techtronic Industries Co., Ltd. | | | 120,500 | | | | 449,231 | |
| Wheelock & Co., Ltd. | | | 60,000 | | | | 260,576 | |
| Yue Yuen Industrial Holdings Ltd. | | | 455,609 | | | | 1,695,077 | |
| | | | | | | | |
| | | | | | | 17,152,691 | |
| | | | | | | | |
| Italy - 2.6% | | | | | | |
| Atlantia SpA | | | 53,567 | | | | 1,498,413 | |
| Banco Popolare SC † | | | 214,824 | | | | 3,178,413 | |
| Eni SpA | | | 27,752 | | | | 436,549 | |
| Finmeccanica SpA † | | | 230,296 | | | | 2,883,952 | |
| Intesa Sanpaolo SpA | | | 451,438 | | | | 1,594,795 | |
| Mediobanca SpA | | | 124,994 | | | | 1,229,783 | |
| Pirelli & C. SpA | | | 279,400 | | | | 4,675,486 | |
| Prysmian SpA | | | 179,626 | | | | 3,712,745 | |
| | | | | | | | |
| | | | | | | 19,210,136 | |
| | | | | | | | |
| Japan - 21.4% | | | | | | |
| Ajinomoto Co., Inc. | | | 183,000 | | | | 3,859,103 | |
| Alfresa Holdings Corp. | | | 106,900 | | | | 1,825,577 | |
| Astellas Pharma, Inc. | | | 283,800 | | | | 3,673,531 | |
| Bandai Namco Holdings, Inc. | | | 98,300 | | | | 2,281,417 | |
| Bank of Yokohama Ltd./The | | | 88,000 | | | | 534,867 | |
| Brother Industries Ltd. | | | 46,200 | | | | 556,896 | |
| Calbee, Inc. | | | 17,100 | | | | 553,356 | |
| Central Japan Railway Co. | | | 7,100 | | | | 1,144,717 | |
| Chiba Bank Ltd./The | | | 55,000 | | | | 390,560 | |
| Chubu Electric Power Co., Inc. | | | 81,900 | | | | 1,207,553 | |
| Daicel Corp. | | | 94,100 | | | | 1,155,154 | |
| Dai-ichi Life Insurance Co., Ltd./The | | | 109,200 | | | | 1,738,447 | |
| Daiichi Sankyo Co., Ltd. | | | 17,900 | | | | 310,600 | |
| Daito Trust Construction Co., Ltd. | | | 5,187 | | | | 527,024 | |
| Daiwa House Industry Co., Ltd. | | | 17,295 | | | | 428,758 | |
| Dentsu, Inc. | | | 3,900 | | | | 200,148 | |
| Don Quijote Holdings Co., Ltd. | | | 23,400 | | | | 881,612 | |
| Eisai Co., Ltd. | | | 5,500 | | | | 324,509 | |
| Fuji Heavy Industries Ltd. | | | 106,121 | | | | 3,818,710 | |
| FUJIFILM Holdings Corp. | | | 41,043 | | | | 1,534,277 | |
| Fujitsu Ltd. | | | 75,000 | | | | 326,235 | |
| Fukuoka Financial Group, Inc. | | | 193,000 | | | | 919,231 | |
| GungHo Online Entertainment, Inc. | | | 71,000 | | | | 210,903 | |
| Gunma Bank Ltd./The | | | 53,000 | | | | 339,221 | |
| Hachijuni Bank Ltd./The | | | 109,000 | | | | 773,705 | |
| Hakuhodo DY Holdings, Inc. | | | 154,300 | | | | 1,462,889 | |
| Hitachi High-Technologies Corp. | | | 40,500 | | | | 876,959 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Japan - 21.4% (continued) | | | | | | |
| Hokuhoku Financial Group, Inc. | | | 286,000 | | | $ | 654,849 | |
| Hoya Corp. | | | 99,300 | | | | 3,252,263 | |
| Hulic Co., Ltd. | | | 16,200 | | | | 146,550 | |
| Isetan Mitsukoshi Holdings Ltd. | | | 85,600 | | | | 1,284,368 | |
| J Front Retailing Co., Ltd. | | | 13,300 | | | | 215,441 | |
| Japan Airlines Co., Ltd. | | | 287,400 | | | | 10,169,628 | |
| Japan Real Estate Investment Corp. REIT | | | 84 | | | | 386,928 | |
| Japan Retail Fund Investment Corp. REIT | | | 149 | | | | 288,294 | |
| Japan Tobacco, Inc. | | | 87,000 | | | | 2,698,757 | |
| JTEKT Corp. | | | 70,870 | | | | 992,251 | |
| Kajima Corp. | | | 235,000 | | | | 1,247,113 | |
| Kamigumi Co., Ltd. | | | 25,000 | | | | 204,852 | |
| Kao Corp. | | | 60,100 | | | | 2,724,384 | |
| KDDI Corp. | | | 54,600 | | | | 1,222,118 | |
| Koito Manufacturing Co., Ltd. | | | 14,800 | | | | 483,611 | |
| Konica Minolta, Inc. | | | 340,900 | | | | 3,591,301 | |
| Kyowa Hakko Kirin Co., Ltd. | | | 54,000 | | | | 805,013 | |
| Marui Group Co., Ltd. | | | 17,000 | | | | 205,057 | |
| Medipal Holdings Corp. | | | 156,000 | | | | 2,475,251 | |
| MEIJI Holdings Co., Ltd. | | | 58,000 | | | | 4,253,174 | |
| Mitsubishi Chemical Holdings Corp. | | | 72,300 | | | | 377,521 | |
| Mitsubishi Electric Corp. | | | 180,000 | | | | 1,648,897 | |
| Mitsubishi Estate Co., Ltd. | | | 77,020 | | | | 1,573,328 | |
| Mitsubishi Tanabe Pharma Corp. | | | 66,900 | | | | 1,180,629 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 773,991 | | | | 4,676,639 | |
| Mitsui Fudosan Co., Ltd. | | | 59,205 | | | | 1,622,891 | |
| Mixi, Inc. | | | 95,500 | | | | 3,268,301 | |
| Mizuho Financial Group, Inc. | | | 1,401,300 | | | | 2,621,274 | |
| MS&AD Insurance Group Holdings, Inc. | | | 123,500 | | | | 3,313,489 | |
| Murata Manufacturing Co., Ltd. | | | 21,600 | | | | 2,790,170 | |
| Nexon Co., Ltd. | | | 207,900 | | | | 2,779,535 | |
| NHK Spring Co., Ltd. | | | 155,400 | | | | 1,506,833 | |
| Nintendo Co., Ltd. | | | 14,100 | | | | 2,376,580 | |
| Nippon Building Fund, Inc. REIT | | | 84 | | | | 406,462 | |
| Nippon Express Co., Ltd. | | | 591,000 | | | | 2,824,008 | |
| Nippon Telegraph & Telephone Corp. | | | 38,038 | | | | 1,339,837 | |
| Nippon Yusen KK | | | 709,000 | | | | 1,643,061 | |
| Nitto Denko Corp. | | | 24,600 | | | | 1,473,361 | |
| NOK Corp. | | | 112,200 | | | | 2,427,526 | |
| Nomura Holdings, Inc. | �� | | 288,200 | | | | 1,672,818 | |
| Nomura Real Estate Holdings, Inc. | | | 8,000 | | | | 160,833 | |
| Obayashi Corp. | | | 110,000 | | | | 938,541 | |
| ORIX Corp. | | | 207,200 | | | | 2,672,744 | |
| Otsuka Holdings Co., Ltd. | | | 90,700 | | | | 2,896,192 | |
| Panasonic Corp. | | | 94,000 | | | | 951,292 | |
| Rakuten, Inc. | | | 92,700 | | | | 1,184,933 | |
| Santen Pharmaceutical Co., Ltd. | | | 190,700 | | | | 2,560,263 | |
| Sekisui House Ltd. | | | 32,000 | | | | 501,246 | |
| Shimadzu Corp. | | | 118,000 | | | | 1,703,597 | |
| Shimamura Co., Ltd. | | | 14,200 | | | | 1,529,546 | |
| Shimizu Corp. | | | 74,000 | | | | 635,378 | |
| Shionogi & Co., Ltd. | | | 121,400 | | | | 4,351,603 | |
| Sompo Japan Nipponkoa Holdings, Inc. | | | 21,100 | | | | 612,846 | |
| Sony Corp. | | | 132,200 | | | | 3,240,503 | |
| Sumitomo Chemical Co., Ltd. | | | 257,000 | | | | 1,299,579 | |
| Sumitomo Heavy Industries Ltd. | | | 639,000 | | | | 2,532,096 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 38,136 | | | | 1,446,129 | |
| Sumitomo Realty & Development Co., Ltd. | | | 24,261 | | | | 772,166 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
141
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Japan - 21.4% (continued) | | | | | | |
| Suzuken Co., Ltd. | | | 57,640 | | | $ | 1,922,123 | |
| Sysmex Corp. | | | 11,600 | | | | 612,616 | |
| T&D Holdings, Inc. | | | 30,000 | | | | 354,356 | |
| TDK Corp. | | | 6,400 | | | | 361,970 | |
| Teijin Ltd. | | | 769,000 | | | | 2,335,825 | |
| Tokio Marine Holdings, Inc. | | | 6,200 | | | | 231,632 | |
| Tokyo Electric Power Co., Inc. † | | | 716,100 | | | | 4,783,282 | |
| Tokyu Fudosan Holdings Corp. | | | 26,483 | | | | 176,205 | |
| Toyota Motor Corp. | | | 33,878 | | | | 1,983,486 | |
| West Japan Railway Co. | | | 31,800 | | | | 1,993,095 | |
| Yamaha Corp. | | | 81,000 | | | | 1,794,002 | |
| Yamazaki Baking Co., Ltd. | | | 51,000 | | | | 785,848 | |
| | | | | | | | |
| | | | | | | 158,004,249 | |
| | | | | | | | |
| Netherlands - 3.0% | | | | | | |
| Aegon NV | | | 306,932 | | | | 1,759,992 | |
| ASML Holding NV | | | 19,567 | | | | 1,719,997 | |
| Boskalis Westminster | | | 30,605 | | | | 1,339,659 | |
| Heineken NV | | | 15,576 | | | | 1,261,168 | |
| ING Groep NV CVA | | | 247,726 | | | | 3,509,663 | |
| Koninklijke Ahold NV | | | 348,862 | | | | 6,805,614 | |
| Koninklijke Vopak NV | | | 20,218 | | | | 808,381 | |
| NN Group NV | | | 26,840 | | | | 770,502 | |
| Wolters Kluwer NV | | | 132,393 | | | | 4,082,912 | |
| | | | | | | | |
| | | | | | | 22,057,888 | |
| | | | | | | | |
| Singapore - 0.5% | | | | | | |
| Ascendas Real Estate Investment Trust REIT | | | 123,637 | | | | 203,686 | |
| CapitaLand Commercial Trust Ltd. REIT | | | 120,000 | | | | 113,298 | |
| CapitaLand Mall Trust REIT | | | 145,994 | | | | 195,219 | |
| ComfortDelGro Corp. Ltd. | | | 207,800 | | | | 419,794 | |
| Sembcorp Industries Ltd. | | | 60,017 | | | | 146,476 | |
| Singapore Airlines Ltd. | | | 43,800 | | | | 329,719 | |
| Singapore Exchange Ltd. | | | 52,472 | | | | 259,575 | |
| Singapore Technologies Engineering Ltd. | | | 93,265 | | | | 195,669 | |
| United Overseas Bank Ltd. | | | 102,097 | | | | 1,333,092 | |
| UOL Group Ltd. | | | 28,000 | | | | 118,549 | |
| | | | | | | | |
| | | | | | | 3,315,077 | |
| | | | | | | | |
| South Africa - 0.4% | | | | | | |
| Investec PLC | | | 176,451 | | | | 1,351,069 | |
| Mondi PLC | | | 74,081 | | | | 1,552,677 | |
| | | | | | | | |
| | | | | | | 2,903,746 | |
| | | | | | | | |
| Spain - 1.8% | | | | | | |
| ACS Actividades de Construccion y Servicios SA | | | 28,084 | | | | 808,034 | |
| Banco Bilbao Vizcaya Argentaria SA | | | 281,558 | | | | 2,380,808 | |
| Banco Santander SA | | | 522,409 | | | | 2,777,864 | |
| Endesa SA | | | 24,668 | | | | 520,208 | |
| Ferrovial SA | | | 65,564 | | | | 1,568,302 | |
| Iberdrola SA | | | 390,122 | | | | 2,599,469 | |
| Industria de Diseno Textil SA | | | 88,308 | | | | 2,961,097 | |
| | | | | | | | |
| | | | | | | 13,615,782 | |
| | | | | | | | |
| Sweden - 3.3% | | | | | | |
| Boliden AB | | | 207,224 | | | | 3,244,745 | |
| Electrolux AB, Series B | | | 181,986 | | | | 5,142,345 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| Sweden - 3.3% (continued) | | | | | | |
| Husqvarna AB, B Shares | | | 422,150 | | | $ | 2,768,602 | |
| Investor AB, B Shares | | | 19,364 | | | | 665,366 | |
| Skanska AB, B Shares | | | 80,133 | | | | 1,573,228 | |
| Svenska Cellulosa AB SCA, Class B | | | 104,227 | | | | 2,916,494 | |
| Swedish Match AB | | | 186,644 | | | | 5,641,977 | |
| Tele2 AB, B Shares | | | 99,117 | | | | 966,649 | |
| Telefonaktiebolaget LM Ericsson, B Shares | | | 170,974 | | | | 1,677,191 | |
| | | | | | | | |
| | | | | | | 24,596,597 | |
| | | | | | | | |
| Switzerland - 8.8% | | | | | | |
| Actelion Ltd. † | | | 5,886 | | | | 748,087 | |
| Adecco SA † | | | 9,341 | | | | 684,094 | |
| Baloise Holding AG | | | 10,572 | | | | 1,211,594 | |
| Coca-Cola HBC AG † | | | 18,346 | | | | 388,360 | |
| Credit Suisse Group AG † | | | 113,160 | | | | 2,720,009 | |
| Julius Baer Group Ltd. † | | | 18,979 | | | | 861,875 | |
| Lonza Group AG † | | | 41,130 | | | | 5,396,912 | |
| Nestle SA | | | 249,250 | | | | 18,745,018 | |
| Novartis AG | | | 120,694 | | | | 11,093,213 | |
| Roche Holding AG | | | 33,065 | | | | 8,777,817 | |
| Sika AG | | | 72 | | | | 222,089 | |
| Swiss Life Holding AG † | | | 28,095 | | | | 6,267,017 | |
| Swiss Re AG | | | 48,536 | | | | 4,164,250 | |
| Wolseley PLC | | | 10,587 | | | | 619,276 | |
| Zurich Insurance Group AG † | | | 13,966 | | | | 3,428,741 | |
| | | | | | | | |
| | | | | | | 65,328,352 | |
| | | | | | | | |
| United Kingdom - 17.9% | | | | | | |
| 3i Group PLC | | | 59,955 | | | | 423,516 | |
| ARM Holdings PLC | | | 78,966 | | | | 1,134,522 | |
| AstraZeneca PLC | | | 86,984 | | | | 5,516,403 | |
| Aviva PLC | | | 167,647 | | | | 1,146,634 | |
| Barclays PLC | | | 2,406,325 | | | | 8,905,307 | |
| BG Group PLC | | | 191,456 | | | | 2,761,922 | |
| BP PLC | | | 402,926 | | | | 2,044,194 | |
| British American Tobacco PLC | | | 88,796 | | | | 4,899,385 | |
| British Land Co. PLC/The REIT | | | 57,695 | | | | 732,705 | |
| BT Group PLC | | | 1,269,160 | | | | 8,077,625 | |
| Direct Line Insurance Group PLC | | | 1,247,250 | | | | 7,077,093 | |
| Dixons Carphone PLC | | | 89,661 | | | | 576,251 | |
| easyJet PLC | | | 122,399 | | | | 3,304,047 | |
| Fiat Chrysler Automobiles NV † | | | 152,157 | | | | 1,977,668 | |
| GlaxoSmithKline PLC | | | 165,094 | | | | 3,168,798 | |
| Hammerson PLC REIT | | | 28,872 | | | | 272,629 | |
| HSBC Holdings PLC | | | 962,623 | | | | 7,261,756 | |
| ICAP PLC | | | 148,175 | | | | 1,026,268 | |
| Imperial Tobacco Group PLC | | | 230,841 | | | | 11,934,207 | |
| International Consolidated Airlines Group SA † | | | 351,079 | | | | 3,145,304 | |
| ITV PLC | | | 109,996 | | | | 409,895 | |
| Kingfisher PLC | | | 617,663 | | | | 3,355,294 | |
| Land Securities Group PLC REIT | | | 47,078 | | | | 897,493 | |
| Lloyds Banking Group PLC | | | 790,194 | | | | 899,605 | |
| Marks & Spencer Group PLC | | | 91,774 | | | | 696,636 | |
| Persimmon PLC † | | | 289,889 | | | | 8,823,166 | |
| Randgold Resources Ltd. | | | 3,761 | | | | 221,617 | |
| Reckitt Benckiser Group PLC | | | 38,287 | | | | 3,472,088 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
142
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 4) | |
| United Kingdom - 17.9% (continued) | | | | | | |
| RELX PLC | | | 63,746 | | | $ | 1,093,336 | |
| Rio Tinto Ltd. | | | 25,795 | | | | 887,463 | |
| Royal Bank of Scotland Group PLC † | | | 764,995 | | | | 3,649,868 | |
| Royal Dutch Shell PLC, A Shares | | | 209,058 | | | | 4,935,242 | |
| Royal Dutch Shell PLC, B Shares | | | 146,511 | | | | 3,464,291 | |
| Sage Group PLC/The | | | 156,415 | | | | 1,183,370 | |
| Schroders PLC | | | 19,386 | | | | 823,752 | |
| Shire PLC | | | 9,039 | | | | 617,924 | |
| Standard Chartered PLC | | | 142,306 | | | | 1,381,072 | |
| Taylor Wimpey PLC | | | 1,048,976 | | | | 3,107,883 | |
| Travis Perkins PLC | | | 49,950 | | | | 1,490,152 | |
| Unilever NV CVA | | | 17,475 | | | | 700,485 | |
| Unilever PLC | | | 76,998 | | | | 3,136,113 | |
| Vodafone Group PLC | | | 2,443,437 | | | | 7,706,809 | |
| William Hill PLC | | | 219,461 | | | | 1,167,233 | |
| WPP PLC | | | 146,920 | | | | 3,058,732 | |
| | | | | | | | �� |
| | | | | | | 132,565,753 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $637,361,039) | | | | | | | 661,213,103 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.4% | | | | | | |
| | |
| Germany - 0.4% | | | | | | |
| Henkel AG & Co. KGaA | | | 4,168 | | | | 429,285 | |
| Porsche Automobil Holding SE | | | 59,140 | | | | 2,516,151 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $4,916,642) | | | | | | | 2,945,436 | |
| | | | | | | | |
| | |
| WARRANTS - 0.0% (b) | | | | | | |
| | |
| Hong Kong - 0.0% (b) | | | | | | |
| Sun Hung Kai Properties Ltd. † | | | | | | | | |
(cost $—) | | | 79 | | | | 77 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 6.5% | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c) | | | 44,568,015 | | | | 44,568,015 | |
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares,
0.000% (c)(d) | | | 3,820,056 | | | | 3,820,056 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $48,388,071) | | | | | | | 48,388,071 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 96.4%
(cost $690,665,752) | | | | | | | 712,546,687 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 3.6% (e) | | | | | 26,264,363 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 738,811,050 | |
| | | | | | | | |
| † | Non-income producing security. |
| (a) | Security fair valued as of September 30, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Represents annualized seven-day yield as of the close of the reporting period. |
| (d) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 101,885,913 | | | | 13.8 | % |
| Consumer Staples | | | 79,694,301 | | | | 10.8 | |
| Energy | | | 14,450,579 | | | | 2.0 | |
| Financials | | | 171,693,413 | | | | 23.2 | |
| Health Care | | | 107,157,401 | | | | 14.5 | |
| Industrials | | | 79,505,906 | | | | 10.8 | |
| Information Technology | | | 35,568,781 | | | | 4.8 | |
| Materials | | | 23,976,814 | | | | 3.2 | |
| Telecommunication Services | | | 37,931,944 | | | | 5.1 | |
| Utilities | | | 12,293,564 | | | | 1.7 | |
| Money Market Funds | | | 48,388,071 | | | | 6.5 | |
| | | | | | | | |
Total Investments In Securities, At Value | | | 712,546,687 | | | | 96.4 | |
| Other Assets in Excess of Liabilities (e) | | | 26,264,363 | | | | 3.6 | |
| | | | | | | | |
Net Assets | | $ | 738,811,050 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
143
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
Total return swap contracts outstanding as of September 30, 2015:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE
INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Goldman Sachs | | Hang Seng Index October Futures | | 10/2015 | | HKD | | | 45,324,713 | | | | $(80,239 | ) |
| Goldman Sachs | | Swiss Market Index December Futures | | 12/2015 | | CHF | | | (18,622,524 | ) | | | 469,438 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $389,199 | |
| | | | | | | | | | | | | | |
Open futures contracts outstanding at September 30, 2015:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | |
| 455 | | Barclays Capital | | CAC40 Index Futures | | | 10/2015 | | | | $23,103,968 | | | | $22,632,183 | | | | $(471,785 | ) |
| 172 | | Barclays Capital | | DAX Index Futures | | | 12/2015 | | | | 47,860,738 | | | | 46,412,159 | | | | (1,448,579 | ) |
| 245 | | Barclays Capital | | Hang Seng Index Futures | | | 10/2015 | | | | 33,321,531 | | | | 32,864,562 | | | | (456,969 | ) |
| 141 | | Barclays Capital | | IBEX 35 Index Futures | | | 10/2015 | | | | 15,234,144 | | | | 15,031,068 | | | | (203,076 | ) |
| 139 | | Barclays Capital | | MSCI Singapore Index Futures | | | 10/2015 | | | | 6,139,032 | | | | 6,104,845 | | | | (34,187 | ) |
| 77 | | Barclays Capital | | SPI 200 Index Futures | | | 12/2015 | | | | 6,783,204 | | | | 6,765,245 | | | | (17,959 | ) |
| 158 | | Barclays Capital | | TOPIX Index Futures | | | 12/2015 | | | | 19,089,776 | | | | 18,590,172 | | | | (499,604 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 151,532,393 | | | | 148,400,234 | | | | (3,132,159 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | | | | | |
| 135 | | Barclays Capital | | Amsterdam Index Futures | | | 10/2015 | | | | $(12,851,696 | ) | | | $(12,709,028 | ) | | | $142,668 | |
| 353 | | Barclays Capital | | FTSE 100 Index Futures | | | 12/2015 | | | | (32,164,122 | ) | | | (32,138,835 | ) | | | 25,287 | |
| 168 | | Barclays Capital | | FTSE/MIB Index Futures | | | 12/2015 | | | | (20,170,697 | ) | | | (19,935,265 | ) | | | 235,432 | |
| 547 | | Barclays Capital | | OMXS30 Index Futures | | | 10/2015 | | | | (9,507,921 | ) | | | (9,250,695 | ) | | | 257,226 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (74,694,436 | ) | | | (74,033,823 | ) | | | 660,613 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $76,837,957 | | | | $74,366,411 | | | | $(2,471,546 | ) |
| | | | | | | | | | | | | | | | | | | | |
Forward foreign currency exchange contracts outstanding as of September 30, 2015:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australian Dollar, Expiring 12/16/15 | | CitiBank | | AUD | | | 16,236,550 | | | | $11,383,133 | | | | $11,349,875 | | | | $(33,258 | ) |
| Australian Dollar, Expiring 12/16/15 | | Credit Suisse International | | AUD | | | 16,236,550 | | | | 11,382,494 | | | | 11,349,874 | | | | (32,620 | ) |
Swiss Franc,
Expiring 12/16/15 | | CitiBank | | CHF | | | 1,820,000 | | | | 1,874,772 | | | | 1,872,747 | | | | (2,025 | ) |
Swiss Franc,
Expiring 12/16/15 | | Credit Suisse International | | CHF | | | 7,282,000 | | | | 7,481,332 | | | | 7,493,046 | | | | 11,714 | |
| Danish Krone, Expiring 12/16/15 | | CitiBank | | DKK | | | 413,000 | | | | 62,472 | | | | 61,967 | | | | (505 | ) |
| Danish Krone, Expiring 12/16/15 | | Credit Suisse International | | DKK | | | 1,154,000 | | | | 174,180 | | | | 173,149 | | | | (1,031 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
144
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Euro,
Expiring 12/16/15 | | CitiBank | | EUR | | | 43,306,700 | | | | $ 48,527,988 | | | | $ 48,455,109 | | | | $ (72,879 | ) |
Euro,
Expiring 12/16/15 | | Credit Suisse International | | EUR | | | 43,306,700 | | | | 48,527,875 | | | | 48,455,109 | | | | (72,766 | ) |
| British Pound, Expiring 12/16/15 | | CitiBank | | GBP | | | 1,140,000 | | | | 1,743,487 | | | | 1,724,005 | | | | (19,482 | ) |
| British Pound, Expiring 12/16/15 | | Credit Suisse International | | GBP | | | 1,843,000 | | | | 2,814,076 | | | | 2,787,141 | | | | (26,935 | ) |
| Hong Kong Dollar, Expiring 12/16/15 | | CitiBank | | HKD | | | 27,341,500 | | | | 3,527,390 | | | | 3,527,754 | | | | 364 | |
| Hong Kong Dollar, Expiring 12/16/15 | | Credit Suisse International | | HKD | | | 27,341,500 | | | | 3,527,358 | | | | 3,527,754 | | | | 396 | |
| Israeli Shekel, Expiring 12/16/15 | | CitiBank | | ILS | | | 9,973,500 | | | | 2,530,850 | | | | 2,545,095 | | | | 14,245 | |
| Israeli Shekel, Expiring 12/16/15 | | Credit Suisse International | | ILS | | | 9,973,500 | | | | 2,530,839 | | | | 2,545,095 | | | | 14,256 | |
| Japanese Yen, Expiring 12/16/15 | | CitiBank | | JPY | | | 9,649,826,900 | | | | 80,410,720 | | | | 80,547,743 | | | | 137,023 | |
| Japanese Yen, Expiring 12/16/15 | | Credit Suisse International | | JPY | | | 9,649,826,900 | | | | 80,409,235 | | | | 80,547,743 | | | | 138,508 | |
| Swedish Krona, Expiring 12/16/15 | | CitiBank | | SEK | | | 82,947,500 | | | | 9,849,891 | | | | 9,928,493 | | | | 78,602 | |
| Swedish Krona, Expiring 12/16/15 | | Credit Suisse International | | SEK | | | 82,947,500 | | | | 9,849,897 | | | | 9,928,492 | | | | 78,595 | |
| Singapore Dollar, Expiring 12/16/15 | | CitiBank | | SGD | | | 4,503,150 | | | | 3,187,226 | | | | 3,156,313 | | | | (30,913 | ) |
| Singapore Dollar, Expiring 12/16/15 | | Credit Suisse International | | SGD | | | 4,503,150 | | | | 3,187,232 | | | | 3,156,313 | | | | (30,919 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $332,982,447 | | | | $333,132,817 | | | | $150,370 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australian Dollar, Expiring 12/16/15 | | CitiBank | | AUD | | | (4,498,500 | ) | | | $(3,187,535 | ) | | | $(3,144,597 | ) | | | $42,938 | |
| Australian Dollar, Expiring 12/16/15 | | Credit Suisse International | | AUD | | | (5,325,500 | ) | | | (3,766,484 | ) | | | (3,722,697 | ) | | | 43,787 | |
Swiss Franc,
Expiring 12/16/15 | | CitiBank | | CHF | | | (33,730,900 | ) | | | (34,815,703 | ) | | | (34,708,484 | ) | | | 107,219 | |
Swiss Franc,
Expiring 12/16/15 | | Credit Suisse International | | CHF | | | (33,730,900 | ) | | | (34,815,955 | ) | | | (34,708,484 | ) | | | 107,471 | |
| Danish Krone, Expiring 12/16/15 | | CitiBank | | DKK | | | (15,262,500 | ) | | | (2,288,182 | ) | | | (2,290,026 | ) | | | (1,844 | ) |
| Danish Krone, Expiring 12/16/15 | | Credit Suisse International | | DKK | | | (15,262,500 | ) | | | (2,288,321 | ) | | | (2,290,026 | ) | | | (1,705 | ) |
Euro,
Expiring 12/16/15 | | CitiBank | | EUR | | | (14,457,500 | ) | | | (16,309,871 | ) | | | (16,176,244 | ) | | | 133,627 | |
Euro,
Expiring 12/16/15 | | Credit Suisse International | | EUR | | | (21,158,500 | ) | | | (23,839,112 | ) | | | (23,673,875 | ) | | | 165,237 | |
| British Pound, Expiring 12/16/15 | | CitiBank | | GBP | | | (41,705,850 | ) | | | (63,672,581 | ) | | | (63,071,130 | ) | | | 601,451 | |
| British Pound, Expiring 12/16/15 | | Credit Suisse International | | GBP | | | (41,705,850 | ) | | | (63,673,253 | ) | | | (63,071,130 | ) | | | 602,123 | |
| Hong Kong Dollar, Expiring 12/16/15 | | CitiBank | | HKD | | | (1,740,500 | ) | | | (224,517 | ) | | | (224,569 | ) | | | (52 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
145
| | |
| Schedule of Investments | | September 30, 2015 |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2015 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Hong Kong Dollar, Expiring 12/16/15 | | Credit Suisse International | | HKD | | | (11,432,500 | ) | | | $ (1,474,965 | ) | | | $ (1,475,085 | ) | | | $ (120 | ) |
| Israeli Shekel, Expiring 12/16/15 | | CitiBank | | ILS | | | (421,000 | ) | | | (107,254 | ) | | | (107,433 | ) | | | (179 | ) |
| Israeli Shekel, Expiring 12/16/15 | | Credit Suisse International | | ILS | | | (421,000 | ) | | | (107,255 | ) | | | (107,433 | ) | | | (178 | ) |
| Japanese Yen, Expiring 12/16/15 | | CitiBank | | JPY | | | (532,436,000 | ) | | | (4,446,330 | ) | | | (4,444,278 | ) | | | 2,052 | |
| Japanese Yen, Expiring 12/16/15 | | Credit Suisse International | | JPY | | | (1,093,417,000 | ) | | | (9,125,074 | ) | | | (9,126,823 | ) | | | (1,749 | ) |
| Swedish Krona, Expiring 12/16/15 | | CitiBank | | SEK | | | (17,667,000 | ) | | | (2,099,705 | ) | | | (2,114,671 | ) | | | (14,966 | ) |
| Swedish Krona, Expiring 12/16/15 | | Credit Suisse International | | SEK | | | (23,059,000 | ) | | | (2,744,195 | ) | | | (2,760,072 | ) | | | (15,877 | ) |
| Singapore Dollar, Expiring 12/16/15 | | CitiBank | | SGD | | | (184,000 | ) | | | (128,728 | ) | | | (128,966 | ) | | | (238 | ) |
| Singapore Dollar, Expiring 12/16/15 | | Credit Suisse International | | SGD | | | (184,000 | ) | | | (128,687 | ) | | | (128,968 | ) | | | (281 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (269,243,707 | ) | | | (267,474,991 | ) | | | 1,768,716 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $63,738,740 | | | | $65,657,826 | | | | $1,919,086 | |
| | | | | | | | | | | | | | | | | | | | |
AUD - Australian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
SEK - Swedish Krona
SGD - Singapore Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2015 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| Barclays Capital | | | | | | | | | |
| Cash | | | $— | | | | $22,360,095 | | | | $22,360,095 | |
| |
| CitiBank | | | | | | | | | |
| Cash | | | (910,000 | ) | | | — | | | | (910,000 | ) |
| |
| Credit Suisse International | | | | | | | | | |
| Cash | | | (1,030,000 | ) | | | — | | | | (1,030,000 | ) |
| |
| Goldman Sachs | | | | | | | | | |
| Money Market Funds | | | 3,820,000 | | | | — | | | | 3,820,000 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
146
| | |
| Statements of Assets and Liabilities | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
MULTI-STYLE
FUND | | | AQR
SMALL CAP
MULTI-STYLE
FUND | | | AQR
INTERNATIONAL
MULTI-STYLE
FUND | | | AQR
EMERGING
MULTI-STYLE
FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities, at cost | | $ | 1,145,198,890 | | | $ | 46,798,715 | | | $ | 310,243,407 | | | $ | 230,554,091 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities, at value* | | $ | 1,110,327,752 | | | $ | 44,899,268 | | | $ | 285,714,229 | | | $ | 195,921,162 | |
| Cash | | | 438,000 | | | | — | | | | 2,055 | | | | 721,996 | |
| Foreign currency, at value‡ | | | — | | | | — | | | | 568,884 | | | | 1,065,370 | |
| Variation margin on derivative instruments | | | 552,330 | | | | — | | | | — | | | | — | |
| Deposits with brokers for futures contracts | | | 1,047,813 | | | | — | | | | — | | | | — | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | — | | | | 1,925,010 | | | | 43,471,597 | | | | 5,839,791 | |
Foreign tax reclaim | | | — | | | | — | | | | 148,114 | | | | — | |
Dividends | | | 715,047 | | | | 32,334 | | | | 937,582 | | | | 440,689 | |
Capital shares sold | | | 1,977,263 | | | | 143,477 | | | | 977,230 | | | | 381,840 | |
Due from Investment Advisor | | | — | | | | 2,678 | | | | — | | | | 1,133 | |
| Prepaid expenses | | | 50,961 | | | | 24,362 | | | | 26,707 | | | | 25,157 | |
| Total Assets | | | 1,115,109,166 | | | | 47,027,129 | | | | 331,846,398 | | | | 204,397,138 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Due to custodian | | | — | | | | 1,462,601 | | | | — | | | | — | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | — | | | | 41,596 | | | | 45,468,733 | | | | 8,252,597 | |
Collateral received on securities loaned | | | — | | | | 3,593,902 | | | | — | | | | 6,988,846 | |
Accrued investment advisory fees | | | 55,139 | | | | — | | | | 37,008 | | | | — | |
Accrued distribution fees—Class N | | | 12,402 | | | | 1,619 | | | | 877 | | | | 917 | |
Accrued Trustee fees | | | 403 | | | | 75 | | | | 58 | | | | — | |
Capital shares redeemed | | | 488,838 | | | | 64,792 | | | | 228,684 | | | | 57,111 | |
Other accrued expenses and liabilities | | | 325,061 | | | | 53,680 | | | | 142,969 | | | | 108,327 | |
| Total Liabilities | | | 881,843 | | | | 5,218,265 | | | | 45,878,329 | | | | 15,407,798 | |
| Net Assets | | $ | 1,114,227,323 | | | $ | 41,808,864 | | | $ | 285,968,069 | | | $ | 188,989,340 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 1,159,632,529 | | | $ | 44,429,911 | | | $ | 317,447,123 | | | $ | 230,301,579 | |
| Undistributed (accumulated) net investment income (loss) | | | 7,912,780 | | | | 212,998 | | | | 3,852,002 | | | | 3,917,919 | |
| Undistributed (accumulated) net realized gain (loss) | | | (18,166,276 | ) | | | (934,598 | ) | | | (10,768,566 | ) | | | (10,591,071 | ) |
| Net unrealized appreciation (depreciation) | | | (35,151,710 | ) | | | (1,899,447 | ) | | | (24,562,490 | ) | | | (34,639,087 | ) |
| Net Assets | | $ | 1,114,227,323 | | | $ | 41,808,864 | | | $ | 285,968,069 | | | $ | 188,989,340 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 490,709,396 | | | $ | 26,634,015 | | | $ | 40,046,714 | | | $ | 48,992,270 | |
| Class N | | | 59,732,833 | | | | 5,680,507 | | | | 4,141,773 | | | | 4,493,741 | |
| Class R6 | | | 563,785,094 | | | | 9,494,342 | | | | 241,779,582 | | | | 135,503,329 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 37,047,708 | | | | 2,165,764 | | | | 3,920,915 | | | | 5,981,726 | |
| Class N | | | 4,528,366 | | | | 463,666 | | | | 406,162 | | | | 549,846 | |
| Class R6 | | | 42,554,777 | | | | 771,282 | | | | 23,695,163 | | | | 16,527,847 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 13.25 | | | $ | 12.30 | | | $ | 10.21 | | | $ | 8.19 | |
| Class N | | $ | 13.19 | | | $ | 12.25 | | | $ | 10.20 | | | $ | 8.17 | |
| Class R6 | | $ | 13.25 | | | $ | 12.31 | | | $ | 10.20 | | | $ | 8.20 | |
| | | | | | | | | | | | | | | | | |
| * Includes market value of securities out on loan | | $ | — | | | $ | 3,578,221 | | | $ | — | | | $ | 6,800,176 | |
| ‡ Foreign currency at cost | | $ | — | | | $ | — | | | $ | 571,841 | | | $ | 1,066,632 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
147
| | |
| Statements of Assets and Liabilities | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR TM LARGE CAP
MULTI-STYLE
FUND | | | AQR TM
SMALL CAP
MULTI-STYLE
FUND | | | AQR TM
INTERNATIONAL
MULTI-STYLE
FUND | | | AQR TM
EMERGING
MULTI-STYLE
FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities, at cost | | $ | 31,155,786 | | | $ | 4,020,493 | | | $ | 48,852,989 | | | $ | 23,765,682 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities, at value* | | $ | 29,317,463 | | | $ | 3,800,316 | | | $ | 45,213,948 | | | $ | 21,344,837 | |
| Cash | | | 277,062 | | | | — | | | | 300 | | | | — | |
| Foreign currency, at value‡ | | | — | | | | — | | | | 158,880 | | | | 151,290 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | — | | | | — | | | | 4,423,207 | | | | 1,221,798 | |
Foreign tax reclaim | | | — | | | | — | | | | 5,212 | | | | — | |
Dividends | | | 20,777 | | | | 2,370 | | | | 149,555 | | | | 39,086 | |
Capital shares sold | | | 191,803 | | | | 41,871 | | | | 115,834 | | | | 90,008 | |
Due from Investment Advisor | | | 16,281 | | | | 12,739 | | | | 12,887 | | | | 16,838 | |
| Prepaid expenses | | | 26,271 | | | | 25,466 | | | | 26,038 | | | | 29,176 | |
| Total Assets | | | 29,849,657 | | | | 3,882,762 | | | | 50,105,861 | | | | 22,893,033 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Due to custodian | | | — | | | | — | | | | — | | | | 788,131 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 865,072 | | | | 89,228 | | | | 5,283,217 | | | | 1,711,676 | |
Collateral received on securities loaned | | | — | | | | 261,756 | | | | — | | | | 1,077,831 | |
Accrued distribution fees—Class N | | | 28 | | | | 27 | | | | 30 | | | | 186 | |
Accrued Trustee fees | | | 54 | | | | — | | | | 27 | | | | 10 | |
Capital shares redeemed | | | 7,952 | | | | — | | | | 10,962 | | | | 2,790 | |
Other accrued expenses and liabilities | | | 51,358 | | | | 41,264 | | | | 83,018 | | | | 64,034 | |
| Total Liabilities | | | 924,464 | | | | 392,275 | | | | 5,377,254 | | | | 3,644,658 | |
| Net Assets | | $ | 28,925,193 | | | $ | 3,490,487 | | | $ | 44,728,607 | | | $ | 19,248,375 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 30,737,176 | | | $ | 3,698,626 | | | $ | 48,635,070 | | | $ | 21,995,413 | |
| Undistributed (accumulated) net investment income (loss) | | | 131,665 | | | | 20,214 | | | | 580,570 | | | | 260,708 | |
| Undistributed (accumulated) net realized gain (loss) | | | (105,325 | ) | | | (8,176 | ) | | | (845,657 | ) | | | (586,241 | ) |
| Net unrealized appreciation (depreciation) | | | (1,838,323 | ) | | | (220,177 | ) | | | (3,641,376 | ) | | | (2,421,505 | ) |
| Net Assets | | $ | 28,925,193 | | | $ | 3,490,487 | | | $ | 44,728,607 | | | $ | 19,248,375 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 2,086,959 | | | $ | 1,701,874 | | | $ | 3,212,688 | | | $ | 2,986,440 | |
| Class N | | | 135,064 | | | | 128,309 | | | | 143,086 | | | | 880,892 | |
| Class R6 | | | 26,703,170 | | | | 1,660,304 | | | | 41,372,833 | | | | 15,381,043 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 221,606 | | | | 184,697 | | | | 341,610 | | | | 359,225 | |
| Class N | | | 14,363 | | | | 13,941 | | | | 15,231 | | | | 106,116 | |
| Class R6 | | | 2,833,532 | | | | 180,000 | | | | 4,395,156 | | | | 1,849,302 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 9.42 | | | $ | 9.21 | | | $ | 9.40 | | | $ | 8.31 | |
| Class N | | $ | 9.40 | | | $ | 9.20 | | | $ | 9.39 | | | $ | 8.30 | |
| Class R6 | | $ | 9.42 | | | $ | 9.22 | | | $ | 9.41 | | | $ | 8.32 | |
| | | | | | | | | | | | | | | | | |
| * Includes market value of securities out on loan | | $ | — | | | $ | 261,113 | | | $ | — | | | $ | 1,070,320 | |
| ‡ Foreign currency at cost | | $ | — | | | $ | — | | | $ | 158,666 | | | $ | 151,402 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
148
| | |
| Statements of Assets and Liabilities | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
MOMENTUM
STYLE FUND | | | AQR
SMALL CAP
MOMENTUM
STYLE FUND | | | AQR
INTERNATIONAL
MOMENTUM
STYLE FUND | | | AQR
EMERGING
MOMENTUM
STYLE FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities, at cost | | $ | 885,534,637 | | | $ | 426,590,010 | | | $ | 319,399,904 | | | $ | 9,016,091 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities, at value* | | $ | 1,004,699,869 | | | $ | 444,964,202 | | | $ | 321,432,187 | | | $ | 8,105,618 | |
| Cash | | | — | | | | — | | | | 1,219 | | | | — | |
| Foreign currency, at value‡ | | | 396 | | | | — | | | | 1,996,860 | | | | — | |
| Deposits with brokers for futures contracts | | | 993,884 | | | | 362,772 | | | | 367,138 | | | | — | |
| Variation margin on derivative instruments | | | 369,360 | | | | 124,250 | | | | 148,990 | | | | — | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | — | | | | 302,611 | | | | — | | | | 733,633 | |
Foreign tax reclaim | | | — | | | | — | | | | 644,795 | | | | — | |
Dividends | | | 734,511 | | | | 280,563 | | | | 887,996 | | | | 14,952 | |
Capital shares sold | | | 630,971 | | | | 432,294 | | | | 200,995 | | | | 28,326 | |
Due from Investment Advisor | | | — | | | | — | | | | — | | | | 18,457 | |
| Prepaid expenses | | | 45,709 | | | | 43,616 | | | | 36,368 | | | | 20,693 | |
| Total Assets | | | 1,007,474,700 | | | | 446,510,308 | | | | 325,716,548 | | | | 8,921,679 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Due to custodian | | | — | | | | 302,390 | | | | — | | | | 123,681 | |
| Foreign currency due to custodian, at value‡ | | | — | | | | — | | | | — | | | | 83,150 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | — | | | | — | | | | 1,465,554 | | | | 433,457 | |
Collateral received on securities loaned | | | — | | | | 43,938,129 | | | | — | | | | 371,933 | |
Accrued investment advisory fees | | | 148,521 | | | | 55,216 | | | | 66,903 | | | | — | |
Accrued distribution fees—Class N | | | 14,498 | | | | 1,767 | | | | 7,460 | | | | 234 | |
Accrued Trustee fees | | | 147 | | | | 22 | | | | 30 | | | | — | |
Capital shares redeemed | | | 1,437,020 | | | | 200,746 | | | | 339,167 | | | | 9,032 | |
Other accrued expenses and liabilities | | | 251,766 | | | | 168,664 | | | | 137,483 | | | | 76,828 | |
| Total Liabilities | | | 1,851,952 | | | | 44,666,934 | | | | 2,016,597 | | | | 1,098,315 | |
| Net Assets | | $ | 1,005,622,748 | | | $ | 401,843,374 | | | $ | 323,699,951 | | | $ | 7,823,364 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 818,717,353 | | | $ | 380,089,253 | | | $ | 337,524,140 | | | $ | 9,816,023 | |
| Undistributed (accumulated) net investment income (loss) | | | 7,544,244 | | | | 1,891,375 | | | | 4,894,430 | | | | 165,138 | |
| Undistributed (accumulated) net realized gain (loss) | | | 60,598,531 | | | | 1,866,938 | | | | (20,501,091 | ) | | | (1,247,180 | ) |
| Net unrealized appreciation (depreciation) | | | 118,762,620 | | | | 17,995,808 | | | | 1,782,472 | | | | (910,617 | ) |
| Net Assets | | $ | 1,005,622,748 | | | $ | 401,843,374 | | | $ | 323,699,951 | | | $ | 7,823,364 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 874,115,361 | | | $ | 316,232,108 | | | $ | 257,298,868 | | | $ | 6,611,551 | |
| Class N | | | 68,534,632 | | | | 8,195,340 | | | | 35,342,747 | | | | 1,131,634 | |
| Class R6 | | | 62,972,755 | | | | 77,415,926 | | | | 31,058,336 | | | | 80,179 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 43,794,416 | | | | 16,557,893 | | | | 19,429,009 | | | | 797,764 | |
| Class N | | | 3,440,002 | | | | 431,529 | | | | 2,678,581 | | | | 136,798 | |
| Class R6 | | | 3,158,235 | | | | 4,056,213 | | | | 2,346,761 | | | | 9,662 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 19.96 | | | $ | 19.10 | | | $ | 13.24 | | | $ | 8.29 | |
| Class N | | $ | 19.92 | | | $ | 18.99 | | | $ | 13.19 | | | $ | 8.27 | |
| Class R6 | | $ | 19.94 | | | $ | 19.09 | | | $ | 13.23 | | | $ | 8.30 | |
| | | | | | | | | | | | | | | | | |
| * Includes market value of securities out on loan | | $ | — | | | $ | 43,335,173 | | | $ | — | | | $ | 362,771 | |
| ‡ Foreign currency at cost | | $ | 430 | | | $ | — | | | $ | 2,005,468 | | | $ | (83,160 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
149
| | |
| Statements of Assets and Liabilities | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR TM
LARGE CAP
MOMENTUM
STYLE FUND | | | AQR TM
SMALL CAP
MOMENTUM
STYLE FUND | | | AQR TM
INTERNATIONAL
MOMENTUM
STYLE FUND | | | AQR LARGE CAP
DEFENSIVE
STYLE FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities, at cost | | $ | 118,109,070 | | | $ | 21,809,873 | | | $ | 74,995,172 | | | $ | 161,801,192 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities, at value* | | $ | 126,074,833 | | | $ | 22,621,738 | | | $ | 73,065,508 | | | $ | 188,237,797 | |
| Cash | | | — | | | | — | | | | 231 | | | | 75,000 | |
| Foreign currency, at value‡ | | | — | | | | — | | | | 174,823 | | | | — | |
| Deposits with brokers for futures contracts | | | 118,529 | | | | — | | | | — | | | | 676,571 | |
| Variation margin on derivative instruments | | | 42,750 | | | | — | | | | — | | | | 312,930 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | — | | | | 834,165 | | | | — | | | | — | |
Foreign tax reclaim | | | — | | | | — | | | | 105,126 | | | | — | |
Dividends | | | 110,911 | | | | 20,432 | | | | 198,183 | | | | 208,614 | |
Capital shares sold | | | 182,499 | | | | 76,941 | | | | 135,071 | | | | 274,133 | |
Due from Investment Advisor | | | 42,577 | | | | 4,811 | | | | 37,907 | | | | 3,362 | |
| Prepaid expenses | | | 23,291 | | | | 21,084 | | | | 21,599 | | | | 28,881 | |
| Total Assets | | | 126,595,390 | | | | 23,579,171 | | | | 73,738,448 | | | | 189,817,288 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Due to custodian | | | 3,000 | | | | — | | | | — | | | | — | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | — | | | | 1,302,123 | | | | 1,804,970 | | | | — | |
Collateral received on securities loaned | | | — | | | | 2,011,744 | | | | — | | | | — | |
Accrued distribution fees—Class N | | | 30 | | | | 27 | | | | 21 | | | | 5,731 | |
Accrued Trustee fees | | | 9 | | | | 8 | | | | — | | | | 67 | |
Capital shares redeemed | | | 41,178 | | | | — | | | | 57,048 | | | | 505,882 | |
Other accrued expenses and liabilities | | | 66,502 | | | | 48,581 | | | | 71,645 | | | | 99,298 | |
| Total Liabilities | | | 110,719 | | | | 3,362,483 | | | | 1,933,684 | | | | 610,978 | |
| Net Assets | | $ | 126,484,671 | | | $ | 20,216,688 | | | $ | 71,804,764 | | | $ | 189,206,310 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 119,206,162 | | | $ | 19,608,049 | | | $ | 80,399,116 | | | $ | 144,061,131 | |
| Undistributed (accumulated) net investment income (loss) | | | 1,077,518 | | | | 108,541 | | | | 1,024,613 | | | | 2,088,036 | |
| Undistributed (accumulated) net realized gain (loss) | | | (1,715,523 | ) | | | (311,767 | ) | | | (7,678,806 | ) | | | 16,819,321 | |
| Net unrealized appreciation (depreciation) | | | 7,916,514 | | | | 811,865 | | | | (1,940,159 | ) | | | 26,237,822 | |
| Net Assets | | $ | 126,484,671 | | | $ | 20,216,688 | | | $ | 71,804,764 | | | $ | 189,206,310 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 56,140,635 | | | $ | 19,992,338 | | | $ | 23,699,389 | | | $ | 158,468,032 | |
| Class N | | | 146,622 | | | | 126,937 | | | | 102,554 | | | | 30,629,474 | |
| Class R6 | | | 70,197,414 | | | | 97,413 | | | | 48,002,821 | | | | 108,804 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 3,613,144 | | | | 1,377,919 | | | | 2,026,170 | | | | 10,821,982 | |
| Class N | | | 9,457 | | | | 8,788 | | | | 8,782 | | | | 2,092,861 | |
| Class R6 | | | 4,517,716 | | | | 6,717 | | | | 4,102,795 | | | | 7,440 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 15.54 | | | $ | 14.51 | | | $ | 11.70 | | | $ | 14.64 | |
| Class N | | $ | 15.50 | | | $ | 14.44 | | | $ | 11.68 | | | $ | 14.64 | |
| Class R6 | | $ | 15.54 | | | $ | 14.50 | | | $ | 11.70 | | | $ | 14.62 | |
| | | | | | | | | | | | | | | | | |
| * Includes market value of securities out on loan | | $ | — | | | $ | 1,978,864 | | | $ | — | | | $ | — | |
| ‡ Foreign currency at cost | | $ | — | | | $ | — | | | $ | 175,011 | | | $ | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
150
| | |
| Statements of Assets and Liabilities | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR
INTERNATIONAL
DEFENSIVE
STYLE FUND | | | AQR
EMERGING
DEFENSIVE
STYLE FUND | | | AQR
GLOBAL
EQUITY
FUND | | | AQR
INTERNATIONAL
EQUITY
FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities, at cost | | $ | 35,797,365 | | | $ | 32,385,407 | | | $ | 302,399,631 | | | $ | 690,665,752 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities, at value* | | $ | 34,283,375 | | | $ | 28,086,191 | | | $ | 323,898,575 | | | $ | 712,546,687 | |
| Foreign currency, at value‡ | | | 194,772 | | | | 87,001 | | | | 900,056 | | | | 2,377,285 | |
| Due from brokers | | | — | | | | — | | | | — | | | | 246,041 | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | 1,369,027 | | | | 1,919,086 | |
| OTC swaps, at value | | | — | | | | — | | | | — | | | | 389,199 | |
| Deposits with brokers for futures contracts | | | — | | | | 38,608 | | | | 6,098,521 | | | | 18,586,302 | |
| Variation margin on derivative instruments | | | — | | | | 21,510 | | | | 486,768 | | | | 1,302,247 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | — | | | | — | | | | 2,017,576 | | | | 402,726 | |
Foreign tax reclaim | | | 38,361 | | | | 4,983 | | | | 679,216 | | | | 2,697,882 | |
Dividends | | | 97,971 | | | | 107,180 | | | | 432,539 | | | | 1,280,583 | |
Capital shares sold | | | 104,254 | | | | 80,102 | | | | 43,472 | | | | 91,151 | |
Due from Investment Advisor | | | 3,576 | | | | 35,066 | | | | — | | | | — | |
| Prepaid expenses | | | 22,355 | | | | 23,087 | | | | 18,068 | | | | 41,247 | |
| Total Assets | | | 34,744,664 | | | | 28,483,728 | | | | 335,943,818 | | | | 741,880,436 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Due to custodian | | | — | | | | — | | | | 1,679 | | | | — | |
| Due to brokers | | | — | | | | — | | | | 1,304,404 | | | | 1,982,301 | |
| OTC swaps, at value | | | — | | | | — | | | | 168,013 | | | | — | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 239,958 | | | | — | | | | 2,021,260 | | | | 402,747 | |
Collateral received on securities loaned | | | — | | | | 762,700 | | | | — | | | | — | |
Accrued investment advisory fees | | | — | | | | — | | | | 110,562 | | | | 277,889 | |
Accrued shareholder servicing fees | | | — | | | | — | | | | 20,494 | | | | 94,947 | |
Accrued distribution fees—Class N | | | 29 | | | | 11 | | | | 151 | | | | 7,547 | |
Accrued Trustee fees | | | 13 | | | | — | | | | 103 | | | | — | |
Capital shares redeemed | | | 17,912 | | | | 289,232 | | | | 49,677 | | | | 66,525 | |
Other accrued expenses and liabilities | | | 66,152 | | | | 82,212 | | | | 122,317 | | | | 237,430 | |
| Total Liabilities | | | 324,064 | | | | 1,134,155 | | | | 3,798,660 | | | | 3,069,386 | |
| Net Assets | | $ | 34,420,600 | | | $ | 27,349,573 | | | $ | 332,145,158 | | | $ | 738,811,050 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 35,883,434 | | | $ | 39,817,693 | | | $ | 295,508,549 | | | $ | 706,270,032 | |
| Undistributed (accumulated) net investment income (loss) | | | 617,686 | | | | 921,629 | | | | 4,287,622 | | | | 12,683,216 | |
| Undistributed (accumulated) net realized gain (loss) | | | (562,246 | ) | | | (9,087,381 | ) | | | 10,240,003 | | | | (1,572,402 | ) |
| Net unrealized appreciation (depreciation) | | | (1,518,274 | ) | | | (4,302,368 | ) | | | 22,108,984 | | | | 21,430,204 | |
| Net Assets | | $ | 34,420,600 | | | $ | 27,349,573 | | | $ | 332,145,158 | | | $ | 738,811,050 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 34,191,354 | | | $ | 27,220,974 | | | $ | 34,185,582 | | | $ | 320,807,361 | |
| Class N | | | 140,678 | | | | 53,513 | | | | 764,755 | | | | 36,173,944 | |
| Class R6 | | | 88,568 | | | | 75,086 | | | | 85,017,192 | | | | 32,647,739 | |
| Class Y | | | — | | | | — | | | | 212,177,629 | | | | 349,182,006 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 3,121,519 | | | | 3,314,071 | | | | 4,380,799 | | | | 33,377,117 | |
| Class N | | | 12,556 | | | | 6,419 | | | | 98,923 | | | | 3,703,495 | |
| Class R6 | | | 8,096 | | | | 9,146 | | | | 10,836,304 | | | | 3,212,966 | |
| Class Y | | | — | | | | — | | | | 26,995,455 | | | | 34,301,988 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 10.95 | | | $ | 8.21 | | | $ | 7.80 | | | $ | 9.61 | |
| Class N | | $ | 11.20 | | | $ | 8.34 | | | $ | 7.73 | | | $ | 9.77 | |
| Class R6 | | $ | 10.94 | | | $ | 8.21 | | | $ | 7.85 | | | $ | 10.16 | |
| Class Y | | | — | | | | — | | | $ | 7.86 | | | $ | 10.18 | |
| | | | | | | | | | | | | | | | | |
| * Includes market value of securities out on loan | | $ | — | | | $ | 755,626 | | | $ | — | | | $ | — | |
| ‡ Foreign currency at cost | | $ | 195,731 | | | $ | 88,015 | | | $ | 904,658 | | | $ | 2,409,154 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
151
| | |
| Statements of Operations | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
MULTI-STYLE
FUND | | | AQR SMALL CAP
MULTI-STYLE
FUND | | | AQR
INTERNATIONAL
MULTI-STYLE
FUND | | | AQR EMERGING
MULTI-STYLE
FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $12,144,715 | | | | $413,536 | | | | $5,407,978 | | | | $4,417,164 | |
Securities lending income, net | | | — | | | | 31,610 | | | | — | | | | 21,623 | |
| Total Income | | | 12,144,715 | | | | 445,146 | | | | 5,407,978 | | | | 4,438,787 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 2,205,132 | | | | 137,003 | | | | 748,203 | | | | 537,172 | |
Shareholder servicing fees | | | 304,701 | | | | 12,768 | | | | 44,481 | | | | 14,846 | |
Custody fees | | | 55,638 | | | | 26,321 | | | | 95,152 | | | | 105,470 | |
Administration & accounting fees | | | 179,686 | | | | 7,033 | | | | 41,165 | | | | 21,359 | |
Legal fees | | | 36,945 | | | | 858 | | | | 6,855 | | | | 11,963 | |
Audit & tax fees | | | 41,266 | | | | 40,650 | | | | 47,298 | | | | 50,390 | |
Shareholder reporting fees | | | 137,271 | | | | 949 | | | | 36,121 | | | | 29,008 | |
Transfer agent fees | | | 418,921 | | | | 36,033 | | | | 47,278 | | | | 33,571 | |
Trustee fees | | | 25,464 | | | | 1,059 | | | | 5,269 | | | | 2,473 | |
Offering costs | | | — | | | | — | | | | — | | | | 7,976 | |
Distribution fees—Class N | | | 120,628 | | | | 12,717 | | | | 7,750 | | | | 9,241 | |
Registration fees | | | 82,648 | | | | 47,082 | | | | 48,596 | | | | 54,446 | |
Pricing fee | | | 1,701 | | | | 7,308 | | | | 19,988 | | | | 19,793 | |
Other expenses | | | 128,428 | | | | 6,378 | | | | 35,043 | | | | 23,188 | |
| Total Expenses | | | 3,738,429 | | | | 336,159 | | | | 1,183,199 | | | | 920,896 | |
| | | | |
Less fee waivers and/or reimbursements | | | (415,132 | ) | | | (135,285 | ) | | | (259,362 | ) | | | (291,446 | ) |
| Net Expenses | | | 3,323,297 | | | | 200,874 | | | | 923,837 | | | | 629,450 | |
| Net Investment Income (Loss) | | | 8,821,418 | | | | 244,272 | | | | 4,484,141 | | | | 3,809,337 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | (16,506,556 | ) | | | (858,740 | ) | | | (10,608,574 | ) | | | (10,193,687 | ) |
Foreign currency and foreign currency transactions | | | — | | | | — | | | | (132,865 | ) | | | (132,126 | ) |
Futures contracts | | | (1,033,285 | ) | | | — | | | | — | | | | — | |
| Net realized gain (loss) | | | (17,539,841 | ) | | | (858,740 | ) | | | (10,741,439 | ) | | | (10,325,813 | ) |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | (42,648,394 | ) | | | (2,230,520 | ) | | | (24,798,041 | ) | | | (34,008,348 | ) |
Foreign currency and foreign currency translations | | | — | | | | — | | | | (28,135 | ) | | | (5,270 | ) |
Futures contracts | | | (280,572 | ) | | | — | | | | — | | | | — | |
| Net change in unrealized appreciation (depreciation) | | | (42,928,966 | ) | | | (2,230,520 | ) | | | (24,826,176 | ) | | | (34,013,618 | ) |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | (60,468,807 | ) | | | (3,089,260 | ) | | | (35,567,615 | ) | | | (44,339,431 | ) |
| Net increase (decrease) in net assets resulting from operations | | | $(51,647,389 | ) | | $ | (2,844,988 | ) | | $ | (31,083,474 | ) | | $ | (40,530,094 | ) |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $— | | | | $67 | | | | $440,176 | | | | $434,918 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
152
| | |
| Statements of Operations | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR TM
LARGE CAP
MULTI-STYLE
FUND | | | AQR TM
SMALL CAP
MULTI-STYLE
FUND | | | AQR TM
INTERNATIONAL
MULTI-STYLE
FUND | | | AQR TM
EMERGING
MULTI-STYLE
FUND | |
| | | FOR THE PERIOD
02/11/15*-
09/30/15 | | | FOR THE PERIOD
02/11/15*-
09/30/15 | | | FOR THE PERIOD
02/11/15*-
09/30/15 | | | FOR THE PERIOD
02/11/15*-
09/30/15 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $160,898 | | | | $21,220 | | | | $680,117 | | | | $309,911 | |
Securities lending income, net | | | — | | | | 2,220 | | | | — | | | | 2,412 | |
| Total Income | | | 160,898 | | | | 23,440 | | | | 680,117 | | | | 312,323 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 28,634 | | | | 7,631 | | | | 91,890 | | | | 43,310 | |
Shareholder servicing fees | | | 530 | | | | 402 | | | | 719 | | | | 1,055 | |
Custody fees | | | 21,974 | | | | 6,532 | | | | 52,202 | | | | 37,507 | |
Administration & accounting fees | | | 2,275 | | | | 366 | | | | 4,921 | | | | 1,723 | |
Legal fees | | | 1,152 | | | | 956 | | | | 2,235 | | | | 645 | |
Audit & tax fees | | | 37,914 | | | | 37,914 | | | | 43,937 | | | | 50,365 | |
Shareholder reporting fees | | | 5,050 | | | | 3,293 | | | | 12,363 | | | | 6,691 | |
Transfer agent fees | | | 10,959 | | | | 10,409 | | | | 11,071 | | | | 11,895 | |
Trustee fees | | | 269 | | | | 44 | | | | 540 | | | | 198 | |
Offering costs | | | 6,308 | | | | 6,290 | | | | 6,302 | | | | 8,116 | |
Distribution fees—Class N | | | 191 | | | | 185 | | | | 201 | | | | 1,668 | |
Registration fees | | | 32,547 | | | | 32,497 | | | | 32,667 | | | | 32,841 | |
Pricing fee | | | 1,676 | | | | 2,956 | | | | 8,690 | | | | 8,689 | |
Other expenses | | | 5,992 | | | | 3,554 | | | | 8,023 | | | | 4,917 | |
| Total Expenses | | | 155,471 | | | | 113,029 | | | | 275,761 | | | | 209,620 | |
| | | | |
Less fee waivers and/or reimbursements | | | (119,887 | ) | | | (103,628 | ) | | | (170,648 | ) | | | (157,254 | ) |
| Net Expenses | | | 35,584 | | | | 9,401 | | | | 105,113 | | | | 52,366 | |
| Net Investment Income (Loss) | | | 125,314 | | | | 14,039 | | | | 575,004 | | | | 259,957 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | (105,465 | ) | | | (8,431 | ) | | | (820,967 | ) | | | (574,369 | ) |
Foreign currency and foreign currency transactions | | | — | | | | — | | | | (25,804 | ) | | | (20,091 | ) |
| Net realized gain (loss) | | | (105,465 | ) | | | (8,431 | ) | | | (846,771 | ) | | | (594,460 | ) |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | (1,838,323 | ) | | | (220,177 | ) | | | (3,639,041 | ) | | | (2,420,845 | ) |
Foreign currency and foreign currency translations | | | — | | | | — | | | | (2,335 | ) | | | (660 | ) |
| Net change in unrealized appreciation (depreciation) | | | (1,838,323 | ) | | | (220,177 | ) | | | (3,641,376 | ) | | | (2,421,505 | ) |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | (1,943,788 | ) | | | (228,608 | ) | | | (4,488,147 | ) | | | (3,015,965 | ) |
| Net increase (decrease) in net assets resulting from operations | | $ | (1,818,474 | ) | | $ | (214,569 | ) | | $ | (3,913,143 | ) | | $ | (2,756,008 | ) |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $— | | | | $— | | | | $70,649 | | | | $29,948 | |
| | * | Commencement of operations. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
153
| | |
| Statements of Operations | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
MOMENTUM
STYLE FUND | | | AQR
SMALL CAP
MOMENTUM
STYLE FUND | | | AQR
INTERNATIONAL
MOMENTUM
STYLE FUND | | | AQR EMERGING
MOMENTUM
STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $16,252,791 | | | | $4,271,003 | | | | $8,586,915 | | | | $250,578 | |
Securities lending income, net | | | — | | | | 847,901 | | | | — | | | | 1,472 | |
| Total Income | | | 16,252,791 | | | | 5,118,904 | | | | 8,586,915 | | | | 252,050 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 2,701,224 | | | | 1,592,253 | | | | 1,258,598 | | | | 47,806 | |
Shareholder servicing fees | | | 803,365 | | | | 259,965 | | | | 240,914 | | | | 5,995 | |
Custody fees | | | 49,869 | | | | 51,465 | | | | 85,731 | | | | 44,998 | |
Administration & accounting fees | | | 272,939 | | | | 98,351 | | | | 84,105 | | | | 1,993 | |
Legal fees | | | 100,994 | | | | 33,304 | | | | 33,769 | | | | 6,485 | |
Audit & tax fees | | | 45,720 | | | | 41,622 | | | | 51,327 | | | | 49,815 | |
Shareholder reporting fees | | | 198,188 | | | | 77,803 | | | | 68,062 | | | | 4,925 | |
Transfer agent fees | | | 954,729 | | | | 366,388 | | | | 309,475 | | | | 19,865 | |
Trustee fees | | | 49,859 | | | | 16,981 | | | | 15,470 | | | | 395 | |
Offering costs | | | — | | | | — | | | | — | | | | 7,830 | |
Distribution fees—Class N | | | 201,178 | | | | 21,377 | | | | 101,226 | | | | 3,127 | |
Interest expense | | | 972 | | | | 583 | | | | — | | | | — | |
Registration fees | | | 81,876 | | | | 69,514 | | | | 65,060 | | | | 52,186 | |
Pricing fee | | | 2,278 | | | | 11,081 | | | | 20,405 | | | | 19,976 | |
Other expenses | | | 66,811 | | | | 35,487 | | | | 20,555 | | | | 2,656 | |
| Total Expenses | | | 5,530,002 | | | | 2,676,174 | | | | 2,354,697 | | | | 268,052 | |
| | | | |
Less fee waivers and/or reimbursements | | | (537,386 | ) | | | (233,980 | ) | | | (264,239 | ) | | | (197,334 | ) |
| Net Expenses | | | 4,992,616 | | | | 2,442,194 | | | | 2,090,458 | | | | 70,718 | |
| Net Investment Income (Loss) | | | 11,260,175 | | | | 2,676,710 | | | | 6,496,457 | | | | 181,332 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | 60,062,179 | | | | 2,949,403 | | | | (19,268,065 | ) | | | (1,209,364 | ) |
Foreign currency and foreign currency transactions | | | 210 | | | | — | | | | (191,152 | ) | | | (13,026 | ) |
Futures contracts | | | 97,579 | | | | (939,015 | ) | | | (572,610 | ) | | | — | |
| Net realized gain (loss) | | | 60,159,968 | | | | 2,010,388 | | | | (20,031,827 | ) | | | (1,222,390 | ) |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | (65,950,193 | ) | | | (9,834,873 | ) | | | (15,338,194 | ) | | | (761,783 | ) |
Foreign currency and foreign currency translations | | | (51 | ) | | | — | | | | (15,560 | ) | | | (1,038 | ) |
Futures contracts | | | (351,253 | ) | | | (358,294 | ) | | | (176,545 | ) | | | — | |
| Net change in unrealized appreciation (depreciation) | | | (66,301,497 | ) | | | (10,193,167 | ) | | | (15,530,299 | ) | | | (762,821 | ) |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | (6,141,529 | ) | | | (8,182,779 | ) | | | (35,562,126 | ) | | | (1,985,211 | ) |
| Net increase (decrease) in net assets resulting from operations | | | $5,118,646 | | | | $(5,506,069 | ) | | $ | (29,065,669 | ) | | $ | (1,803,879 | ) |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $3,038 | | | | $1,755 | | | | $851,757 | | | | $24,608 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
154
| | |
| Statements of Operations | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR TM
LARGE CAP
MOMENTUM
STYLE FUND | | | AQR TM
SMALL CAP
MOMENTUM
STYLE FUND | | | AQR TM
INTERNATIONAL
MOMENTUM
STYLE FUND | | | AQR
LARGE CAP
DEFENSIVE
STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $1,925,896 | | | | $217,323 | | | | $1,672,490 | | | | $3,931,570 | |
Securities lending income, net | | | — | | | | 37,432 | | | | — | | | | — | |
| Total Income | | | 1,925,896 | | | | 254,755 | | | | 1,672,490 | | | | 3,931,570 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 333,482 | | | | 80,883 | | | | 265,921 | | | | 468,906 | |
Shareholder servicing fees | | | 88,413 | | | | 13,139 | | | | 47,996 | | | | 149,248 | |
Custody fees | | | 14,460 | | | | 18,844 | | | | 34,457 | | | | 6,033 | |
Administration & accounting fees | | | 31,489 | | | | 4,817 | | | | 16,976 | | | | 47,265 | |
Legal fees | | | 11,120 | | | | 1,910 | | | | 7,259 | | | | 17,033 | |
Audit & tax fees | | | 40,735 | | | | 40,203 | | | | 46,237 | | | | 42,707 | |
Shareholder reporting fees | | | 24,451 | | | | 7,757 | | | | 14,913 | | | | 28,603 | |
Transfer agent fees | | | 112,074 | | | | 35,366 | | | | 68,374 | | | | 187,632 | |
Trustee fees | | | 5,478 | | | | 839 | | | | 3,139 | | | | 9,053 | |
Distribution fees—Class N | | | 370 | | | | 342 | | | | 276 | | | | 53,257 | |
Interest expense | | | — | | | | — | | | | 81 | | | | 389 | |
Registration fees | | | 46,204 | | | | 42,835 | | | | 45,091 | | | | 58,770 | |
Pricing fee | | | 1,638 | | | | 8,451 | | | | 20,180 | | | | 660 | |
Other expenses | | | 10,515 | | | | 2,996 | | | | 5,805 | | | | 13,529 | |
| Total Expenses | | | 720,429 | | | | 258,382 | | | | 576,705 | | | | 1,083,085 | |
| | | | |
Less fee waivers and/or reimbursements | | | (185,193 | ) | | | (134,959 | ) | | | (186,218 | ) | | | (185,988 | ) |
| Net Expenses | | | 535,236 | | | | 123,423 | | | | 390,487 | | | | 897,097 | |
| Net Investment Income (Loss) | | | 1,390,660 | | | | 131,332 | | | | 1,282,003 | | | | 3,034,473 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | (1,714,723 | ) | | | (175,799 | ) | | | (6,816,527 | ) | | | 17,542,494 | |
Foreign currency and foreign currency transactions | | | — | | | | — | | | | (27,191 | ) | | | — | |
Futures contracts | | | 389,528 | | | | — | | | | — | | | | 52,127 | |
| Net realized gain (loss) | | | (1,325,195 | ) | | | (175,799 | ) | | | (6,843,718 | ) | | | 17,594,621 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | (734,317 | ) | | | 26,802 | | | | (1,539,122 | ) | | | 416,778 | |
Foreign currency and foreign currency translations | | | — | | | | — | | | | 2,432 | | | | — | |
Futures contracts | | | (49,249 | ) | | | — | | | | — | | | | (149,568 | ) |
| Net change in unrealized appreciation (depreciation) | | | (783,566 | ) | | | 26,802 | | | | (1,536,690 | ) | | | 267,210 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | (2,108,761 | ) | | | (148,997 | ) | | | (8,380,408 | ) | | | 17,861,831 | |
| Net increase (decrease) in net assets resulting from operations | | | $(718,101 | ) | | | $(17,665 | ) | | | $(7,098,405 | ) | | $ | 20,896,304 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $286 | | | | $167 | | | | $173,884 | | | | $— | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
155
| | |
| Statements of Operations | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR
INTERNATIONAL
DEFENSIVE
STYLE FUND | | | AQR EMERGING
DEFENSIVE
STYLE FUND | | | AQR GLOBAL
EQUITY FUND | | | AQR
INTERNATIONAL
EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE YEAR ENDED
SEPTEMBER 30,
2015 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $952,144 | | | | $1,871,874 | | | | $7,461,149 | | | | $22,705,974 | |
Securities lending income, net | | | — | | | | 6,238 | | | | — | | | | — | |
| Total Income | | | 952,144 | | | | 1,878,112 | | | | 7,461,149 | | | | 22,705,974 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 119,902 | | | | 365,256 | | | | 1,248,699 | | | | 3,613,729 | |
Shareholder servicing fees | | | 21,812 | | | | 62,035 | | | | 190,434 | | | | 1,151,842 | |
Custody fees | | | 18,916 | | | | 80,637 | | | | 48,525 | | | | 134,380 | |
Administration & accounting fees | | | 7,953 | | | | 17,346 | | | | 59,921 | | | | 202,331 | |
Legal fees | | | 2,515 | | | | 7,384 | | | | 18,040 | | | | 82,168 | |
Audit & tax fees | | | 45,143 | | | | 50,095 | | | | 50,689 | | | | 64,404 | |
Shareholder reporting fees | | | 11,941 | | | | 17,837 | | | | 29,567 | | | | 81,215 | |
Transfer agent fees | | | 49,286 | | | | 102,002 | | | | 24,339 | | | | 315,194 | |
Trustee fees | | | 1,432 | | | | 3,255 | | | | 14,251 | | | | 37,513 | |
Distribution fees—Class N | | | 447 | | | | 999 | | | | 3,078 | | | | 98,041 | |
Interest expense | | | — | | | | 253 | | | | — | | | | — | |
Recoupment of waiver | | | — | | | | — | | | | 4,502 | | | | — | |
Registration fees | | | 51,961 | | | | 54,953 | | | | 47,177 | | | | 65,638 | |
Pricing fee | | | 20,113 | | | | 16,918 | | | | 20,999 | | | | 19,690 | |
Other expenses | | | 2,696 | | | | 8,002 | | | | 24,088 | | | | 54,027 | |
| Total Expenses | | | 354,117 | | | | 786,972 | | | | 1,784,309 | | | | 5,920,172 | |
| | | | |
Less fee waivers and/or reimbursements | | | (163,935 | ) | | | (251,856 | ) | | | (3,417 | ) | | | — | |
| Net Expenses | | | 190,182 | | | | 535,116 | | | | 1,780,892 | | | | 5,920,172 | |
| Net Investment Income (Loss) | | | 761,962 | | | | 1,342,996 | | | | 5,680,257 | | | | 16,785,802 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | (518,039 | ) | | | (8,187,914 | ) | | | 17,482,069 | | | | 8,550,419 | |
Foreign currency and foreign currency transactions | | | (24,207 | ) | | | (242,597 | ) | | | (158,813 | ) | | | (1,282,336 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | (2,730,586 | ) | | | (12,872,380 | ) |
Futures contracts | | | — | | | | (287,894 | ) | | | (640,053 | ) | | | (414,760 | ) |
Swap contracts | | | — | | | | — | | | | 227,354 | | | | 3,742,644 | |
| Net realized gain (loss) | | | (542,246 | ) | | | (8,718,405 | ) | | | 14,179,971 | | | | (2,276,413 | ) |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | (2,714,136 | ) | | | (4,661,745 | ) | | | (29,851,610 | ) | | | (56,386,404 | ) |
Foreign currency and foreign currency translations | | | 849 | | | | 3,792 | | | | (121,322 | ) | | | (76,686 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 4,244,504 | | | | 10,039,194 | |
Futures contracts | | | — | | | | 2,028 | | | | (551,939 | ) | | | (1,700,173 | ) |
Swap contracts | | | — | | | | — | | | | 103,200 | | | | 1,277,479 | |
| Net change in unrealized appreciation (depreciation) | | | (2,713,287 | ) | | | (4,655,925 | ) | | | (26,177,167 | ) | | | (46,846,590 | ) |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | (3,255,533 | ) | | | (13,374,330 | ) | | | (11,997,196 | ) | | | (49,123,003 | ) |
| Net increase (decrease) in net assets resulting from operations | | $ | (2,493,571 | ) | | $ | (12,031,334 | ) | | | $(6,316,939 | ) | | $ | (32,337,201 | ) |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $77,041 | | | | $150,717 | | | | $316,211 | | | | $1,896,698 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
156
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR LARGE CAP
MULTI-STYLE FUND | | | AQR SMALL CAP
MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 8,821,418 | | | $ | 943,356 | | | $ | 244,272 | | | $ | 20,120 | |
Net realized gain (loss) | | | (17,539,841 | ) | | | 1,299,259 | | | | (858,740 | ) | | | 124,643 | |
Net change in unrealized appreciation (depreciation) | | | (42,928,966 | ) | | | 7,207,415 | | | | (2,230,520 | ) | | | (108,107 | ) |
Net increase (decrease) in net assets resulting from operations | | | (51,647,389 | ) | | | 9,450,030 | | | | (2,844,988 | ) | | | 36,656 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (1,256,118 | ) | | | (119,019 | ) | | | (32,992 | ) | | | (7,632 | ) |
Class N | | | (147,772 | ) | | | (13,149 | ) | | | (293 | ) | | | (4,611 | ) |
Class R6 | | | (289,685 | ) | | | — | | | | (274 | ) | | | — | |
Total | | | (1,693,575 | ) | | | (132,168 | ) | | | (33,559 | ) | | | (12,243 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (1,427,011 | ) | | | (165,118 | ) | | | (159,558 | ) | | | (25,099 | ) |
Class N | | | (190,661 | ) | | | (22,150 | ) | | | (25,739 | ) | | | (22,781 | ) |
Class R6 | | | (294,996 | ) | | | — | | | | (1,122 | ) | | | — | |
Total | | | (1,912,668 | ) | | | (187,268 | ) | | | (186,419 | ) | | | (47,880 | ) |
Total distributions | | | (3,606,243 | ) | | | (319,436 | ) | | | (219,978 | ) | | | (60,123 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 453,462,208 | | | | 147,028,800 | | | | 26,053,038 | | | | 7,472,586 | |
Reinvestment of distributions | | | 2,314,801 | | | | 284,137 | | | | 192,314 | | | | 32,731 | |
Cost of shares redeemed | | | (113,786,483 | ) | | | (9,053,445 | ) | | | (6,229,549 | ) | | | (1,394,579 | ) |
Net increase (decrease) from capital transactions | | | 341,990,526 | | | | 138,259,492 | | | | 20,015,803 | | | | 6,110,738 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 62,739,741 | | | | 12,485,844 | | | | 12,604,768 | | | | 2,686,574 | |
Reinvestment of distributions | | | 337,887 | | | | 35,299 | | | | 25,695 | | | | 27,392 | |
Cost of shares redeemed | | | (11,001,877 | ) | | | (4,397,128 | ) | | | (7,706,384 | ) | | | (2,853,830 | ) |
Net increase (decrease) from capital transactions | | | 52,075,751 | | | | 8,124,015 | | | | 4,924,079 | | | | (139,864 | ) |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 604,806,891 | | | | 43,024,955 | (b) | | | 10,426,076 | | | | 100,000 | (b) |
Reinvestment of distributions | | | 584,681 | | | | — | | | | 1,396 | | | | — | |
Cost of shares redeemed | | | (48,619,870 | ) | | | (110,245 | ) | | | (105,385 | ) | | | — | |
Net increase (decrease) from capital transactions | | | 556,771,702 | | | | 42,914,710 | | | | 10,322,087 | | | | 100,000 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 950,837,979 | | | | 189,298,217 | | | | 35,261,969 | | | | 6,070,874 | |
Total increase (decrease) in net assets | | | 895,584,347 | | | | 198,428,811 | | | | 32,197,003 | | | | 6,047,407 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 218,642,976 | | | | 20,214,165 | | | | 9,611,861 | | | | 3,564,454 | |
End of period | | $ | 1,114,227,323 | | | $ | 218,642,976 | | | $ | 41,808,864 | | | $ | 9,611,861 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | 7,912,780 | | | $ | 860,755 | | | $ | 212,998 | | | $ | 10,915 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 158) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
157
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR LARGE CAP
MULTI-STYLE FUND | | | AQR SMALL CAP
MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 12,425,605 | | | | 1,695,462 | | | | 667,089 | | | | 183,811 | |
Shares sold | | | 32,729,614 | | | | 11,405,876 | | | | 1,971,201 | | | | 590,429 | |
Shares issued on reinvestment of distributions | | | 165,579 | | | | 23,482 | | | | 14,805 | | | | 2,579 | |
Shares redeemed | | | (8,273,090 | ) | | | (699,215 | ) | | | (487,331 | ) | | | (109,730 | ) |
Shares outstanding, end of period | | | 37,047,708 | | | | 12,425,605 | | | | 2,165,764 | | | | 667,089 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 774,591 | | | | 126,521 | | | | 104,362 | | | | 116,378 | |
Shares sold | | | 4,524,196 | | | | 995,837 | | | | 958,712 | | | | 212,517 | |
Shares issued on reinvestment of distributions | | | 24,221 | | | | 2,920 | | | | 1,981 | | | | 2,160 | |
Shares redeemed | | | (794,642 | ) | | | (350,687 | ) | | | (601,389 | ) | | | (226,693 | ) |
Shares outstanding, end of period | | | 4,528,366 | | | | 774,591 | | | | 463,666 | | | | 104,362 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 3,162,925 | | | | — | (b) | | | 7,722 | | | | — | (b) |
Shares sold | | | 42,819,832 | | | | 3,171,171 | | | | 771,282 | | | | 7,722 | |
Shares issued on reinvestment of distributions | | | 41,823 | | | | — | | | | 107 | | | | — | |
Shares redeemed | | | (3,469,803 | ) | | | (8,246 | ) | | | (7,829 | ) | | | — | |
Shares outstanding, end of period | | | 42,554,777 | | | | 3,162,925 | | | | 771,282 | | | | 7,722 | |
| | (a) | Effective April 1, 2015, Class L Shares were renamed Class I Shares. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
158
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL
MULTI-STYLE FUND | | | AQR EMERGING
MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE PERIOD
5/13/14*-
9/30/14 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 4,484,141 | | | $ | 594,297 | | | $ | 3,809,337 | | | $ | 104,365 | |
Net realized gain (loss) | | | (10,741,439 | ) | | | 272,909 | | | | (10,325,813 | ) | | | (112,270 | ) |
Net change in unrealized appreciation (depreciation) | | | (24,826,176 | ) | | | (1,099,036 | ) | | | (34,013,618 | ) | | | (625,469 | ) |
Net increase (decrease) in net assets resulting from operations | | | (31,083,474 | ) | | | (231,830 | ) | | | (40,530,094 | ) | | | (633,374 | ) |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (403,490 | ) | | | (141,411 | ) | | | (141,008 | ) | | | — | |
Class N | | | (26,584 | ) | | | (15,916 | ) | | | (22,750 | ) | | | — | |
Class R6 | | | (577,980 | ) | | | — | | | | (690 | ) | | | — | |
Total | | | (1,008,054 | ) | | | (157,327 | ) | | | (164,448 | ) | | | — | |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (166,855 | ) | | | — | | | | — | | | | — | |
Class N | | | (13,559 | ) | | | — | | | | — | | | | — | |
Class R6 | | | (214,047 | ) | | | — | | | | — | | | | — | |
Total | | | (394,461 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (1,402,515 | ) | | | (157,327 | ) | | | (164,448 | ) | | | — | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 28,507,436 | | | | 14,427,190 | | | | 51,143,674 | | | | 12,126,995 | |
Reinvestment of distributions | | | 569,269 | | | | 141,411 | | | | 141,008 | | | | — | |
Cost of shares redeemed | | | (11,623,854 | ) | | | (3,730,566 | ) | | | (10,102,839 | ) | | | (20,114 | ) |
Net increase (decrease) from capital transactions | | | 17,452,851 | | | | 10,838,035 | | | | 41,181,843 | | | | 12,106,881 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 5,611,389 | | | | 1,369,545 | | | | 6,496,864 | | | | 2,486,920 | |
Reinvestment of distributions | | | 39,182 | | | | 15,916 | | | | 22,750 | | | | — | |
Cost of shares redeemed | | | (3,746,127 | ) | | | (810,724 | ) | | | (3,479,794 | ) | | | (5,760 | ) |
Net increase (decrease) from capital transactions | | | 1,904,444 | | | | 574,737 | | | | 3,039,820 | | | | 2,481,160 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 268,169,384 | | | | 27,011,110 | (b) | | | 182,921,207 | | | | 100,000 | (b) |
Reinvestment of distributions | | | 792,027 | | | | — | | | | 690 | | | | — | |
Cost of shares redeemed | | | (25,761,136 | ) | | | (102,584 | ) | | | (11,514,345 | ) | | | — | |
Net increase (decrease) from capital transactions | | | 243,200,275 | | | | 26,908,526 | | | | 171,407,552 | | | | 100,000 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 262,557,570 | | | | 38,321,298 | | | | 215,629,215 | | | | 14,688,041 | |
Total increase (decrease) in net assets | | | 230,071,581 | | | | 37,932,141 | | | | 174,934,673 | | | | 14,054,667 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 55,896,488 | | | | 17,964,347 | | | | 14,054,667 | | | | — | |
End of period | | $ | 285,968,069 | | | $ | 55,896,488 | | | $ | 188,989,340 | | | $ | 14,054,667 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | 3,852,002 | | | $ | 625,820 | | | $ | 3,917,919 | | | $ | 114,542 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 160) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
159
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL
MULTI-STYLE FUND | | | AQR EMERGING
MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE PERIOD
5/13/14*-
9/30/14 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,331,110 | | | | 1,401,327 | | | | 1,161,585 | | | | — | |
Shares sold | | | 2,593,860 | | | | 1,236,200 | | | | 5,827,607 | | | | 1,163,451 | |
Shares issued on reinvestment of distributions | | | 52,661 | | | | 12,372 | | | | 14,582 | | | | — | |
Shares redeemed | | | (1,056,716 | ) | | | (318,789 | ) | | | (1,022,048 | ) | | | (1,866 | ) |
Shares outstanding, end of period | | | 3,920,915 | | | | 2,331,110 | | | | 5,981,726 | | | | 1,161,585 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 240,807 | | | | 191,136 | | | | 239,916 | | | | — | |
Shares sold | | | 501,312 | | | | 117,386 | | | | 667,815 | | | | 240,482 | |
Shares issued on reinvestment of distributions | | | 3,621 | | | | 1,392 | | | | 2,355 | | | | — | |
Shares redeemed | | | (339,578 | ) | | | (69,107 | ) | | | (360,240 | ) | | | (566 | ) |
Shares outstanding, end of period | | | 406,162 | | | | 240,807 | | | | 549,846 | | | | 239,916 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,303,191 | | | | — | (b) | | | 9,551 | | | | — | (b) |
Shares sold | | | 23,663,755 | | | | 2,312,075 | | | | 17,730,277 | | | | 9,551 | |
Shares issued on reinvestment of distributions | | | 73,404 | | | | — | | | | 71 | | | | — | |
Shares redeemed | | | (2,345,187 | ) | | | (8,884 | ) | | | (1,212,052 | ) | | | — | |
Shares outstanding, end of period | | | 23,695,163 | | | | 2,303,191 | | | | 16,527,847 | | | | 9,551 | |
| | * | Commencement of operations. |
| | (a) | Effective April 1, 2015, Class L Shares were renamed Class I Shares. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
160
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR TM LARGE CAP MULTI-STYLE FUND | | | AQR TM SMALL CAP
MULTI-STYLE FUND | | | AQR TM
INTERNATIONAL MULTI-STYLE FUND | | | AQR TM EMERGING
MULTI-STYLE FUND | |
| | | FOR THE PERIOD
2/11/15*-
9/30/15 | | | FOR THE PERIOD
2/11/15*-
9/30/15 | | | FOR THE PERIOD
2/11/15*-
9/30/15 | | | FOR THE PERIOD
2/11/15*-
9/30/15 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 125,314 | | | $ | 14,039 | | | $ | 575,004 | | | $ | 259,957 | |
Net realized gain (loss) | | | (105,465 | ) | | | (8,431 | ) | | | (846,771 | ) | | | (594,460 | ) |
Net change in unrealized appreciation (depreciation) | | | (1,838,323 | ) | | | (220,177 | ) | | | (3,641,376 | ) | | | (2,421,505 | ) |
Net increase (decrease) in net assets resulting from operations | | | (1,818,474 | ) | | | (214,569 | ) | | | (3,913,143 | ) | | | (2,756,008 | ) |
| | | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 2,399,875 | | | | 1,942,079 | | | | 3,758,322 | | | | 3,658,322 | |
Cost of shares redeemed | | | (187,312 | ) | | | (177,223 | ) | | | (322,336 | ) | | | (262,727 | ) |
Net increase (decrease) from capital transactions | | | 2,212,563 | | | | 1,764,856 | | | | 3,435,986 | | | | 3,395,595 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 246,921 | | | | 240,900 | | | | 262,560 | | | | 1,206,418 | |
Cost of shares redeemed | | | (102,252 | ) | | | (100,700 | ) | | | (107,281 | ) | | | (122,033 | ) |
Net increase (decrease) from capital transactions | | | 144,669 | | | | 140,200 | | | | 155,279 | | | | 1,084,385 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 31,455,583 | | | | 3,612,600 | | | | 49,173,048 | | | | 18,938,392 | |
Cost of shares redeemed | | | (3,069,148 | ) | | | (1,812,600 | ) | | | (4,122,563 | ) | | | (1,413,989 | ) |
Net increase (decrease) from capital transactions | | | 28,386,435 | | | | 1,800,000 | | | | 45,050,485 | | | | 17,524,403 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 30,743,667 | | | | 3,705,056 | | | | 48,641,750 | | | | 22,004,383 | |
Total increase (decrease) in net assets | | | 28,925,193 | | | | 3,490,487 | | | | 44,728,607 | | | | 19,248,375 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | — | | | | — | | | | — | | | | — | |
End of period | | $ | 28,925,193 | | | $ | 3,490,487 | | | $ | 44,728,607 | | | $ | 19,248,375 | |
| | | | | | | | | | | | | | | | | |
| Undistributed accumulated net investment income (loss) | | $ | 131,665 | | | $ | 20,214 | | | $ | 580,570 | | | $ | 260,708 | |
| | | | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | | | | — | | | | — | | | | — | |
Shares sold | | | 240,148 | | | | 202,916 | | | | 372,890 | | | | 389,114 | |
Shares redeemed | | | (18,542 | ) | | | (18,219 | ) | | | (31,280 | ) | | | (29,889 | ) |
Shares outstanding, end of period | | | 221,606 | | | | 184,697 | | | | 341,610 | | | | 359,225 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | | | | — | | | | — | | | | — | |
Shares sold | | | 24,461 | | | | 23,941 | | | | 25,323 | | | | 120,009 | |
Shares redeemed | | | (10,098 | ) | | | (10,000 | ) | | | (10,092 | ) | | | (13,893 | ) |
Shares outstanding, end of period | | | 14,363 | | | | 13,941 | | | | 15,231 | | | | 106,116 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | | | | — | | | | — | | | | — | |
Shares sold | | | 3,139,230 | | | | 360,000 | | | | 4,790,830 | | | | 1,985,791 | |
Shares redeemed | | | (305,698 | ) | | | (180,000 | ) | | | (395,674 | ) | | | (136,489 | ) |
Shares outstanding, end of period | | | 2,833,532 | | | | 180,000 | | | | 4,395,156 | | | | 1,849,302 | |
| | * | Commencement of operations. |
| | (a) | Effective April 1, 2015, Class L Shares were renamed Class I Shares. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
161
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR LARGE CAP
MOMENTUM STYLE FUND | | | AQR SMALL CAP
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 11,260,175 | | | $ | 5,087,759 | | | $ | 2,676,710 | | | $ | 8,449 | |
Net realized gain (loss) | | | 60,159,968 | | | | 101,076,923 | | | | 2,010,388 | | | | 34,792,987 | |
Net change in unrealized appreciation (depreciation) | | | (66,301,497 | ) | | | 35,512,263 | | | | (10,193,167 | ) | | | (28,508,882 | ) |
Net increase (decrease) in net assets resulting from operations | | | 5,118,646 | | | | 141,676,945 | | | | (5,506,069 | ) | | | 6,292,554 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (5,966,543 | ) | | | (5,167,616 | ) | | | (520,487 | ) | | | (710,780 | ) |
Class N | | | (274,098 | ) | | | (276,437 | ) | | | — | | | | (7,577 | ) |
Class R6 | | | (3,434 | ) | | | — | | | | (776 | ) | | | — | |
Total | | | (6,244,075 | ) | | | (5,444,053 | ) | | | (521,263 | ) | | | (718,357 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (84,910,757 | ) | | | (33,760,872 | ) | | | (34,089,287 | ) | | | (16,031,831 | ) |
Class N | | | (7,008,345 | ) | | | (3,094,983 | ) | | | (840,081 | ) | | | (173,722 | ) |
Class R6 | | | (37,242 | ) | | | — | | | | (24,737 | ) | | | — | |
Total | | | (91,956,344 | ) | | | (36,855,855 | ) | | | (34,954,105 | ) | | | (16,205,553 | ) |
Total distributions | | | (98,200,419 | ) | | | (42,299,908 | ) | | | (35,475,368 | ) | | | (16,923,910 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 211,226,314 | | | | 274,204,732 | | | | 161,169,039 | | | | 95,966,031 | |
Reinvestment of distributions | | | 90,741,389 | | | | 38,899,012 | | | | 34,230,950 | | | | 16,540,167 | |
Cost of shares redeemed | | | (298,024,764 | ) | | | (170,601,504 | ) | | | (149,534,654 | ) | | | (43,807,285 | ) |
Net increase (decrease) from capital transactions | | | 3,942,939 | | | | 142,502,240 | | | | 45,865,335 | | | | 68,698,913 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 16,481,731 | | | | 17,442,474 | | | | 2,574,174 | | | | 6,515,783 | |
Reinvestment of distributions | | | 7,275,650 | | | | 3,371,420 | | | | 840,081 | | | | 181,300 | |
Cost of shares redeemed | | | (28,023,112 | ) | | | (19,840,237 | ) | | | (1,567,273 | ) | | | (750,386 | ) |
Net increase (decrease) from capital transactions | | | (4,265,731 | ) | | | 973,657 | | | | 1,846,982 | | | | 5,946,697 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 73,727,793 | | | | 131,980 | (b) | | | 90,053,626 | | | | 100,000 | (b) |
Reinvestment of distributions | | | 40,676 | | | | — | | | | 25,513 | | | | — | |
Cost of shares redeemed | | | (7,379,515 | ) | | | — | | | | (3,424,682 | ) | | | — | |
Net increase (decrease) from capital transactions | | | 66,388,954 | | | | 131,980 | | | | 86,654,457 | | | | 100,000 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 66,066,162 | | | | 143,607,877 | | | | 134,366,774 | | | | 74,745,610 | |
Total increase (decrease) in net assets | | | (27,015,611 | ) | | | 242,984,914 | | | | 93,385,337 | | | | 64,114,254 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 1,032,638,359 | | | | 789,653,445 | | | | 308,458,037 | | | | 244,343,783 | |
End of period | | $ | 1,005,622,748 | | | $ | 1,032,638,359 | | | $ | 401,843,374 | | | $ | 308,458,037 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | 7,544,244 | | | $ | 3,514,799 | | | $ | 1,891,375 | | | $ | (21,760 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 163) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
162
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR LARGE CAP
MOMENTUM STYLE FUND | | | AQR SMALL CAP
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 43,544,682 | | | | 36,612,813 | | | | 14,280,666 | | | | 11,146,293 | |
Shares sold | | | 9,913,694 | | | | 13,062,922 | | | | 7,627,885 | | | | 4,362,937 | |
Shares issued on reinvestment of distributions | | | 4,352,105 | | | | 1,906,814 | | | | 1,676,344 | | | | 752,852 | |
Shares redeemed | | | (14,016,065 | ) | | | (8,037,867 | ) | | | (7,027,002 | ) | | | (1,981,416 | ) |
Shares outstanding, end of period | | | 43,794,416 | | | | 43,544,682 | | | | 16,557,893 | | | | 14,280,666 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 3,628,327 | | | | 3,583,368 | | | | 342,381 | | | | 76,765 | |
Shares sold | | | 775,166 | | | | 824,822 | | | | 122,447 | | | | 292,076 | |
Shares issued on reinvestment of distributions | | | 348,952 | | | | 165,266 | | | | 41,282 | | | | 8,271 | |
Shares redeemed | | | (1,312,443 | ) | | | (945,129 | ) | | | (74,581 | ) | | | (34,731 | ) |
Shares outstanding, end of period | | | 3,440,002 | | | | 3,628,327 | | | | 431,529 | | | | 342,381 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 5,987 | | | | — | (b) | | | 4,529 | | | | — | (b) |
Shares sold | | | 3,496,747 | | | | 5,987 | | | | 4,213,475 | | | | 4,529 | |
Shares issued on reinvestment of distributions | | | 1,954 | | | | — | | | | 1,251 | | | | — | |
Shares redeemed | | | (346,453 | ) | | | — | | | | (163,042 | ) | | | — | |
Shares outstanding, end of period | | | 3,158,235 | | | | 5,987 | | | | 4,056,213 | | | | 4,529 | |
| | (a) | Effective April 1, 2015, Class L Shares were renamed Class I Shares. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
163
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL
MOMENTUM STYLE FUND | | | AQR EMERGING
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE PERIOD
5/13/14*-
9/30/14 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 6,496,457 | | | $ | 5,343,481 | | | $ | 181,332 | | | $ | 56,227 | |
Net realized gain (loss) | | | (20,031,827 | ) | | | 8,360,764 | | | | (1,222,390 | ) | | | (38,390 | ) |
Net change in unrealized appreciation (depreciation) | | | (15,530,299 | ) | | | (17,399,020 | ) | | | (762,821 | ) | | | (147,796 | ) |
Net increase (decrease) in net assets resulting from operations | | | (29,065,669 | ) | | | (3,694,775 | ) | | | (1,803,879 | ) | | | (129,959 | ) |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (5,801,763 | ) | | | (3,959,589 | ) | | | (65,400 | ) | | | — | |
Class N | | | (766,472 | ) | | | (609,999 | ) | | | (8,023 | ) | | | — | |
Class R6 | | | (2,173 | ) | | | — | | | | (894 | ) | | | — | |
Total | | | (6,570,408 | ) | | | (4,569,588 | ) | | | (74,317 | ) | | | — | |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (3,099,138 | ) | | | — | | | | — | | | | — | |
Class N | | | (466,349 | ) | | | — | | | | — | | | | — | |
Class R6 | | | (1,071 | ) | | | — | | | | — | | | | — | |
Total | | | (3,566,558 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (10,136,966 | ) | | | (4,569,588 | ) | | | (74,317 | ) | | | — | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 97,248,698 | | | | 122,678,856 | | | | 4,293,630 | | | | 6,393,787 | |
Reinvestment of distributions | | | 8,899,111 | | | | 3,958,755 | | | | 65,400 | | | | — | |
Cost of shares redeemed | | | (96,079,086 | ) | | | (58,524,145 | ) | | | (2,372,015 | ) | | | (10,053 | ) |
Net increase (decrease) from capital transactions | | | 10,068,723 | | | | 68,113,466 | | | | 1,987,015 | | | | 6,383,734 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 7,066,299 | | | | 8,948,915 | | | | 378,938 | | | | 1,034,945 | |
Reinvestment of distributions | | | 1,232,821 | | | | 609,999 | | | | 8,023 | | | | — | |
Cost of shares redeemed | | | (8,527,367 | ) | | | (10,024,019 | ) | | | (63,400 | ) | | | — | |
Net increase (decrease) from capital transactions | | | (228,247 | ) | | | (465,105 | ) | | | 323,561 | | | | 1,034,945 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 35,571,124 | | | | 100,000 | (b) | | | 1,370 | | | | 100,000 | (b) |
Reinvestment of distributions | | | 3,244 | | | | — | | | | 894 | | | | — | |
Cost of shares redeemed | | | (2,500,800 | ) | | | — | | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 33,073,568 | | | | 100,000 | | | | 2,264 | | | | 100,000 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 42,914,044 | | | | 67,748,361 | | | | 2,312,840 | | | | 7,518,679 | |
Total increase (decrease) in net assets | | | 3,711,409 | | | | 59,483,998 | | | | 434,644 | | | | 7,388,720 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 319,988,542 | | | | 260,504,544 | | | | 7,388,720 | | | | — | |
End of period | | $ | 323,699,951 | | | $ | 319,988,542 | | | $ | 7,823,364 | | | $ | 7,388,720 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | 4,894,430 | | | $ | 4,582,405 | | | $ | 165,138 | | | $ | 57,182 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 165) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
164
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL
MOMENTUM STYLE FUND | | | AQR EMERGING
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE PERIOD
5/13/14*-
9/30/14 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 18,723,227 | | | | 14,326,003 | | | | 625,023 | | | | — | |
Shares sold | | | 6,823,888 | | | | 7,953,475 | | | | 424,961 | | | | 625,968 | |
Shares issued on reinvestment of distributions | | | 637,472 | | | | 258,404 | | | | 6,877 | | | | — | |
Shares redeemed | | | (6,755,578 | ) | | | (3,814,655 | ) | | | (259,097 | ) | | | (945 | ) |
Shares outstanding, end of period | | | 19,429,009 | | | | 18,723,227 | | | | 797,764 | | | | 625,023 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,690,049 | | | | 2,721,721 | | | | 103,336 | | | | — | |
Shares sold | | | 497,298 | | | | 580,437 | | | | 39,542 | | | | 103,336 | |
Shares issued on reinvestment of distributions | | | 88,501 | | | | 39,895 | | | | 844 | | | | — | |
Shares redeemed | | | (597,267 | ) | | | (652,004 | ) | | | (6,924 | ) | | | — | |
Shares outstanding, end of period | | | 2,678,581 | | | | 2,690,049 | | | | 136,798 | | | | 103,336 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 6,435 | | | | — | (b) | | | 9,407 | | | | — | (b) |
Shares sold | | | 2,511,328 | | | | 6,435 | | | | 161 | | | | 9,407 | |
Shares issued on reinvestment of distributions | | | 233 | | | | — | | | | 94 | | | | — | |
Shares redeemed | | | (171,235 | ) | | | — | | | | — | | | | — | |
Shares outstanding, end of period | | | 2,346,761 | | | | 6,435 | | | | 9,662 | | | | 9,407 | |
| | * | Commencement of operations. |
| | (a) | Effective April 1, 2015, Class L Shares were renamed Class I Shares. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
165
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR TM LARGE CAP
MOMENTUM STYLE FUND | | | AQR TM SMALL CAP
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 1,390,660 | | | $ | 380,075 | | | $ | 131,332 | | | $ | 4,561 | |
Net realized gain (loss) | | | (1,325,195 | ) | | | 1,570,147 | | | | (175,799 | ) | | | 418,735 | |
Net change in unrealized appreciation (depreciation) | | | (783,566 | ) | | | 6,934,858 | | | | 26,802 | | | | (703,349 | ) |
Net increase (decrease) in net assets resulting from operations | | | (718,101 | ) | | | 8,885,080 | | | | (17,665 | ) | | | (280,053 | ) |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (570,768 | ) | | | (128,737 | ) | | | (14,503 | ) | | | (21,215 | ) |
Class N | | | (366 | ) | | | (55 | ) | | | — | | | | (33 | ) |
Class R6 | | | (587 | ) | | | — | | | | (257 | ) | | | — | |
Total | | | (571,721 | ) | | | (128,792 | ) | | | (14,760 | ) | | | (21,248 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (1,895,534 | ) | | | (317,031 | ) | | | (537,085 | ) | | | (139,024 | ) |
Class N | | | (2,336 | ) | | | (940 | ) | | | (4,583 | ) | | | (2,068 | ) |
Class R6 | | | (1,710 | ) | | | — | | | | (3,495 | ) | | | — | |
Total | | | (1,899,580 | ) | | | (317,971 | ) | | | (545,163 | ) | | | (141,092 | ) |
Total distributions | | | (2,471,301 | ) | | | (446,763 | ) | | | (559,923 | ) | | | (162,340 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 46,249,904 | | | | 79,287,715 | | | | 13,596,226 | | | | 14,374,949 | |
Reinvestment of distributions | | | 2,465,957 | | | | 445,768 | | | | 551,580 | | | | 160,239 | |
Cost of shares redeemed | | | (94,078,583 | ) | | | (8,524,640 | ) | | | (8,271,400 | ) | | | (6,173,028 | ) |
Net increase (decrease) from capital transactions | | | (45,362,722 | ) | | | 71,208,843 | | | | 5,876,406 | | | | 8,362,160 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 59,000 | | | | 1,500 | | | | — | | | | 1,448 | |
Reinvestment of distributions | | | 2,702 | | | | 995 | | | | 4,583 | | | | 2,101 | |
Cost of shares redeemed | | | (48,058 | ) | | | — | | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 13,644 | | | | 2,495 | | | | 4,583 | | | | 3,549 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 86,282,195 | | | | 100,000 | (b) | | | — | | | | 100,000 | (b) |
Reinvestment of distributions | | | 2,297 | | | | — | | | | 3,752 | | | | — | |
Cost of shares redeemed | | | (12,835,621 | ) | | | — | | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 73,448,871 | | | | 100,000 | | | | 3,752 | | | | 100,000 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 28,099,793 | | | | 71,311,338 | | | | 5,884,741 | | | | 8,465,709 | |
Total increase (decrease) in net assets | | | 24,910,391 | | | | 79,749,655 | | | | 5,307,153 | | | | 8,023,316 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 101,574,280 | | | | 21,824,625 | | | | 14,909,535 | | | | 6,886,219 | |
End of period | | $ | 126,484,671 | | | $ | 101,574,280 | | | $ | 20,216,688 | | | $ | 14,909,535 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | 1,077,518 | | | $ | 320,304 | | | $ | 108,541 | | | $ | (6,613 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 167) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
166
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR TM LARGE CAP
MOMENTUM STYLE FUND | | | AQR TM SMALL CAP
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 6,375,044 | | | | 1,596,498 | | | | 998,131 | | | | 455,448 | |
Shares sold | | | 2,855,438 | | | | 5,314,373 | | | | 875,065 | | | | 943,530 | |
Shares issued on reinvestment of distributions | | | 151,565 | | | | 30,365 | | | | 35,910 | | | | 10,358 | |
Shares redeemed | | | (5,768,903 | ) | | | (566,192 | ) | | | (531,187 | ) | | | (411,205 | ) |
Shares outstanding, end of period | | | 3,613,144 | | | | 6,375,044 | | | | 1,377,919 | | | | 998,131 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 8,660 | | | | 8,489 | | | | 8,489 | | | | 8,251 | |
Shares sold | | | 3,546 | | | | 103 | | | | — | | | | 102 | |
Shares issued on reinvestment of distributions | | | 166 | | | | 68 | | | | 299 | | | | 136 | |
Shares redeemed | | | (2,915 | ) | | | — | | | | — | | | | — | |
Shares outstanding, end of period | | | 9,457 | | | | 8,660 | | | | 8,788 | | | | 8,489 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 6,337 | | | | —(b | ) | | | 6,472 | | | | — | (b) |
Shares sold | | | 5,283,178 | | | | 6,337 | | | | — | | | | 6,472 | |
Shares issued on reinvestment of distributions | | | 141 | | | | — | | | | 245 | | | | — | |
Shares redeemed | | | (771,940 | ) | | | — | | | | — | | | | — | |
Shares outstanding, end of period | | | 4,517,716 | | | | 6,337 | | | | 6,717 | | | | 6,472 | |
| | (a) | Effective April 1, 2015, Class L Shares were renamed Class I Shares. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
167
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR TM INTERNATIONAL
MOMENTUM STYLE FUND | | | AQR LARGE CAP
DEFENSIVE STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 1,282,003 | | | $ | 1,013,561 | | | $ | 3,034,473 | | | $ | 3,314,889 | |
Net realized gain (loss) | | | (6,843,718 | ) | | | (426,846 | ) | | | 17,594,621 | | | | 4,860,334 | |
Net change in unrealized appreciation (depreciation) | | | (1,536,690 | ) | | | (1,693,193 | ) | | | 267,210 | | | | 24,266,505 | |
Net increase (decrease) in net assets resulting from operations | | | (7,098,405 | ) | | | (1,106,478 | ) | | | 20,896,304 | | | | 32,441,728 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (1,175,400 | ) | | | (171,579 | ) | | | (3,243,005 | ) | | | (1,166,110 | ) |
Class N | | | (1,938 | ) | | | (189 | ) | | | (320,128 | ) | | | (124,307 | ) |
Class R6 | | | (1,973 | ) | | | — | | | | (2,267 | ) | | | — | |
Total | | | (1,179,311 | ) | | | (171,768 | ) | | | (3,565,400 | ) | | | (1,290,417 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (271,071 | ) | | | (457,829 | ) | | | (4,763,948 | ) | | | (590,291 | ) |
Class N | | | (502 | ) | | | (1,358 | ) | | | (581,240 | ) | | | (75,618 | ) |
Class R6 | | | (428 | ) | | | — | | | | (2,984 | ) | | | — | |
Total | | | (272,001 | ) | | | (459,187 | ) | | | (5,348,172 | ) | | | (665,909 | ) |
Total distributions | | | (1,451,312 | ) | | | (630,955 | ) | | | (8,913,572 | ) | | | (1,956,326 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 34,627,692 | | | | 74,819,447 | | | | 86,200,229 | | | | 61,663,509 | |
Reinvestment of distributions | | | 1,446,199 | | | | 629,408 | | | | 8,002,469 | | | | 1,756,401 | |
Cost of shares redeemed | | | (88,358,791 | ) | | | (9,509,891 | ) | | | (171,466,612 | ) | | | (21,323,604 | ) |
Net increase (decrease) from capital transactions | | | (52,284,900 | ) | | | 65,938,964 | | | | (77,263,914 | ) | | | 42,096,306 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | — | | | | — | | | | 26,517,517 | | | | 7,749,037 | |
Reinvestment of distributions | | | 2,440 | | | | 1,547 | | | | 901,368 | | | | 199,925 | |
Cost of shares redeemed | | | — | | | | — | | | | (26,705,671 | ) | | | (3,257,910 | ) |
Net increase (decrease) from capital transactions | | | 2,440 | | | | 1,547 | | | | 713,214 | | | | 4,691,052 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 58,393,918 | | | | 100,000 | (b) | | | — | | | | 100,000 | (c) |
Reinvestment of distributions | | | 2,401 | | | | — | | | | 5,251 | | | | — | |
Cost of shares redeemed | | | (7,591,717 | ) | | | — | | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 50,804,602 | | | | 100,000 | | | | 5,251 | | | | 100,000 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | (1,477,858 | ) | | | 66,040,511 | | | | (76,545,449 | ) | | | 46,887,358 | |
Total increase (decrease) in net assets | | | (10,027,575 | ) | | | 64,303,078 | | | | (64,562,717 | ) | | | 77,372,760 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 81,832,339 | | | | 17,529,261 | | | | 253,769,027 | | | | 176,396,267 | |
End of period | | $ | 71,804,764 | | | $ | 81,832,339 | | | $ | 189,206,310 | | | $ | 253,769,027 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | 1,024,613 | | | $ | 974,879 | | | $ | 2,088,036 | | | $ | 2,622,469 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 169) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
168
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR TM INTERNATIONAL
MOMENTUM STYLE FUND | | | AQR LARGE CAP
DEFENSIVE STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| CLASS I (a) | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 6,235,784 | | | | 1,321,265 | | | | 15,984,434 | | | | 12,763,386 | |
Shares sold | | | 2,765,327 | | | | 5,579,502 | | | | 5,842,476 | | | | 4,666,997 | |
Shares issued on reinvestment of distributions | | | 117,101 | | | | 47,539 | | | | 551,514 | | | | 135,525 | |
Shares redeemed | | | (7,092,042 | ) | | | (712,522 | ) | | | (11,556,442 | ) | | | (1,581,474 | ) |
Shares outstanding, end of period | | | 2,026,170 | | | | 6,235,784 | | | | 10,821,982 | | | | 15,984,434 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 8,584 | | | | 8,468 | | | | 2,054,040 | | | | 1,700,634 | |
Shares sold | | | — | | | | — | | | | 1,775,969 | | | | 579,637 | |
Shares issued on reinvestment of distributions | | | 198 | | | | 116 | | | | 62,035 | | | | 15,426 | |
Shares redeemed | | | — | | | | — | | | | (1,799,183 | ) | | | (241,657 | ) |
Shares outstanding, end of period | | | 8,782 | | | | 8,584 | | | | 2,092,861 | | | | 2,054,040 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 7,321 | | | | — | (b) | | | 7,077 | | | | — | (c) |
Shares sold | | | 4,688,648 | | | | 7,321 | | | | — | | | | 7,077 | |
Shares issued on reinvestment of distributions | | | 194 | | | | — | | | | 363 | | | | — | |
Shares redeemed | | | (593,368 | ) | | | — | | | | — | | | | — | |
Shares outstanding, end of period | | | 4,102,795 | | | | 7,321 | | | | 7,440 | | | | 7,077 | |
| | (a) | Effective April 1, 2015, Class L Shares were renamed Class I Shares for AQR TM International Momentum Style Fund. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | (c) | Commencement of offering class of shares effective September 2, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
169
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL
DEFENSIVE STYLE FUND | | | AQR EMERGING
DEFENSIVE STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 761,962 | | | $ | 647,668 | | | $ | 1,342,996 | | | $ | 1,217,488 | |
Net realized gain (loss) | | | (542,246 | ) | | | 666,194 | | | | (8,718,405 | ) | | | (86,716 | ) |
Net change in unrealized appreciation (depreciation) | | | (2,713,287 | ) | | | 213,563 | | | | (4,655,925 | ) | | | (141,210 | ) |
Net increase (decrease) in net assets resulting from operations | | | (2,493,571 | ) | | | 1,527,425 | | | | (12,031,334 | ) | | | 989,562 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (709,481 | ) | | | (298,045 | ) | | | (1,397,556 | ) | | | (351,637 | ) |
Class N | | | — | | | | (20,141 | ) | | | — | | | | (27,047 | ) |
Class R6 | | | (2,619 | ) | | | — | | | | (1,702 | ) | | | — | |
Total | | | (712,100 | ) | | | (318,186 | ) | | | (1,399,258 | ) | | | (378,684 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (631,276 | ) | | | (203,528 | ) | | | — | | | | (270 | ) |
Class N | | | (3,943 | ) | | | (15,609 | ) | | | — | | | | (26 | ) |
Class R6 | | | (2,162 | ) | | | — | | | | — | | | | — | |
Total | | | (637,381 | ) | | | (219,137 | ) | | | — | | | | (296 | ) |
Total distributions | | | (1,349,481 | ) | | | (537,323 | ) | | | (1,399,258 | ) | | | (378,980 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 17,136,089 | | | | 13,162,903 | | | | 52,553,380 | | | | 55,390,696 | |
Reinvestment of distributions | | | 1,337,505 | | | | 501,573 | | | | 1,392,152 | | | | 351,907 | |
Cost of shares redeemed | | | (7,791,797 | ) | | | (4,900,870 | ) | | | (83,482,698 | ) | | | (15,823,368 | ) |
Net increase (decrease) from capital transactions | | | 10,681,797 | | | | 8,763,606 | | | | (29,537,166 | ) | | | 39,919,235 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 40,193 | | | | 619,886 | | | | 17,599 | | | | 2,747,201 | |
Reinvestment of distributions | | | 3,943 | | | | 35,750 | | | | — | | | | 27,073 | |
Cost of shares redeemed | | | (339,848 | ) | | | (1,420,052 | ) | | | (882,569 | ) | | | (4,288,740 | ) |
Net increase (decrease) from capital transactions | | | (295,712 | ) | | | (764,416 | ) | | | (864,970 | ) | | | (1,514,466 | ) |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | — | | | | 100,000 | (a) | | | — | | | | 100,000 | (a) |
Reinvestment of distributions | | | 4,781 | | | | — | | | | 1,702 | | | | — | |
Net increase (decrease) from capital transactions | | | 4,781 | | | | 100,000 | | | | 1,702 | | | | 100,000 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 10,390,866 | | | | 8,099,190 | | | | (30,400,434 | ) | | | 38,504,769 | |
| Total increase (decrease) in net assets | | | 6,547,814 | | | | 9,089,292 | | | | (43,831,026 | ) | | | 39,115,351 | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 27,872,786 | | | | 18,783,494 | | | | 71,180,599 | | | | 32,065,248 | |
End of period | | $ | 34,420,600 | | | $ | 27,872,786 | | | $ | 27,349,573 | | | $ | 71,180,599 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | 617,686 | | | $ | 570,218 | | | $ | 921,629 | | | $ | 1,037,144 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 171) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
170
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL
DEFENSIVE STYLE FUND | | | AQR EMERGING
DEFENSIVE STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,208,372 | | | | 1,483,573 | | | | 6,698,530 | | | | 2,870,660 | |
Shares sold | | | 1,458,582 | | | | 1,077,372 | | | | 5,361,095 | | | | 5,330,312 | |
Shares issued on reinvestment of distributions | | | 115,902 | | | | 42,833 | | | | 144,865 | | | | 35,261 | |
Shares redeemed | | | (661,337 | ) | | | (395,406 | ) | | | (8,890,419 | ) | | | (1,537,703 | ) |
Shares outstanding, end of period | | | 3,121,519 | | | | 2,208,372 | | | | 3,314,071 | | | | 6,698,530 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 37,419 | | | | 97,048 | | | | 97,323 | | | | 252,784 | |
Shares sold | | | 3,258 | | | | 51,469 | | | | 1,781 | | | | 268,249 | |
Shares issued on reinvestment of distributions | | | 333 | | | | 3,053 | | | | — | | | | 2,710 | |
Shares redeemed | | | (28,454 | ) | | | (114,151 | ) | | | (92,685 | ) | | | (426,420 | ) |
Shares outstanding, end of period | | | 12,556 | | | | 37,419 | | | | 6,419 | | | | 97,323 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 7,680 | | | | — | (a) | | | 8,969 | | | | — | (a) |
Shares sold | | | — | | | | 7,680 | | | | — | | | | 8,969 | |
Shares issued on reinvestment of distributions | | | 416 | | | | — | | | | 177 | | | | — | |
Shares outstanding, end of period | | | 8,096 | | | | 7,680 | | | | 9,146 | | | | 8,969 | |
| | (a) | Commencement of offering class of shares effective September 2, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
171
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR GLOBAL EQUITY FUND | | | AQR INTERNATIONAL EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 5,680,257 | | | $ | 5,269,670 | | | $ | 16,785,802 | | | $ | 22,167,199 | |
Net realized gain (loss) | | | 14,179,971 | | | | 37,464,970 | | | | (2,276,413 | ) | | | 48,333,903 | |
Net change in unrealized appreciation (depreciation) | | | (26,177,167 | ) | | | (10,474,096 | ) | | | (46,846,590 | ) | | | (56,188,588 | ) |
Net increase (decrease) in net assets resulting from operations | | | (6,316,939 | ) | | | 32,260,544 | | | | (32,337,201 | ) | | | 14,312,514 | |
| | | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (44,059 | ) | | | (36,899 | ) | | | (7,468,588 | ) | | | (4,237,446 | ) |
Class N | | | (33,397 | ) | | | (18,310 | ) | | | (1,067,058 | ) | | | (546,390 | ) |
Class R6 | | | (1,362,728 | ) | | | — | | | | (3,120,675 | ) | | | — | |
Class Y | | | (4,184,608 | ) | | | (7,647,702 | ) | | | (12,814,382 | ) | | | (10,825,380 | ) |
Total | | | (5,624,792 | ) | | | (7,702,911 | ) | | | (24,470,703 | ) | | | (15,609,216 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (252,903 | ) | | | (501,061 | ) | | | (12,413,847 | ) | | | (16,832,213 | ) |
Class N | | | (201,754 | ) | | | (279,116 | ) | | | (1,953,495 | ) | | | (2,380,187 | ) |
Class R6 | | | (7,229,201 | ) | | | — | | | | (4,966,615 | ) | | | — | |
Class Y | | | (20,189,254 | ) | | | (95,565,434 | ) | | | (19,017,323 | ) | | | (37,157,362 | ) |
Total | | | (27,873,112 | ) | | | (96,345,611 | ) | | | (38,351,280 | ) | | | (56,369,762 | ) |
Total distributions | | | (33,497,904 | ) | | | (104,048,522 | ) | | | (62,821,983 | ) | | | (71,978,978 | ) |
| | | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 36,134,787 | | | | 1,438,596 | | | | 152,854,438 | | | | 65,273,533 | |
Reinvestment of distributions | | | 290,801 | | | | 537,960 | | | | 17,337,012 | | | | 18,516,502 | |
Cost of shares redeemed | | | (2,514,719 | ) | | | (397,127 | ) | | | (60,857,843 | ) | | | (59,389,281 | ) |
Net increase (decrease) from capital transactions | | | 33,910,869 | | | | 1,579,429 | | | | 109,333,607 | | | | 24,400,754 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,427,222 | | | | 776,669 | | | | 8,515,077 | | | | 14,334,638 | |
Reinvestment of distributions | | | 235,151 | | | | 297,426 | | | | 2,881,032 | | | | 2,900,390 | |
Cost of shares redeemed | | | (1,826,441 | ) | | | (458,917 | ) | | | (9,639,791 | ) | | | (7,023,943 | ) |
Net increase (decrease) from capital transactions | | | (164,068 | ) | | | 615,178 | | | | 1,756,318 | | | | 10,211,085 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 10,400,000 | | | | 72,600,000 | (a) | | | 1,925,813 | | | | 151,263,962 | (a) |
Reinvestment of distributions | | | 8,591,929 | | | | — | | | | 8,087,290 | | | | — | |
Cost of shares redeemed | | | — | | | | (105,977 | ) | | | (74,041,677 | ) | | | (43,566,107 | ) |
Net increase (decrease) from capital transactions | | | 18,991,929 | | | | 72,494,023 | | | | (64,028,574 | ) | | | 107,697,855 | |
| CLASS Y | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 2,812,030 | | | | — | | | | — | | | | — | |
Reinvestment of distributions | | | 24,373,862 | | | | 103,213,136 | | | | 31,831,705 | | | | 47,982,742 | |
Cost of shares redeemed | | | (272,727 | ) | | | (70,579,444 | ) | | | (34,988,570 | ) | | | (159,763,962 | ) |
Redemption fees | | | 5,514 | | | | 70,534 | | | | 35,000 | | | | 8,625 | |
Net increase (decrease) from capital transactions | | | 26,918,679 | | | | 32,704,226 | | | | (3,121,865 | ) | | | (111,772,595 | ) |
| Net increase (decrease) in net assets resulting from capital transactions | | | 79,657,409 | | | | 107,392,856 | | | | 43,939,486 | | | | 30,537,099 | |
Total increase (decrease) in net assets | | | 39,842,566 | | | | 35,604,878 | | | | (51,219,698 | ) | | | (27,129,365 | ) |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 292,302,592 | | | | 256,697,714 | | | | 790,030,748 | | | | 817,160,113 | |
End of period | | $ | 332,145,158 | | | $ | 292,302,592 | | | $ | 738,811,050 | | | $ | 790,030,748 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | 4,287,622 | | | $ | 4,114,595 | | | $ | 12,683,217 | | | $ | 18,305,482 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 173) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
172
| | |
| Statements of Changes in Net Assets | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| | | AQR GLOBAL EQUITY FUND | | | AQR INTERNATIONAL EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2015 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 279,524 | | | | 94,701 | | | | 22,556,156 | | | | 20,333,041 | |
Shares sold | | | 4,367,231 | | | | 164,697 | | | | 14,903,085 | | | | 5,586,553 | |
Shares issued on reinvestment of distributions | | | 35,946 | | | | 63,067 | | | | 1,742,414 | | | | 1,641,534 | |
Shares redeemed | | | (301,902 | ) | | | (42,941 | ) | | | (5,824,538 | ) | | | (5,004,972 | ) |
Shares outstanding, end of period | | | 4,380,799 | | | | 279,524 | | | | 33,377,117 | | | | 22,556,156 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 127,426 | | | | 53,682 | | | | 3,527,546 | | | | 2,654,916 | |
Shares sold | | | 162,394 | | | | 86,939 | | | | 801,790 | | | | 1,212,704 | |
Shares issued on reinvestment of distributions | | | 29,284 | | | | 35,033 | | | | 284,406 | | | | 252,647 | |
Shares redeemed | | | (220,181 | ) | | | (48,228 | ) | | | (910,247 | ) | | | (592,721 | ) |
Shares outstanding, end of period | | | 98,923 | | | | 127,426 | | | | 3,703,495 | | | | 3,527,546 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 8,489,461 | | | | — | (a) | | | 8,984,668 | | | | — | (a) |
Shares sold | | | 1,288,724 | | | | 8,500,955 | | | | 183,148 | | | | 12,579,407 | |
Shares issued on reinvestment of distributions | | | 1,058,119 | | | | — | | | | 770,218 | | | | — | |
Shares redeemed | | | — | | | | (11,494 | ) | | | (6,725,068 | ) | | | (3,594,739 | ) |
Shares outstanding, end of period | | | 10,836,304 | | | | 8,489,461 | | | | 3,212,966 | | | | 8,984,668 | |
| CLASS Y | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 23,708,830 | | | | 19,044,183 | | | | 34,443,561 | | | | 43,655,846 | |
Shares sold | | | 322,420 | | | | — | | | | — | | | | — | |
Shares issued on reinvestment of distributions | | | 2,998,015 | | | | 12,057,609 | | | | 3,031,591 | | | | 4,045,762 | |
Shares redeemed | | | (33,810 | ) | | | (7,392,962 | ) | | | (3,173,164 | ) | | | (13,258,047 | ) |
Shares outstanding, end of period | | | 26,995,455 | | | | 23,708,830 | | | | 34,301,988 | | | | 34,443,561 | |
| | (a) | Commencement of offering class of shares effective January 8, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
173
| | |
| Financial Highlights | | September 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 LARGE CAP MULTI-STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $13.36 | | | | 0.16 | | | | (0.15 | ) | | | 0.01 | | | | (0.06 | ) | | | (0.06 | ) | | | (0.12 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $11.09 | | | | 0.15 | | | | 2.21 | | | | 2.36 | | | | (0.04 | ) | | | (0.05 | ) | | | (0.09 | ) |
| FOR THE PERIOD 3/26/136—9/30/13 | | | $10.00 | | | | 0.06 | 7 | | | 1.03 | | | | 1.09 | | | | — | | | | — | | | | — | |
| AQR LARGE CAP MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $13.33 | | | | 0.13 | | | | (0.16 | ) | | | (0.03 | ) | | | (0.05 | ) | | | (0.06 | ) | | | (0.11 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $11.09 | | | | 0.11 | | | | 2.21 | | | | 2.32 | | | | (0.03 | ) | | | (0.05 | ) | | | (0.08 | ) |
| FOR THE PERIOD 3/26/136—9/30/13 | | | $10.00 | | | | 0.04 | 7 | | | 1.05 | | | | 1.09 | | | | — | | | | — | | | | — | |
| AQR LARGE CAP MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $13.36 | | | | 0.18 | | | | (0.17 | ) | | | 0.01 | | | | (0.06 | ) | | | (0.06 | ) | | | (0.12 | ) |
| FOR THE PERIOD 7/10/1410—9/30/14 | | | $13.32 | | | | 0.04 | | | | 0.00 | 11 | | | 0.04 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP MULTI-STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $12.34 | | | | 0.12 | 17 | | | 0.02 | 12 | | | 0.14 | | | | (0.03 | ) | | | (0.15 | ) | | | (0.18 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $11.88 | | | | 0.05 | 13 | | | 0.57 | | | | 0.62 | | | | (0.04 | ) | | | (0.12 | ) | | | (0.16 | ) |
| FOR THE PERIOD 3/26/136—9/30/13 | | | $10.00 | | | | 0.03 | 7 | | | 1.85 | | | | 1.88 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $12.30 | | | | 0.09 | 17 | | | 0.01 | 12 | | | 0.10 | | | | (0.00 | )11 | | | (0.15 | ) | | | (0.15 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $11.87 | | | | 0.01 | 13 | | | 0.56 | | | | 0.57 | | | | (0.02 | ) | | | (0.12 | ) | | | (0.14 | ) |
| FOR THE PERIOD 3/26/136—9/30/13 | | | $10.00 | | | | 0.01 | 7 | | | 1.86 | | | | 1.87 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $12.35 | | | | 0.15 | 17 | | | 0.00 | 11,12 | | | 0.15 | | | | (0.04 | ) | | | (0.15 | ) | | | (0.19 | ) |
| FOR THE PERIOD 7/10/1410—9/30/14 | | | $12.95 | | | | 0.01 | 13 | | | (0.61 | )12 | | | (0.60 | ) | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL MULTI-STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $11.47 | | | | 0.27 | 17 | | | (1.26 | ) | | | (0.99 | ) | | | (0.19 | ) | | | (0.08 | ) | | | (0.27 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $11.28 | | | | 0.28 | | | | 0.01 | 12 | | | 0.29 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| FOR THE PERIOD 3/26/136—9/30/13 | | | $10.00 | | | | 0.13 | 7 | | | 1.15 | | | | 1.28 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $11.44 | | | | 0.24 | 17 | | | (1.25 | ) | | | (1.01 | ) | | | (0.15 | ) | | | (0.08 | ) | | | (0.23 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $11.27 | | | | 0.24 | | | | 0.01 | 12 | | | 0.25 | | | | (0.08 | ) | | | — | | | | (0.08 | ) |
| FOR THE PERIOD 3/26/136—9/30/13 | | | $10.00 | | | | 0.15 | 7 | | | 1.12 | | | | 1.27 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $11.47 | | | | 0.30 | 17 | | | (1.28 | ) | | | (0.98 | ) | | | (0.21 | ) | | | (0.08 | ) | | | (0.29 | ) |
| FOR THE PERIOD 7/10/1410—9/30/14 | | | $11.94 | | | | 0.13 | | | | (0.60 | ) | | | (0.47 | ) | | | — | | | | — | | | | — | |
| AQR EMERGING MULTI-STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $9.96 | | | | 0.27 | | | | (1.97 | ) | | | (1.70 | ) | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| FOR THE PERIOD 5/13/146—9/30/14 | | | $10.00 | | | | 0.14 | | | | (0.18 | ) | | | (0.04 | ) | | | — | | | | — | | | | — | |
| AQR EMERGING MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $9.95 | | | | 0.29 | | | | (2.01 | ) | | | (1.72 | ) | | | (0.06 | ) | | | — | | | | (0.06 | ) |
| FOR THE PERIOD 5/13/146—9/30/14 | | | $10.00 | | | | 0.14 | | | | (0.19 | ) | | | (0.05 | ) | | | — | | | | — | | | | — | |
| AQR EMERGING MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $9.96 | | | | 0.45 | | | | (2.14 | ) | | | (1.69 | ) | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| FOR THE PERIOD 7/10/1410—9/30/14 | | | $10.47 | | | | 0.05 | | | | (0.56 | ) | | | (0.51 | ) | | | — | | | | — | | | | — | |
| AQR TM LARGE CAP MULTI-STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | | $10.00 | | | | 0.08 | | | | (0.66 | ) | | | (0.58 | ) | | | — | | | | — | | | | — | |
| AQR TM LARGE CAP MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | | $10.00 | | | | 0.06 | | | | (0.66 | ) | | | (0.60 | ) | | | — | | | | — | | | | — | |
| AQR TM LARGE CAP MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | | $10.00 | | | | 0.08 | | | | (0.66 | ) | | | (0.58 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
174
| | |
| Financial Highlights | | September 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
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)4 | | | Expenses, Before
Reimbursements
and/or Waivers4 | | | Net Investment
Income (Loss) | | | Portfolio
Turnover
Rate5 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.25 | | | | 0.03 | % | | | $490,709 | | | | 0.49 | % | | | 0.49 | % | | | 0.54 | % | | | 1.17 | % | | | 59 | % | | |
| | $13.36 | | | | 21.39 | % | | | $166,058 | | | | 0.54 | % | | | 0.54 | % | | | 0.71 | % | | | 1.17 | % | | | 277 | % | | |
| | $11.09 | | | | 10.90 | % | | | $18,811 | | | | 0.54 | % | | | 0.54 | % | | | 1.80 | %8,9 | | | 1.09 | %7 | | | 223 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.19 | | | | (0.25 | )% | | | $59,733 | | | | 0.74 | % | | | 0.74 | % | | | 0.79 | % | | | 0.93 | % | | | 59 | % | | |
| | $13.33 | | | | 21.05 | % | | | $10,328 | | | | 0.79 | % | | | 0.79 | % | | | 1.14 | % | | | 0.90 | % | | | 277 | % | | |
| | $11.09 | | | | 10.90 | % | | | $1,403 | | | | 0.79 | % | | | 0.79 | % | | | 4.30 | %8,9 | | | 0.72 | %7 | | | 223 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.25 | | | | 0.07 | % | | | $563,785 | | | | 0.36 | % | | | 0.36 | % | | | 0.42 | % | | | 1.28 | % | | | 59 | % | | |
| | $13.36 | | | | 0.30 | % | | | $42,256 | | | | 0.44 | % | | | 0.44 | % | | | 0.61 | % | | | 1.23 | % | | | 277 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.30 | | | | 1.02 | % | | | $26,634 | | | | 0.68 | % | | | 0.68 | % | | | 1.17 | % | | | 0.88 | %17 | | | 228 | % | | |
| | $12.34 | | | | 5.13 | % | | | $8,233 | | | | 0.75 | % | | | 0.75 | % | | | 2.58 | % | | | 0.37 | %13 | | | 189 | % | | |
| | $11.88 | | | | 18.80 | % | | | $2,184 | | | | 0.75 | % | | | 0.75 | % | | | 5.84 | %8 | | | 0.45 | %7 | | | 70 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.25 | | | | 0.72 | % | | | $5,681 | | | | 0.93 | % | | | 0.93 | % | | | 1.40 | % | | | 0.65 | %17 | | | 228 | % | | |
| | $12.30 | | | | 4.78 | % | | | $1,284 | | | | 1.00 | % | | | 1.00 | % | | | 3.27 | % | | | 0.11 | %13 | | | 189 | % | | |
| | $11.87 | | | | 18.70 | % | | | $1,381 | | | | 1.00 | % | | | 1.00 | % | | | 6.40 | %8 | | | 0.17 | %7 | | | 70 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.31 | | | | 1.06 | % | | | $9,494 | | | | 0.55 | % | | | 0.55 | % | | | 0.96 | % | | | 1.17 | %17 | | | 228 | % | | |
| | $12.35 | | | | (4.63 | )% | | | $95 | | | | 0.65 | % | | | 0.65 | % | | | 2.34 | % | | | 0.45 | %13 | | | 189 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.21 | | | | (8.78 | )% | | | $40,047 | | | | 0.64 | % | | | 0.64 | % | | | 0.82 | % | | | 2.45 | %17 | | | 236 | % | | |
| | $11.47 | | | | 2.53 | % | | | $26,729 | | | | 0.70 | % | | | 0.70 | % | | | 1.38 | % | | | 2.36 | % | | | 204 | % | | |
| | $11.28 | | | | 12.80 | % | | | $15,810 | | | | 0.70 | % | | | 0.70 | % | | | 2.16 | %8 | | | 2.25 | %7 | | | 218 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.20 | | | | (8.92 | )% | | | $4,142 | | | | 0.88 | % | | | 0.88 | % | | | 1.06 | % | | | 2.19 | %17 | | | 236 | % | | |
| | $11.44 | | | | 2.19 | % | | | $2,756 | | | | 0.95 | % | | | 0.95 | % | | | 1.85 | % | | | 2.02 | % | | | 204 | % | | |
| | $11.27 | | | | 12.70 | % | | | $2,154 | | | | 0.95 | % | | | 0.95 | % | | | 4.10 | %8 | | | 2.65 | %7 | | | 218 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.20 | | | | (8.68 | )% | | | $241,780 | | | | 0.51 | % | | | 0.51 | % | | | 0.66 | % | | | 2.70 | %17 | | | 236 | % | | |
| | $11.47 | | | | (3.94 | )% | | | $26,412 | | | | 0.60 | % | | | 0.60 | % | | | 1.34 | % | | | 5.13 | % | | | 204 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.19 | | | | (17.14 | )% | | | $48,992 | | | | 0.79 | % | | | 0.79 | % | | | 1.39 | % | | | 2.79 | % | | | 317 | % | | |
| | $9.96 | | | | (0.40 | )% | | | $11,572 | | | | 0.85 | % | | | 0.85 | % | | | 3.30 | %8,9 | | | 3.49 | % | | | 154 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.17 | | | | (17.34 | )% | | | $4,494 | | | | 1.04 | % | | | 1.04 | % | | | 1.61 | % | | | 2.98 | % | | | 317 | % | | |
| | $9.95 | | | | (0.50 | )% | | | $2,388 | | | | 1.10 | % | | | 1.10 | % | | | 3.55 | %8,9 | | | 3.49 | % | | | 154 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.20 | | | | (17.06 | )% | | | $135,503 | | | | 0.65 | % | | | 0.65 | % | | | 0.89 | % | | | 4.66 | % | | | 317 | % | | |
| | $9.96 | | | | (4.87 | )% | | | $95 | | | | 0.75 | % | | | 0.75 | % | | | 2.73 | %8,9 | | | 2.09 | % | | | 154 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.42 | | | | (5.80 | )% | | | $2,087 | | | | 0.46 | % | | | 0.46 | % | | | 1.66 | %8 | | | 1.20 | % | | | 207 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.40 | | | | (6.00 | )% | | | $135 | | | | 0.70 | % | | | 0.70 | % | | | 2.48 | %8 | | | 0.99 | % | | | 207 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.42 | | | | (5.80 | )% | | | $26,703 | | | | 0.36 | % | | | 0.36 | % | | | 1.41 | %8 | | | 1.33 | % | | | 207 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
175
| | |
| Financial Highlights | | September 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 TM SMALL CAP MULTI-STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | $ | 10.00 | | | | 0.05 | | | | (0.84 | ) | | | (0.79 | ) | | | — | | | | — | | | | — | |
| AQR TM SMALL CAP MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | $ | 10.00 | | | | 0.04 | | | | (0.84 | ) | | | (0.80 | ) | | | — | | | | — | | | | — | |
| AQR TM SMALL CAP MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | $ | 10.00 | | | | 0.06 | | | | (0.84 | ) | | | (0.78 | ) | | | — | | | | — | | | | — | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | $ | 10.00 | | | | 0.18 | | | | (0.78 | ) | | | (0.60 | ) | | | — | | | | — | | | | — | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | $ | 10.00 | | | | 0.15 | | | | (0.76 | ) | | | (0.61 | ) | | | — | | | | — | | | | — | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | $ | 10.00 | | | | 0.18 | | | | (0.77 | ) | | | (0.59 | ) | | | — | | | | — | | | | — | |
| AQR TM EMERGING MULTI-STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | $ | 10.00 | | | | 0.21 | | | | (1.90 | ) | | | (1.69 | ) | | | — | | | | — | | | | — | |
| AQR TM EMERGING MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | $ | 10.00 | | | | 0.19 | | | | (1.89 | ) | | | (1.70 | ) | | | — | | | | — | | | | — | |
| AQR TM EMERGING MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 2/11/156—9/30/15 | | $ | 10.00 | | | | 0.22 | | | | (1.90 | ) | | | (1.68 | ) | | | — | | | | — | | | | — | |
AQR LARGE CAP MOMENTUM STYLE FUND
CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 21.89 | | | | 0.23 | | | | (0.10 | ) | | | 0.13 | | | | (0.14 | ) | | | (1.92 | ) | | | (2.06 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 19.65 | | | | 0.12 | | | | 3.12 | | | | 3.24 | | | | (0.13 | ) | | | (0.87 | ) | | | (1.00 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 16.06 | | | | 0.12 | 7 | | | 3.47 | | | | 3.59 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | $ | 13.89 | | | | 0.26 | 14 | | | 2.16 | | | | 2.42 | | | | (0.25 | ) | | | — | | | | (0.25 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011† | | $ | 14.40 | | | | 0.15 | | | | (0.54 | ) | | | (0.39 | ) | | | (0.09 | ) | | | (0.03 | ) | | | (0.12 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2010†,^ | | $ | 12.19 | | | | 0.06 | | | | 2.21 | | | | 2.27 | | | | (0.02 | ) | | | (0.04 | ) | | | (0.06 | ) |
AQR LARGE CAP MOMENTUM STYLE FUND
CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 21.85 | | | | 0.17 | | | | (0.10 | ) | | | 0.07 | | | | (0.08 | ) | | | (1.92 | ) | | | (2.00 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 19.61 | | | | 0.06 | | | | 3.13 | | | | 3.19 | | | | (0.08 | ) | | | (0.87 | ) | | | (0.95 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 16.05 | | | | 0.09 | 7 | | | 3.47 | | | | 3.56 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1210—12/31/12 | | $ | 16.02 | | | | 0.01 | 14 | | | 0.02 | | | | 0.03 | | | | — | | | | — | | | | — | |
AQR LARGE CAP MOMENTUM STYLE FUND
CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 21.89 | | | | 0.23 | | | | (0.08 | ) | | | 0.15 | | | | (0.18 | ) | | | (1.92 | ) | | | (2.10 | ) |
| FOR THE PERIOD 7/10/1410—9/30/14 | | $ | 21.90 | | | | 0.04 | | | | (0.05 | )12 | | | (0.01 | ) | | | — | | | | — | | | | — | |
AQR SMALL CAP MOMENTUM STYLE FUND
CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 21.09 | | | | 0.15 | 17 | | | 0.26 | 12 | | | 0.41 | | | | (0.04 | ) | | | (2.36 | ) | | | (2.40 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 21.77 | | | | 0.00 | 11,13 | | | 0.73 | | | | 0.73 | | | | (0.06 | ) | | | (1.35 | ) | | | (1.41 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 16.43 | | | | 0.09 | 7 | | | 5.25 | | | | 5.34 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | $ | 13.89 | | | | 0.22 | 14 | | | 2.50 | | | | 2.72 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011† | | $ | 14.39 | | | | 0.04 | | | | (0.42 | ) | | | (0.38 | ) | | | (0.02 | ) | | | (0.10 | ) | | | (0.12 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2010†,^ | | $ | 11.40 | | | | 0.03 | | | | 3.13 | | | | 3.16 | | | | (0.03 | ) | | | (0.14 | ) | | | (0.17 | ) |
AQR SMALL CAP MOMENTUM STYLE FUND
CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 21.00 | | | | 0.09 | 17 | | | 0.26 | 12 | | | 0.35 | | | | — | | | | (2.36 | ) | | | (2.36 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 21.73 | | | | (0.06 | )13 | | | 0.73 | | | | 0.67 | | | | (0.05 | ) | | | (1.35 | ) | | | (1.40 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 16.43 | | | | 0.03 | 7 | | | 5.27 | | | | 5.30 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1210—12/31/12 | | $ | 16.09 | | | | 0.02 | 14 | | | 0.32 | | | | 0.34 | | | | — | | | | — | | | | — | |
AQR SMALL CAP MOMENTUM STYLE FUND
CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 21.10 | | | | 0.13 | 17 | | | 0.29 | 12 | | | 0.42 | | | | (0.07 | ) | | | (2.36 | ) | | | (2.43 | ) |
| FOR THE PERIOD 7/10/1410—9/30/14 | | $ | 22.08 | | | | 0.01 | 13 | | | (0.99 | )12 | | | (0.98 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
176
| | |
| Financial Highlights | | September 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
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)4 | | | Expenses, Before
Reimbursements
and/or Waivers4 | | | Net Investment
Income (Loss) | | | Portfolio
Turnover
Rate5 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.21 | | | | (7.90 | )% | | | $1,702 | | | | 0.65 | % | | | 0.65 | % | | | 5.66 | %8 | | | 0.77 | % | | | 98 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.20 | | | | (8.00 | )% | | | $128 | | | | 0.92 | % | | | 0.92 | % | | | 6.53 | %8 | | | 0.59 | % | | | 98 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.22 | | | | (7.80 | )% | | | $1,660 | | | | 0.57 | % | | | 0.57 | % | | | 6.28 | %8 | | | 0.96 | % | | | 98 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.40 | | | | (6.00 | )% | | | $3,213 | | | | 0.61 | % | | | 0.61 | % | | | 1.42 | %8 | | | 2.85 | % | | | 172 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.39 | | | | (6.10 | )% | | | $143 | | | | 0.81 | % | | | 0.81 | % | | | 2.65 | %8 | | | 2.28 | % | | | 172 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.41 | | | | (5.90 | )% | | | $41,373 | | | | 0.51 | % | | | 0.51 | % | | | 1.22 | %8 | | | 2.81 | % | | | 172 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.31 | | | | (16.90 | )% | | | $2,986 | | | | 0.77 | % | | | 0.77 | % | | | 2.66 | %8 | | | 3.46 | % | | | 173 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.30 | | | | (17.00 | )% | | | $881 | | | | 1.03 | % | | | 1.03 | % | | | 3.06 | %8 | | | 3.08 | % | | | 173 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.32 | | | | (16.80 | )% | | | $15,381 | | | | 0.67 | % | | | 0.67 | % | | | 2.46 | %8 | | | 3.66 | % | | | 173 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $19.96 | | | | 0.18 | % | | | $874,115 | | | | 0.45 | % | | | 0.45 | % | | | 0.50 | % | | | 1.06 | % | | | 90 | % | | |
| | $21.89 | | | | 16.86 | % | | | $953,235 | | | | 0.49 | % | | | 0.49 | % | | | 0.55 | % | | | 0.55 | % | | | 83 | % | | |
| | $19.65 | | | | 22.35 | % | | | $719,389 | | | | 0.49 | % | | | 0.49 | % | | | 0.55 | %8 | | | 0.88 | %7 | | | 62 | % | | |
| | $16.06 | | | | 17.49 | % | | | $490,442 | | | | 0.50 | % | | | 0.49 | % | | | 0.58 | % | | | 1.69 | %14 | | | 68 | % | | |
| | $13.89 | | | | (2.68 | )% | | | $302,755 | | | | 0.50 | % | | | 0.49 | % | | | 0.67 | % | | | 1.07 | % | | | 162 | % | | |
| | $14.40 | | | | 18.60 | % | | | $124,491 | | | | 0.49 | % | | | 0.49 | % | | | 0.98 | % | | | 1.37 | % | | | 180 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $19.92 | | | | (0.10 | )% | | | $68,535 | | | | 0.70 | % | | | 0.70 | % | | | 0.77 | % | | | 0.81 | % | | | 90 | % | | |
| | $21.85 | | | | 16.59 | % | | | $79,272 | | | | 0.74 | % | | | 0.74 | % | | | 0.83 | % | | | 0.30 | % | | | 83 | % | | |
| | $19.61 | | | | 22.18 | % | | | $70,265 | | | | 0.74 | % | | | 0.74 | % | | | 0.83 | %8 | | | 0.64 | %7 | | | 62 | % | | |
| | $16.05 | | | | 0.19 | % | | | $58,422 | | | | 0.75 | % | | | 0.74 | % | | | 0.82 | % | | | 1.19 | %14 | | | 68 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $19.94 | | | | 0.28 | % | | | $62,973 | | | | 0.31 | % | | | 0.31 | % | | | 0.36 | % | | | 1.09 | % | | | 90 | % | | |
| | $21.89 | | | | (0.05 | )% | | | $131 | | | | 0.39 | % | | | 0.39 | % | | | 0.48 | % | | | 0.75 | % | | | 83 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $19.10 | | | | 1.17 | % | | | $316,232 | | | | 0.63 | % | | | 0.62 | % | | | 0.68 | % | | | 0.69 | %17 | | | 86 | % | | |
| | $21.09 | | | | 3.07 | % | | | $301,173 | | | | 0.65 | % | | | 0.65 | % | | | 0.68 | % | | | 0.01 | %13 | | | 83 | % | | |
| | $21.77 | | | | 32.50 | % | | | $242,675 | | | | 0.65 | % | | | 0.65 | % | | | 0.68 | %8,9 | | | 0.60 | %7 | | | 49 | % | | |
| | $16.43 | | | | 19.62 | % | | | $145,770 | | | | 0.66 | % | | | 0.65 | % | | | 0.72 | % | | | 1.44 | %14 | | | 73 | % | | |
| | $13.89 | | | | (2.62 | )% | | | $100,534 | | | | 0.66 | % | | | 0.65 | % | | | 0.85 | % | | | 0.26 | % | | | 121 | % | | |
| | $14.39 | | | | 27.69 | % | | | $54,505 | | | | 0.65 | % | | | 0.65 | % | | | 1.85 | % | | | 0.66 | % | | | 380 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $18.99 | | | | 0.89 | % | | | $8,195 | | | | 0.88 | % | | | 0.87 | % | | | 0.94 | % | | | 0.43 | %17 | | | 86 | % | | |
| | $21.00 | | | | 2.83 | % | | | $7,189 | | | | 0.90 | % | | | 0.90 | % | | | 1.04 | % | | | (0.26 | )%13 | | | 83 | % | | |
| | $21.73 | | | | 32.26 | % | | | $1,668 | | | | 0.90 | % | | | 0.90 | % | | | 4.82 | %8,9 | | | 0.18 | %7 | | | 49 | % | | |
| | $16.43 | | | | 2.11 | % | | | $10 | | | | 0.90 | % | | | 0.90 | % | | | 135.33 | %15 | | | 3.36 | %14 | | | 73 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $19.09 | | | | 1.25 | % | | | $77,416 | | | | 0.50 | % | | | 0.50 | % | | | 0.59 | % | | | 0.62 | %17 | | | 86 | % | | |
| | $21.10 | | | | (4.44 | )% | | | $96 | | | | 0.55 | % | | | 0.55 | % | | | 0.63 | % | | | 0.13 | %13 | | | 83 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
177
| | |
| Financial Highlights | | September 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 INTERNATIONAL MOMENTUM STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 14.95 | | | | 0.28 | | | | (1.51 | ) | | | (1.23 | ) | | | (0.31 | ) | | | (0.17 | ) | | | (0.48 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 15.29 | | | | 0.27 | 13 | | | (0.36 | ) | | | (0.09 | ) | | | (0.25 | ) | | | — | | | | (0.25 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 13.09 | | | | 0.22 | 7 | | | 1.98 | | | | 2.20 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | $ | 11.37 | | | | 0.29 | | | | 1.74 | | | | 2.03 | | | | (0.31 | ) | | | — | | | | (0.31 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011† | | $ | 13.62 | | | | 0.29 | | | | (2.26 | ) | | | (1.97 | ) | | | (0.28 | ) | | | — | | | | (0.28 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2010†,^ | | $ | 11.98 | | | | 0.08 | | | | 1.62 | | | | 1.70 | | | | (0.05 | ) | | | (0.01 | ) | | | (0.06 | ) |
| AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 14.89 | | | | 0.25 | | | | (1.51 | ) | | | (1.26 | ) | | | (0.27 | ) | | | (0.17 | ) | | | (0.44 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 15.25 | | | | 0.22 | 13 | | | (0.35 | ) | | | (0.13 | ) | | | (0.23 | ) | | | — | | | | (0.23 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 13.08 | | | | 0.25 | 7 | | | 1.92 | | | | 2.17 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1210—12/31/12 | | $ | 12.95 | | | | — | | | | 0.13 | | | | 0.13 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 14.94 | | | | 0.33 | | | | (1.53 | ) | | | (1.20 | ) | | | (0.34 | ) | | | (0.17 | ) | | | (0.51 | ) |
| FOR THE PERIOD 7/10/1410—9/30/14 | | $ | 15.54 | | | | 0.05 | 13 | | | (0.65 | ) | | | (0.60 | ) | | | — | | | | — | | | | — | |
| AQR EMERGING MOMENTUM STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 10.02 | | | | 0.20 | | | | (1.84 | ) | | | (1.64 | ) | | | (0.09 | ) | | | — | | | | (0.09 | ) |
| FOR THE PERIOD 5/13/146—9/30/14 | | $ | 10.00 | | | | 0.09 | | | | (0.07 | ) | | | 0.02 | | | | — | | | | — | | | | — | |
| AQR EMERGING MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 10.01 | | | | 0.16 | | | | (1.82 | ) | | | (1.66 | ) | | | (0.08 | ) | | | — | | | | (0.08 | ) |
| FOR THE PERIOD 5/13/146—9/30/14 | | $ | 10.00 | | | | 0.09 | | | | (0.08 | ) | | | 0.01 | | | | — | | | | — | | | | — | |
| AQR EMERGING MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 10.02 | | | | 0.19 | | | | (1.81 | ) | | | (1.62 | ) | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| FOR THE PERIOD 7/10/1410—9/30/14 | | $ | 10.63 | | | | 0.05 | | | | (0.66 | )12 | | | (0.61 | ) | | | — | | | | — | | | | — | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 15.90 | | | | 0.18 | | | | (0.19 | ) | | | (0.01 | ) | | | (0.08 | ) | | | (0.27 | ) | | | (0.35 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 13.60 | | | | 0.09 | | | | 2.36 | | | | 2.45 | | | | (0.04 | ) | | | (0.11 | ) | | | (0.15 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 11.13 | | | | 0.09 | 7 | | | 2.38 | | | | 2.47 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 1/27/126—12/31/12 | | $ | 10.00 | | | | 0.19 | 14 | | | 1.17 | | | | 1.36 | | | | (0.14 | ) | | | (0.09 | ) | | | (0.23 | ) |
| AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 15.86 | | | | 0.15 | | | | (0.20 | ) | | | (0.05 | ) | | | (0.04 | ) | | | (0.27 | ) | | | (0.31 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 13.57 | | | | 0.04 | | | | 2.37 | | | | 2.41 | | | | (0.01 | ) | | | (0.11 | ) | | | (0.12 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 11.13 | | | | 0.07 | 7 | | | 2.37 | | | | 2.44 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1210—12/31/12 | | $ | 11.12 | | | | 0.01 | 14 | | | 0.00 | 11 | | | 0.01 | | | | — | | | | — | | | | — | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 15.90 | | | | 0.19 | | | | (0.19 | ) | | | 0.00 | 11 | | | (0.09 | ) | | | (0.27 | ) | | | (0.36 | ) |
| FOR THE PERIOD 7/10/1410—9/30/14 | | $ | 15.78 | | | | 0.03 | | | | 0.09 | | | | 0.12 | | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
178
| | |
| Financial Highlights | | September 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
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)4 | | | Expenses, Before
Reimbursements
and/or Waivers4 | | | Net Investment
Income (Loss) | | | Portfolio
Turnover
Rate5 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.24 | | | | (8.40 | )% | | | $257,299 | | | | 0.60 | % | | | 0.60 | % | | | 0.68 | % | | | 1.95 | % | | | 112 | % | | |
| | $14.95 | | | | (0.64 | )% | | | $279,838 | | | | 0.65 | % | | | 0.65 | % | | | 0.71 | % | | | 1.73 | %13 | | | 98 | % | | |
| | $15.29 | | | | 16.81 | % | | | $219,002 | | | | 0.65 | % | | | 0.65 | % | | | 0.73 | %8 | | | 2.09 | %7 | | | 76 | % | | |
| | $13.09 | | | | 17.92 | % | | | $127,673 | | | | 0.66 | % | | | 0.65 | % | | | 0.80 | % | | | 2.41 | % | | | 116 | % | | |
| | $11.37 | | | | (14.42 | )% | | | $77,225 | | | | 0.66 | % | | | 0.65 | % | | | 0.97 | % | | | 2.23 | % | | | 203 | % | | |
| | $13.62 | | | | 14.20 | % | | | $62,091 | | | | 0.65 | % | | | 0.65 | % | | | 1.46 | % | | | 1.44 | % | | | 269 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.19 | | | | (8.62 | )% | | | $35,343 | | | | 0.85 | % | | | 0.85 | % | | | 0.94 | % | | | 1.71 | % | | | 112 | % | | |
| | $14.89 | | | | (0.91 | )% | | | $40,054 | | | | 0.90 | % | | | 0.90 | % | | | 1.00 | % | | | 1.42 | %13 | | | 98 | % | | |
| | $15.25 | | | | 16.59 | % | | | $41,503 | | | | 0.90 | % | | | 0.90 | % | | | 1.03 | %8 | | | 2.28 | %7 | | | 76 | % | | |
| | $13.08 | | | | 1.00 | % | | | $11 | | | | 0.90 | % | | | 0.90 | % | | | 132.42 | %15 | | | 0.25 | % | | | 116 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.23 | | | | (8.24 | )% | | | $31,058 | | | | 0.46 | % | | | 0.46 | % | | | 0.55 | % | | | 2.31 | % | | | 112 | % | | |
| | $14.94 | | | | (3.86 | )% | | | $96 | | | | 0.55 | % | | | 0.55 | % | | | 0.64 | % | | | 1.38 | %13 | | | 98 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.29 | | | | (16.45 | )% | | | $6,612 | | | | 0.75 | % | | | 0.75 | % | | | 2.92 | % | | | 2.06 | % | | | 159 | % | | |
| | $10.02 | | | | 0.20 | % | | | $6,260 | | | | 0.80 | % | | | 0.80 | % | | | 4.03 | %8,9 | | | 2.27 | % | | | 72 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.27 | | | | (16.72 | )% | | | $1,132 | | | | 1.00 | % | | | 1.00 | % | | | 3.17 | % | | | 1.68 | % | | | 159 | % | | |
| | $10.01 | | | | 0.10 | % | | | $1,034 | | | | 1.05 | % | | | 1.05 | % | | | 4.18 | %8,9 | | | 2.13 | % | | | 72 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.30 | | | | (16.34 | )% | | | $80 | | | | 0.66 | % | | | 0.66 | % | | | 3.02 | % | | | 1.93 | % | | | 159 | % | | |
| | $10.02 | | | | (5.74 | )% | | | $94 | | | | 0.70 | % | | | 0.70 | % | | | 3.73 | %8,9 | | | 2.01 | % | | | 72 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $15.54 | | | | (0.16 | )% | | | $56,141 | | | | 0.48 | % | | | 0.48 | % | | | 0.65 | % | | | 1.08 | % | | | 62 | % | | |
| | $15.90 | | | | 18.15 | % | | | $101,336 | | | | 0.54 | % | | | 0.54 | % | | | 0.69 | % | | | 0.57 | % | | | 153 | % | | |
| | $13.60 | | | | 22.19 | % | | | $21,709 | | | | 0.54 | % | | | 0.54 | % | | | 1.41 | %8,9 | | | 1.00 | %7 | | | 178 | % | | |
| | $11.13 | | | | 13.67 | % | | | $6,041 | | | | 0.55 | % | | | 0.54 | % | | | 4.57 | % | | | 1.89 | %14 | | | 93 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $15.50 | | | | (0.39 | )% | | | $147 | | | | 0.64 | % | | | 0.64 | % | | | 0.75 | % | | | 0.89 | % | | | 62 | % | | |
| | $15.86 | | | | 17.81 | % | | | $137 | | | | 0.79 | % | | | 0.79 | % | | | 1.60 | % | | | 0.30 | % | | | 153 | % | | |
| | $13.57 | | | | 21.92 | % | | | $115 | | | | 0.79 | % | | | 0.79 | % | | | 4.11 | %8,9 | | | 0.71 | %7 | | | 178 | % | | |
| | $11.13 | | | | 0.09 | % | | | $10 | | | | 0.79 | % | | | 0.79 | % | | | 15.32 | %15 | | | 2.41 | %14 | | | 93 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $15.54 | | | | (0.09 | )% | | | $70,197 | | | | 0.31 | % | | | 0.31 | % | | | 0.43 | % | | | 1.15 | % | | | 62 | % | | |
| | $15.90 | | | | 0.76 | % | | | $101 | | | | 0.44 | % | | | 0.44 | % | | | 0.67 | % | | | 0.77 | % | | | 153 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
179
| | |
| Financial Highlights | | September 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 TM SMALL CAP MOMENTUM STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $14.72 | | | | 0.11 | 17 | | | 0.23 | 12 | | | 0.34 | | | | (0.01 | ) | | | (0.54 | ) | | | (0.55 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $14.85 | | | | 0.01 | | | | 0.15 | | | | 0.16 | | | | (0.04 | ) | | | (0.25 | ) | | | (0.29 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $11.15 | | | | 0.05 | 7 | | | 3.65 | | | | 3.70 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 1/27/126—12/31/12 | | | $10.00 | | | | 0.19 | 14 | | | 1.11 | | | | 1.30 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $14.67 | | | | 0.07 | 17 | | | 0.24 | 12 | | | 0.31 | | | | — | | | | (0.54 | ) | | | (0.54 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $14.81 | | | | (0.03 | ) | | | 0.14 | | | | 0.11 | | | | (0.00 | )11 | | | (0.25 | ) | | | (0.25 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $11.15 | | | | 0.03 | 7 | | | 3.63 | | | | 3.66 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1210—12/31/12 | | | $10.91 | | | | 0.02 | 14 | | | 0.22 | | | | 0.24 | | | | — | | | | — | | | | — | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $14.72 | | | | 0.12 | 17 | | | 0.24 | 12 | | | 0.36 | | | | (0.04 | ) | | | (0.54 | ) | | | (0.58 | ) |
| FOR THE PERIOD 7/10/1410—9/30/14 | | | $15.45 | | | | 0.01 | | | | (0.74 | )12 | | | (0.73 | ) | | | — | | | | — | | | | — | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS I16 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $13.09 | | | | 0.20 | | | | (1.28 | ) | | | (1.08 | ) | | | (0.25 | ) | | | (0.06 | ) | | | (0.31 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $13.18 | | | | 0.23 | 13 | | | (0.10 | ) | | | 0.13 | | | | (0.06 | ) | | | (0.16 | ) | | | (0.22 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $11.24 | | | | 0.20 | | | | 1.74 | | | | 1.94 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 1/27/126—12/31/12 | | | $10.00 | | | | 0.23 | | | | 1.22 | | | | 1.45 | | | | (0.19 | ) | | | (0.02 | ) | | | (0.21 | ) |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $13.06 | | | | 0.21 | | | | (1.30 | ) | | | (1.09 | ) | | | (0.23 | ) | | | (0.06 | ) | | | (0.29 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $13.15 | | | | 0.17 | 13 | | | (0.08 | ) | | | 0.09 | | | | (0.02 | ) | | | (0.16 | ) | | | (0.18 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $11.24 | | | | 0.20 | | | | 1.71 | | | | 1.91 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1210—12/31/12 | | | $11.14 | | | | — | | | | 0.10 | | | | 0.10 | | | | — | | | | — | | | | — | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $13.09 | | | | 0.31 | | | | (1.37 | ) | | | (1.06 | ) | | | (0.27 | ) | | | (0.06 | ) | | | (0.33 | ) |
| FOR THE PERIOD 7/10/1410—9/30/14 | | | $13.66 | | | | 0.03 | 13 | | | (0.60 | ) | | | (0.57 | ) | | | — | | | | — | | | | — | |
| AQR LARGE CAP DEFENSIVE STYLE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $14.07 | | | | 0.24 | | | | 1.04 | | | | 1.28 | | | | (0.29 | ) | | | (0.42 | ) | | | (0.71 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $12.20 | | | | 0.20 | | | | 1.79 | | | | 1.99 | | | | (0.08 | ) | | | (0.04 | ) | | | (0.12 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $10.16 | | | | 0.15 | | | | 1.89 | | | | 2.04 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/126—12/31/12 | | | $10.00 | | | | 0.14 | 14 | | | 0.10 | | | | 0.24 | | | | (0.07 | ) | | | (0.01 | ) | | | (0.08 | ) |
| AQR LARGE CAP DEFENSIVE STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $14.04 | | | | 0.20 | | | | 1.05 | | | | 1.25 | | | | (0.23 | ) | | | (0.42 | ) | | | (0.65 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $12.19 | | | | 0.17 | | | | 1.79 | | | | 1.96 | | | | (0.07 | ) | | | (0.04 | ) | | | (0.11 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $10.18 | | | | 0.13 | | | | 1.88 | | | | 2.01 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/126—12/31/12 | | | $10.00 | | | | 0.08 | 14 | | | 0.15 | | | | 0.23 | | | | (0.04 | ) | | | (0.01 | ) | | | (0.05 | ) |
| AQR LARGE CAP DEFENSIVE STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $14.07 | | | | 0.26 | | | | 1.03 | | | | 1.29 | | | | (0.32 | ) | | | (0.42 | ) | | | (0.74 | ) |
| FOR THE PERIOD 9/02/1410—9/30/14 | | | $14.13 | | | | 0.02 | | | | (0.08 | )12 | | | (0.06 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
180
| | |
| Financial Highlights | | September 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
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)4 | | | Expenses, Before
Reimbursements
and/or Waivers4 | | | Net Investment
Income (Loss) | | | Portfolio
Turnover
Rate5 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.51 | | | | 2.13 | % | | | $19,992 | | | | 0.64 | % | | | 0.64 | % | | | 1.34 | % | | | 0.68 | %17 | | | 111 | % | | |
| | $14.72 | | | | 0.98 | % | | | $14,690 | | | | 0.70 | % | | | 0.70 | % | | | 1.61 | % | | | 0.04 | % | | | 154 | % | | |
| | $14.85 | | | | 33.18 | % | | | $6,764 | | | | 0.70 | % | | | 0.70 | % | | | 2.67 | %8,9 | | | 0.49 | %7 | | | 81 | % | | |
| | $11.15 | | | | 13.01 | % | | | $3,435 | | | | 0.71 | % | | | 0.70 | % | | | 5.77 | % | | | 1.91 | %14 | | | 93 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.44 | | | | 1.90 | % | | | $127 | | | | 0.86 | % | | | 0.86 | % | | | 1.49 | % | | | 0.45 | %17 | | | 111 | % | | |
| | $14.67 | | | | 0.69 | % | | | $125 | | | | 0.95 | % | | | 0.95 | % | | | 2.44 | % | | | (0.21 | )% | | | 154 | % | | |
| | $14.81 | | | | 32.83 | % | | | $122 | | | | 0.95 | % | | | 0.95 | % | | | 5.05 | %8,9 | | | 0.26 | %7 | | | 81 | % | | |
| | $11.15 | | | | 2.20 | % | | | $10 | | | | 0.95 | % | | | 0.95 | % | | | 12.32 | % | | | 4.19 | %14 | | | 93 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.50 | | | | 2.23 | % | | | $97 | | | | 0.54 | % | | | 0.54 | % | | | 1.24 | % | | | 0.77 | %17 | | | 111 | % | | |
| | $14.72 | | | | (4.72 | )% | | | $95 | | | | 0.60 | % | | | 0.60 | % | | | 1.65 | % | | | 0.22 | % | | | 154 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.70 | | | | (8.36 | )% | | | $23,699 | | | | 0.65 | % | | | 0.65 | % | | | 0.94 | % | | | 1.57 | % | | | 147 | % | | |
| | $13.09 | | | | 0.97 | % | | | $81,624 | | | | 0.70 | % | | | 0.70 | % | | | 0.91 | % | | | 1.73 | %13 | | | 185 | % | | |
| | $13.18 | | | | 17.26 | % | | | $17,418 | | | | 0.70 | % | | | 0.70 | % | | | 2.31 | %8,9 | | | 2.14 | % | | | 154 | % | | |
| | $11.24 | | | | 14.46 | % | | | $5,739 | | | | 0.71 | % | | | 0.70 | % | | | 5.28 | % | | | 2.38 | % | | | 131 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.68 | | | | (8.51 | )% | | | $103 | | | | 0.79 | % | | | 0.78 | % | | | 1.03 | % | | | 1.69 | % | | | 147 | % | | |
| | $13.06 | | | | 0.69 | % | | | $112 | | | | 0.95 | % | | | 0.95 | % | | | 1.92 | % | | | 1.26 | %13 | | | 185 | % | | |
| | $13.15 | | | | 16.99 | % | | | $111 | | | | 0.95 | % | | | 0.95 | % | | | 5.00 | %8,9 | | | 2.19 | % | | | 154 | % | | |
| | $11.24 | | | | 0.90 | % | | | $10 | | | | 0.95 | % | | | 0.95 | % | | | 15.82 | %15 | | | 0.15 | % | | | 131 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.70 | | | | (8.25 | )% | | | $48,003 | | | | 0.46 | % | | | 0.46 | % | | | 0.70 | % | | | 2.40 | % | | | 147 | % | | |
| | $13.09 | | | | (4.17 | )% | | | $96 | | | | 0.60 | % | | | 0.60 | % | | | 0.94 | % | | | 1.13 | %13 | | | 185 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.64 | | | | 9.13 | % | | | $158,468 | | | | 0.45 | % | | | 0.45 | % | | | 0.55 | % | | | 1.65 | % | | | 24 | % | | |
| | $14.07 | | | | 16.44 | % | | | $224,826 | | | | 0.49 | % | | | 0.49 | % | | | 0.62 | % | | | 1.51 | % | | | 16 | % | | |
| | $12.20 | | | | 20.08 | % | | | $155,660 | | | | 0.52 | % | | | 0.52 | % | | | 0.93 | %8 | | | 1.69 | % | | | 106 | % | | |
| | $10.16 | | | | 2.34 | % | | | $7,842 | | | | 0.75 | % | | | 0.75 | % | | | 3.90 | % | | | 2.90 | %14 | | | 141 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.64 | | | | 8.97 | % | | | $30,629 | | | | 0.70 | % | | | 0.70 | % | | | 0.81 | % | | | 1.38 | % | | | 24 | % | | |
| | $14.04 | | | | 16.16 | % | | | $28,843 | | | | 0.74 | % | | | 0.74 | % | | | 0.92 | % | | | 1.26 | % | | | 16 | % | | |
| | $12.19 | | | | 19.74 | % | | | $20,736 | | | | 0.77 | % | | | 0.77 | % | | | 1.48 | %8 | | | 1.44 | % | | | 106 | % | | |
| | $10.18 | | | | 2.29 | % | | | $421 | | | | 1.00 | % | | | 1.00 | % | | | 9.36 | % | | | 1.70 | %14 | | | 141 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.62 | | | | 9.23 | % | | | $109 | | | | 0.35 | % | | | 0.34 | % | | | 0.45 | % | | | 1.76 | % | | | 24 | % | | |
| | $14.07 | | | | (0.42 | )% | | | $100 | | | | 0.39 | % | | | 0.39 | % | | | 0.54 | % | | | 1.69 | % | | | 16 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | �� | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
181
| | |
| Financial Highlights | | September 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 INTERNATIONAL DEFENSIVE STYLE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $12.37 | | | | 0.28 | | | | (1.10 | ) | | | (0.82 | ) | | | (0.32 | ) | | | (0.28 | ) | | | (0.60 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $11.88 | | | | 0.31 | | | | 0.47 | | | | 0.78 | | | | (0.17 | ) | | | (0.12 | ) | | | (0.29 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $10.67 | | | | 0.23 | | | | 0.98 | | | | 1.21 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/126—12/31/12 | | | $10.00 | | | | 0.10 | | | | 0.67 | | | | 0.77 | | | | (0.06 | ) | | | (0.04 | ) | | | (0.10 | ) |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $12.35 | | | | 0.23 | | | | (1.10 | ) | | | (0.87 | ) | | | — | | | | (0.28 | ) | | | (0.28 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $11.88 | | | | 0.27 | | | | 0.47 | | | | 0.74 | | | | (0.15 | ) | | | (0.12 | ) | | | (0.27 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $10.69 | | | | 0.20 | | | | 0.99 | | | | 1.19 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/126—12/31/12 | | | $10.00 | | | | 0.08 | | | | 0.68 | | | | 0.76 | | | | (0.03 | ) | | | (0.04 | ) | | | (0.07 | ) |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $12.37 | | | | 0.29 | | | | (1.10 | ) | | | (0.81 | ) | | | (0.34 | ) | | | (0.28 | ) | | | (0.62 | ) |
| FOR THE PERIOD 9/02/1410—9/30/14 | | | $13.02 | | | | 0.03 | | | | (0.68 | )12 | | | (0.65 | ) | | | — | | | | — | | | | — | |
| AQR EMERGING DEFENSIVE STYLE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $10.46 | | | | 0.19 | | | | (2.26 | ) | | | (2.07 | ) | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $10.27 | | | | 0.25 | 13 | | | 0.03 | 12 | | | 0.28 | | | | (0.09 | ) | | | (0.00 | )11 | | | (0.09 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $10.92 | | | | 0.20 | | | | (0.85 | ) | | | (0.65 | ) | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/126—12/31/12 | | | $10.00 | | | | 0.10 | | | | 0.94 | | | | 1.04 | | | | (0.09 | ) | | | (0.03 | ) | | | (0.12 | ) |
| AQR EMERGING DEFENSIVE STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $10.45 | | | | 0.12 | | | | (2.23 | ) | | | (2.11 | ) | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $10.26 | | | | 0.18 | 13 | | | 0.08 | 12 | | | 0.26 | | | | (0.07 | ) | | | (0.00 | )11 | | | (0.07 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $10.93 | | | | 0.16 | | | | (0.83 | ) | | | (0.67 | ) | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/126—12/31/12 | | | $10.00 | | | | 0.08 | | | | 0.94 | | | | 1.02 | | | | (0.06 | ) | | | (0.03 | ) | | | (0.09 | ) |
| AQR EMERGING DEFENSIVE STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $10.46 | | | | 0.21 | | | | (2.27 | ) | | | (2.06 | ) | | | (0.19 | ) | | | — | | | | (0.19 | ) |
| FOR THE PERIOD 9/02/1410—9/30/14 | | | $11.15 | | | | 0.03 | 13 | | | (0.72 | ) | | | (0.69 | ) | | | — | | | | — | | | | — | |
| AQR GLOBAL EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $8.91 | | | | 0.12 | 17 | | | (0.23 | ) | | | (0.11 | ) | | | (0.15 | ) | | | (0.85 | ) | | | (1.00 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $13.33 | | | | 0.15 | 13 | | | 1.13 | | | | 1.28 | | | | (0.39 | ) | | | (5.31 | ) | | | (5.70 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $11.35 | | | | 0.14 | | | | 1.84 | | | | 1.98 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $9.99 | | | | 0.20 | | | | 1.69 | | | | 1.89 | | | | (0.29 | ) | | | (0.24 | ) | | | (0.53 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011 | | | $10.97 | | | | 0.21 | | | | (0.95 | ) | | | (0.74 | ) | | | (0.11 | ) | | | (0.13 | ) | | | (0.24 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2010 | | | $10.00 | | | | 0.16 | | | | 1.25 | | | | 1.41 | | | | (0.36 | ) | | | (0.08 | ) | | | (0.44 | ) |
| AQR GLOBAL EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $8.85 | | | | 0.10 | 17 | | | (0.23 | ) | | | (0.13 | ) | | | (0.14 | ) | | | (0.85 | ) | | | (0.99 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $13.27 | | | | 0.12 | 13 | | | 1.12 | | | | 1.24 | | | | (0.35 | ) | | | (5.31 | ) | | | (5.66 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $11.32 | | | | 0.11 | | | | 1.84 | | | | 1.95 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $9.97 | | | | 0.16 | | | | 1.70 | | | | 1.86 | | | | (0.27 | ) | | | (0.24 | ) | | | (0.51 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011 | | | $10.97 | | | | 0.16 | | | | (0.94 | ) | | | (0.78 | ) | | | (0.09 | ) | | | (0.13 | ) | | | (0.22 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2010† | | | $10.00 | | | | 0.13 | | | | 1.25 | | | | 1.38 | | | | (0.33 | ) | | | (0.08 | ) | | | (0.41 | ) |
| AQR GLOBAL EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $8.96 | | | | 0.14 | 17 | | | (0.24 | ) | | | (0.10 | ) | | | (0.16 | ) | | | (0.85 | ) | | | (1.01 | ) |
| FOR THE PERIOD 1/08/1410—9/30/14 | | | $8.70 | | | | 0.15 | 13 | | | 0.11 | | | | 0.26 | | | | — | | | | — | | | | — | |
| AQR GLOBAL EQUITY FUND CLASS Y | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015† | | | $8.97 | | | | 0.16 | 17 | | | (0.24 | ) | | | (0.08 | ) | | | (0.18 | ) | | | (0.85 | ) | | | (1.03 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014† | | | $13.38 | | | | 0.18 | 13 | | | 1.15 | | | | 1.33 | | | | (0.43 | ) | | | (5.31 | ) | | | (5.74 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013† | | | $11.35 | | | | 0.18 | | | | 1.85 | | | | 2.03 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012† | | | $10.00 | | | | 0.24 | | | | 1.70 | | | | 1.94 | | | | (0.35 | ) | | | (0.24 | ) | | | (0.59 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011 | | | $10.99 | | | | 0.24 | | | | (0.94 | ) | | | (0.70 | ) | | | (0.16 | ) | | | (0.13 | ) | | | (0.29 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2010 | | | $10.00 | | | | 0.18 | | | | 1.27 | | | | 1.45 | | | | (0.38 | ) | | | (0.08 | ) | | | (0.46 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
182
| | |
| Financial Highlights | | September 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
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)4 | | | Expenses, Before
Reimbursements
and/or Waivers4 | | | Net Investment
Income (Loss) | | | Portfolio
Turnover
Rate5 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.95 | | | | (6.89 | )% | | | $34,191 | | | | 0.60 | % | | | 0.60 | % | | | 1.11 | % | | | 2.40 | % | | | 47 | % | | |
| | $12.37 | | | | 6.68 | % | | | $27,316 | | | | 0.65 | % | | | 0.65 | % | | | 1.24 | % | | | 2.53 | % | | | 57 | % | | |
| | $11.88 | | | | 11.34 | % | | | $17,631 | | | | 0.73 | % | | | 0.73 | % | | | 2.01 | %8,9 | | | 2.68 | % | | | 115 | % | | |
| | $10.67 | | | | 7.69 | % | | | $5,366 | | | | 0.90 | % | | | 0.90 | % | | | 5.00 | % | | | 1.91 | % | | | 81 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.20 | | | | (7.15 | )% | | | $141 | | | | 0.86 | % | | | 0.86 | % | | | 1.43 | % | | | 1.94 | % | | | 47 | % | | |
| | $12.35 | | | | 6.32 | % | | | $462 | | | | 0.90 | % | | | 0.90 | % | | | 1.85 | % | | | 2.18 | % | | | 57 | % | | |
| | $11.88 | | | | 11.13 | % | | | $1,153 | | | | 1.00 | % | | | 1.00 | % | | | 4.15 | %8,9 | | | 2.34 | % | | | 115 | % | | |
| | $10.69 | | | | 7.62 | % | | | $850 | | | | 1.15 | % | | | 1.15 | % | | | 6.96 | % | | | 1.61 | % | | | 81 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.94 | | | | (6.78 | )% | | | $89 | | | | 0.50 | % | | | 0.50 | % | | | 1.01 | % | | | 2.45 | % | | | 47 | % | | |
| | $12.37 | | | | (4.99 | )% | | | $95 | | | | 0.55 | % | | | 0.55 | % | | | 1.23 | % | | | 3.49 | % | | | 57 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.21 | | | | (20.07 | )% | | | $27,221 | | | | 0.76 | % | | | 0.76 | % | | | 1.12 | % | | | 1.92 | % | | | 117 | % | | |
| | $10.46 | | | | 2.78 | % | | | $70,070 | | | | 0.85 | % | | | 0.85 | % | | | 1.23 | % | | | 2.35 | %13 | | | 124 | % | | |
| | $10.27 | | | | (5.95 | )% | | | $29,471 | | | | 0.96 | % | | | 0.96 | % | | | 2.08 | %8 | | | 2.55 | % | | | 181 | % | | |
| | $10.92 | | | | 10.39 | % | | | $5,402 | | | | 1.15 | % | | | 1.15 | % | | | 4.14 | % | | | 1.92 | % | | | 38 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.34 | | | | (20.19 | )% | | | $54 | | | | 1.03 | % | | | 1.03 | % | | | 1.40 | % | | | 1.22 | % | | | 117 | % | | |
| | $10.45 | | | | 2.60 | % | | | $1,017 | | | | 1.10 | % | | | 1.10 | % | | | 1.68 | % | | | 1.73 | %13 | | | 124 | % | | |
| | $10.26 | | | | (6.13 | )% | | | $2,594 | | | | 1.25 | % | | | 1.25 | % | | | 3.50 | %8 | | | 2.06 | % | | | 181 | % | | |
| | $10.93 | | | | 10.22 | % | | | $1,804 | | | | 1.40 | % | | | 1.40 | % | | | 5.41 | % | | | 1.67 | % | | | 38 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.21 | | | | (19.96 | )% | | | $75 | | | | 0.66 | % | | | 0.65 | % | | | 1.08 | % | | | 2.16 | % | | | 117 | % | | |
| | $10.46 | | | | (6.19 | )% | | | $94 | | | | 0.70 | % | | | 0.70 | % | | | 1.36 | % | | | 4.04 | %13 | | | 124 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $7.80 | | | | (1.64 | )% | | | $34,186 | | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 1.49 | %17 | | | 73 | % | | |
| | $8.91 | | | | 11.55 | % | | | $2,492 | | | | 0.91 | % | | | 0.91 | % | | | 1.14 | % | | | 1.62 | %13 | | | 90 | % | | |
| | $13.33 | | | | 17.44 | % | | | $1,263 | | | | 0.95 | % | | | 0.95 | % | | | 2.27 | %8,9 | | | 1.46 | % | | | 71 | % | | |
| | $11.35 | | | | 18.95 | % | | | $626 | | | | 0.95 | % | | | 0.94 | % | | | 1.41 | % | | | 1.83 | % | | | 87 | % | | |
| | $9.99 | | | | (6.68 | )% | | | $2,103 | | | | 0.96 | % | | | 0.95 | % | | | 2.03 | % | | | 1.90 | % | | | 59 | % | | |
| | $10.97 | | | | 14.12 | % | | | $1,842 | | | | 0.79 | % | | | 0.79 | % | | | 0.79 | % | | | 1.41 | % | | | 72 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $7.73 | | | | (1.86 | )% | | | $765 | | | | 1.17 | % | | | 1.17 | % | | | 1.17 | % | | | 1.18 | %17 | | | 73 | % | | |
| | $8.85 | | | | 11.17 | % | | | $1,128 | | | | 1.21 | % | | | 1.21 | % | | | 1.60 | % | | | 1.28 | %13 | | | 90 | % | | |
| | $13.27 | | | | 17.23 | % | | | $712 | | | | 1.25 | % | | | 1.25 | % | | | 3.06 | %8,9 | | | 1.14 | % | | | 71 | % | | |
| | $11.32 | | | | 18.67 | % | | | $518 | | | | 1.25 | % | | | 1.24 | % | | | 1.87 | % | | | 1.51 | % | | | 87 | % | | |
| | $9.97 | | | | (7.03 | )% | | | $2,019 | | | | 1.27 | % | | | 1.26 | % | | | 3.22 | % | | | 1.46 | % | | | 59 | % | | |
| | $10.97 | | | | 13.83 | % | | | $1,498 | | | | 1.10 | % | | | 1.10 | % | | | 1.10 | % | | | 1.28 | % | | | 72 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $7.85 | | | | (1.47 | )% | | | $85,017 | | | | 0.70 | % | | | 0.70 | % | | | 0.71 | % | | | 1.69 | %17 | | | 73 | % | | |
| | $8.96 | | | | 2.99 | % | | | $76,031 | | | | 0.70 | % | | | 0.70 | % | | | 0.73 | % | | | 2.23 | %13 | | | 90 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $7.86 | | | | (1.29 | )% | | | $212,178 | | | | 0.51 | % | | | 0.51 | % | | | 0.51 | % | | | 1.88 | %17 | | | 73 | % | | |
| | $8.97 | | | | 11.99 | % | | | $212,652 | | | | 0.54 | % | | | 0.54 | % | | | 0.54 | % | | | 1.79 | %13 | | | 90 | % | | |
| | $13.38 | | | | 17.89 | % | | | $254,723 | | | | 0.51 | % | | | 0.51 | % | | | 0.51 | %8,9 | | | 1.88 | % | | | 71 | % | | |
| | $11.35 | | | | 19.45 | % | | | $474,413 | | | | 0.51 | % | | | 0.50 | % | | | 0.51 | % | | | 2.24 | % | | | 87 | % | | |
| | $10.00 | | | | (6.22 | )% | | | $397,662 | | | | 0.52 | % | | | 0.51 | % | | | 0.52 | % | | | 2.21 | % | | | 59 | % | | |
| | $10.99 | | | | 14.54 | % | | | $424,346 | | | | 0.50 | % | | | 0.50 | % | | | 0.71 | % | | | 1.81 | % | | | 72 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
183
| | |
| Financial Highlights | | September 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 INTERNATIONAL EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 10.99 | | | | 0.21 | | | | (0.71 | ) | | | (0.50 | ) | | | (0.33 | ) | | | (0.55 | ) | | | (0.88 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 11.88 | | | | 0.28 | 13 | | | (0.09 | ) | | | 0.19 | | | | (0.22 | ) | | | (0.86 | ) | | | (1.08 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 10.24 | | | | 0.17 | | | | 1.47 | | | | 1.64 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | $ | 8.60 | | | | 0.20 | | | | 1.76 | | | | 1.96 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011† | | $ | 10.45 | | | | 0.21 | | | | (1.78 | ) | | | (1.57 | ) | | | (0.21 | ) | | | (0.07 | ) | | | (0.28 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2010† | | $ | 9.78 | | | | 0.16 | | | | 0.84 | | | | 1.00 | | | | (0.24 | ) | | | (0.09 | ) | | | (0.33 | ) |
| AQR INTERNATIONAL EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 11.15 | | | | 0.17 | | | | (0.70 | ) | | | (0.53 | ) | | | (0.30 | ) | | | (0.55 | ) | | | (0.85 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 12.06 | | | | 0.25 | 13 | | | (0.10 | ) | | | 0.15 | | | | (0.20 | ) | | | (0.86 | ) | | | (1.06 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 10.43 | | | | 0.13 | | | | 1.50 | | | | 1.63 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | $ | 8.76 | | | | 0.19 | | | | 1.76 | | | | 1.95 | | | | (0.28 | ) | | | — | | | | (0.28 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011 | | $ | 10.61 | | | | 0.20 | | | | (1.83 | ) | | | (1.63 | ) | | | (0.15 | ) | | | (0.07 | ) | | | (0.22 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2010 | | $ | 9.91 | | | | 0.14 | | | | 0.88 | | | | 1.02 | | | | (0.23 | ) | | | (0.09 | ) | | | (0.32 | ) |
AQR INTERNATIONAL EQUITY FUND
CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 11.56 | | | | 0.18 | | | | (0.68 | ) | | | (0.50 | ) | | | (0.35 | ) | | | (0.55 | ) | | | (0.90 | ) |
| FOR THE PERIOD 1/08/1410—9/30/14 | | $ | 12.08 | | | | 0.34 | 13 | | | (0.86 | ) | | | (0.52 | ) | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL EQUITY FUND CLASS Y | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015† | | $ | 11.58 | | | | 0.25 | | | | (0.73 | ) | | | (0.48 | ) | | | (0.37 | ) | | | (0.55 | ) | | | (0.92 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014† | | $ | 12.45 | | | | 0.31 | 13 | | | (0.07 | ) | | | 0.24 | | | | (0.25 | ) | | | (0.86 | ) | | | (1.11 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013† | | $ | 10.71 | | | | 0.21 | | | | 1.53 | | | | 1.74 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012† | | $ | 8.98 | | | | 0.25 | | | | 1.83 | | | | 2.08 | | | | (0.35 | ) | | | — | | | | (0.35 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011† | | $ | 10.89 | | | | 0.28 | | | | (1.88 | ) | | | (1.60 | ) | | | (0.24 | ) | | | (0.07 | ) | | | (0.31 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2010† | | $ | 10.16 | | | | 0.20 | | | | 0.89 | | | | 1.09 | | | | (0.27 | ) | | | (0.09 | ) | | | (0.36 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
184
| | |
| Financial Highlights | | September 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
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)4 | | | Expenses, Before
Reimbursements
and/or Waivers4 | | | Net Investment
Income (Loss) | | | Portfolio
Turnover
Rate5 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.61 | | | | (4.79 | )% | | $ | 320,807 | | | | 0.92 | % | | | 0.92 | % | | | 0.92 | % | | | 1.98 | % | | | 84 | % | | |
| $ | 10.99 | | | | 1.33 | % | | $ | 247,847 | | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 2.41 | %13 | | | 71 | % | | |
| $ | 11.88 | | | | 16.02 | % | | $ | 241,467 | | | | 0.90 | % | | | 0.90 | % | | | 0.90 | %8 | | | 2.11 | % | | | 59 | % | | |
| $ | 10.24 | | | | 22.87 | % | | $ | 196,971 | | | | 0.91 | % | | | 0.90 | % | | | 0.91 | % | | | 2.17 | % | | | 74 | % | | |
| $ | 8.60 | | | | (15.00 | )% | | $ | 138,229 | | | | 0.94 | % | | | 0.93 | % | | | 0.94 | % | | | 2.13 | % | | | 60 | % | | |
| $ | 10.45 | | | | 10.40 | % | | $ | 85,969 | | | | 0.90 | % | | | 0.90 | % | | | 1.03 | % | | | 1.72 | % | | | 93 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.77 | | | | (4.99 | )% | | $ | 36,174 | | | | 1.21 | % | | | 1.21 | % | | | 1.21 | % | | | 1.61 | % | | | 84 | % | | |
| $ | 11.15 | | | | 0.96 | % | | $ | 39,336 | | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 2.11 | %13 | | | 71 | % | | |
| $ | 12.06 | | | | 15.63 | % | | $ | 32,011 | | | | 1.29 | % | | | 1.29 | % | | | 1.29 | %8 | | | 1.52 | % | | | 59 | % | | |
| $ | 10.43 | | | | 22.41 | % | | $ | 15,562 | | | | 1.28 | % | | | 1.27 | % | | | 1.28 | % | | | 2.00 | % | | | 74 | % | | |
| $ | 8.76 | | | | (15.27 | )% | | $ | 1,167 | | | | 1.35 | % | | | 1.34 | % | | | 2.18 | % | | | 1.96 | % | | | 60 | % | | |
| $ | 10.61 | | | | 10.40 | % | | $ | 1,472 | | | | 1.25 | % | | | 1.25 | % | | | 3.50 | % | | | 1.51 | % | | | 93 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.16 | | | | (4.59 | )% | | $ | 32,648 | | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 1.61 | % | | | 84 | % | | |
| $ | 11.56 | | | | (4.30 | )% | | $ | 103,882 | | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % | | | 3.90 | %13 | | | 71 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.18 | | | | (4.35 | )% | | $ | 349,182 | | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 2.30 | % | | | 84 | % | | |
| $ | 11.58 | | | | 1.71 | % | | $ | 398,966 | | | | 0.54 | % | | | 0.54 | % | | | 0.54 | % | | | 2.54 | %13 | | | 71 | % | | |
| $ | 12.45 | | | | 16.25 | % | | $ | 543,667 | | | | 0.55 | % | | | 0.55 | % | | | 0.55 | %8 | | | 2.45 | % | | | 59 | % | | |
| $ | 10.71 | | | | 23.26 | % | | $ | 474,564 | | | | 0.56 | % | | | 0.55 | % | | | 0.56 | % | | | 2.52 | % | | | 74 | % | | |
| $ | 8.98 | | | | (14.66 | )% | | $ | 348,681 | | | | 0.58 | % | | | 0.57 | % | | | 0.58 | % | | | 2.63 | % | | | 60 | % | | |
| $ | 10.89 | | | | 10.84 | % | | $ | 371,799 | | | | 0.55 | % | | | 0.55 | % | | | 0.77 | % | | | 2.02 | % | | | 93 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
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| * | Annualized for periods less than one year. |
| † | Redemption fees of less than $0.005 per share were incurred by the share class. |
| ^ | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on SEC method. |
| 1 | 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 | Commencement of operations. |
| 7 | For the period ended September 30, 2013 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| | | | | | | | |
| FUND | | NET INVESTMENT
INCOME PER SHARE | | | NET INVESTMENT
INCOME RATIO | |
AQR Large Cap Multi-Style Fund—Class I | | | $0.06 | | | | 0.98 | % |
AQR Large Cap Multi-Style Fund—Class N | | | 0.04 | | | | 0.61 | |
AQR Small Cap Multi-Style Fund—Class I | | | 0.03 | | | | 0.38 | |
AQR Small Cap Multi-Style Fund—Class N | | | 0.01 | | | | 0.10 | |
AQR International Multi-Style Fund—Class I | | | 0.13 | | | | 2.08 | |
AQR International Multi-Style Fund—Class N | | | 0.15 | | | | 2.48 | |
AQR Large Cap Momentum Style Fund—Class I | | | 0.11 | | | | 0.80 | |
AQR Large Cap Momentum Style Fund—Class N | | | 0.08 | | | | 0.56 | |
AQR Small Cap Momentum Style Fund—Class I | | | 0.07 | | | | 0.52 | |
AQR Small Cap Momentum Style Fund—Class N | | | 0.01 | | | | 0.10 | |
AQR International Momentum Style Fund—Class I | | | 0.21 | | | | 1.97 | |
AQR International Momentum Style Fund—Class N | | | 0.23 | | | | 2.16 | |
AQR TM Large Cap Momentum Style Fund—Class I | | | 0.09 | | | | 0.92 | |
AQR TM Large Cap Momentum Style Fund—Class N | | | 0.07 | | | | 0.63 | |
AQR TM Small Cap Momentum Style Fund—Class I | | | 0.04 | | | | 0.37 | |
AQR TM Small Cap Momentum Style Fund—Class N | | | 0.01 | | | | 0.14 | |
| 8 | Certain expenses incurred by the Fund were not annualized for the period. |
| 9 | Ratios are disproportionate between classes due to size of net assets and fixed expenses. |
| 10 | Commencement of offering of shares. |
| 11 | Amount is less than $.005 per share. |
| 12 | The amount shown for a share outstanding throughout the period is not indicative of the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund. |
| 13 | For the period ended September 30, 2014 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| | | | | | | | |
| FUND | | NET INVESTMENT
INCOME PER SHARE | | | NET INVESTMENT
INCOME RATIO | |
AQR Small Cap Multi-Style Fund—Class I | | | $0.04 | | | | 0.28 | % |
AQR Small Cap Multi-Style Fund—Class N | | | (0.00 | ) | | | 0.02 | |
AQR Small Cap Multi-Style Fund—Class R6 | | | (0.00 | ) | | | 0.36 | |
AQR Small Cap Momentum Style Fund—Class I | | | (0.02 | ) | | | (0.07 | ) |
AQR Small Cap Momentum Style Fund—Class N | | | (0.08 | ) | | | (0.34 | ) |
AQR Small Cap Momentum Style Fund—Class R6 | | | (0.01 | ) | | | 0.05 | |
AQR International Momentum Style Fund—Class I | | | 0.25 | | | | 1.57 | |
AQR International Momentum Style Fund—Class N | | | 0.20 | | | | 1.26 | |
AQR International Momentum Style Fund—Class R6 | | | 0.03 | | | | 1.22 | |
AQR TM International Momentum Style Fund—Class I | | | 0.22 | | | | 1.63 | |
AQR TM International Momentum Style Fund—Class N | | | 0.16 | | | | 1.16 | |
AQR TM International Momentum Style Fund—Class R6 | | | 0.02 | | | | 1.03 | |
AQR Emerging Defensive Style Fund—Class I | | | 0.23 | | | | 2.13 | |
AQR Emerging Defensive Style Fund—Class N | | | 0.16 | | | | 1.51 | |
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| | The accompanying notes are an integral part of these financial statements. | | |
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| FUND | | NET INVESTMENT
INCOME PER SHARE | | | NET INVESTMENT
INCOME RATIO | |
AQR Emerging Defensive Style Fund—Class R6 | | $ | 0.01 | | | | 3.82 | % |
AQR Global Equity Fund—Class I | | | 0.14 | | | | 1.50 | |
AQR Global Equity Fund—Class N | | | 0.11 | | | | 1.16 | |
AQR Global Equity Fund—Class Y | | | 0.17 | | | | 1.67 | |
AQR Global Equity Fund—Class R6 | | | 0.14 | | | | 2.11 | |
AQR International Equity Fund—Class I | | | 0.26 | | | | 2.22 | |
AQR International Equity Fund—Class N | | | 0.23 | | | | 1.92 | |
AQR International Equity Fund—Class Y | | | 0.29 | | | | 2.35 | |
AQR International Equity Fund—Class R6 | | | 0.32 | | | | 3.71 | |
| 14 | For the period ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| | | | | | | | |
| FUND | | NET INVESTMENT
INCOME PER SHARE | | | NET INVESTMENT
INCOME RATIO | |
AQR Large Cap Momentum Style Fund—Class I . | | | $0.24 | | | | 1.57 | % |
AQR Large Cap Momentum Style Fund—Class N | | | 0.01 | | | | 1.07 | |
AQR Small Cap Momentum Style Fund—Class I | | | 0.15 | | | | 1.01 | |
AQR Small Cap Momentum Style Fund—Class N | | | 0.02 | | | | 2.93 | |
AQR TM Large Cap Momentum Style Fund—Class I | | | 0.17 | | | | 1.76 | |
AQR TM Large Cap Momentum Style Fund—Class N | | | 0.01 | | | | 2.28 | |
AQR TM Small Cap Momentum Style Fund—Class I | | | 0.12 | | | | 1.26 | |
AQR TM Small Cap Momentum Style Fund—Class N | | | 0.02 | | | | 3.54 | |
AQR Large Cap Defensive Style Fund—Class I | | | 0.11 | | | | 2.58 | |
AQR Large Cap Defensive Style Fund—Class N | | | 0.05 | | | | 1.38 | |
| 15 | The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized for the period. |
| 16 | Effective April 1, 2015, Class L Shares were renamed Class I Shares. |
| 17 | For the period ended September 30, 2015 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| | | | | | | | |
| FUND | | NET INVESTMENT
INCOME PER SHARE | | | NET INVESTMENT
INCOME RATIO | |
AQR Small Cap Multi-Style Fund—Class I | | | $0.10 | | | | 0.76 | % |
AQR Small Cap Multi-Style Fund—Class N | | | 0.07 | | | | 0.53 | |
AQR Small Cap Multi-Style Fund—Class R6 | | | 0.13 | | | | 1.05 | |
AQR International Multi-Style Fund—Class I | | | 0.25 | | | | 2.28 | |
AQR International Multi-Style Fund—Class N | | | 0.22 | | | | 2.02 | |
AQR International Multi-Style Fund—Class R6 | | | 0.28 | | | | 2.53 | |
AQR Small Cap Momentum Style Fund—Class I | | | 0.13 | | | | 0.58 | |
AQR Small Cap Momentum Style Fund—Class N | | | 0.07 | | | | 0.32 | |
AQR Small Cap Momentum Style Fund—Class R6 | | | 0.11 | | | | 0.51 | |
AQR TM Small Cap Momentum Style Fund—Class I | | | 0.09 | | | | 0.57 | |
AQR TM Small Cap Momentum Style Fund—Class N | | | 0.05 | | | | 0.34 | |
AQR TM Small Cap Momentum Style Fund—Class R6 | | | 0.10 | | | | 0.66 | |
AQR Global Equity Fund—Class I | | | 0.10 | | | | 1.26 | |
AQR Global Equity Fund—Class N | | | 0.08 | | | | 0.95 | |
AQR Global Equity Fund—Class R6 | | | 0.12 | | | | 1.46 | |
AQR Global Equity Fund—Class Y | | | 0.14 | | | | 1.65 | |
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| | The accompanying notes are an integral part of these financial statements. | | |
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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 September 30, 2015, the Trust consists of thirty-three active series, twenty of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund and AQR International Equity Fund. The remaining active series, which have a fiscal year-end of December 31st, are reported in a separate book. AQR Capital Management, LLC (the “Advisor”) serves as the investment advisor of each Fund.
Effective January 28, 2015, the Board of Trustees (“Board”) of the AQR Funds approved changing the names of the following Funds:
| | |
| NAME—PRIOR TO NAME CHANGE | | NAME—AFTER NAME CHANGE |
| AQR Core Equity Fund | | AQR Large Cap Multi-Style Fund |
| AQR Small Cap Core Equity Fund | | AQR Small Cap Multi-Style Fund |
| AQR International Core Equity Fund | | AQR International Multi-Style Fund |
| AQR Emerging Core Equity Fund | | AQR Emerging Multi-Style Fund |
| AQR Momentum Fund | | AQR Large Cap Momentum Style Fund |
| AQR Small Cap Momentum Fund | | AQR Small Cap Momentum Style Fund |
| AQR International Momentum Fund | | AQR International Momentum Style Fund |
| AQR Emerging Momentum Fund | | AQR Emerging Momentum Style Fund |
| AQR Tax-Managed Momentum Fund | | AQR TM Large Cap Momentum Style Fund |
| AQR Tax-Managed Small Cap Momentum Fund | | AQR TM Small Cap Momentum Style Fund |
| AQR Tax-Managed International Momentum Fund | | AQR TM International Momentum Style Fund |
| AQR U.S. Defensive Equity Fund | | AQR Large Cap Defensive Style Fund |
| AQR International Defensive Equity Fund | | AQR International Defensive Style Fund |
| AQR Emerging Defensive Equity Fund | | AQR Emerging Defensive Style Fund |
AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund and AQR TM Emerging Multi-Style Fund commenced operations on February 11, 2015.
The investment objective for AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR Global Equity Fund and AQR International Equity Fund is to seek long-term capital appreciation. The investment objective for AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund and AQR Emerging Defensive Style Fund is to seek total return. The investment objective for AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund and AQR TM International Momentum Style Fund is to seek long-term after-tax capital appreciation.
Effective April 1, 2015, the Board of Trustees of the AQR Funds approved the reclassification of Class L shares as Class I shares for the following Funds: AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, and AQR TM International Momentum Style Fund.
The Funds offer the following classes of shares:
| | |
| FUND | | CLASSES OFFERED |
| AQR Large Cap Multi-Style Fund | | Class I, Class N and Class R6 |
| AQR Small Cap Multi-Style Fund | | Class I, Class N and Class R6 |
| AQR International Multi-Style Fund | | Class I, Class N and Class R6 |
| AQR Emerging Multi-Style Fund | | Class I, Class N and Class R6 |
| AQR TM Large Cap Multi-Style Fund | | Class I, Class N and Class R6 |
| AQR TM Small Cap Multi-Style Fund | | Class I, Class N and Class R6 |
| AQR TM International Multi-Style Fund | | Class I, Class N and Class R6 |
| AQR TM Emerging Multi-Style Fund | | Class I, Class N and Class R6 |
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| FUND | | CLASSES OFFERED |
| AQR Large Cap Momentum Style Fund | | Class I, Class N and Class R6 |
| AQR Small Cap Momentum Style Fund | | Class I, Class N and Class R6 |
| AQR International Momentum Style Fund | | Class I, Class N and Class R6 |
| AQR Emerging Momentum Style Fund | | Class I, Class N and Class R6 |
| AQR TM Large Cap Momentum Style Fund | | Class I, Class N and Class R6 |
| AQR TM Small Cap Momentum Style Fund | | Class I, Class N and Class R6 |
| AQR TM International Momentum Style Fund | | Class I, Class N and Class R6 |
| AQR Large Cap Defensive Style Fund | | Class I, Class N and Class R6 |
| AQR International Defensive Style Fund | | Class I, Class N and Class R6 |
| AQR Emerging Defensive Style Fund | | Class I, Class N and Class R6 |
| AQR Global Equity Fund | | Class I, Class N, Class Y and Class R6 |
| AQR International Equity Fund | | Class I, Class N, Class Y and Class R6 |
2. Significant Accounting Policies
The following summarizes the significant accounting policies of the Funds:
Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Advisor to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 4.
Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a custodian bank(s).
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.
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. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.
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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 initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.
Federal Income Taxes: Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for federal income tax is necessary.
The Advisor evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The returns of the Funds for the prior three fiscal years, or since inception if shorter, are open for examination. As of September 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.
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 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.
3. Securities and Other Investments
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 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
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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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Securities Lending: Certain Funds may lend securities to qualified borrowers approved by the Advisor in order to generate additional income. Securities loaned are collateralized by cash valued at 102% to 105% of the market value of the securities on loan. The Funds invest cash collateral in money market funds as indicated on the Schedule of Investments, and record a liability in the Statements of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. Loans are subject to termination by the Funds or the borrower at any time. Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. In the event of a default by a borrower with respect to any loan, the lending agent will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. If, despite such efforts by the lending agent to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, the lending agent indemnifies the Funds by purchasing replacement securities at its expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in the Securities Lending Agency Agreement between the Funds and the lending agent. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. This amount is recorded as Securities lending income, net on the Statements of Operations. Certain of the securities on loan may have been sold prior to the close of the reporting period and are included in Receivables for Securities Sold on the Statements of Assets and Liabilities.
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.
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 options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms 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.
Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. 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. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on derivative instruments. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.
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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. Events of termination 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. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC 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 be material to the financial statements and 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 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 the Fund’s collateral in the custodian account helps mitigate counterparty risk.
Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which have been invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.
The Funds’ derivative assets and liabilities on the Statements of Assets and Liabilities are presented net only within a derivative type when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.
4. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of 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.
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) review of third party model prices against internal model prices, and (iv) review the 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.
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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.
Fixed income securities 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 value. These investments are categorized as Level 2 of the fair value hierarchy.
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 bid 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.
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The value of each total return swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.
The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
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 less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments:
| | | | | | | | | | | | | | | | |
| AQR LARGE CAP MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 1,068,716,575 | | | $ | 1,523,613 | | | $ | — | | | $ | 1,070,240,188 | |
Money Market Funds | | | — | | | | 40,087,564 | | | | — | | | | 40,087,564 | |
| | | | |
Total Assets | | $ | 1,068,716,575 | | | $ | 41,611,177 | | | $ | — | | | $ | 1,110,327,752 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (280,572 | ) | | $ | — | | | $ | — | | | $ | (280,572 | ) |
| | | | |
Total Liabilities | | $ | (280,572 | ) | | $ | — | | | $ | — | | | $ | (280,572 | ) |
| AQR SMALL CAP MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 40,470,423 | | | $ | — | | | $ | — | | | $ | 40,470,423 | |
Exchange-Traded Funds | | | 834,943 | | | | — | | | | — | | | | 834,943 | |
Securities Lending Collateral | | | — | | | | 3,593,902 | | | | — | | | | 3,593,902 | |
| | | | |
Total Assets | | $ | 41,305,366 | | | $ | 3,593,902 | | | $ | — | | | $ | 44,899,268 | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 20,037,907 | | | $ | 255,339,504 | | | $ | — | | | $ | 275,377,411 | |
Exchange-Traded Funds | | | 7,327,731 | | | | — | | | | — | | | | 7,327,731 | |
Money Market Funds | | | — | | | | 3,009,087 | | | | — | | | | 3,009,087 | |
| | | | |
Total Assets | | $ | 27,365,638 | | | $ | 258,348,591 | | | $ | — | | | $ | 285,714,229 | |
| AQR EMERGING MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 25,863,018 | | | $ | 154,209,267 | | | $ | 13,254 | | | $ | 180,085,539 | |
Exchange-Traded Funds | | | 3,306,059 | | | | — | | | | — | | | | 3,306,059 | |
Preferred Stocks† | | | 2,377,007 | | | | — | | | | — | | | | 2,377,007 | |
Rights† | | | — | | | | 96,372 | | | | — | | | | 96,372 | |
Securities Lending Collateral | | | — | | | | 6,988,846 | | | | — | | | | 6,988,846 | |
Money Market Funds | | | — | | | | 3,067,339 | | | | — | | | | 3,067,339 | |
| | | | |
Total Assets | | $ | 31,546,084 | | | $ | 164,361,824 | | | $ | 13,254 | | | $ | 195,921,162 | |
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| AQR TM LARGE CAP MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 26,724,343 | | | $ | 12,570 | | | $ | — | | | $ | 26,736,913 | |
Exchange-Traded Funds | | | 1,732,144 | | | | — | | | | — | | | | 1,732,144 | |
Money Market Funds | | | — | | | | 848,406 | | | | — | | | | 848,406 | |
| | | | |
Total Assets | | $ | 28,456,487 | | | $ | 860,976 | | | $ | — | | | $ | 29,317,463 | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 3,257,532 | | | $ | — | | | $ | — | | | $ | 3,257,532 | |
Exchange-Traded Funds | | | 127,873 | | | | — | | | | — | | | | 127,873 | |
Securities Lending Collateral | | | — | | | | 261,756 | | | | — | | | | 261,756 | |
Money Market Funds | | | — | | | | 153,155 | | | | — | | | | 153,155 | |
| | | | |
Total Assets | | $ | 3,385,405 | | | $ | 414,911 | | | $ | — | | | $ | 3,800,316 | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 2,760,014 | | | $ | 40,031,746 | | | $ | — | | | $ | 42,791,760 | |
Exchange-Traded Funds | | | 1,254,219 | | | | — | | | | — | | | | 1,254,219 | |
Money Market Funds | | | — | | | | 1,167,969 | | | | — | | | | 1,167,969 | |
| | | | |
Total Assets | | $ | 4,014,233 | | | $ | 41,199,715 | | | $ | — | | | $ | 45,213,948 | |
| AQR TM EMERGING MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 2,565,704 | | | $ | 14,730,368 | | | $ | — | | | $ | 17,296,072 | |
Exchange-Traded Funds | | | 1,384,332 | | | | — | | | | — | | | | 1,384,332 | |
Preferred Stocks† | | | 222,885 | | | | — | | | | — | | | | 222,885 | |
Rights† | | | — | | | | 8,825 | | | | — | | | | 8,825 | |
Securities Lending Collateral | | | — | | | | 1,077,831 | | | | — | | | | 1,077,831 | |
Money Market Funds | | | — | | | | 1,354,892 | | | | — | | | | 1,354,892 | |
| | | | |
Total Assets | | $ | 4,172,921 | | | $ | 17,171,916 | | | $ | — | | | $ | 21,344,837 | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 974,628,655 | | | $ | 484,175 | | | $ | — | | | $ | 975,112,830 | |
Money Market Funds | | | — | | | | 29,587,039 | | | | — | | | | 29,587,039 | |
| | | | |
Total Assets | | $ | 974,628,655 | | | $ | 30,071,214 | | | $ | — | | | $ | 1,004,699,869 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (402,578 | ) | | $ | — | | | $ | — | | | $ | (402,578 | ) |
| | | | |
Total Liabilities | | $ | (402,578 | ) | | $ | — | | | $ | — | | | $ | (402,578 | ) |
| AQR SMALL CAP MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 389,283,676 | | | $ | — | | | $ | — | (a) | | $ | 389,283,676 | |
Rights | | | — | | | | — | | | | 10,342 | | | | 10,342 | |
Securities Lending Collateral | | | — | | | | 43,938,129 | | | | — | | | | 43,938,129 | |
Warrants | | | — | | | | — | | | | 31 | | | | 31 | |
Money Market Funds | | | — | | | | 11,732,024 | | | | — | | | | 11,732,024 | |
| | | | |
Total Assets | | $ | 389,283,676 | | | $ | 55,670,153 | | | $ | 10,373 | | | $ | 444,964,202 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (378,384 | ) | | $ | — | | | $ | — | | | $ | (378,384 | ) |
| | | | |
Total Liabilities | | $ | (378,384 | ) | | $ | — | | | $ | — | | | $ | (378,384 | ) |
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| AQR INTERNATIONAL MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 20,889,053 | | | $ | 292,949,899 | | | $ | 84,955 | | | $ | 313,923,907 | |
Money Market Funds | | | — | | | | 7,508,280 | | | | — | | | | 7,508,280 | |
| | | | |
Total Assets | | $ | 20,889,053 | | | $ | 300,458,179 | | | $ | 84,955 | | | $ | 321,432,187 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (180,197 | ) | | $ | — | | | $ | — | | | $ | (180,197 | ) |
| | | | |
Total Liabilities | | $ | (180,197 | ) | | $ | — | | | $ | — | | | $ | (180,197 | ) |
| AQR EMERGING MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 1,559,722 | | | $ | 6,053,031 | | | $ | 56,058 | | | $ | 7,668,811 | |
Exchange-Traded Funds | | | 30,781 | | | | — | | | | — | | | | 30,781 | |
Preferred Stocks† | | | 31,197 | | | | — | | | | — | | | | 31,197 | |
Rights† | | | — | | | | 2,896 | | | | — | | | | 2,896 | |
Securities Lending Collateral | | | — | | | | 371,933 | | | | — | | | | 371,933 | |
| | | | |
Total Assets | | $ | 1,621,700 | | | $ | 6,427,860 | | | $ | 56,058 | | | $ | 8,105,618 | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 122,583,897 | | | $ | 56,110 | | | $ | — | | | $ | 122,640,007 | |
Money Market Funds | | | — | | | | 3,434,826 | | | | — | | | | 3,434,826 | |
| | | | |
Total Assets | | $ | 122,583,897 | | | $ | 3,490,936 | | | $ | — | | | $ | 126,074,833 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (49,249 | ) | | $ | — | | | $ | — | | | $ | (49,249 | ) |
| | | | |
Total Liabilities | | $ | (49,249 | ) | | $ | — | | | $ | — | | | $ | (49,249 | ) |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 19,107,339 | | | $ | — | | | $ | — | | | $ | 19,107,339 | |
Exchange-Traded Funds | | | 839,966 | | | | — | | | | — | | | | 839,966 | |
Securities Lending Collateral | | | — | | | | 2,011,744 | | | | — | | | | 2,011,744 | |
Money Market Funds | | | — | | | | 662,689 | | | | — | | | | 662,689 | |
| | | | |
Total Assets | | $ | 19,947,305 | | | $ | 2,674,433 | | | $ | — | | | $ | 22,621,738 | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 4,949,492 | | | $ | 62,486,715 | | | $ | 2,960 | | | $ | 67,439,167 | |
Exchange-Traded Funds | | | 3,573,386 | | | | — | | | | — | | | | 3,573,386 | |
Money Market Funds | | | — | | | | 2,052,955 | | | | — | | | | 2,052,955 | |
| | | | |
Total Assets | | $ | 8,522,878 | | | $ | 64,539,670 | | | $ | 2,960 | | | $ | 73,065,508 | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 170,157,973 | | | $ | — | | | $ | — | | | $ | 170,157,973 | |
Money Market Funds | | | — | | | | 18,079,824 | | | | — | | | | 18,079,824 | |
| | | | |
Total Assets | | $ | 170,157,973 | | | $ | 18,079,824 | | | $ | — | | | $ | 188,237,797 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (198,783 | ) | | $ | — | | | $ | — | | | $ | (198,783 | ) |
| | | | |
Total Liabilities | | $ | (198,783 | ) | | $ | — | | | $ | — | | | $ | (198,783 | ) |
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| | | | | | | | | | | | | | | | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 5,885,139 | | | $ | 26,814,306 | | | $ | — | | | $ | 32,699,445 | |
Exchange-Traded Funds | | | 1,170,761 | | | | — | | | | — | | | | 1,170,761 | |
Preferred Stocks† | | | — | | | | 148,726 | | | | — | | | | 148,726 | |
Money Market Funds | | | — | | | | 264,443 | | | | — | | | | 264,443 | |
| | | | |
Total Assets | | $ | 7,055,900 | | | $ | 27,227,475 | | | $ | — | | | $ | 34,283,375 | |
| AQR EMERGING DEFENSIVE STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 8,597,889 | | | $ | 17,945,601 | | | $ | — | | | $ | 26,543,490 | |
Preferred Stocks† | | | 70,676 | | | | — | | | | — | | | | 70,676 | |
Securities Lending Collateral | | | — | | | | 762,700 | | | | — | | | | 762,700 | |
Money Market Funds | | | — | | | | 709,325 | | | | — | | | | 709,325 | |
Futures Contracts* | | | 2,028 | | | | — | | | | — | | | | 2,028 | |
| | | | |
Total Assets | | $ | 8,670,593 | | | $ | 19,417,626 | | | $ | — | | | $ | 28,088,219 | |
| AQR GLOBAL EQUITY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 178,809,297 | | | $ | 112,530,210 | | | $ | — | (a) | | $ | 291,339,507 | |
Preferred Stocks† | | | — | | | | 773,517 | | | | — | | | | 773,517 | |
Warrants† | | | — | | | | 19 | | | | — | | | | 19 | |
Money Market Funds | | | — | | | | 31,785,532 | | | | — | | | | 31,785,532 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 1,369,027 | | | | — | | | | 1,369,027 | |
| | | | |
Total Assets | | $ | 178,809,297 | | | $ | 146,458,305 | | | $ | — | (a) | | $ | 325,267,602 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (694,562 | ) | | $ | — | | | $ | — | | | $ | (694,562 | ) |
Total Return Swap Contracts* | | | — | | | | (168,013 | ) | | | — | | | | (168,013 | ) |
| | | | |
Total Liabilities | | $ | (694,562 | ) | | $ | (168,013 | ) | | $ | — | | | $ | (862,575 | ) |
| AQR INTERNATIONAL EQUITY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | — | | | $ | 661,213,103 | | | $ | — | (a) | | $ | 661,213,103 | |
Preferred Stocks† | | | — | | | | 2,945,436 | | | | — | | | | 2,945,436 | |
Warrants† | | | — | | | | 77 | | | | — | | | | 77 | |
Money Market Funds | | | — | | | | 48,388,071 | | | | — | | | | 48,388,071 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 1,919,086 | | | | — | | | | 1,919,086 | |
Total Return Swap Contracts* | | | — | | | | 389,199 | | | | — | | | | 389,199 | |
| | | | |
Total Assets | | $ | — | | | $ | 714,854,972 | | | $ | — | (a) | | $ | 714,854,972 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (2,471,546 | ) | | $ | — | | | $ | — | | | $ | (2,471,546 | ) |
| | | | |
Total Liabilities | | $ | (2,471,546 | ) | | $ | — | | | $ | — | | | $ | (2,471,546 | ) |
| | * | Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. 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. |
| | (a) | Security has zero value. |
The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of, or increase in, available market inputs to determine price. During the period ended, AQR Large Cap Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR TM Large Cap Momentum Style Fund and AQR Global Equity Fund
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had one investment each, 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 Emerging Momentum Style Fund. Securities classified as Level 3 in the Schedules of Investments are considered quantitatively insignificant in the aggregate for AQR Emerging Multi-Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Global Equity Fund and AQR International Equity Fund.
The following table includes 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 EMERGING MOMENTUM STYLE FUND | | COMMON
STOCK | |
Balance as of September 30, 2014 | | $ | — | |
Net amortization/(accretion) | | | — | |
Realized gain/(loss) | | | — | |
Change in unrealized appreciation/(depreciation) | | | (7,946 | ) |
Purchases1 | | | 21,214 | |
Sales2 | | | — | |
Transfers in to Level 3 | | | 42,790 | |
Transfers out of Level 3 | | | — | |
Balance as of September 30, 2015 | | $ | 56,058 | |
Change in Unrealized appreciation/(depreciation) for securities still held at September 30, 2015 | | $ | (7,946 | ) |
| 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. |
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.
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 September 30, 2015 for the AQR Emerging Momentum Style Fund:
Quantitative Information about Level 3 Fair Value Measurements*
| | | | | | | | | | |
| INVESTMENT TYPE | | FAIR VALUE AT
9/30/15 | | VALUATION
METHODOLOGY | | UNOBSERVABLE
INPUT(S) | | INPUT
VALUE/RANGE | | WEIGHTED
AVERAGE |
| | | | | | |
Common Stock | | $19,881 | | Fundamental Analysis | | Beta | | 0.17% | | N/A |
| | * | The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At September 30, 2015, the value of these securities was $36,177. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 4. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events. |
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5. Federal Income Tax Matters
At September 30, 2015, the cost of security positions and aggregate gross unrealized appreciation (depreciation) of investments for Federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| FUND | | COST OF
INVESTMENTS | | | GROSS
UNREALIZED
APPRECIATION | | | GROSS
UNREALIZED
DEPRECIATION | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
AQR Large Cap Multi-Style Fund | | $ | 1,147,115,007 | | | $ | 35,147,802 | | | $ | (71,935,057 | ) | | $ | (36,787,255 | ) |
AQR Small Cap Multi-Style Fund | | | 47,028,656 | | | | 1,916,920 | | | | (4,046,308 | ) | | | (2,129,388 | ) |
AQR International Multi-Style Fund | | | 312,407,225 | | | | 3,276,470 | | | | (29,969,466 | ) | | | (26,692,996 | ) |
AQR Emerging Multi-Style Fund | | | 234,261,691 | | | | 1,100,039 | | | | (39,440,568 | ) | | | (38,340,529 | ) |
AQR TM Large Cap Multi-Style Fund | | | 31,296,020 | | | | 300,706 | | | | (2,279,263 | ) | | | (1,978,557 | ) |
AQR TM Small Cap Multi-Style Fund | | | 4,024,128 | | | | 113,613 | | | | (337,425 | ) | | | (223,812 | ) |
AQR TM International Multi-Style Fund | | | 49,212,346 | | | | 500,098 | | | | (4,498,496 | ) | | | (3,998,398 | ) |
AQR TM Emerging Multi-Style Fund | | | 24,040,944 | | | | 180,704 | | | | (2,876,811 | ) | | | (2,696,107 | ) |
AQR Large Cap Momentum Style Fund | | | 885,897,177 | | | | 152,747,534 | | | | (33,944,842 | ) | | | 118,802,692 | |
AQR Small Cap Momentum Style Fund | | | 426,621,162 | | | | 52,072,569 | | | | (33,729,529 | ) | | | 18,343,040 | |
AQR International Momentum Style Fund | | | 319,841,645 | | | | 21,182,072 | | | | (19,591,530 | ) | | | 1,590,542 | |
AQR Emerging Momentum Style Fund | | | 9,115,454 | | | | 215,019 | | | | (1,224,855 | ) | | | (1,009,836 | ) |
AQR TM Large Cap Momentum Style Fund | | | 118,107,163 | | | | 13,128,649 | | | | (5,160,979 | ) | | | 7,967,670 | |
AQR TM Small Cap Momentum Style Fund | | | 21,926,548 | | | | 2,456,487 | | | | (1,761,297 | ) | | | 695,190 | |
AQR TM International Momentum Style Fund | | | 75,232,580 | | | | 3,605,657 | | | | (5,772,729 | ) | | | (2,167,072 | ) |
AQR Large Cap Defensive Style Fund | | | 161,834,160 | | | | 29,154,090 | | | | (2,750,453 | ) | | | 26,403,637 | |
AQR International Defensive Style Fund | | | 36,012,727 | | | | 2,587,736 | | | | (4,317,088 | ) | | | (1,729,352 | ) |
AQR Emerging Defensive Style Fund | | | 32,422,278 | | | | 1,042,267 | | | | (5,378,354 | ) | | | (4,336,087 | ) |
AQR Global Equity Fund | | | 305,649,888 | | | | 35,315,878 | | | | (17,067,191 | ) | | | 18,248,687 | |
AQR International Equity Fund | | | 695,341,280 | | | | 60,505,127 | | | | (43,299,720 | ) | | | 17,205,407 | |
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”) and non-taxable dividends from Real Estate Investment Trusts (“REIT”).
As of September 30, 2015, the components of net assets (excluding paid in capital) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| FUND | | CURRENT
DISTRIBUTABLE
ORDINARY
INCOME | | | CURRENT
DISTRIBUTABLE
LONG TERM
CAPITAL GAIN OR
(TAX BASIS
CAPITAL LOSS
CARRYFORWARDS) | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | POST
OCTOBER
CAPITAL OR
LATE YEAR
ORDINARY
LOSS
DEFERRALS | | | OTHER
TEMPORARY
DIFFERENCES | | | TOTAL
ACCUMULATED
EARNINGS | |
AQR Large Cap Multi-Style Fund | | $ | 7,912,780 | | | $ | 1,494 | | | $ | (36,787,255 | ) | | $ | (16,532,225 | ) | | $ | — | | | $ | (45,405,206 | ) |
AQR Small Cap Multi-Style Fund | | | 214,186 | | | | 191 | | | | (2,129,388 | ) | | | (706,036 | ) | | | — | | | | (2,621,047 | ) |
AQR International Multi-Style Fund | | | 4,229,379 | | | | (596,590 | ) | | | (26,674,735 | ) | | | (8,437,108 | ) | | | — | | | | (31,479,054 | ) |
AQR Emerging Multi-Style Fund | | | 3,999,452 | | | | (139,986 | ) | | | (38,347,314 | ) | | | (6,824,391 | ) | | | — | | | | (41,312,239 | ) |
AQR TM Large Cap Multi-Style Fund | | | 166,519 | | | | 55 | | | | (1,978,557 | ) | | | — | | | | — | | | | (1,811,983 | ) |
AQR TM Small Cap Multi-Style Fund | | | 20,233 | | | | (4,560 | ) | | | (223,812 | ) | | | — | | | | — | | | | (208,139 | ) |
AQR TM International Multi-Style Fund | | | 606,131 | | | | (516,968 | ) | | | (3,995,626 | ) | | | — | | | | — | | | | (3,906,463 | ) |
AQR TM Emerging Multi-Style Fund | | | 271,822 | | | | (321,790 | ) | | | (2,697,070 | ) | | | — | | | | — | | | | (2,747,038 | ) |
AQR Large Cap Momentum Style Fund | | | 7,544,244 | | | | 60,558,493 | | | | 118,802,658 | | | | — | | | | — | | | | 186,905,395 | |
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| | | | | | | | | | | | | | | | | | | | | | | | |
| FUND | | CURRENT
DISTRIBUTABLE
ORDINARY
INCOME | | | CURRENT
DISTRIBUTABLE
LONG TERM
CAPITAL GAIN OR
(TAX BASIS
CAPITAL LOSS
CARRYFORWARDS) | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | POST
OCTOBER
CAPITAL OR
LATE YEAR
ORDINARY
LOSS
DEFERRALS | | | OTHER
TEMPORARY
DIFFERENCES | | | TOTAL
ACCUMULATED
EARNINGS | |
AQR Small Cap Momentum Style Fund | | $ | 1,962,418 | | | $ | 1,448,662 | | | $ | 18,343,041 | | | $ | — | | | $ | — | | | $ | 21,754,121 | |
AQR International Momentum Style Fund | | | 5,077,538 | | | | (2,177,134 | ) | | | 1,520,928 | | | | (18,245,521 | ) | | | — | | | | (13,824,189 | ) |
AQR Emerging Momentum Style Fund | | | 185,744 | | | | (13,655 | ) | | | (1,010,325 | ) | | | (1,154,423 | ) | | | — | | | | (1,992,659 | ) |
AQR TM Large Cap Momentum Style Fund | | | 1,077,518 | | | | — | | | | 7,967,671 | | | | (1,766,680 | ) | | | — | | | | 7,278,509 | |
AQR TM Small Cap Momentum Style Fund | | | 111,959 | | | | (83,308 | ) | | | 695,190 | | | | (115,202 | ) | | | — | | | | 608,639 | |
AQR TM International Momentum Style Fund | | | 1,051,323 | | | | (2,778,747 | ) | | | (2,177,567 | ) | | | (4,689,361 | ) | | | — | | | | (8,594,352 | ) |
AQR Large Cap Defensive Style Fund | | | 3,930,014 | | | | 14,811,528 | | | | 26,403,637 | | | | — | | | | — | | | | 45,145,179 | |
AQR International Defensive Style Fund | | | 660,269 | | | | (2,827 | ) | | | (1,733,636 | ) | | | (386,640 | ) | | | — | | | | (1,462,834 | ) |
AQR Emerging Defensive Style Fund | | | 949,703 | | | | (237,187 | ) | | | (4,341,267 | ) | | | (8,839,369 | ) | | | — | | | | (12,468,120 | ) |
AQR Global Equity Fund | | | 4,760,479 | | | | 17,527,986 | | | | 16,385,157 | | | | (2,030,856 | ) | | | (6,157 | ) | | | 36,636,609 | |
AQR International Equity Fund | | | 15,067,599 | | | | 8,880,941 | | | | 9,133,033 | | | | (540,555 | ) | | | — | | | | 32,541,018 | |
The differences between book basis and tax basis components of net assets are primarily attributable to wash sales loss deferrals, qualified late-year loss deferrals, post October capital loss deferrals, mark to market on forward foreign currency exchange contracts, mark to market on future contracts, mark to market on PFIC investments, capital loss carryover and non-taxable dividends from REIT investments.
As of September 30, 2015, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:
| | | | | | | | | | | | |
| FUND | | UNDISTRIBUTED
NET INVESTMENT
INCOME | | | ACCUMULATED
NET REALIZED
GAIN(LOSS) ON
INVESTMENTS | | | PAID-IN CAPITAL | |
AQR Large Cap Multi-Style Fund | | $ | (75,818 | ) | | $ | 75,818 | | | $ | — | |
AQR Small Cap Multi-Style Fund | | | (8,630 | ) | | | 8,630 | | | | — | |
AQR International Multi-Style Fund | | | (249,905 | ) | | | 249,905 | | | | — | |
AQR Emerging Multi-Style Fund | | | 158,488 | | | | (144,229 | ) | | | (14,259 | ) |
AQR TM Large Cap Multi-Style Fund | | | 6,351 | | | | 140 | | | | (6,491 | ) |
AQR TM Small Cap Multi-Style Fund | | | 6,175 | | | | 255 | | | | (6,430 | ) |
AQR TM International Multi-Style Fund | | | 5,566 | | | | 1,114 | | | | (6,680 | ) |
AQR TM Emerging Multi-Style Fund | | | 751 | | | | 8,219 | | | | (8,970 | ) |
AQR Large Cap Momentum Style Fund | | | (986,655 | ) | | | 986,655 | | | | — | |
AQR Small Cap Momentum Style Fund | | | (242,312 | ) | | | 242,312 | | | | — | |
AQR International Momentum Style Fund | | | 385,976 | | | | (385,976 | ) | | | — | |
AQR Emerging Momentum Style Fund | | | 941 | | | | 13,430 | | | | (14,371 | ) |
AQR TM Large Cap Momentum Style Fund | | | (61,725 | ) | | | 61,725 | | | | — | |
AQR TM Small Cap Momentum Style Fund | | | (1,418 | ) | | | 1,418 | | | | — | |
AQR TM International Momentum Style Fund | | | (52,958 | ) | | | 52,958 | | | | — | |
AQR Large Cap Defensive Style Fund | | | (3,506 | ) | | | 3,506 | | | | — | |
AQR International Defensive Style Fund | | | (2,394 | ) | | | 2,394 | | | | — | |
AQR Emerging Defensive Style Fund | | | (59,253 | ) | | | 59,253 | | | | — | |
AQR Global Equity Fund | | | 117,562 | | | | (169,606 | ) | | | 52,044 | |
AQR International Equity Fund | | | 2,062,635 | | | | (2,111,944 | ) | | | 49,309 | |
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| | |
| Notes to Financial Statements | | September 30, 2015 |
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the tax treatment of redesignation of distributions, PFIC investments, REIT investments and certain non-deductible expenses.
The tax character of distributions paid during the fiscal year-ends or periods ended September 30, 2015 and September 30, 2014 were as follows:
| | | | | | | | | | | | | | | | |
| | | SEPTEMBER 30, 2015 | | | SEPTEMBER 30, 2014 | |
| FUND | | ORDINARY INCOME | | | CAPITAL
GAINS | | | ORDINARY INCOME | | | CAPITAL
GAINS | |
AQR Large Cap Multi-Style Fund | | $ | 2,933,755 | | | $ | 672,488 | | | $ | 319,367 | | | $ | 69 | |
AQR Small Cap Multi-Style Fund | | | 131,837 | | | | 88,141 | | | | 60,042 | | | | 81 | |
AQR International Multi-Style Fund | | | 1,324,144 | | | | 78,371 | | | | 157,327 | | | | — | |
AQR Emerging Multi-Style Fund | | | 164,448 | | | | — | | | | — | | | | — | |
AQR Large Cap Momentum Style Fund | | | 24,560,783 | | | | 73,639,636 | | | | 15,842,942 | | | | 26,456,966 | |
AQR Small Cap Momentum Style Fund | | | 7,189,881 | | | | 28,285,487 | | | | 7,799,115 | | | | 9,124,795 | |
AQR International Momentum Style Fund | | | 6,554,908 | | | | 3,582,058 | | | | 4,569,588 | | | | — | |
AQR Emerging Momentum Style Fund | | | 74,317 | | | | — | | | | — | | | | — | |
AQR TM Large Cap Momentum Style Fund | | | 1,263,697 | | | | 1,207,604 | | | | 353,859 | | | | 92,904 | |
AQR TM Small Cap Momentum Style Fund | | | 13,062 | | | | 546,861 | | | | 119,846 | | | | 42,494 | |
AQR TM International Momentum Style Fund | | | 1,179,477 | | | | 271,835 | | | | 474,514 | | | | 156,441 | |
AQR Large Cap Defensive Style Fund | | | 6,386,436 | | | | 2,527,136 | | | | 1,761,198 | | | | 195,128 | |
AQR International Defensive Style Fund | | | 862,765 | | | | 486,716 | | | | 507,585 | | | | 29,738 | |
AQR Emerging Defensive Style Fund | | | 1,399,258 | | | | — | | | | 378,685 | | | | 295 | |
AQR Global Equity Fund | | | 8,844,660 | | | | 24,653,244 | | | | 45,140,308 | | | | 58,908,214 | |
AQR International Equity Fund | | | 25,286,786 | | | | 37,535,197 | | | | 48,309,584 | | | | 23,669,394 | |
During the period ended September 30, 2015, the Funds utilized capital loss carryforwards in the amounts listed below:
| | | | | | | | |
| FUND | | SHORT-TERM | | | LONG TERM | |
AQR Emerging Multi-Style Fund | | $ | — | | | $ | 160 | |
As of September 30, 2015, 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 International Multi-Style Fund | | $ | 486,787 | | | $ | 109,803 | |
AQR Emerging Multi-Style Fund | | | 129,898 | | | | 10,088 | |
AQR TM Small Cap Multi-Style Fund | | | 4,560 | | | | — | |
AQR TM International Multi-Style Fund | | | 497,100 | | | | 19,868 | |
AQR TM Emerging Multi-Style Fund | | | 314,839 | | | | 6,951 | |
AQR International Momentum Style Fund | | | 2,177,134 | | | | — | |
AQR Emerging Momentum Style Fund | | | 11,011 | | | | 2,644 | |
AQR TM Small Cap Momentum Style Fund | | | 83,060 | | | | 248 | |
AQR TM International Momentum Style Fund | | | 2,778,747 | | | | — | |
AQR International Defensive Style Fund | | | — | | | | 2,827 | |
AQR Emerging Defensive Style Fund | | | 115,776 | | | | 121,411 | |
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous law.
6. Investment Transactions
During the period ended September 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 | |
AQR Large Cap Multi-Style Fund | | $ | 1,324,129,099 | | | $ | 412,310,484 | |
AQR Small Cap Multi-Style Fund | | | 98,215,704 | | | | 63,371,974 | |
AQR International Multi-Style Fund | | | 653,165,779 | | | | 390,261,216 | |
AQR Emerging Multi-Style Fund | | | 496,394,001 | | | | 280,198,611 | |
AQR TM Large Cap Multi-Style Fund | | | 59,175,223 | | | | 28,762,358 | |
AQR TM Small Cap Multi-Style Fund | | | 5,759,914 | | | | 2,145,231 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
201
| | |
| Notes to Financial Statements | | September 30, 2015 |
| | | | | | | | |
| FUND | | PURCHASES | | | SALES | |
AQR TM International Multi-Style Fund | | $ | 97,959,446 | | | $ | 49,452,999 | |
AQR TM Emerging Multi-Style Fund | | | 39,925,745 | | | | 18,020,002 | |
AQR Large Cap Momentum Style Fund | | | 947,651,021 | | | | 992,693,029 | |
AQR Small Cap Momentum Style Fund | | | 415,631,330 | | | | 325,621,958 | |
AQR International Momentum Style Fund | | | 399,936,420 | | | | 361,976,953 | |
AQR Emerging Momentum Style Fund | | | 16,449,604 | | | | 14,049,815 | |
AQR TM Large Cap Momentum Style Fund | | | 99,058,701 | | | | 75,017,525 | |
AQR TM Small Cap Momentum Style Fund | | | 26,257,557 | | | | 20,950,471 | |
AQR TM International Momentum Style Fund | | | 98,779,244 | | | | 100,657,058 | |
AQR Large Cap Defensive Style Fund | | | 43,861,920 | | | | 135,412,235 | |
AQR International Defensive Style Fund | | | 24,251,450 | | | | 14,558,299 | |
AQR Emerging Defensive Style Fund | | | 78,796,440 | | | | 108,779,778 | |
AQR Global Equity Fund | | | 243,003,372 | | | | 206,786,560 | |
AQR International Equity Fund | | | 605,493,847 | | | | 635,564,866 | |
7. Derivative Instruments and Activities
Certain funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts held at September 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 September 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 | |
| Equity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Large Cap Multi-Style Fund | | $ | — | | | $ | — | | | $ | — | | | $ | 280,572 | | | $ | — | | | $ | — | |
AQR Large Cap Momentum Style Fund | | | — | | | | — | | | | — | | | | 402,578 | | | | — | | | | — | |
AQR Small Cap Momentum Style Fund | | | — | | | | — | | | | — | | | | 378,384 | | | | — | | | | — | |
AQR International Momentum Style Fund | | | — | | | | — | | | | — | | | | 180,197 | | | | — | | | | — | |
AQR TM Large Cap Momentum Style Fund | | | — | | | | — | | | | — | | | | 49,249 | | | | — | | | | — | |
AQR Large Cap Defensive Style Fund | | | — | | | | — | | | | — | | | | 198,783 | | | | — | | | | — | |
AQR Emerging Defensive Style Fund | | | 2,028 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Global Equity Fund | | | 322,023 | | | | — | | | | — | | | | 1,016,585 | | | | 168,013 | | | | — | |
AQR International Equity Fund | | | 660,613 | | | | 469,438 | | | | — | | | | 3,132,159 | | | | 80,239 | | | | — | |
| | | | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | |
AQR Global Equity Fund | | | — | | | | — | | | | 1,715,833 | | | | — | | | | — | | | | 346,806 | |
AQR International Equity Fund | | | — | | | | — | | | | 2,279,608 | | | | — | | | | — | | | | 360,522 | |
| | | | | | |
| Netting: | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Global Equity Fund | | | (322,023 | ) | | | — | | | | (346,806 | ) | | | (322,023 | ) | | | — | | | | (346,806 | ) |
AQR International Equity Fund | | | (660,613 | ) | | | (80,239 | ) | | | (360,522 | ) | | | (660,613 | ) | | | (80,239 | ) | | | (360,522 | ) |
| | | | | |
| Net Fair Value of Derivative Contracts: | | | | | | | | | | | | | | | | | | | | | |
| AQR Large Cap Multi-Style Fund | | | — | | | | — | | | | — | | | | 280,572 | | | | — | | | | — | |
| AQR Large Cap Momentum Style Fund | | | — | | | | — | | | | — | | | | 402,578 | | | | — | | | | — | |
| AQR Small Cap Momentum Style Fund | | | — | | | | — | | | | — | | | | 378,384 | | | | — | | | | — | |
| AQR International Momentum Style Fund | | | — | | | | — | | | | — | | | | 180,197 | | | | — | | | | — | |
| AQR TM Large Cap Momentum Style Fund | | | — | | | | — | | | | — | | | | 49,249 | | | | — | | | | — | |
| AQR Large Cap Defensive Style Fund | | | — | | | | — | | | | — | | | | 198,783 | | | | — | | | | — | |
| AQR Emerging Defensive Style Fund | | | 2,028 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| AQR Global Equity Fund | | | — | | | | — | | | | 1,369,027 | | | | 694,562 | | | | 168,013 | | | | — | |
| AQR International Equity Fund | | | — | | | | 389,199 | | | | 1,919,086 | | | | 2,471,546 | | | | — | | | | — | |
| | * | 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. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
202
| | |
| Notes to Financial Statements | | September 30, 2015 |
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 September 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 | | | SWAPS
CONTRACTS | | | FORWARD
CURRENCY
EXCHANGE
CONTRACTS | | | FUTURES
CONTRACTS | | | SWAPS
CONTRACTS | | | FORWARD
CURRENCY
EXCHANGE
CONTRACTS | |
| Equity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Large Cap Multi-Style Fund | | $ | (1,033,285 | ) | | $ | — | | | $ | — | | | $ | (280,572 | ) | | $ | — | | | $ | — | |
AQR Large Cap Momentum Style Fund | | | 97,579 | | | | — | | | | — | | | | (351,253 | ) | | | — | | | | — | |
AQR Small Cap Momentum Style Fund | | | (939,015 | ) | | | — | | | | — | | | | (358,294 | ) | | | — | | | | — | |
AQR International Momentum Style Fund | | | (572,610 | ) | | | — | | | | — | | | | (176,545 | ) | | | — | | | | — | |
AQR TM Large Cap Momentum Style Fund | | | 389,528 | | | | — | | | | — | | | | (49,249 | ) | | | — | | | | — | |
AQR Large Cap Defensive Style Fund | | | 52,127 | | | | — | | | | — | | | | (149,568 | ) | | | — | | | | — | |
AQR Emerging Defensive Style Fund | | | (287,894 | ) | | | — | | | | — | | | | 2,028 | | | | — | | | | — | |
AQR Global Equity Fund | | | (640,053 | ) | | | 227,354 | | | | — | | | | (551,939 | ) | | | 103,200 | | | | — | |
AQR International Equity Fund | | | (414,760 | ) | | | 3,742,644 | | | | — | | | | (1,700,173 | ) | | | 1,277,479 | | | | — | |
| | | | | | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Global Equity Fund | | | — | | | | — | | | | (2,730,586 | ) | | | — | | | | — | | | | 4,244,504 | |
AQR International Equity Fund | | | — | | | | — | | | | (12,872,380 | ) | | | — | | | | — | | | | 10,039,194 | |
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 September 30, 2015.
AQR GLOBAL EQUITY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS | | | GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES | | | NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| Citibank | | Forward Foreign Currency Exchange Contracts | | $ | 818,960 | | | $ | (174,636 | ) | | $ | 644,324 | | | $ | — | | | $ | (580,000 | ) | | $ | 64,324 | |
| Credit Suisse International | | Forward Foreign Currency Exchange Contracts | | | 896,873 | | | | (172,170 | ) | | | 724,703 | | | | — | | | | (700,000 | ) | | | 24,703 | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 1,715,833 | | | | (346,806 | ) | | | 1,369,027 | | | | — | | | | (1,280,000 | ) | | | 89,027 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
203
| | |
| Notes to Financial Statements | | September 30, 2015 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 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 | | Forward Foreign Currency Exchange Contracts | | $ | 174,636 | | | $ | (174,636 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Credit Suisse International | | Forward Foreign Currency Exchange Contracts | | | 172,170 | | | | (172,170 | ) | | | — | | | | — | | | | — | | | | — | |
| Goldman Sachs | | Total Return Swap Contracts | | | 168,013 | | | | — | | | | 168,013 | | | | — | | | | (168,013 | ) | | | — | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 514,819 | | | | (346,806 | ) | | | 168,013 | | | | — | | | | (168,013 | ) | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $161,987. |
AQR INTERNATIONAL EQUITY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS | | | GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES | | | NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED (a) | | | NET
AMOUNT | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | $ | 1,117,521 | | | $ | (176,341 | ) | | $ | 941,180 | | | $ | — | | | $ | (910,000 | ) | | $ | 31,180 | |
| Credit Suisse International | | Forward Foreign Currency Exchange Contracts | | | 1,162,087 | | | | (184,181 | ) | | | 977,906 | | | | — | | | | (977,906 | ) | | | — | |
| Goldman Sachs | | Total Return Swap Contracts | | | 469,438 | | | | (80,239 | ) | | | 389,199 | | | | — | | | | — | | | | 389,199 | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 2,749,046 | | | | (440,761 | ) | | | 2,308,285 | | | | — | | | | (1,887,906 | ) | | | 420,379 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 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 | | $ | 176,341 | | | $ | (176,341 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Credit Suisse International | | Forward Foreign Currency Exchange Contracts | | | 184,181 | | | | (184,181 | ) | | | — | | | | — | | | | — | | | | — | |
| Goldman Sachs | | Total Return Swap Contracts | | | 80,239 | | | | (80,239 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 440,761 | | | | (440,761 | ) | | | — | | | | — | | | | — | | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $52,094. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,820,056. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
204
| | |
| Notes to Financial Statements | | September 30, 2015 |
For the period ended September 30, 2015, the quarterly average notional values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
| | | | | | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
MULTI-STYLE
FUND | | | AQR
LARGE CAP
MOMENTUM
STYLE
FUND | | | AQR
SMALL CAP
MOMENTUM
STYLE
FUND | | | AQR
INTERNATIONAL
MOMENTUM
STYLE
FUND | | | AQR TM
LARGE CAP
MOMENTUM
STYLE
FUND | |
| Futures Contracts: | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Long | | $ | 24,176,186 | | | $ | 14,956,235 | | | $ | 5,414,026 | | | $ | 7,747,526 | | | $ | 2,201,265 | |
| Average Notional Balance—Short | | | — | | | | — | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Long | | | 30,825,505 | | | | 20,613,960 | | | | 7,780,890 | | | | 7,752,650 | | | | 2,385,875 | |
| Ending Notional Balance—Short | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | AQR
LARGE CAP
DEFENSIVE
STYLE
FUND | | | AQR
EMERGING
DEFENSIVE
STYLE
FUND | | | AQR
GLOBAL
EQUITY
FUND | | | AQR
INTERNATIONAL
EQUITY
FUND | |
| Futures Contracts: | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Long | | | | | | $ | 7,846,158 | | | $ | 955,620 | | | $ | 55,611,494 | | | $ | 164,472,882 | |
| Average Notional Balance—Short | | | | | | | — | | | | — | | | | 26,148,350 | | | | 73,273,359 | |
| Ending Notional Balance—Long | | | | | | | 17,464,605 | | | | 711,990 | | | | 50,408,843 | | | | 148,400,234 | |
| Ending Notional Balance—Short | | | | | | | — | | | | — | | | | 23,980,086 | | | | 74,033,823 | |
| Forward Foreign Currency Exchange Contracts: | | | | | | | | | | | | | | | | | |
| Average Settlement Value—Purchased | | | | | | | — | | | | — | | | | 157,602,435 | | | | 416,200,615 | |
| Average Settlement Value—Sold | | | | | | | — | | | | — | | | | 133,001,345 | | | | 346,345,890 | |
| Ending Value—Purchased | | | | | | | — | | | | — | | | | 147,634,621 | | | | 332,982,447 | |
| Ending Value—Sold | | | | | | | — | | | | — | | | | 116,616,536 | | | | 269,243,707 | |
| Total Return Swaps: | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Long | | | | | | | — | | | | — | | | | 5,333,961 | | | | 9,541,684 | |
| Average Notional Balance—Short | | | | | | | — | | | | — | | | | 8,144,705 | | | | 34,286,540 | |
| Ending Notional Balance—Long | | | | | | | — | | | | — | | | | 8,587,429 | | | | 5,848,305 | |
| Ending Notional Balance—Short | | | | | | | — | | | | — | | | | — | | | | 19,109,352 | |
| * | Notional values as of each quarter end are used to calculate the average represented. |
8. Investment Advisory and Other Agreements
The Advisor serves as the investment advisor to each of the Funds, pursuant to the Second Amended and Restated Investment Advisory Agreement, dated November 7, 2014, as amended, (“Investment Advisory Agreement”) and the Investment Management Agreement, dated November 7, 2014, as amended (“Investment Management Agreement”) each entered into by the Trust, on behalf of the Funds (the Investment Management Agreement and Investment Advisory Agreement collectively referred to herein as 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, and also provides certain other administrative services to each Fund. The Advisor provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.
Effective April 1, 2015, the Board of Trustees of the Trust approved (1) an amendment to the Investment Advisory Agreement, removing the AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund and AQR Emerging Defensive Style Fund (each, a “Style Fund” and collectively, the “Style Funds”) (the “Amended Investment Advisory Agreement”); and (2) an amendment to the Investment Management Agreement, reflecting: (a) the addition of the Style Funds, (b) for the Style Funds, the bundling of advisory services and shareholder servicing into a single agreement with a single contractual management fee (combining services that had been provided separately under the Investment Advisory Agreement and Shareholder Services Agreement prior to April 1, 2015), and (c) a reduction in the total fees payable to AQR for advisory and shareholder services by each of the Style Funds (the “Amended Investment Management Agreement” and, together with the Amended Investment Advisory Agreement, the “Amendments”). The footnotes to the following table provide additional information regarding how the total fees payable to the Advisor for advisory and shareholder services have changed for each Style Fund during the fiscal year ended September 30, 2015.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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205
| | |
| Notes to Financial Statements | | September 30, 2015 |
Pursuant to the Advisory Agreement, the Funds currently pay the Advisor an Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:
| | | | |
| FUND | | RATIO | |
AQR Large Cap Multi-Style Fund1 | | | 0.30 | % |
AQR Small Cap Multi-Style Fund2 | | | 0.50 | |
AQR International Multi-Style Fund3 | | | 0.45 | |
AQR Emerging Multi-Style Fund4 | | | 0.60 | |
AQR TM Large Cap Multi-Style Fund5 | | | 0.30 | |
AQR TM Small Cap Multi-Style Fund6 | | | 0.50 | |
AQR TM International Multi-Style Fund7 | | | 0.45 | |
AQR TM Emerging Multi-Style Fund8 | | | 0.60 | |
AQR Large Cap Momentum Style Fund9 | | | 0.25 | |
AQR Small Cap Momentum Style Fund10 | | | 0.45 | |
AQR International Momentum Style Fund11 | | | 0.40 | |
AQR Emerging Momentum Style Fund12 | | | 0.55 | |
AQR TM Large Cap Momentum Style Fund13 | | | 0.25 | |
AQR TM Small Cap Momentum Style Fund14 | | | 0.45 | |
AQR TM International Momentum Style Fund15 | | | 0.40 | |
AQR Large Cap Defensive Style Fund16 | | | 0.25 | |
AQR International Defensive Style Fund17 | | | 0.40 | |
AQR Emerging Defensive Style Fund18 | | | 0.55 | |
AQR Global Equity Fund | | | 0.40 | |
AQR International Equity Fund | | | 0.45 | |
| 1 | Effective April 1, 2015 (i) the AQR Large Cap Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.15%. Prior to April 1, 2015, the contractual advisory fee was 0.30% and the shareholder servicing fee was 0.15%. |
| 2 | Effective April 1, 2015 (i) the AQR Small Cap Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.45% and the shareholder servicing fee was 0.15%. |
| 3 | Effective April 1, 2015 (i) the AQR International Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.40% and the shareholder servicing fee was 0.15%. |
| 4 | Effective April 1, 2015 (i) the AQR Emerging Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.55% and the shareholder servicing fee was 0.15%. |
| 5 | Effective April 1, 2015 (i) the AQR TM Large Cap Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.15%. Prior to April 1, 2015, the contractual advisory fee was 0.30% and the shareholder servicing fee was 0.15%. |
| 6 | Effective April 1, 2015 (i) the AQR TM Small Cap Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.45% and the shareholder servicing fee was 0.15%. |
| 7 | Effective April 1, 2015 (i) the AQR TM International Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.40% and the shareholder servicing fee was 0.15%. |
| 8 | Effective April 1, 2015 (i) the AQR TM Emerging Multi-Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.55% and the shareholder servicing fee was 0.15%. |
| 9 | Effective April 1, 2015 (i) the AQR Large Cap Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.15%. Prior to April 1, 2015, the contractual advisory fee was 0.25% and the shareholder servicing fee was 0.15%. |
| 10 | Effective April 1, 2015 (i) the AQR Small Cap Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.05%. Prior to April 1, 2015, the contractual advisory fee was 0.35% and the shareholder servicing fee was 0.15%. |
| 11 | Effective April 1, 2015 (i) the AQR International Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.35% and the shareholder servicing fee was 0.15%. |
| 12 | Effective April 1, 2015 (i) the AQR Emerging Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. Prior to April 1, 2015, the contractual advisory fee was 0.50% and the shareholder servicing fee was 0.15%. |
| 13 | Effective April 1, 2015 (i) the AQR TM Large Cap Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.15%. For the period |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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206
| | |
| Notes to Financial Statements | | September 30, 2015 |
| | January 29, 2015 to March 31, 2015, the contractual advisory fee was 0.25% and the shareholder servicing fee was 0.15%. Prior to January 29, 2015, the contractual advisory fee was 0.30%. |
| 14 | Effective April 1, 2015 (i) the AQR TM Small Cap Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.05%. For the period January 29, 2015 to March 31, 2015, the contractual advisory fee was 0.35% and the shareholder servicing fee was 0.15%. Prior to January 29, 2015, the contractual advisory fee was 0.40%. |
| 15 | Effective April 1, 2015 (i) the AQR TM International Momentum Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. For the period January 29, 2015 to March 31, 2015, the contractual advisory fee was 0.35% and the shareholder servicing fee was 0.15%. Prior to January 29, 2015, the contractual advisory fee was 0.40%. |
| 16 | Effective April 1, 2015 (i) the AQR Large Cap Defensive Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.15%. For the period January 29, 2014 to March 31, 2015, the contractual advisory fee was 0.25% and the shareholder servicing fee was 0.15%. |
| 17 | Effective April 1, 2015 (i) the AQR International Defensive Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. For the period January 29, 2014 to March 31, 2015, the contractual advisory fee was 0.35% and the shareholder servicing fee was 0.15%. |
| 18 | Effective April 1, 2015 (i) the AQR Emerging Defensive Style Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee and (ii) the Fund’s bundled contractual advisory fee was reduced by 0.10%. For the period April 1, 2014 to March 31, 2015, the contractual advisory fee was 0.50% and the shareholder servicing fee was 0.15%. |
The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through January 28, 2017 for Class I, N, and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Advisor has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios, exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Large Cap Multi-Style Fund | | | 0.45 | % | | | 0.70 | % | | | 0.35 | % |
AQR Small Cap Multi-Style Fund | | | 0.65 | | | | 0.90 | | | | 0.55 | |
AQR International Multi-Style Fund | | | 0.60 | | | | 0.85 | | | | 0.50 | |
AQR Emerging Multi-Style Fund | | | 0.75 | | | | 1.00 | | | | 0.65 | |
AQR TM Large Cap Multi-Style Fund | | | 0.45 | | | | 0.70 | | | | 0.35 | |
AQR TM Small Cap Multi-Style Fund | | | 0.65 | | | | 0.90 | | | | 0.55 | |
AQR TM International Multi-Style Fund | | | 0.60 | | | | 0.85 | | | | 0.50 | |
AQR TM Emerging Multi-Style Fund | | | 0.75 | | | | 1.00 | | | | 0.65 | |
AQR Large Cap Momentum Style Fund | | | 0.40 | | | | 0.65 | | | | 0.30 | |
AQR Small Cap Momentum Style Fund | | | 0.60 | | | | 0.85 | | | | 0.50 | |
AQR International Momentum Style Fund | | | 0.55 | | | | 0.80 | | | | 0.45 | |
AQR Emerging Momentum Style Fund | | | 0.70 | | | | 0.95 | | | | 0.60 | |
AQR TM Large Cap Momentum Style Fund | | | 0.40 | | | | 0.65 | | | | 0.30 | |
AQR TM Small Cap Momentum Style Fund | | | 0.60 | | | | 0.85 | | | | 0.50 | |
AQR TM International Momentum Style Fund | | | 0.55 | | | | 0.80 | | | | 0.45 | |
AQR Large Cap Defensive Style Fund | | | 0.40 | | | | 0.65 | | | | 0.30 | |
AQR International Defensive Style Fund | | | 0.55 | | | | 0.80 | | | | 0.45 | |
AQR Emerging Defensive Style Fund | | | 0.70 | | | | 0.95 | | | | 0.60 | |
AQR Global Equity Fund | | | 0.90 | | | | 1.15 | | | | 0.70 | |
AQR International Equity Fund | | | 0.95 | | | | 1.20 | | | | 0.75 | |
Prior to April 1, 2015, the Fee Waiver for the AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund and AQR International Equity Fund was as follows:
| | | | | | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS L | | | CLASS N | | | CLASS R6 | |
AQR Large Cap Multi-Style Fund | | | n/a | | | | 0.54 | % | | | 0.79 | % | | | 0.44 | % |
AQR Small Cap Multi-Style Fund | | | n/a | | | | 0.75 | | | | 1.00 | | | | 0.65 | |
AQR International Multi-Style Fund | | | n/a | | | | 0.70 | | | | 0.95 | | | | 0.60 | |
AQR Emerging Multi-Style Fund | | | n/a | | | | 0.85 | | | | 1.10 | | | | 0.75 | |
AQR TM Large Cap Multi-Style Fund | | | n/a | | | | 0.54 | | | | 0.79 | | | | 0.44 | |
AQR TM Small Cap Multi-Style Fund | | | n/a | | | | 0.75 | | | | 1.00 | | | | 0.65 | |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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207
| | |
| Notes to Financial Statements | | September 30, 2015 |
| | | | | | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS L | | | CLASS N | | | CLASS R6 | |
AQR TM International Multi-Style Fund | | | n/a | | | | 0.70 | % | | | 0.95 | % | | | 0.60 | % |
AQR TM Emerging Multi-Style Fund | | | n/a | | | | 0.85 | | | | 1.10 | | | | 0.75 | |
AQR Large Cap Momentum Style Fund | | | n/a | | | | 0.49 | | | | 0.74 | | | | 0.39 | |
AQR Small Cap Momentum Style Fund | | | n/a | | | | 0.65 | | | | 0.90 | | | | 0.55 | |
AQR International Momentum Style Fund | | | n/a | | | | 0.65 | | | | 0.90 | | | | 0.55 | |
AQR Emerging Momentum Style Fund | | | n/a | | | | 0.80 | | | | 1.05 | | | | 0.70 | |
AQR TM Large Cap Momentum Style Fund | | | n/a | | | | 0.49 | | | | 0.74 | | | | 0.39 | |
AQR TM Small Cap Momentum Style Fund | | | n/a | | | | 0.65 | | | | 0.90 | | | | 0.55 | |
AQR TM International Momentum Style Fund | | | n/a | | | | 0.65 | | | | 0.90 | | | | 0.55 | |
AQR Large Cap Defensive Style Fund | | | 0.49 | % | | | n/a | | | | 0.74 | | | | 0.39 | |
AQR International Defensive Style Fund | | | 0.65 | | | | n/a | | | | 0.90 | | | | 0.55 | |
AQR Emerging Defensive Style Fund | | | 0.80 | | | | n/a | | | | 1.05 | | | | 0.70 | |
AQR Global Equity Fund | | | 0.90 | | | | n/a | | | | 1.15 | | | | 0.70 | |
AQR International Equity Fund | | | 0.95 | | | | n/a | | | | 1.20 | | | | 0.75 | |
Prior to January 29, 2015, the Fee Waiver for the AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Global Equity Fund and AQR International Equity Fund was as follows:
| | | | | | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS L | | | CLASS N | | | CLASS R6 | |
AQR TM Large Cap Momentum Style Fund | | | n/a | | | | 0.54 | % | | | 0.79 | % | | | 0.44 | % |
AQR TM Small Cap Momentum Style Fund | | | n/a | | | | 0.70 | | | | 0.95 | | | | 0.60 | |
AQR TM International Momentum Style Fund | | | n/a | | | | 0.70 | | | | 0.95 | | | | 0.60 | |
AQR Global Equity Fund | | | 0.90 | % | | | n/a | | | | 1.20 | | | | 0.70 | |
AQR International Equity Fund | | | 0.95 | | | | n/a | | | | 1.25 | | | | 0.75 | |
For the period ended September 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 Large Cap Multi-Style Fund | | $ | 415,132 | | | $ | — | | | $ | 415,132 | |
AQR Small Cap Multi-Style Fund | | | 127,612 | | | | 7,673 | | | | 135,285 | |
AQR International Multi-Style Fund | | | 259,362 | | | | — | | | | 259,362 | |
AQR Emerging Multi-Style Fund | | | 226,021 | | | | 65,425 | | | | 291,446 | |
AQR TM Large Cap Multi-Style Fund | | | 29,164 | | | | 90,723 | | | | 119,887 | |
AQR TM Small Cap Multi-Style Fund | | | 8,007 | | | | 95,621 | | | | 103,628 | |
AQR TM International Multi-Style Fund | | | 91,210 | | | | 79,438 | | | | 170,648 | |
AQR TM Emerging Multi-Style Fund | | | 43,991 | | | | 113,263 | | | | 157,254 | |
AQR Large Cap Momentum Style Fund | | | 537,386 | | | | — | | | | 537,386 | |
AQR Small Cap Momentum Style Fund | | | 224,836 | | | | 9,144 | | | | 233,980 | |
AQR International Momentum Style Fund | | | 263,966 | | | | 273 | | | | 264,239 | |
AQR Emerging Momentum Style Fund | | | 53,534 | | | | 143,800 | | | | 197,334 | |
AQR TM Large Cap Momentum Style Fund | | | 185,193 | | | | — | | | | 185,193 | |
AQR TM Small Cap Momentum Style Fund | | | 93,659 | | | | 41,300 | | | | 134,959 | |
AQR TM International Momentum Style Fund | | | 186,218 | | | | — | | | | 186,218 | |
AQR Large Cap Defensive Style Fund | | | 185,988 | | | | — | | | | 185,988 | |
AQR International Defensive Style Fund | | | 140,400 | | | | 23,535 | | | | 163,935 | |
AQR Emerging Defensive Style Fund | | | 251,856 | | | | — | | | | 251,856 | |
AQR Global Equity Fund | | | 3,417 | | | | — | | | | 3,417 | |
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios when the waiver was generated. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable period during which the Advisor waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
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208
| | |
| Notes to Financial Statements | | September 30, 2015 |
For the period ended September 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 September 30, 2015 are as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
SEPTEMBER 30,
2015 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
SEPTEMBER 30,
2015 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| | | | | DECEMBER 31,
2015 | | | SEPTEMBER 30,
2016 | | | 2017 | | | 2018 | |
| | | | | | |
| AQR LARGE CAP MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 222,262 | | | $ | 432,416 | | | $ | — | | | $ | 81,226 | | | $ | 128,928 | | | $ | 222,262 | |
Class N | | | 26,152 | | | | 67,346 | | | | — | | | | 21,410 | | | | 19,784 | | | | 26,152 | |
Class R6 | | | 166,718 | | | | 168,805 | | | | — | | | | — | | | | 2,087 | | | | 166,718 | |
| | | | | | |
| Totals | | $ | 415,132 | | | $ | 668,567 | | | $ | — | | | $ | 102,636 | | | $ | 150,799 | | | $ | 415,132 | |
| | | | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 100,459 | | | $ | 249,923 | | | $ | — | | | $ | 58,782 | | | $ | 90,682 | | | $ | 100,459 | |
Class N | | | 23,999 | | | | 107,536 | | | | — | | | | 45,218 | | | | 38,319 | | | | 23,999 | |
Class R6 | | | 10,827 | | | | 11,202 | | | | — | | | | — | | | | 375 | | | | 10,827 | |
| | | | | | |
| Totals | | $ | 135,285 | | | $ | 368,661 | | | $ | — | | | $ | 104,000 | | | $ | 129,376 | | | $ | 135,285 | |
| | | | | | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 54,356 | | | $ | 286,119 | | | $ | — | | | $ | 85,481 | | | $ | 146,282 | | | $ | 54,356 | |
Class N | | | 5,425 | | | | 63,894 | | | | — | | | | 35,097 | | | | 23,372 | | | | 5,425 | |
Class R6 | | | 199,581 | | | | 204,397 | | | | — | | | | — | | | | 4,816 | | | | 199,581 | |
| | | | | | |
| Totals | | $ | 259,362 | | | $ | 554,410 | | | $ | — | | | $ | 120,578 | | | $ | 174,470 | | | $ | 259,362 | |
| | | | | | |
| AQR EMERGING MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 109,345 | | | $ | 204,238 | | | $ | — | | | $ | — | | | $ | 94,893 | | | $ | 109,345 | |
Class N | | | 21,247 | | | | 42,569 | | | | — | | | | — | | | | 21,322 | | | | 21,247 | |
Class R6 | | | 160,854 | | | | 161,731 | | | | — | | | | — | | | | 877 | | | | 160,854 | |
| | | | | | |
| Totals | | $ | 291,446 | | | $ | 408,538 | | | $ | — | | | $ | — | | | $ | 117,092 | | | $ | 291,446 | |
| | | | | | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 11,715 | | | $ | 11,715 | | | $ | — | | | $ | — | | | $ | — | | | $ | 11,715 | |
Class N | | | 1,613 | | | | 1,613 | | | | — | | | | — | | | | — | | | | 1,613 | |
Class R6 | | | 106,559 | | | | 106,559 | | | | — | | | | — | | | | — | | | | 106,559 | |
| | | | | | |
| Totals | | $ | 119,887 | | | $ | 119,887 | | | $ | — | | | $ | — | | | $ | — | | | $ | 119,887 | |
| | | | | | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 20,360 | | | $ | 20,360 | | | $ | — | | | $ | — | | | $ | — | | | $ | 20,360 | |
Class N | | | 4,999 | | | | 4,999 | | | | — | | | | — | | | | — | | | | 4,999 | |
Class R6 | | | 78,269 | | | | 78,269 | | | | — | | | | — | | | | — | | | | 78,269 | |
| | | | | | |
| Totals | | $ | 103,628 | | | $ | 103,628 | | | $ | — | | | $ | — | | | $ | — | | | $ | 103,628 | |
| | | | | | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 8,706 | | | $ | 8,706 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,706 | |
Class N | | | 1,708 | | | | 1,708 | | | | — | | | | — | | | | — | | | | 1,708 | |
Class R6 | | | 160,234 | | | | 160,234 | | | | — | | | | — | | | | — | | | | 160,234 | |
| | | | | | |
| Totals | | $ | 170,648 | | | $ | 170,648 | | | $ | — | | | $ | — | | | $ | — | | | $ | 170,648 | |
| | | | | | |
| AQR TM EMERGING MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 26,558 | | | $ | 26,558 | | | $ | — | | | $ | — | | | $ | — | | | $ | 26,558 | |
Class N | | | 15,945 | | | | 15,945 | | | | — | | | | — | | | | — | | | | 15,945 | |
Class R6 | | | 114,751 | | | | 114,751 | | | | — | | | | — | | | | — | | | | 114,751 | |
| | | | | | |
| Totals | | $ | 157,254 | | | $ | 157,254 | | | $ | — | | | $ | — | | | $ | — | | | $ | 157,254 | |
| | | | | | | | | | | | | | | | |
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| | |
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| | | | | | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
SEPTEMBER 30,
2015 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
SEPTEMBER 30,
2015 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| | | | | DECEMBER 31,
2015 | | | SEPTEMBER 30,
2016 | | | 2017 | | | 2018 | |
| | | | | | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 466,807 | | | $ | 1,573,245 | | | $ | 334,720 | | | $ | 268,782 | | | $ | 502,936 | | | $ | 466,807 | |
Class N | | | 54,401 | | | | 168,744 | | | | 1,156 | | | | 49,723 | | | | 63,464 | | | | 54,401 | |
Class R6 | | | 16,178 | | | | 16,198 | | | | — | | | | — | | | | 20 | | | | 16,178 | |
| | | | | | |
| Totals | | $ | 537,386 | | | $ | 1,758,187 | | | $ | 335,876 | | | $ | 318,505 | | | $ | 566,420 | | | $ | 537,386 | |
| | | | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 202,352 | | | $ | 390,878 | | | $ | 74,142 | | | $ | 48,178 | | | $ | 66,206 | | | $ | 202,352 | |
Class N | | | 5,430 | | | | 25,083 | | | | 520 | | | | 11,973 | | | | 7,160 | | | | 5,430 | |
Class R6 | | | 26,198 | | | | 26,215 | | | | — | | | | — | | | | 17 | | | | 26,198 | |
| | | | | | |
| Totals | | $ | 233,980 | | | $ | 442,176 | | | $ | 74,662 | | | $ | 60,151 | | | $ | 73,383 | | | $ | 233,980 | |
| | | | | | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 211,033 | | | $ | 635,456 | | | $ | 140,213 | | | $ | 121,275 | | | $ | 162,935 | | | $ | 211,033 | |
Class N | | | 36,615 | | | | 98,509 | | | | 520 | | | | 20,883 | | | | 40,491 | | | | 36,615 | |
Class R6 | | | 16,591 | | | | 16,610 | | | | — | | | | — | | | | 19 | | | | 16,591 | |
| | | | | | |
| Totals | | $ | 264,239 | | | $ | 750,575 | | | $ | 140,733 | | | $ | 142,158 | | | $ | 203,445 | | | $ | 264,239 | |
| | | | | | |
| AQR EMERGING MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 168,054 | | | $ | 270,981 | | | $ | — | | | $ | — | | | $ | 102,927 | | | $ | 168,054 | |
Class N | | | 27,088 | | | | 47,074 | | | | — | | | | — | | | | 19,986 | | | | 27,088 | |
Class R6 | | | 2,192 | | | | 3,364 | | | | — | | | | — | | | | 1,172 | | | | 2,192 | |
| | | | | | |
| Totals | | $ | 197,334 | | | $ | 321,419 | | | $ | — | | | $ | — | | | $ | 124,085 | | | $ | 197,334 | |
| | | | | | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 132,303 | | | $ | 432,460 | | | $ | 123,116 | | | $ | 75,506 | | | $ | 101,535 | | | $ | 132,303 | |
Class N | | | 164 | | | | 3,654 | | | | 61 | | | | 2,381 | | | | 1,048 | | | | 164 | |
Class R6 | | | 52,726 | | | | 52,779 | | | | — | | | | — | | | | 53 | | | | 52,726 | |
| | | | | | |
| Totals | | $ | 185,193 | | | $ | 488,893 | | | $ | 123,177 | | | $ | 77,887 | | | $ | 102,636 | | | $ | 185,193 | |
| | | | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 133,375 | | | $ | 451,334 | | | $ | 127,875 | | | $ | 80,939 | | | $ | 109,145 | | | $ | 133,375 | |
Class N | | | 854 | | | | 5,922 | | | | 52 | | | | 3,096 | | | | 1,920 | | | | 854 | |
Class R6 | | | 730 | | | | 964 | | | | — | | | | — | | | | 234 | | | | 730 | |
| | | | | | |
| Totals | | $ | 134,959 | | | $ | 458,220 | | | $ | 127,927 | | | $ | 84,035 | | | $ | 111,299 | | | $ | 134,959 | |
| | | | | | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 122,477 | | | $ | 508,785 | | | $ | 160,934 | | | $ | 101,643 | | | $ | 123,731 | | | $ | 122,477 | |
Class N | | | 264 | | | | 4,314 | | | | 63 | | | | 2,878 | | | | 1,109 | | | | 264 | |
Class R6 | | | 63,477 | | | | 63,552 | | | | — | | | | — | | | | 75 | | | | 63,477 | |
| | | | | | |
| Totals | | $ | 186,218 | | | $ | 576,651 | | | $ | 160,997 | | | $ | 104,521 | | | $ | 124,915 | | | $ | 186,218 | |
| | | | | | | | | | | | | | | | |
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| | | | | | | | | | |
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| | |
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| | | | | | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
SEPTEMBER 30,
2015 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
SEPTEMBER 30,
2015 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| | | | | DECEMBER 31,
2015 | | | SEPTEMBER 30,
2016 | | | 2017 | | | 2018 | |
| | | | | | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 162,616 | | | $ | 620,984 | | | $ | 65,338 | | | $ | 141,173 | | | $ | 251,857 | | | $ | 162,616 | |
Class N | | | 23,255 | | | | 137,719 | | | | 38,829 | | | | 30,923 | | | | 44,712 | | | | 23,255 | |
Class R6 | | | 117 | | | | 128 | | | | — | | | | — | | | | 11 | | | | 117 | |
| | | | | | |
| Totals | | $ | 185,988 | | | $ | 758,831 | | | $ | 104,167 | | | $ | 172,096 | | | $ | 296,580 | | | $ | 185,988 | |
| | | | | | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 162,417 | | | $ | 505,109 | | | $ | 79,941 | | | $ | 119,897 | | | $ | 142,854 | | | $ | 162,417 | |
Class N | | | 1,033 | | | | 81,561 | | | | 43,475 | | | | 24,012 | | | | 13,041 | | | | 1,033 | |
Class R6 | | | 485 | | | | 536 | | | | — | | | | — | | | | 51 | | | | 485 | |
| | | | | | |
| Totals | | $ | 163,935 | | | $ | 587,206 | | | $ | 123,416 | | | $ | 143,909 | | | $ | 155,946 | | | $ | 163,935 | |
| | | | | | |
| AQR EMERGING DEFENSIVE STYLE FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 250,006 | | | $ | 642,243 | | | $ | 91,760 | | | $ | 107,052 | | | $ | 193,425 | | | $ | 250,006 | |
Class N | | | 1,479 | | | | 81,534 | | | | 32,715 | | | | 30,375 | | | | 16,965 | | | | 1,479 | |
Class R6 | | | 371 | | | | 420 | | | | — | | | | — | | | | 49 | | | | 371 | |
| | | | | | |
| Totals | | $ | 251,856 | | | $ | 724,197 | | | $ | 124,475 | | | $ | 137,427 | | | $ | 210,439 | | | $ | 251,856 | |
| | | | | | |
| AQR GLOBAL EQUITY FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | — | | | $ | 19,665 | | | $ | 5,464 | | | $ | 9,725 | | | $ | 4,476 | | | $ | — | |
Class N | | | — | | | | 23,058 | | | | 9,936 | | | | 8,886 | | | | 4,236 | | | | — | |
Class R6 | | | 3,417 | | | | 19,196 | | | | — | | | | — | | | | 15,779 | | | | 3,417 | |
Class Y | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | |
| Totals | | $ | 3,417 | | | $ | 61,919 | | | $ | 15,400 | | | $ | 18,611 | | | $ | 24,491 | | | $ | 3,417 | |
During the period ended September 30, 2015, the Funds recouped amounts as follows:
| | | | | | | | |
| FUND | | CLASS I | | | CLASS N | |
AQR Global Equity Fund | | $ | 4,392 | | | $ | 110 | |
JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent, Custodian and Security Lending Agent.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
9. Distribution Plan
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds.
10. Shareholder Servicing Agreements
Pursuant to a Shareholder Services Agreement, between the Trust and the Advisor, the Advisor provides certain administrative and/or support services to the AQR Global Equity Fund and AQR International Equity Fund and their shareholders. These services include, among others, providing shareholders with analysis and explanations of Fund reports, information about shareholder positions in Fund shares, as well as
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| | |
| Notes to Financial Statements | | September 30, 2015 |
assisting in the distribution of shareholder communications, such as prospectus materials, shareholder reports and annual reports. Under this agreement the Advisor receives an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Global Equity Fund | | | 0.30 | % | | | 0.30 | % | | | 0.20 | % |
AQR International Equity Fund | | | 0.30 | | | | 0.30 | | | | 0.20 | |
Effective April 1, 2015, the Trust, on behalf of each Style Fund, terminated the Shareholder Services Agreement with respect to each Style Fund. Prior to April 1, 2015, pursuant to the Shareholder Services Agreement, the Advisor received from the Style Funds an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:
| | | | | | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS L | | | CLASS N | | | CLASS R6 | |
AQR Large Cap Multi-Style Fund | | | n/a | | | | 0.15 | % | | | 0.15 | % | | | 0.15 | % |
AQR Small Cap Multi-Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR International Multi-Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Emerging Multi-Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR TM Large Cap Multi-Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR TM Small Cap Multi-Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR TM International Multi-Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR TM Emerging Multi-Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Large Cap Momentum Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Small Cap Momentum Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR International Momentum Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Emerging Momentum Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR TM Large Cap Momentum Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR TM Small Cap Momentum Style Fund | | | n/a | | | | 0.15 | | | | 015 | | | | 0.15 | |
AQR TM International Momentum Style Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Large Cap Defensive Style Fund | | | 0.15 | % | | | n/a | | | | 0.15 | | | | 0.15 | |
AQR International Defensive Style Fund | | | 0.15 | | | | n/a | | | | 0.15 | | | | 0.15 | |
AQR Emerging Defensive Style Fund | | | 0.15 | | | | n/a | | | | 0.15 | | | | 0.15 | |
Fees incurred by the Funds under the Plan and/or the Shareholder Services Agreement for the period ended September 30, 2015, were as follows:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Large Cap Multi-Style Fund | | $ | 227,116 | | | $ | 27,884 | | | $ | 49,701 | |
AQR Small Cap Multi-Style Fund | | | 10,571 | | | | 2,045 | | | | 152 | |
AQR International Multi-Style Fund | | | 18,993 | | | | 1,449 | | | | 24,039 | |
AQR Emerging Multi-Style Fund | | | 11,693 | | | | 2,113 | | | | 1,040 | |
AQR TM Large Cap Multi-Style Fund | | | 77 | | | | 20 | | | | 433 | |
AQR TM Small Cap Multi-Style Fund | | | 23 | | | | 20 | | | | 359 | |
AQR TM International Multi-Style Fund | | | 57 | | | | 20 | | | | 642 | |
AQR TM Emerging Multi-Style Fund | | | 224 | | | | 197 | | | | 634 | |
AQR Large Cap Momentum Style Fund | | | 737,179 | | | | 61,431 | | | | 4,755 | |
AQR Small Cap Momentum Style Fund | | | 253,628 | | | | 6,078 | | | | 259 | |
AQR International Momentum Style Fund | | | 207,953 | | | | 30,279 | | | | 2,682 | |
AQR Emerging Momentum Style Fund | | | 5,051 | | | | 874 | | | | 70 | |
AQR TM Large Cap Momentum Style Fund | | | 81,291 | | | | 111 | | | | 7,011 | |
AQR TM Small Cap Momentum Style Fund | | | 12,964 | | | | 99 | | | | 76 | |
AQR TM International Momentum Style Fund | | | 43,884 | | | | 82 | | | | 4,030 | |
AQR Large Cap Defensive Style Fund | | | 133,037 | | | | 16,131 | | | | 80 | |
AQR International Defensive Style Fund | | | 21,596 | | | | 145 | | | | 71 | |
AQR Emerging Defensive Style Fund | | | 61,495 | | | | 473 | | | | 67 | |
AQR Global Equity Fund | | | 27,724 | | | | 3,693 | | | | 159,017 | |
AQR International Equity Fund | | | 904,513 | | | | 117,649 | | | | 129,680 | |
11. Capital Transactions
Investors may purchase shares of a Fund at its NAV, based on the next calculation of the NAV after the order is placed. Except as noted below, neither the Fund nor the distributor charges a sales charge or other transaction fee to purchase shares, although other institutions may impose transaction fees on shares purchased through them. The AQR Global Equity and AQR International Equity Funds’ Class Y shares charge purchase and redemption fees of 0.10% each, regardless of the period such shares may have been held. Prior to May 1, 2011, the Funds
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| | |
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reserved the right to charge a redemption fee on redemption proceeds for shares that were held for less than 60 days. Effective May 1, 2011, this fee was eliminated for Class I, Class L and Class N Shares.
12. Principal Risks and Concentrations
In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).
Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.
The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause 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. 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 derivative transactions. A number of each Fund’s Master 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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| | |
| Notes to Financial Statements | | September 30, 2015 |
The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.
The Advisor relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.
Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.
13. Line of Credit
Effective February 27, 2015 and terminating on February 26, 2016, the Trust renewed a committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. 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 September 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.
Average borrowings under the agreement during the period ended September 30, 2015 were as follows:
| | | | | | | | | | | | | | | | |
| FUND | | AVERAGE
BORROWINGS | | | AVERAGE
INTEREST
RATE % | | | NUMBER OF
DAYS
OUTSTANDING | | | INTEREST
PAID | |
AQR Large Cap Momentum Style Fund | | $ | 10,000,000 | | | | 1.17 | % | | | 3 | | | $ | 972 | |
AQR Small Cap Momentum Style Fund | | | 6,000,000 | | | | 1.17 | | | | 3 | | | | 583 | |
AQR TM International Momentum Style Fund | | | 500,000 | | | | 1.17 | | | | 5 | | | | 81 | |
AQR Large Cap Defensive Style Fund | | | 4,000,000 | | | | 1.17 | | | | 3 | | | | 389 | |
AQR Emerging Defensive Style Fund | | | 4,000,000 | | | | 1.14 | | | | 2 | | | | 253 | |
Interest expense paid, if any, as a result of borrowing under this agreement is included in Interest expense in the Statements of Operations.
14. Principal Ownership
As of September 30, 2015, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:
| | | | | | | | |
| FUND | | NUMBER OF
INDIVIDUAL
SHAREHOLDERS
AND/OR OMNIBUS
ACCOUNTS | | | TOTAL
PERCENTAGE
INTEREST
HELD | |
AQR Large Cap Multi-Style Fund | | | 4 | | | | 92 | % |
AQR Small Cap Multi-Style Fund | | | 5 | | | | 93 | |
AQR International Multi-Style Fund | | | 4 | | | | 96 | |
AQR Emerging Multi-Style Fund | | | 4 | | | | 98 | |
AQR TM Large Cap Multi-Style Fund* | | | 5 | | | | 94 | |
AQR TM Small Cap Multi-Style Fund* | | | 2 | | | | 94 | |
AQR TM International Multi-Style Fund | | | 4 | | | | 92 | |
AQR TM Emerging Multi-Style Fund* | | | 5 | | | | 92 | |
AQR Large Cap Momentum Style Fund | | | 3 | | | | 74 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
214
| | |
| Notes to Financial Statements | | September 30, 2015 |
| | | | | | | | |
| FUND | | NUMBER OF
INDIVIDUAL
SHAREHOLDERS
AND/OR OMNIBUS
ACCOUNTS | | | TOTAL
PERCENTAGE
INTEREST
HELD | |
AQR Small Cap Momentum Style Fund | | | 3 | | | | 84 | % |
AQR International Momentum Style Fund | | | 3 | | | | 94 | |
AQR Emerging Momentum Style Fund* | | | 4 | | | | 90 | |
AQR TM Large Cap Momentum Style Fund | | | 3 | | | | 98 | |
AQR TM Small Cap Momentum Style Fund | | | 3 | | | | 98 | |
AQR TM International Momentum Style Fund | | | 3 | | | | 100 | |
AQR Large Cap Defensive Style Fund | | | 5 | | | | 96 | |
AQR International Defensive Style Fund | | | 3 | | | | 96 | |
AQR Emerging Defensive Style Fund | | | 2 | | | | 86 | |
AQR Global Equity Fund | | | 3 | | | | 83 | |
AQR International Equity Fund | | | 4 | | | | 71 | |
| | * | The percentage shown is owned by the Advisor and/or affiliates. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ Performance.
15. New Accounting Pronouncements
In June 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“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 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
A distribution was made on November 10, 2015, to distribute to shareholders of the AQR Global Equity Fund a portion of their income and capital gains, in anticipation of a large shareholder redemption. Management has determined that the redemption will have no impact on the ongoing operations of the AQR Global Equity Fund.
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events, other than noted above.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
215
|
| Report of Independent Registered Public Accounting Firm |
To the Board of Trustees and Shareholders of AQR Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund and AQR International Equity Fund (twenty of the portfolios constituting AQR Funds, hereinafter referred to as the “Funds”) at September 30, 2015, and the results of each of their operations, the changes in each of their net assets and their financial highlights for each of the periods presented , in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, and transfer agents and the application of alternative auditing procedures where confirmation of securities purchased had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 19, 2015
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
216
|
| Other Federal Tax Information (Unaudited) |
For the fiscal year ended September 30, 2015, the Funds designate the following percentages of ordinary income dividends, or maximum amount allowable, as qualifying for the reduced tax rate under the Jobs and Growth Tax Relief Reconciliation Act of 2003:
| | | | |
| FUND | | PERCENTAGE | |
AQR Large Cap Multi-Style Fund | | | 100.00 | % |
AQR Small Cap Multi-Style Fund | | | 100.00 | % |
AQR International Multi-Style Fund | | | 100.00 | % |
AQR Large Cap Momentum Style Fund | | | 57.43 | % |
AQR Small Cap Momentum Style Fund | | | 39.21 | % |
AQR International Momentum Style Fund | | | 100.00 | % |
AQR Emerging Momentum Style Fund | | | 100.00 | % |
AQR TM Large Cap Momentum Style Fund | | | 100.00 | % |
AQR TM Small Cap Momentum Style Fund | | | 100.00 | % |
AQR TM International Momentum Style Fund | | | 100.00 | % |
AQR Large Cap Defensive Style Fund | | | 61.11 | % |
AQR International Defensive Style Fund | | | 100.00 | % |
AQR Emerging Defensive Style Fund | | | 78.34 | % |
AQR Global Equity Fund | | | 100.00 | % |
AQR International Equity Fund | | | 93.07 | % |
For the fiscal year ended September 30, 2015, the following percentages of income dividends paid by the Fund qualify for the dividends received deductions available to corporations:
| | | | |
| FUND | | PERCENTAGE | |
AQR Large Cap Multi-Style Fund | | | 64.72 | % |
AQR Small Cap Multi-Style Fund | | | 73.88 | % |
AQR Emerging Multi-Style Fund | | | 0.95 | % |
AQR Large Cap Momentum Style Fund | | | 41.22 | % |
AQR Small Cap Momentum Style Fund | | | 29.69 | % |
AQR International Momentum Style Fund | | | 0.03 | % |
AQR Emerging Momentum Style Fund | | | 0.14 | % |
AQR TM Large Cap Momentum Style Fund | | | 75.62 | % |
AQR TM Small Cap Momentum Style Fund | | | 100.00 | % |
AQR Large Cap Defensive Style Fund | | | 73.60 | % |
AQR Emerging Defensive Style Fund | | | 1.29 | % |
AQR Global Equity Fund | | | 59.42 | % |
The Funds designate the following amounts, or the maximum allowable under Section 852 of the Internal Revenue Code, as long term capital gain dividends paid during the fiscal year ended September 30, 2015:
| | | | |
| FUND | | TOTAL | |
AQR Large Cap Multi-Style Fund | | $ | 672,488 | |
AQR Small Cap Multi-Style Fund | | $ | 88,141 | |
AQR International Multi-Style Fund | | $ | 78,371 | |
AQR Large Cap Momentum Style Fund | | $ | 73,639,636 | |
AQR Small Cap Momentum Style Fund | | $ | 28,285,487 | |
AQR International Momentum Style Fund | | $ | 3,582,058 | |
AQR TM Large Cap Momentum Style Fund | | $ | 1,207,604 | |
AQR TM Small Cap Momentum Style Fund | | $ | 546,861 | |
AQR TM International Momentum Style Fund | | $ | 271,835 | |
AQR Large Cap Defensive Style Fund | | $ | 2,527,136 | |
AQR International Defensive Style Fund | | $ | 486,716 | |
AQR Global Equity Fund | | $ | 24,653,244 | |
AQR International Equity Fund | | $ | 37,535,197 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
217
|
| Other Federal Tax Information (Unaudited) |
Certain Funds have derived net income from sources within foreign countries. For the year ended September 30, 2015, the foreign source income for each Fund was as follows:
| | | | | | | | |
| FUND | | TOTAL | | | PER SHARE | |
AQR International Multi-Style Fund | | $ | 5,648,346 | | | $ | 0.2016 | |
AQR Emerging Multi-Style Fund | | $ | 4,752,434 | | | $ | 0.2061 | |
AQR TM International Multi-Style Fund | | $ | 711,866 | | | $ | 0.1498 | |
AQR TM Emerging Multi-Style Fund | | $ | 311,017 | | | $ | 0.1344 | |
AQR International Momentum Style Fund | | $ | 9,430,717 | | | $ | 0.3856 | |
AQR Emerging Momentum Style Fund | | $ | 253,769 | | | $ | 0.2688 | |
AQR TM International Momentum Style Fund | | $ | 1,814,956 | | | $ | 0.2957 | |
AQR International Defensive Style Fund | | $ | 1,006,995 | | | $ | 0.3205 | |
AQR Emerging Defensive Style Fund | | $ | 1,833,780 | | | $ | 0.5507 | |
AQR International Equity Fund | | $ | 25,178,720 | | | $ | 0.3375 | |
Certain Funds intend to elect to pass through to shareholders the credit for taxes paid to foreign countries. For the year ended September 30, 2015, the foreign taxes paid for each Fund was as follows:
| | | | | | | | |
| FUND | | TOTAL | | | PER SHARE | |
AQR International Multi-Style Fund | | $ | 430,936 | | | $ | 0.0154 | |
AQR Emerging Multi-Style Fund | | $ | 475,359 | | | $ | 0.0206 | |
AQR TM International Multi-Style Fund | | $ | 70,123 | | | $ | 0.0148 | |
AQR TM Emerging Multi-Style Fund | | $ | 32,707 | | | $ | 0.0141 | |
AQR International Momentum Style Fund | | $ | 820,209 | | | $ | 0.0335 | |
AQR Emerging Momentum Style Fund | | $ | 27,349 | | | $ | 0.0290 | |
AQR TM International Momentum Style Fund | | $ | 167,190 | | | $ | 0.0272 | |
AQR International Defensive Style Fund | | $ | 76,048 | | | $ | 0.0242 | |
AQR Emerging Defensive Style Fund | | $ | 181,566 | | | $ | 0.0545 | |
AQR International Equity Fund | | $ | 1,822,597 | | | $ | 0.0244 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
218
|
| 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 9/30/15” 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
9/30/15 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/15 | |
| | | | |
| AQR Large Cap Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $938.40 | | | | 0.45 | % | | | $2.19 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.81 | | | | 0.45 | % | | | $2.28 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $936.80 | | | | 0.70 | % | | | $3.40 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $939.10 | | | | 0.35 | % | | | $1.70 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.31 | | | | 0.35 | % | | | $1.78 | |
| | | | |
| AQR Small Cap Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $901.80 | | | | 0.64 | % | | | $3.05 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.86 | | | | 0.64 | % | | | $3.24 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $900.10 | | | | 0.90 | % | | | $4.29 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.56 | | | | 0.90 | % | | | $4.56 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $901.80 | | | | 0.55 | % | | | $2.62 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
219
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/15 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/15 | |
| | | | |
| AQR International Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $922.30 | | | | 0.60 | % | | | $2.89 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $921.40 | | | | 0.85 | % | | | $4.09 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.81 | | | | 0.85 | % | | | $4.31 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $922.20 | | | | 0.50 | % | | | $2.41 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.56 | | | | 0.50 | % | | | $2.54 | |
| | | | |
| AQR Emerging Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $828.10 | | | | 0.74 | % | | | $3.39 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.36 | | | | 0.74 | % | | | $3.75 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $826.90 | | | | 1.00 | % | | | $4.58 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.05 | | | | 1.00 | % | | | $5.06 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $829.10 | | | | 0.65 | % | | | $2.98 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
| AQR TM Large Cap Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $940.10 | | | | 0.45 | % | | | $2.19 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.81 | | | | 0.45 | % | | | $2.28 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $938.10 | | | | 0.68 | % | | | $3.30 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.66 | | | | 0.68 | % | | | $3.45 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $939.20 | | | | 0.36 | % | | | $1.75 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.26 | | | | 0.36 | % | | | $1.83 | |
| | | | |
| AQR TM Small Cap Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $895.00 | | | | 0.65 | % | | | $3.09 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $894.10 | | | | 0.90 | % | | | $4.27 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.56 | | | | 0.90 | % | | | $4.56 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $895.10 | | | | 0.55 | % | | | $2.61 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
| | | | |
| AQR TM International Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $920.70 | | | | 0.60 | % | | | $2.89 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $919.70 | | | | 0.79 | % | | | $3.80 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.11 | | | | 0.79 | % | | | $4.00 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $920.70 | | | | 0.51 | % | | | $2.46 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.51 | | | | 0.51 | % | | | $2.59 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
220
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/15 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/15 | |
| | | | |
| AQR TM Emerging Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $831.00 | | | | 0.76 | % | | | $3.49 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.26 | | | | 0.76 | % | | | $3.85 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $830.80 | | | | 1.01 | % | | | $4.64 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.00 | | | | 1.01 | % | | | $5.11 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $832.00 | | | | 0.66 | % | | | $3.03 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.76 | | | | 0.66 | % | | | $3.35 | |
| | | | |
| AQR Large Cap Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $935.80 | | | | 0.40 | % | | | $1.94 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.06 | | | | 0.40 | % | | | $2.03 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $934.80 | | | | 0.65 | % | | | $3.15 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $936.60 | | | | 0.30 | % | | | $1.46 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.56 | | | | 0.30 | % | | | $1.52 | |
| | | | |
| AQR Small Cap Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $884.30 | | | | 0.60 | % | | | $2.83 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $883.30 | | | | 0.85 | % | | | $4.01 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.81 | | | | 0.85 | % | | | $4.31 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $884.60 | | | | 0.50 | % | | | $2.36 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.56 | | | | 0.50 | % | | | $2.54 | |
| | | | |
| AQR International Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $917.50 | | | | 0.55 | % | | | $2.64 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $916.60 | | | | 0.80 | % | | | $3.84 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.06 | | | | 0.80 | % | | | $4.05 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $918.10 | | | | 0.45 | % | | | $2.16 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.81 | | | | 0.45 | % | | | $2.28 | |
| | | | |
| AQR Emerging Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $841.60 | | | | 0.71 | % | | | $3.28 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.51 | | | | 0.71 | % | | | $3.60 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $839.60 | | | | 0.96 | % | | | $4.43 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.26 | | | | 0.96 | % | | | $4.86 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $841.80 | | | | 0.61 | % | | | $2.82 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.01 | | | | 0.61 | % | | | $3.09 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
221
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/15 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/15 | |
| | | | |
| AQR TM Large Cap Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $937.30 | | | | 0.40 | % | | | $1.94 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.06 | | | | 0.40 | % | | | $2.03 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $936.60 | | | | 0.51 | % | | | $2.48 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.51 | | | | 0.51 | % | | | $2.59 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $937.80 | | | | 0.30 | % | | | $1.46 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.56 | | | | 0.30 | % | | | $1.52 | |
| | | | |
| AQR TM Small Cap Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $894.00 | | | | 0.60 | % | | | $2.85 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $893.00 | | | | 0.80 | % | | | $3.80 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.06 | | | | 0.80 | % | | | $4.05 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $894.00 | | | | 0.50 | % | | | $2.37 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.56 | | | | 0.50 | % | | | $2.54 | |
| | | | |
| AQR TM International Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $920.50 | | | | 0.55 | % | | | $2.65 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $919.70 | | | | 0.64 | % | | | $3.08 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.86 | | | | 0.64 | % | | | $3.24 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $920.50 | | | | 0.45 | % | | | $2.17 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.81 | | | | 0.45 | % | | | $2.28 | |
| | | | |
| AQR Large Cap Defensive Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $981.90 | | | | 0.40 | % | | | $1.99 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.06 | | | | 0.40 | % | | | $2.03 | |
| | | | |
| Class N | | | | | | | | | | | | | �� | | | |
Actual Return | | | $1,000.00 | | | | $981.20 | | | | 0.65 | % | | | $3.23 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $982.50 | | | | 0.30 | % | | | $1.49 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.56 | | | | 0.30 | % | | | $1.52 | |
| | | | |
| AQR International Defensive Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $927.20 | | | | 0.55 | % | | | $2.66 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $926.40 | | | | 0.80 | % | | | $3.86 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.06 | | | | 0.80 | % | | | $4.05 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $927.90 | | | | 0.45 | % | | | $2.17 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.81 | | | | 0.45 | % | | | $2.28 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
222
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/15 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/15 | |
| | | | |
| AQR Emerging Defensive Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $861.50 | | | | 0.70 | % | | | $3.27 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $860.70 | | | | 0.95 | % | | | $4.43 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.31 | | | | 0.95 | % | | | $4.81 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $862.40 | | | | 0.61 | % | | | $2.85 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.01 | | | | 0.61 | % | | | $3.09 | |
| | | | |
| AQR Global Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $924.20 | | | | 0.90 | % | | | $4.34 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.56 | | | | 0.90 | % | | | $4.56 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $923.50 | | | | 1.15 | % | | | $5.55 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.30 | | | | 1.15 | % | | | $5.82 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $925.70 | | | | 0.70 | % | | | $3.38 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
| | | | |
| Class Y | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $926.90 | | | | 0.49 | % | | | $2.37 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.61 | | | | 0.49 | % | | | $2.48 | |
| | | | |
| AQR International Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $924.90 | | | | 0.93 | % | | | $4.49 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.41 | | | | 0.93 | % | | | $4.71 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $923.40 | | | | 1.20 | % | | | $5.79 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.05 | | | | 1.20 | % | | | $6.07 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $925.30 | | | | 0.75 | % | | | $3.62 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.31 | | | | 0.75 | % | | | $3.80 | |
| | | | |
| Class Y | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $926.30 | | | | 0.55 | % | | | $2.66 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 183/365 (to reflect the one-half year period unless stated otherwise).
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
223
| | |
| Trustees and Officers (Unaudited) | | September 30, 2015 |
Listed in the chart below is basic information regarding the Trustees and Officers of the Trust. The address of each Officer and Trustee is Two Greenwich Plaza, 3rd Floor, Greenwich CT 06830.
| | | | | | | | |
| NAME AND YEAR OF BIRTH | | CURRENT
POSITION WITH
THE TRUST,
TERM OF
OFFICE1 AND
LENGTH OF
TIME SERVED | | PRINCIPAL OCCUPATION(S)
DURING PAST 5 YEARS | | NUMBER
OF FUNDS
IN FUND
COMPLEX
OVERSEEN
BY TRUSTEE | | OTHER PRESENT OR
PAST
DIRECTORSHIPS
HELD BY
TRUSTEE (DURING
THE PAST 5 YEARS) |
Disinterested Trustees2 | | | | | | | | |
| Timothy K. Armour, M.B.A., 1948 | | Chairman of the Board,
since
2010 and Trustee,since 2008 | | Interim Chief Executive Officer of Janus
Capital Group (2009 to 2010) (financial
services) | | 41 | | Janus Capital
Group (since
2008); ETF
Securities (2010-
2013) |
| | | | |
| L. Joe Moravy, M.B.A., CPA, 1950 | | Trustee,
since 2008 | | Managing Director, Finance Scholars
Group (2010 to 2014) (consulting);
Managing Director and Owner, LJM
Advisory (2008-2010) (consulting) | | 41 | | Nuveen Exchange
Traded
Commodities Funds
(since 2012) |
| | | | |
| William L. Atwell, M.B.A., 1950 | | Trustee,
since 2011 | | Managing Director, Atwell Partners LLC
(since 2012) (consulting); President
(CIGNA International), CIGNA (2008 to
2012) (insurance) | | 41 | | Webster Financial
Corporation
(since 2014) |
| | | | |
| Gregg D. Behrens, M.M., 1952 | | Trustee,
since 2011 | | Retired from Northern Trust Company
(since 2009) banking) | | 41 | | None |
| | | | |
| Brian Posner, M.B.A., 1961 | | Trustee,
since 2011 | | President, Point Rider Group LLC (since
2008) (consulting) | | 41 | | Biogen Idec (since
2008); Arch Capital
Group (since
2010); BG
Medicine (2012-
2015); RiverPark
Funds Trust
(2010 to 2012) |
| | | | |
Mark. A. Zurack, M.B.A., CFA 1957 | | Trustee,
since 2014 | | Adjunct Professor and Executive-in-
Residence, Columbia Business School
(since 2002) | | 41 | | Exchange Traded
Concepts Trust
(since 2011);
Source ETF Trust
(since 2014) |
| | | | |
Interested Trustees3 | | | | | | | | |
| David Kabiller, CFA, 1963 | | Trustee, since 2010 | | Founding Principal, AQR Capital
Management, LLC (since 1998) | | 41 | | None |
| | | | |
| Marco Hanig, Ph.D., 1958 | | Trustee, since 2014;
Chief Executive
Officer, since
2009; President,
since 2008 | | Principal, AQR Capital Management, LLC
(since 2008) | | 41 | | None |
| | | | |
Officers | | | | | | | | |
| H.J. Willcox, J.D., 1966 | | Chief Compliance
Officer, since 2013 | | Managing Director and
Chief Compliance Officer,
AQR Capital Management, LLC (since
2013); Global Head of Compliance and
Counsel KKR & Co., L.P. (2008-2013) | | N/A | | N/A |
| | | | |
Heather Bonner, CPA, 1977 | | Chief Financial Officer,
since 2014 | | Vice President, AQR Capital
Management, LLC
(since 2013); Senior Manager,
PricewaterhouseCoopers, LLP (2007-
2013) | | N/A | | N/A |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
224
| | |
| Trustees and Officers (Unaudited) | | September 30, 2015 |
| | | | | | | | |
| NAME AND YEAR OF BIRTH | | CURRENT
POSITION WITH
THE TRUST,
TERM OF
OFFICE1 AND
LENGTH OF
TIME SERVED | | PRINCIPAL OCCUPATION(S)
DURING PAST 5 YEARS | | NUMBER
OF FUNDS
IN FUND
COMPLEX
OVERSEEN
BY TRUSTEE | | OTHER PRESENT OR
PAST
DIRECTORSHIPS
HELD BY
TRUSTEE (DURING
THE PAST 5 YEARS) |
| Gregory McNeil, M.S./M.B.A., CPA, 1975 | | Vice President and
Treasurer, since 2015 | | Vice President, AQR Capital
Management, LLC (since 2015);
Assistant Treasurer at Franklin
Templeton Investments (2010-2015) | | N/A | | N/A |
| | | | |
| Bradley Asness, J.D., M.B.A. 1969 | | Vice President, since
2009 | | Principal and Chief Legal Officer, AQR
Capital Management, LLC (since 1998) | | N/A | | N/A |
| | | | |
| Brendan R. Kalb, J.D. 1975 | | Executive
Vice President,
since 2009;
Secretary,
since 2008 | | Managing Director and General Counsel,
AQR Capital Management, LLC
(since 2004) | | N/A | | N/A |
| | | | |
| Nicole DonVito, J.D. 1979 | | Chief Legal Officer,
since 2014;
Vice President,
since 2009 | | Senior Counsel & Head of Registered
Products, AQR Capital Management, LLC
(since 2007) | | N/A | | N/A |
| (1) | Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust. |
| (2) | A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. |
| (3) | An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Advisor. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2015 | | |
| | | | | | | | | | |
225
Investment Advisor
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
JPMorgan Chase Bank, N.A.
70 Fargo Street
Boston, MA 02210
Independent Registered Public Accounting Firm
PricewaterhouseCoopers, LLP
300 Madison Avenue
New York, NY 10017
You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.
AQR Funds
P.O. Box 2248, Denver, CO 80201-2248
p: +1.866.290.2688 | w: https://funds.aqr.com
Item 2. Code of Ethics.
| a). | As of the end of the period, September 30, 2015, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 12 (a)(1). |
| c). | There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended September 30, 2015 (“Reporting Period”). |
| d). | Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period. |
Item 3. Audit Committee Financial Expert.
| a). | The Registrant’s Board of Trustees has determined that its Audit Committee has two “audit committee financial experts”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L. Joe Moravy and Mr. Brian S. Posner, the Registrant’s audit committee financial experts, are “independent”, as that term is defined under Item 3(a)(2). |
Item 4. Principal Accountant Fees and Services.
Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP for the fiscal years ended September 30, 2014 and September 30, 2015 were:
| | | | | | | | |
| | | 2014 | | | 2015 | |
Audit Fees (a) | | $ | 520,830 | | | $ | 647,820 | |
Audit Related Fees (b) | | $ | 104,000 | | | $ | 5,500 | |
Tax Fees (c) | | $ | 159,100 | | | $ | 241,626 | |
All Other Fees (d) | | $ | 0 | | | $ | 0 | |
Total: | | $ | 783,930 | | | $ | 894,946 | |
| (a) | Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements. These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC. |
| (b) | Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP that are reasonably related to the performance of the audit of the Registrant’s September 30, 2014 and September 30, 2015 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended September 30, 2014 and September 30, 2015 relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of the issuance of, and amendments to, the Registrant’s Registration Statement. |
| (c) | Tax Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice and tax planning. The tax services provided by PricewaterhouseCoopers LLP relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review. |
| (d) | All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above. |
| (e) | Audit Committee Pre-approval Policies and Procedures: |
| | (i) | Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust. |
| | (ii) | 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X. |
| (f) | Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees. |
| (g) | Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended September 30, 2014 and September 30, 2015: $350,024 and $414,999, respectively. |
Item 5. Audit Committee of Listed Registrants.
| (a) | The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Timothy K. Armour, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark Zurack, are members of Audit Committee. |
Item 6. Investments
| (a) | Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
| (b) | The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | There have not been any changes in registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
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| (a)(1) | | The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto. |
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| (a)(2) | | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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| (a)(3) | | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable. |
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| (b) | | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AQR Funds
| | |
By: /s/ Marco Hanig |
Marco Hanig, |
| Principal Executive Officer |
| November 25, 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 |
| November 25, 2015 |
| | |
By: /s/ Heather Bonner |
| Heather Bonner, |
| Principal Financial Officer |
| November 25, 2015 |
