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, 2015 to March 31, 2016
Item 1. Reports to Shareholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1.)
Semi-Annual Report
March 31, 2016 (Unaudited)
AQR Large Cap Multi-Style Fund
AQR Small Cap Multi-Style Fund
AQR International Multi-Style Fund
AQR Emerging Multi-Style Fund
AQR TM Large Cap Multi-Style Fund
AQR TM Small Cap Multi-Style Fund
AQR TM International Multi-Style Fund
AQR TM Emerging Multi-Style Fund
AQR Large Cap Momentum Style Fund
AQR Small Cap Momentum Style Fund
AQR International Momentum Style Fund
AQR Emerging Momentum Style Fund
AQR TM Large Cap Momentum Style Fund
AQR TM Small Cap Momentum Style Fund
AQR TM International Momentum Style Fund
AQR Large Cap Defensive Style Fund
AQR International Defensive Style Fund
AQR Emerging Defensive Style Fund
AQR Global Equity Fund
AQR International Equity Fund
Schedule of Investments | ||||
2 | ||||
7 | ||||
14 | ||||
18 | ||||
23 | ||||
27 | ||||
34 | ||||
38 | ||||
43 | ||||
48 | ||||
56 | ||||
62 | ||||
67 | ||||
71 | ||||
78 | ||||
83 | ||||
87 | ||||
92 | ||||
96 | ||||
104 | ||||
Financial Statements and Notes | 110 | |||
Fund Expense Examples | 179 | |||
Board Approval of Investment Advisory Agreements | 184 |
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND |
COMMON STOCKS - 96.3% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 14.3% | ||||||||
Aaron’s, Inc. | 25,443 | $ | 638,619 | |||||
Advance Auto Parts, Inc. | 6,868 | 1,101,215 | ||||||
AMC Networks, Inc., Class A † | 34,298 | 2,227,312 | ||||||
AutoNation, Inc. † | 11,655 | 544,055 | ||||||
AutoZone, Inc. † | 7,157 | 5,701,910 | ||||||
Bed Bath & Beyond, Inc. † | 15,851 | 786,844 | ||||||
Best Buy Co., Inc. | 127,681 | 4,141,972 | ||||||
Brinker International, Inc. | 27,941 | 1,283,889 | ||||||
Brunswick Corp. | 21,575 | 1,035,169 | ||||||
Cable One, Inc. | 2,357 | 1,030,315 | ||||||
Carnival Corp. | 112,547 | 5,939,105 | ||||||
Carter’s, Inc. | 21,255 | 2,239,852 | ||||||
Comcast Corp., Class A | 65,695 | 4,012,651 | ||||||
CST Brands, Inc. | 20,197 | 773,343 | ||||||
Darden Restaurants, Inc. | 7,672 | 508,654 | ||||||
Delphi Automotive plc (United Kingdom) | 49,081 | 3,682,057 | ||||||
Dick’s Sporting Goods, Inc. | 29,972 | 1,401,191 | ||||||
Dillard’s, Inc., Class A | 12,636 | 1,072,923 | ||||||
Dollar General Corp. | 47,757 | 4,087,999 | ||||||
Dollar Tree, Inc. † | 9,792 | 807,448 | ||||||
Domino’s Pizza, Inc. | 17,048 | 2,247,949 | ||||||
DR Horton, Inc. | 120,799 | 3,651,754 | ||||||
DSW, Inc., Class A | 27,890 | 770,880 | ||||||
Expedia, Inc. | 41,511 | 4,475,716 | ||||||
Foot Locker, Inc. | 65,726 | 4,239,327 | ||||||
Ford Motor Co. | 48,415 | 653,603 | ||||||
GameStop Corp., Class A | 70,648 | 2,241,661 | ||||||
Gap, Inc. (The) | 60,116 | 1,767,410 | ||||||
General Motors Co. | 156,215 | 4,909,837 | ||||||
Gentex Corp. | 137,037 | 2,150,111 | ||||||
GNC Holdings, Inc., Class A | 19,581 | 621,697 | ||||||
Goodyear Tire & Rubber Co. (The) | 147,451 | 4,862,934 | ||||||
Graham Holdings Co., Class B | 4,112 | 1,973,760 | ||||||
Groupon, Inc. † | 172,157 | 686,906 | ||||||
H&R Block, Inc. | 49,438 | 1,306,152 | ||||||
Hanesbrands, Inc. | 41,047 | 1,163,272 | ||||||
Harman International Industries, Inc. | 10,067 | 896,366 | ||||||
Hasbro, Inc. | 50,370 | 4,034,637 | ||||||
Home Depot, Inc. (The) | 137,295 | 18,319,272 | ||||||
Interpublic Group of Cos., Inc. (The) | 49,394 | 1,133,592 | ||||||
JC Penney Co., Inc. † | 125,501 | 1,388,041 | ||||||
John Wiley & Sons, Inc., Class A | 10,655 | 520,923 | ||||||
Kohl’s Corp. | 12,052 | 561,744 | ||||||
L Brands, Inc. | 46,248 | 4,061,037 | ||||||
Lear Corp. | 41,046 | 4,563,084 | ||||||
Leggett & Platt, Inc. | 43,218 | 2,091,751 | ||||||
LKQ Corp. † | 30,488 | 973,482 | ||||||
Lowe’s Cos., Inc. | 80,987 | 6,134,765 | ||||||
Mattel, Inc. | 11,345 | 381,419 | ||||||
McDonald’s Corp. | 24,906 | 3,130,186 | ||||||
Michaels Cos., Inc. (The) † | 61,332 | 1,715,456 | ||||||
Mohawk Industries, Inc. † | 15,881 | 3,031,683 | ||||||
MSG Networks, Inc., Class A † | 41,626 | 719,714 | ||||||
Murphy USA, Inc. † | 16,858 | 1,035,924 | ||||||
NIKE, Inc., Class B | 202,711 | 12,460,645 | ||||||
Nordstrom, Inc. | 7,079 | 404,990 | ||||||
NVR, Inc. † | 1,849 | 3,203,208 | ||||||
O’Reilly Automotive, Inc. † | 21,340 | 5,839,904 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 14.3% (continued) | ||||||||
Penske Automotive Group, Inc. | 13,381 | $ | 507,140 | |||||
Priceline Group, Inc. (The) † | 2,442 | 3,147,640 | ||||||
PVH Corp. | 13,159 | 1,303,531 | ||||||
Ross Stores, Inc. | 53,933 | 3,122,721 | ||||||
Royal Caribbean Cruises Ltd. | 6,291 | 516,806 | ||||||
Sally Beauty Holdings, Inc. † | 34,550 | 1,118,729 | ||||||
Signet Jewelers Ltd. | 4,700 | 582,941 | ||||||
Skechers U.S.A., Inc., Class A † | 101,740 | 3,097,983 | ||||||
Staples, Inc. | 70,105 | 773,258 | ||||||
Target Corp. | 98,095 | 8,071,257 | ||||||
TEGNA, Inc. | 122,180 | 2,866,343 | ||||||
Thor Industries, Inc. | 15,255 | 972,811 | ||||||
TJX Cos., Inc. (The) | 34,706 | 2,719,215 | ||||||
Tractor Supply Co. | 22,177 | 2,006,131 | ||||||
Tupperware Brands Corp. | 7,888 | 457,346 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. † | 8,152 | 1,579,368 | ||||||
Urban Outfitters, Inc. † | 14,761 | 488,441 | ||||||
Visteon Corp. | 5,260 | 418,643 | ||||||
Whirlpool Corp. | 9,651 | 1,740,461 | ||||||
Williams-Sonoma, Inc. | 11,355 | 621,573 | ||||||
Wyndham Worldwide Corp. | 12,973 | 991,526 | ||||||
|
| |||||||
194,445,179 | ||||||||
|
| |||||||
Consumer Staples - 5.6% | ||||||||
Archer-Daniels-Midland Co. | 21,072 | 765,124 | ||||||
Bunge Ltd. | 23,741 | 1,345,402 | ||||||
Campbell Soup Co. | 6,637 | 423,374 | ||||||
Clorox Co. (The) | 19,468 | 2,454,136 | ||||||
Coca-Cola Enterprises, Inc. | 38,515 | 1,954,251 | ||||||
ConAgra Foods, Inc. | 41,922 | 1,870,560 | ||||||
Costco Wholesale Corp. | 2,910 | 458,558 | ||||||
Coty, Inc., Class A | 86,639 | 2,411,163 | ||||||
CVS Health Corp. | 17,239 | 1,788,202 | ||||||
Dr Pepper Snapple Group, Inc. | 55,834 | 4,992,676 | ||||||
Edgewell Personal Care Co. | 14,702 | 1,183,952 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 27,617 | 2,604,559 | ||||||
Flowers Foods, Inc. | 91,588 | 1,690,715 | ||||||
Hormel Foods Corp. | 39,646 | 1,714,293 | ||||||
Ingredion, Inc. | 29,501 | 3,150,412 | ||||||
Kroger Co. (The) | 187,051 | 7,154,701 | ||||||
Molson Coors Brewing Co., Class B | 13,280 | 1,277,270 | ||||||
Mondelez International, Inc., Class A | 185,918 | 7,459,030 | ||||||
Monster Beverage Corp. † | 11,130 | 1,484,519 | ||||||
Nu Skin Enterprises, Inc., Class A | 70,548 | 2,698,461 | ||||||
Philip Morris International, Inc. | 28,662 | 2,812,029 | ||||||
Pilgrim’s Pride Corp. † | 121,900 | 3,096,260 | ||||||
Pinnacle Foods, Inc. | 46,536 | 2,079,229 | ||||||
Reynolds American, Inc. | 20,665 | 1,039,656 | ||||||
Spectrum Brands Holdings, Inc. | 7,400 | 808,672 | ||||||
Tyson Foods, Inc., Class A | 93,910 | 6,260,041 | ||||||
Walgreens Boots Alliance, Inc. | 132,315 | 11,146,216 | ||||||
Whole Foods Market, Inc. | 14,691 | 457,037 | ||||||
|
| |||||||
76,580,498 | ||||||||
|
| |||||||
Energy - 4.2% | ||||||||
CVR Energy, Inc. | 58,052 | 1,515,157 | ||||||
Dril-Quip, Inc. † | 32,310 | 1,956,694 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
2
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Energy - 4.2% (continued) | ||||||||
Frank’s International NV (Netherlands) | 102,648 | $ | 1,691,639 | |||||
HollyFrontier Corp. | 156,948 | 5,543,403 | ||||||
Marathon Petroleum Corp. | 179,316 | 6,666,969 | ||||||
Newfield Exploration Co. † | 17,000 | 565,250 | ||||||
Noble Corp. plc (United Kingdom) | 111,304 | 1,151,996 | ||||||
Patterson-UTI Energy, Inc. | 286,280 | 5,044,254 | ||||||
PBF Energy, Inc., Class A | 127,588 | 4,235,922 | ||||||
Phillips 66 | 132,123 | 11,440,531 | ||||||
Rowan Cos. plc, Class A | 38,994 | 627,803 | ||||||
Tesoro Corp. | 75,414 | 6,486,358 | ||||||
Valero Energy Corp. | 153,002 | 9,813,548 | ||||||
|
| |||||||
56,739,524 | ||||||||
|
| |||||||
Financials - 27.1% | ||||||||
Aflac, Inc. | 95,003 | 5,998,489 | ||||||
Alleghany Corp. † | 8,285 | 4,111,017 | ||||||
Allied World Assurance Co. Holdings AG (Switzerland) | 47,773 | 1,669,189 | ||||||
Allstate Corp. (The) | 91,349 | 6,154,182 | ||||||
American Financial Group, Inc. | 45,338 | 3,190,435 | ||||||
American International Group, Inc. | 219,548 | 11,866,569 | ||||||
Ameriprise Financial, Inc. | 31,711 | 2,981,151 | ||||||
AmTrust Financial Services, Inc. | 130,660 | 3,381,481 | ||||||
Apartment Investment & Management Co., Class A REIT | 23,900 | 999,498 | ||||||
Arch Capital Group Ltd. † | 73,738 | 5,242,772 | ||||||
Aspen Insurance Holdings Ltd. | 38,023 | 1,813,697 | ||||||
Associated Banc-Corp | 71,491 | 1,282,549 | ||||||
Assurant, Inc. | 43,446 | 3,351,859 | ||||||
Assured Guaranty Ltd. | 151,125 | 3,823,462 | ||||||
Axis Capital Holdings Ltd. | 50,726 | 2,813,264 | ||||||
Bank of America Corp. | 1,067,323 | 14,430,207 | ||||||
Bank of Hawaii Corp. | 6,016 | 410,772 | ||||||
Bank of New York Mellon Corp. (The) | 214,390 | 7,895,984 | ||||||
BankUnited, Inc. | 51,340 | 1,768,150 | ||||||
BB&T Corp. | 125,147 | 4,163,641 | ||||||
Berkshire Hathaway, Inc., Class B † | 51,597 | 7,320,582 | ||||||
BlackRock, Inc. | 1,662 | 566,027 | ||||||
BOK Financial Corp. | 18,731 | 1,023,087 | ||||||
Capital One Financial Corp. | 101,163 | 7,011,608 | ||||||
CBRE Group, Inc., Class A † | 73,628 | 2,121,959 | ||||||
Chubb Ltd. (Switzerland) | 61,039 | 7,272,797 | ||||||
Cincinnati Financial Corp. | 39,619 | 2,589,498 | ||||||
CIT Group, Inc. | 24,034 | 745,775 | ||||||
Citigroup, Inc. | 368,807 | 15,397,692 | ||||||
Citizens Financial Group, Inc. | 113,643 | 2,380,821 | ||||||
CNA Financial Corp. | 18,096 | 582,329 | ||||||
Comerica, Inc. | 20,468 | 775,123 | ||||||
Commerce Bancshares, Inc. | 27,924 | 1,255,184 | ||||||
Credit Acceptance Corp. † | 14,192 | 2,576,558 | ||||||
Cullen/Frost Bankers, Inc. | 16,014 | 882,532 | ||||||
Discover Financial Services | 34,590 | 1,761,323 | ||||||
E*TRADE Financial Corp. † | 45,319 | 1,109,862 | ||||||
East West Bancorp, Inc. | 75,501 | 2,452,272 | ||||||
Endurance Specialty Holdings Ltd. | 31,686 | 2,070,363 | ||||||
Everest Re Group Ltd. | 38,880 | 7,676,078 | ||||||
FactSet Research Systems, Inc. | 9,425 | 1,428,170 | ||||||
Fifth Third Bancorp | 207,361 | 3,460,855 |
SHARES | VALUE (Note 4) | |||||||
Financials - 27.1% (continued) | ||||||||
First Republic Bank | 49,564 | $ | 3,302,945 | |||||
FNF Group | 142,878 | 4,843,564 | ||||||
Goldman Sachs Group, Inc. (The) | 46,135 | 7,242,272 | ||||||
Hanover Insurance Group, Inc. (The) | 29,543 | 2,665,369 | ||||||
Hartford Financial Services Group, Inc. (The) | 137,877 | 6,353,372 | ||||||
Huntington Bancshares, Inc. | 480,486 | 4,583,836 | ||||||
Intercontinental Exchange, Inc. | 3,631 | 853,793 | ||||||
Jones Lang LaSalle, Inc. | 19,952 | 2,340,769 | ||||||
JPMorgan Chase & Co. | 424,364 | 25,130,836 | ||||||
KeyCorp | 267,725 | 2,955,684 | ||||||
Lincoln National Corp. | 99,449 | 3,898,401 | ||||||
Macerich Co. (The) REIT | 16,658 | 1,319,980 | ||||||
Markel Corp. † | 2,822 | 2,516,011 | ||||||
Mercury General Corp. | 15,300 | 849,150 | ||||||
MetLife, Inc. | 189,765 | 8,338,274 | ||||||
Nasdaq, Inc. | 55,033 | 3,653,091 | ||||||
Navient Corp. | 99,460 | 1,190,536 | ||||||
New York Community Bancorp, Inc. | 132,106 | 2,100,485 | ||||||
Northern Trust Corp. | 35,827 | 2,334,846 | ||||||
Old Republic International Corp. | 135,543 | 2,477,726 | ||||||
PacWest Bancorp | 18,701 | 694,742 | ||||||
People’s United Financial, Inc. | 113,891 | 1,814,284 | ||||||
PNC Financial Services Group, Inc. (The) | 108,876 | 9,207,643 | ||||||
Popular, Inc. | 57,767 | 1,652,714 | ||||||
Principal Financial Group, Inc. | 66,306 | 2,615,772 | ||||||
ProAssurance Corp. | 12,153 | 614,942 | ||||||
Progressive Corp. (The) | 215,753 | 7,581,560 | ||||||
Prudential Financial, Inc. | 63,323 | 4,573,187 | ||||||
Raymond James Financial, Inc. | 22,924 | 1,091,412 | ||||||
Regions Financial Corp. | 311,330 | 2,443,940 | ||||||
Reinsurance Group of America, Inc. | 35,507 | 3,417,549 | ||||||
RenaissanceRe Holdings Ltd. | 26,910 | 3,224,625 | ||||||
Signature Bank † | 8,557 | 1,164,779 | ||||||
State Street Corp. | 23,532 | 1,377,093 | ||||||
SunTrust Banks, Inc. | 168,484 | 6,078,903 | ||||||
SVB Financial Group † | 17,440 | 1,779,752 | ||||||
Synchrony Financial † | 109,659 | 3,142,827 | ||||||
Synovus Financial Corp. | 77,189 | 2,231,534 | ||||||
TCF Financial Corp. | 32,111 | 393,681 | ||||||
Torchmark Corp. | 52,229 | 2,828,723 | ||||||
Travelers Cos., Inc. (The) | 93,440 | 10,905,382 | ||||||
Unum Group | 75,964 | 2,348,807 | ||||||
US Bancorp | 167,817 | 6,811,692 | ||||||
Validus Holdings Ltd. | 85,404 | 4,030,215 | ||||||
Wells Fargo & Co. | 589,666 | 28,516,248 | ||||||
White Mountains Insurance Group Ltd. | 2,612 | 2,096,391 | ||||||
WR Berkley Corp. | 79,769 | 4,483,018 | ||||||
XL Group plc (Ireland) | 86,830 | 3,195,344 | ||||||
Zions Bancorp | 23,574 | 570,727 | ||||||
|
| |||||||
369,647,289 | ||||||||
|
| |||||||
Health Care - 6.6% | ||||||||
Aetna, Inc. | 67,423 | 7,574,974 | ||||||
Alexion Pharmaceuticals, Inc. † | 3,132 | 436,037 | ||||||
AmerisourceBergen Corp. | 33,989 | 2,941,748 | ||||||
Amgen, Inc. | 19,799 | 2,968,464 | ||||||
Anthem, Inc. | 50,591 | 7,031,643 | ||||||
Becton Dickinson and Co. | 10,316 | 1,566,175 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
3
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Health Care - 6.6% (continued) | ||||||||
Bio-Rad Laboratories, Inc., Class A † | 2,762 | $ | 377,621 | |||||
Boston Scientific Corp. † | 29,643 | 557,585 | ||||||
Cardinal Health, Inc. | 9,602 | 786,884 | ||||||
Centene Corp. † | 48,308 | 2,974,324 | ||||||
CR Bard, Inc. | 9,235 | 1,871,658 | ||||||
DENTSPLY SIRONA, Inc. | 6,510 | 401,211 | ||||||
Edwards Lifesciences Corp. † | 18,840 | 1,661,876 | ||||||
Gilead Sciences, Inc. | 168,314 | 15,461,324 | ||||||
HCA Holdings, Inc. † | 21,206 | 1,655,128 | ||||||
Hologic, Inc. (2)† | 29,400 | 1,014,300 | ||||||
Johnson & Johnson | 69,840 | 7,556,688 | ||||||
Laboratory Corp. of America Holdings † | 10,686 | 1,251,651 | ||||||
LifePoint Health, Inc. † | 11,991 | 830,377 | ||||||
MEDNAX, Inc. † | 10,840 | 700,481 | ||||||
Pfizer, Inc. | 41,265 | 1,223,095 | ||||||
Quest Diagnostics, Inc. | 43,036 | 3,074,922 | ||||||
Quintiles Transnational Holdings, Inc. † | 30,893 | 2,011,134 | ||||||
ResMed, Inc. | 17,826 | 1,030,699 | ||||||
St. Jude Medical, Inc. | 9,684 | 532,620 | ||||||
United Therapeutics Corp. † | 14,719 | 1,640,138 | ||||||
UnitedHealth Group, Inc. | 111,151 | 14,327,364 | ||||||
Universal Health Services, Inc., Class B | 21,370 | 2,665,266 | ||||||
VCA, Inc. † | 18,160 | 1,047,650 | ||||||
Waters Corp. † | 5,166 | 681,499 | ||||||
Zimmer Biomet Holdings, Inc. | 11,887 | 1,267,511 | ||||||
Zoetis, Inc. | 10,250 | 454,383 | ||||||
|
| |||||||
89,576,430 | ||||||||
|
| |||||||
Industrials - 8.7% | ||||||||
3M Co. | 3,948 | 657,855 | ||||||
A.O. Smith Corp. | 35,694 | 2,723,809 | ||||||
Acuity Brands, Inc. | 10,639 | 2,320,791 | ||||||
AGCO Corp. | 61,667 | 3,064,850 | ||||||
Alaska Air Group, Inc. | 61,191 | 5,018,886 | ||||||
AMERCO | 5,350 | 1,911,609 | ||||||
American Airlines Group, Inc. | 20,734 | 850,301 | ||||||
Boeing Co. (The) | 59,986 | 7,614,623 | ||||||
BWX Technologies, Inc. | 58,314 | 1,957,018 | ||||||
Carlisle Cos., Inc. | 7,286 | 724,957 | ||||||
CH Robinson Worldwide, Inc. | 25,876 | 1,920,775 | ||||||
Cintas Corp. | 44,955 | 4,037,409 | ||||||
Cummins, Inc. | 4,074 | 447,896 | ||||||
Danaher Corp. | 18,424 | 1,747,701 | ||||||
Delta Air Lines, Inc. | 140,797 | 6,853,998 | ||||||
Dun & Bradstreet Corp. (The) | 8,144 | 839,484 | ||||||
Equifax, Inc. | 25,803 | 2,949,025 | ||||||
Expeditors International of Washington, Inc. | 23,595 | 1,151,672 | ||||||
FedEx Corp. | 3,079 | 501,015 | ||||||
General Dynamics Corp. | 23,458 | 3,081,677 | ||||||
HD Supply Holdings, Inc. † | 63,348 | 2,094,918 | ||||||
Huntington Ingalls Industries, Inc. | 17,989 | 2,463,414 | ||||||
JetBlue Airways Corp. † | 217,436 | 4,592,248 | ||||||
L-3 Communications Holdings, Inc. | 6,530 | 773,805 | ||||||
Lennox International, Inc. | 2,865 | 387,319 | ||||||
Lockheed Martin Corp. | 9,770 | 2,164,055 | ||||||
Macquarie Infrastructure Corp. | 14,000 | 944,160 | ||||||
ManpowerGroup, Inc. | 27,790 | 2,262,662 | ||||||
Masco Corp. | 160,486 | 5,047,285 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 8.7% (continued) | ||||||||
Northrop Grumman Corp. | 38,947 | $ | 7,707,611 | |||||
Orbital ATK, Inc. | 11,405 | 991,551 | ||||||
Owens Corning | 59,390 | 2,807,959 | ||||||
Pitney Bowes, Inc. | 28,027 | 603,702 | ||||||
Raytheon Co. | 24,061 | 2,950,600 | ||||||
Republic Services, Inc. | 8,075 | 384,774 | ||||||
Robert Half International, Inc. | 37,830 | 1,762,121 | ||||||
Rockwell Automation, Inc. | 9,511 | 1,081,876 | ||||||
Rollins, Inc. | 20,412 | 553,573 | ||||||
RR Donnelley & Sons Co. | 58,965 | 967,026 | ||||||
Ryder System, Inc. | 12,489 | 809,037 | ||||||
Snap-on, Inc. | 26,097 | 4,096,968 | ||||||
Southwest Airlines Co. | 138,636 | 6,210,893 | ||||||
Spirit AeroSystems Holdings, Inc., Class A † | 57,960 | 2,629,066 | ||||||
Stanley Black & Decker, Inc. | 41,005 | 4,314,136 | ||||||
Textron, Inc. | 40,006 | 1,458,619 | ||||||
Toro Co. (The) | 5,150 | 443,518 | ||||||
United Continental Holdings, Inc. † | 86,819 | 5,196,985 | ||||||
WABCO Holdings, Inc. † | 4,480 | 479,002 | ||||||
Waste Management, Inc. | 33,664 | 1,986,176 | ||||||
|
| |||||||
118,540,410 | ||||||||
|
| |||||||
Information Technology - 23.7% | ||||||||
Accenture plc, Class A (Ireland) | 73,552 | 8,487,901 | ||||||
Activision Blizzard, Inc. | 162,904 | 5,512,671 | ||||||
Alphabet, Inc., Class A † | 68,350 | 52,144,215 | ||||||
Amdocs Ltd. | 72,310 | 4,368,970 | ||||||
Analog Devices, Inc. | 52,496 | 3,107,238 | ||||||
Apple, Inc. | 395,118 | 43,063,911 | ||||||
Applied Materials, Inc. | 48,964 | 1,037,058 | ||||||
ARRIS International plc † | 49,313 | 1,130,254 | ||||||
Arrow Electronics, Inc. † | 21,028 | 1,354,413 | ||||||
Avnet, Inc. | 41,201 | 1,825,204 | ||||||
Booz Allen Hamilton Holding Corp. | 47,017 | 1,423,675 | ||||||
Broadcom Ltd. (Singapore) | 49,787 | 7,692,092 | ||||||
Broadridge Financial Solutions, Inc. | 27,549 | 1,633,931 | ||||||
Brocade Communications Systems, Inc. | 282,161 | 2,985,263 | ||||||
CA, Inc. | 61,680 | 1,899,127 | ||||||
Cadence Design Systems, Inc. † | 105,427 | 2,485,969 | ||||||
CDW Corp. | 58,909 | 2,444,723 | ||||||
Cisco Systems, Inc. | 625,577 | 17,810,177 | ||||||
Citrix Systems, Inc. † | 36,249 | 2,848,446 | ||||||
Cognizant Technology Solutions Corp., Class A † | 63,162 | 3,960,257 | ||||||
Computer Sciences Corp. | 34,133 | 1,173,834 | ||||||
CoreLogic, Inc. † | 20,314 | 704,896 | ||||||
Corning, Inc. | 70,030 | 1,462,927 | ||||||
DST Systems, Inc. | 8,388 | 945,915 | ||||||
eBay, Inc. † | 256,156 | 6,111,882 | ||||||
Electronic Arts, Inc. † | 80,390 | 5,314,583 | ||||||
F5 Networks, Inc. † | 9,004 | 953,073 | ||||||
First Solar, Inc. † | 59,955 | 4,105,119 | ||||||
Fiserv, Inc. † | 36,986 | 3,794,024 | ||||||
Fortinet, Inc. † | 27,662 | 847,287 | ||||||
Genpact Ltd. † | 63,957 | 1,738,991 | ||||||
Global Payments, Inc. | 47,142 | 3,078,373 | ||||||
Harris Corp. | 21,536 | 1,676,793 | ||||||
Hewlett Packard Enterprise Co. | 33,353 | 591,349 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
4
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 23.7% (continued) | ||||||||
IAC/InterActiveCorp. | 14,437 | $ | 679,694 | |||||
Intel Corp. | 565,010 | 18,278,074 | ||||||
IPG Photonics Corp. † | 28,903 | 2,777,000 | ||||||
Jabil Circuit, Inc. | 107,154 | 2,064,858 | ||||||
Juniper Networks, Inc. | 140,154 | 3,575,329 | ||||||
Lam Research Corp. | 50,020 | 4,131,652 | ||||||
Marvell Technology Group Ltd. | 114,076 | 1,176,124 | ||||||
Microsoft Corp. | 812,135 | 44,854,216 | ||||||
NetApp, Inc. | 50,643 | 1,382,047 | ||||||
Nuance Communications, Inc. † | 101,510 | 1,897,222 | ||||||
NVIDIA Corp. | 186,788 | 6,655,256 | ||||||
ON Semiconductor Corp. † | 257,604 | 2,470,422 | ||||||
Palo Alto Networks, Inc. † | 4,897 | 798,897 | ||||||
Qorvo, Inc. † | 19,279 | 971,854 | ||||||
Rackspace Hosting, Inc. † | 22,320 | 481,889 | ||||||
Red Hat, Inc. † | 17,722 | 1,320,466 | ||||||
Skyworks Solutions, Inc. | 63,147 | 4,919,151 | ||||||
Synopsys, Inc. † | 56,372 | 2,730,660 | ||||||
Teradyne, Inc. | 99,444 | 2,146,996 | ||||||
Texas Instruments, Inc. | 82,518 | 4,738,184 | ||||||
Total System Services, Inc. | 61,445 | 2,923,553 | ||||||
VeriSign, Inc. † | 46,069 | 4,078,949 | ||||||
Western Digital Corp. | 11,167 | 527,529 | ||||||
Western Union Co. (The) | 167,398 | 3,229,107 | ||||||
Xerox Corp. | 129,306 | 1,443,055 | ||||||
Xilinx, Inc. | 50,356 | 2,388,385 | ||||||
Zebra Technologies Corp., Class A † | 11,700 | 807,300 | ||||||
|
| |||||||
323,162,410 | ||||||||
|
| |||||||
Materials - 2.7% | ||||||||
AptarGroup, Inc. | 8,676 | 680,285 | ||||||
Avery Dennison Corp. | 35,004 | 2,524,138 | ||||||
Ball Corp. | 25,263 | 1,800,999 | ||||||
Bemis Co., Inc. | 7,592 | 393,114 | ||||||
Cabot Corp. | 16,100 | 778,113 | ||||||
Celanese Corp., Series A | 39,816 | 2,607,948 | ||||||
CF Industries Holdings, Inc. | 15,839 | 496,394 | ||||||
Crown Holdings, Inc. † | 28,172 | 1,397,050 | ||||||
Dow Chemical Co. (The) | 139,730 | 7,106,668 | ||||||
Graphic Packaging Holding Co. | 116,864 | 1,501,702 | ||||||
LyondellBasell Industries NV, Class A | 70,646 | 6,045,885 | ||||||
Newmont Mining Corp. | 22,340 | 593,797 | ||||||
Packaging Corp. of America | 16,880 | 1,019,552 | ||||||
PPG Industries, Inc. | 5,136 | 572,613 | ||||||
Reliance Steel & Aluminum Co. | 24,519 | 1,696,470 | ||||||
Sealed Air Corp. | 44,591 | 2,140,814 | ||||||
Sherwin-Williams Co. (The) | 6,988 | 1,989,274 | ||||||
Steel Dynamics, Inc. | 60,743 | 1,367,325 | ||||||
Westlake Chemical Corp. | 19,716 | 912,851 | ||||||
WestRock Co. | 18,576 | 725,021 | ||||||
|
| |||||||
36,350,013 | ||||||||
|
| |||||||
Telecommunication Services - 2.8% | ||||||||
AT&T, Inc. | 401,544 | 15,728,478 | ||||||
CenturyLink, Inc. | 27,881 | 891,077 | ||||||
Telephone & Data Systems, Inc. | 76,341 | 2,297,100 | ||||||
T-Mobile US, Inc. † | 153,696 | 5,886,557 | ||||||
Verizon Communications, Inc. | 253,948 | 13,733,508 | ||||||
|
| |||||||
38,536,720 | ||||||||
|
|
SHARES | VALUE (Note 4) | |||||||
Utilities - 0.6% | ||||||||
Alliant Energy Corp. | 11,719 | $ | 870,487 | |||||
CMS Energy Corp. | 30,260 | 1,284,235 | ||||||
Consolidated Edison, Inc. | 5,289 | 405,243 | ||||||
DTE Energy Co. | 8,383 | 760,003 | ||||||
NiSource, Inc. | 20,064 | 472,708 | ||||||
Pinnacle West Capital Corp. | 16,200 | 1,216,134 | ||||||
Public Service Enterprise Group, Inc. | 33,124 | 1,561,465 | ||||||
SCANA Corp. | 12,079 | 847,342 | ||||||
|
| |||||||
7,417,617 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 1,310,996,090 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT - 3.5% | ||||||||
Investment Company - 3.5% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (2)(a) | ||||||||
(cost $47,978,132) | 47,978,132 | 47,978,132 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 1,358,974,222 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% (b) | 3,058,518 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,362,032,740 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non-income producing security. |
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
5
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND |
Open futures contracts outstanding at March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
400 | Goldman Sachs | S&P 500 E-Mini Futures | 06/2016 | $ | 40,197,056 | $ | 41,030,001 | $ | 832,945 | |||||||||
|
|
|
|
|
|
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Goldman Sachs | ||||||||||||
Cash | $— | $992,520 | $992,520 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
6
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
COMMON STOCKS - 96.0% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 14.8% | ||||||||
1-800-Flowers.com, Inc., Class A † | 62,513 | $ | 492,602 | |||||
Abercrombie & Fitch Co., Class A (a) | 53,450 | 1,685,813 | ||||||
American Axle & Manufacturing Holdings, Inc. † | 101,685 | 1,564,932 | ||||||
American Eagle Outfitters, Inc. (a) | 182,775 | 3,046,859 | ||||||
Ascena Retail Group, Inc. †(a) | 91,179 | 1,008,440 | ||||||
Bassett Furniture Industries, Inc. | 24,732 | 787,962 | ||||||
Beazer Homes USA, Inc. † | 44,336 | 386,610 | ||||||
Big 5 Sporting Goods Corp. | 23,046 | 256,041 | ||||||
Big Lots, Inc. | 30,433 | 1,378,311 | ||||||
Boyd Gaming Corp. † | 37,383 | 772,333 | ||||||
Buckle, Inc. (The) (a) | 4,500 | 152,415 | ||||||
Build-A-Bear Workshop, Inc. † | 24,986 | 324,568 | ||||||
Burlington Stores, Inc. † | 14,796 | 832,127 | ||||||
Caesars Entertainment Corp. † | 60,252 | 409,714 | ||||||
Caleres, Inc. | 50,607 | 1,431,672 | ||||||
Carrols Restaurant Group, Inc. † | 56,984 | 822,849 | ||||||
Cato Corp. (The), Class A | 19,168 | 738,926 | ||||||
Cavco Industries, Inc. † | 1,400 | 130,844 | ||||||
Chico’s FAS, Inc. | 53,026 | 703,655 | ||||||
Children’s Place, Inc. (The) | 14,747 | 1,230,932 | ||||||
Chuy’s Holdings, Inc. †(a) | 10,292 | 319,772 | ||||||
Citi Trends, Inc. | 35,353 | 630,344 | ||||||
Columbia Sportswear Co. (a) | 5,955 | 357,836 | ||||||
Conn’s, Inc. †(a) | 50,773 | 632,632 | ||||||
Cooper Tire & Rubber Co. | 87,350 | 3,233,697 | ||||||
Cooper-Standard Holding, Inc. † | 31,756 | 2,281,351 | ||||||
Core-Mark Holding Co., Inc. | 5,959 | 486,016 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 2,400 | 366,408 | ||||||
Crown Media Holdings, Inc., Class A † | 26,206 | 133,127 | ||||||
CSS Industries, Inc. | 6,269 | 175,093 | ||||||
Culp, Inc. | 18,122 | 475,159 | ||||||
Deckers Outdoor Corp. † | 7,529 | 451,062 | ||||||
Denny’s Corp. † | 54,707 | 566,765 | ||||||
Diamond Resorts International, Inc. †(a) | 18,097 | 439,757 | ||||||
Drew Industries, Inc. | 26,993 | 1,739,969 | ||||||
Eldorado Resorts, Inc. † | 59,005 | 675,017 | ||||||
Entravision Communications Corp., Class A | 35,697 | 265,586 | ||||||
Ethan Allen Interiors, Inc. | 28,018 | 891,533 | ||||||
Express, Inc. † | 105,612 | 2,261,153 | ||||||
Finish Line, Inc. (The), Class A | 13,582 | 286,580 | ||||||
Flexsteel Industries, Inc. | 9,872 | 431,209 | ||||||
Francesca’s Holdings Corp. † | 32,633 | 625,248 | ||||||
Fred’s, Inc., Class A (a) | 19,010 | 283,439 | ||||||
Genesco, Inc. † | 5,232 | 378,012 | ||||||
Gentherm, Inc. † | 36,786 | 1,529,930 | ||||||
G-III Apparel Group Ltd. † | 8,162 | 399,040 | ||||||
Gray Television, Inc. † | 107,732 | 1,262,619 | ||||||
Guess?, Inc. | 83,149 | 1,560,707 | ||||||
Haverty Furniture Cos., Inc. | 21,491 | 454,750 | ||||||
Helen of Troy Ltd. † | 21,248 | 2,203,205 | ||||||
Hibbett Sports, Inc. †(a) | 18,997 | 681,992 | ||||||
Hooker Furniture Corp. | 21,571 | 708,607 | ||||||
Houghton Mifflin Harcourt Co. † | 3,200 | 63,808 | ||||||
Interval Leisure Group, Inc. (a) | 29,356 | 423,901 | ||||||
Isle of Capri Casinos, Inc. † | 77,041 | 1,078,574 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 14.8% (continued) | ||||||||
JAKKS Pacific, Inc. †(a) | 72,070 | $ | 536,201 | |||||
K12, Inc. † | 50,414 | 498,595 | ||||||
KB Home | 111,932 | 1,598,389 | ||||||
Kirkland’s, Inc. | 25,968 | 454,700 | ||||||
La-Z-Boy, Inc. | 38,581 | 1,031,656 | ||||||
LGI Homes, Inc. †(a) | 55,066 | 1,333,148 | ||||||
Libbey, Inc. | 15,014 | 279,260 | ||||||
Lithia Motors, Inc., Class A | 19,140 | 1,671,496 | ||||||
Marcus Corp. (The) | 18,663 | 353,664 | ||||||
Marriott Vacations Worldwide Corp. | 4,117 | 277,898 | ||||||
Metaldyne Performance Group, Inc. | 29,418 | 494,517 | ||||||
Monarch Casino & Resort, Inc. † | 15,211 | 296,006 | ||||||
Movado Group, Inc. | 44,176 | 1,216,165 | ||||||
NACCO Industries, Inc., Class A | 200 | 11,482 | ||||||
Nautilus, Inc. † | 62,754 | 1,212,407 | ||||||
New Media Investment Group, Inc. | 34,822 | 579,438 | ||||||
New York Times Co. (The), Class A | 49,254 | 613,705 | ||||||
Nexstar Broadcasting Group, Inc., Class A | 5,581 | 247,071 | ||||||
Nutrisystem, Inc. | 45,131 | 941,884 | ||||||
Outerwall, Inc. (a) | 18,579 | 687,237 | ||||||
Oxford Industries, Inc. | 23,319 | 1,567,736 | ||||||
Penn National Gaming, Inc. † | 38,631 | 644,751 | ||||||
Perry Ellis International, Inc. † | 25,389 | 467,412 | ||||||
PetMed Express, Inc. (a) | 75,592 | 1,353,853 | ||||||
Pinnacle Entertainment, Inc. † | 15,352 | 538,855 | ||||||
Pool Corp. | 24,582 | 2,156,825 | ||||||
Reading International, Inc., Class A † | 8,600 | 103,028 | ||||||
Ruth’s Hospitality Group, Inc. | 72,524 | 1,335,167 | ||||||
Scholastic Corp. (a) | 2,100 | 78,477 | ||||||
Select Comfort Corp. † | 63,419 | 1,229,694 | ||||||
Shoe Carnival, Inc. | 27,700 | 746,792 | ||||||
Sinclair Broadcast Group, Inc., Class A | 84,087 | 2,585,675 | ||||||
Smith & Wesson Holding Corp. † | 170,866 | 4,548,453 | ||||||
Sportsman’s Warehouse Holdings, Inc. † | 65,356 | 823,486 | ||||||
Standard Motor Products, Inc. | 23,006 | 797,158 | ||||||
Stein Mart, Inc. | 35,177 | 257,847 | ||||||
Steven Madden Ltd. † | 28,607 | 1,059,603 | ||||||
Stoneridge, Inc. † | 29,080 | 423,405 | ||||||
Strayer Education, Inc. † | 16,625 | 810,469 | ||||||
Sturm Ruger & Co., Inc. | 27,269 | 1,864,654 | ||||||
Tenneco, Inc. † | 45,626 | 2,350,195 | ||||||
Tile Shop Holdings, Inc. † | 77,695 | 1,158,432 | ||||||
Tilly’s, Inc., Class A † | 13,258 | 88,696 | ||||||
Time, Inc. | 4,500 | 69,480 | ||||||
Tower International, Inc. | 46,600 | 1,267,520 | ||||||
Vera Bradley, Inc. † | 41,351 | 841,079 | ||||||
Wayfair, Inc., Class A †(a) | 23,300 | 1,007,026 | ||||||
William Lyon Homes, Class A † | 20,854 | 302,174 | ||||||
Winnebago Industries, Inc. (a) | 43,364 | 973,522 | ||||||
World Wrestling Entertainment, Inc., Class A (a) | 72,231 | 1,275,599 | ||||||
ZAGG, Inc. † | 162,115 | 1,460,656 | ||||||
|
| |||||||
95,434,141 | ||||||||
|
| |||||||
Consumer Staples - 4.9% | ||||||||
Cal-Maine Foods, Inc. (a) | 60,190 | 3,124,463 | ||||||
Casey’s General Stores, Inc. | 24,223 | 2,744,950 | ||||||
Central Garden & Pet Co., Class A † | 77,204 | 1,257,653 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
7
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Consumer Staples - 4.9% (continued) | ||||||||
Coca-Cola Bottling Co. Consolidated (a) | 4,195 | $ | 670,193 | |||||
Dean Foods Co. (a) | 111,283 | 1,927,422 | ||||||
Fresh Del Monte Produce, Inc. | 45,751 | 1,924,745 | ||||||
Ingles Markets, Inc., Class A | 33,549 | 1,258,088 | ||||||
John B. Sanfilippo & Son, Inc. | 27,671 | 1,911,789 | ||||||
Medifast, Inc. | 14,676 | 443,068 | ||||||
MGP Ingredients, Inc. | 26,737 | 648,105 | ||||||
National Beverage Corp. † | 29,459 | 1,246,705 | ||||||
Natural Health Trends Corp. (a) | 59,184 | 1,961,950 | ||||||
Nutraceutical International Corp. † | 7,980 | 194,313 | ||||||
Omega Protein Corp. † | 71,600 | 1,212,904 | ||||||
Post Holdings, Inc. † | 23,793 | 1,636,245 | ||||||
Revlon, Inc., Class A † | 3,774 | 137,411 | ||||||
Sanderson Farms, Inc. (a) | 23,010 | 2,075,042 | ||||||
Smart & Final Stores, Inc. † | 30,331 | 491,362 | ||||||
SpartanNash Co. | 28,197 | 854,651 | ||||||
SUPERVALU, Inc. † | 36,989 | 213,057 | ||||||
Universal Corp. (a) | 27,809 | 1,579,829 | ||||||
USANA Health Sciences, Inc. † | 23,405 | 2,841,835 | ||||||
Vector Group Ltd. | 22,456 | 512,895 | ||||||
Village Super Market, Inc., Class A | 10,489 | 253,414 | ||||||
Weis Markets, Inc. | 11,597 | 522,561 | ||||||
|
| |||||||
31,644,650 | ||||||||
|
| |||||||
Energy - 2.2% | ||||||||
Alon USA Energy, Inc. | 106,450 | 1,098,564 | ||||||
Ardmore Shipping Corp. (Ireland) | 52,478 | 443,439 | ||||||
Atwood Oceanics, Inc. | 253,532 | 2,324,888 | ||||||
DHT Holdings, Inc. | 180,479 | 1,039,559 | ||||||
Hornbeck Offshore Services, Inc. † | 61,308 | 608,788 | ||||||
McDermott International, Inc. †(a) | 262,261 | 1,072,648 | ||||||
Natural Gas Services Group, Inc. † | 12,414 | 268,515 | ||||||
Navios Maritime Acquisition Corp. (Monaco) | 100,868 | 160,380 | ||||||
Nordic American Tankers Ltd. (Norway) (a) | 37,800 | 532,602 | ||||||
Par Pacific Holdings, Inc. † | 41,943 | 786,851 | ||||||
Parker Drilling Co. † | 113,265 | 240,122 | ||||||
PDC Energy, Inc. † | 2,546 | 151,360 | ||||||
REX American Resources Corp. †(a) | 16,826 | 933,338 | ||||||
Scorpio Tankers, Inc. (Monaco) | 64,425 | 375,598 | ||||||
Ship Finance International Ltd. (Norway) (a) | 46,145 | 640,954 | ||||||
Teekay Tankers Ltd., Class A | 163,077 | 598,493 | ||||||
TETRA Technologies, Inc. † | 47,987 | 304,717 | ||||||
Ultra Petroleum Corp. † | 449,768 | 223,984 | ||||||
Western Refining, Inc. | 82,967 | 2,413,510 | ||||||
|
| |||||||
14,218,310 | ||||||||
|
| |||||||
Financials - 28.5% | ||||||||
1st Source Corp. | 13,941 | 443,881 | ||||||
Acadia Realty Trust REIT | 15,272 | 536,505 | ||||||
Alexander & Baldwin, Inc. | 11,585 | 424,938 | ||||||
Ambac Financial Group, Inc. † | 17,332 | 273,846 | ||||||
American Assets Trust, Inc. REIT | 8,959 | 357,643 | ||||||
American Equity Investment Life Holding Co. | 94,187 | 1,582,342 | ||||||
Ameris Bancorp | 46,729 | 1,382,244 | ||||||
AMERISAFE, Inc. | 30,340 | 1,594,064 |
SHARES | VALUE (Note 4) | |||||||
Financials - 28.5% (continued) | ||||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 43,568 | $ | 710,158 | |||||
Argo Group International Holdings Ltd. | 42,498 | 2,438,960 | ||||||
Ashford Hospitality Trust, Inc. REIT | 10,600 | 67,628 | ||||||
Atlas Financial Holdings, Inc. † | 20,031 | 363,362 | ||||||
Banc of California, Inc. | 79,602 | 1,393,035 | ||||||
BancorpSouth, Inc. | 67,942 | 1,447,844 | ||||||
BBCN Bancorp, Inc. | 99,592 | 1,512,803 | ||||||
Berkshire Hills Bancorp, Inc. | 42,430 | 1,140,943 | ||||||
BGC Partners, Inc., Class A | 55,523 | 502,483 | ||||||
BNC Bancorp | 18,696 | 394,860 | ||||||
BofI Holding, Inc. †(a) | 12,200 | 260,348 | ||||||
Brookline Bancorp, Inc. | 90,304 | 994,247 | ||||||
Capstead Mortgage Corp. REIT | 50,500 | 499,445 | ||||||
Cardinal Financial Corp. | 60,315 | 1,227,410 | ||||||
Cathay General Bancorp | 89,001 | 2,521,398 | ||||||
CenterState Banks, Inc. | 87,746 | 1,306,538 | ||||||
Central Pacific Financial Corp. | 45,380 | 987,923 | ||||||
Chatham Lodging Trust REIT | 9,932 | 212,843 | ||||||
Chemical Financial Corp. (a) | 79,186 | 2,826,148 | ||||||
Chesapeake Lodging Trust REIT | 15,609 | 413,014 | ||||||
City Holding Co. | 23,204 | 1,108,687 | ||||||
CNO Financial Group, Inc. | 193,597 | 3,469,258 | ||||||
Colony Capital, Inc., Class A REIT | 36,017 | 604,005 | ||||||
Columbia Banking System, Inc. | 36,350 | 1,087,592 | ||||||
Community Trust Bancorp, Inc. | 10,087 | 356,273 | ||||||
CoreSite Realty Corp. REIT | 7,503 | 525,285 | ||||||
Cousins Properties, Inc. REIT | 59,794 | 620,662 | ||||||
Cowen Group, Inc., Class A †(a) | 298,571 | 1,137,556 | ||||||
CubeSmart REIT | 44,960 | 1,497,168 | ||||||
Customers Bancorp, Inc. † | 59,079 | 1,396,037 | ||||||
CyrusOne, Inc. REIT | 18,087 | 825,672 | ||||||
CYS Investments, Inc. REIT | 97,600 | 794,464 | ||||||
DCT Industrial Trust, Inc. REIT | 23,530 | 928,729 | ||||||
DiamondRock Hospitality Co. REIT | 65,761 | 665,501 | ||||||
Dime Community Bancshares, Inc. | 54,268 | 956,202 | ||||||
DuPont Fabros Technology, Inc. REIT | 19,142 | 775,825 | ||||||
EastGroup Properties, Inc. REIT | 5,624 | 339,521 | ||||||
Education Realty Trust, Inc. REIT | 16,282 | 677,331 | ||||||
Employers Holdings, Inc. | 50,645 | 1,425,150 | ||||||
Enterprise Financial Services Corp. | 30,409 | 822,259 | ||||||
EPR Properties REIT | 14,391 | 958,728 | ||||||
Equity One, Inc. REIT | 19,656 | 563,341 | ||||||
FBL Financial Group, Inc., Class A | 18,317 | 1,126,862 | ||||||
Federal Agricultural Mortgage Corp., Class C | 10,584 | 399,334 | ||||||
Federated National Holding Co. | 20,099 | 395,146 | ||||||
FelCor Lodging Trust, Inc. REIT | 58,801 | 477,464 | ||||||
Fidelity Southern Corp. | 58,712 | 941,741 | ||||||
Financial Institutions, Inc. | 17,855 | 519,045 | ||||||
First American Financial Corp. | 112,456 | 4,285,698 | ||||||
First Busey Corp. | 26,465 | 542,003 | ||||||
First Citizens BancShares, Inc., Class A | 7,421 | 1,863,190 | ||||||
First Commonwealth Financial Corp. | 83,179 | 736,966 | ||||||
First Defiance Financial Corp. | 16,784 | 644,673 | ||||||
First Financial Bancorp | 101,484 | 1,844,979 | ||||||
First Financial Corp. | 11,161 | 381,818 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
8
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 28.5% (continued) | ||||||||
First Industrial Realty Trust, Inc. REIT | 33,604 | $ | 764,155 | |||||
First Interstate BancSystem, Inc., Class A | 50,505 | 1,420,706 | ||||||
First Merchants Corp. | 48,426 | 1,141,401 | ||||||
First Midwest Bancorp, Inc. | 74,368 | 1,340,111 | ||||||
First NBC Bank Holding Co. † | 38,722 | 797,286 | ||||||
FirstMerit Corp. | 43,529 | 916,285 | ||||||
Flagstar Bancorp, Inc. † | 63,066 | 1,353,396 | ||||||
Flushing Financial Corp. | 22,319 | 482,537 | ||||||
FNB Corp. | 118,262 | 1,538,589 | ||||||
Franklin Street Properties Corp. REIT | 16,384 | 173,834 | ||||||
Fulton Financial Corp. | 199,617 | 2,670,875 | ||||||
GEO Group, Inc. (The) REIT | 19,323 | 669,928 | ||||||
Government Properties Income Trust REIT | 18,535 | 330,850 | ||||||
Gramercy Property Trust REIT | 107,899 | 911,747 | ||||||
Great Southern Bancorp, Inc. | 13,708 | 508,978 | ||||||
Great Western Bancorp, Inc. | 111,644 | 3,044,532 | ||||||
Hancock Holding Co. | 53,131 | 1,219,888 | ||||||
Hanmi Financial Corp. | 75,371 | 1,659,669 | ||||||
Hatteras Financial Corp. REIT | 36,603 | 523,423 | ||||||
HCI Group, Inc. (a) | 2,300 | 76,590 | ||||||
Healthcare Realty Trust, Inc. REIT | 24,716 | 763,477 | ||||||
Heartland Financial USA, Inc. | 18,551 | 571,185 | ||||||
Heritage Financial Corp. | 35,347 | 621,047 | ||||||
Heritage Insurance Holdings, Inc. | 63,475 | 1,013,696 | ||||||
Hersha Hospitality Trust REIT | 26,476 | 564,998 | ||||||
Highwoods Properties, Inc. REIT | 21,235 | 1,015,245 | ||||||
Hilltop Holdings, Inc. † | 86,818 | 1,639,124 | ||||||
HomeStreet, Inc. † | 46,695 | 971,723 | ||||||
Horace Mann Educators Corp. | 53,526 | 1,696,239 | ||||||
Horizon Bancorp | 7,953 | 196,598 | ||||||
Hudson Pacific Properties, Inc. REIT | 19,076 | 551,678 | ||||||
Iberiabank Corp. | 7,600 | 389,652 | ||||||
Impac Mortgage Holdings, Inc. †(a) | 20,314 | 281,755 | ||||||
Independent Bank Corp./MA | 5,873 | �� | 269,923 | |||||
Independent Bank Corp./MI | 34,308 | 499,181 | ||||||
Independent Bank Group, Inc. | 15,845 | 434,153 | ||||||
Infinity Property & Casualty Corp. | 17,880 | 1,439,340 | ||||||
International Bancshares Corp. | 61,380 | 1,513,631 | ||||||
INTL. FCStone, Inc. † | 42,623 | 1,139,313 | ||||||
Invesco Mortgage Capital, Inc. REIT | 62,824 | 765,196 | ||||||
Investment Technology Group, Inc. | 10,748 | 237,531 | ||||||
Investors Real Estate Trust REIT | 30,915 | 224,443 | ||||||
James River Group Holdings Ltd. | 27,465 | 886,021 | ||||||
Kemper Corp. | 51,955 | 1,536,309 | ||||||
Kennedy-Wilson Holdings, Inc. | 23,945 | 524,396 | ||||||
Kite Realty Group Trust REIT | 19,559 | 541,980 | ||||||
Lakeland Bancorp, Inc. | 18,264 | 185,380 | ||||||
LaSalle Hotel Properties REIT | 31,597 | 799,720 | ||||||
LegacyTexas Financial Group, Inc. | 56,299 | 1,106,275 | ||||||
Lexington Realty Trust REIT | 57,429 | 493,889 | ||||||
LTC Properties, Inc. REIT | 10,164 | 459,819 | ||||||
Mack-Cali Realty Corp. REIT | 57,265 | 1,345,728 | ||||||
Maiden Holdings Ltd. (a) | 117,064 | 1,514,808 | ||||||
MainSource Financial Group, Inc. | 10,960 | 231,146 | ||||||
MarketAxess Holdings, Inc. | 9,580 | 1,195,871 | ||||||
MB Financial, Inc. | 46,625 | 1,512,981 |
SHARES | VALUE (Note 4) | |||||||
Financials - 28.5% (continued) | ||||||||
MBIA, Inc. † | 39,747 | $ | 351,761 | |||||
Medical Properties Trust, Inc. REIT | 67,304 | 873,606 | ||||||
Mercantile Bank Corp. | 13,218 | 296,348 | ||||||
Meta Financial Group, Inc. | 10,396 | 474,058 | ||||||
MGIC Investment Corp. † | 326,722 | 2,505,958 | ||||||
Monogram Residential Trust, Inc. REIT | 61,720 | 608,559 | ||||||
National General Holdings Corp. | 62,838 | 1,356,672 | ||||||
National Health Investors, Inc. REIT | 8,552 | 568,879 | ||||||
National Western Life Group, Inc., Class A | 2,414 | 556,741 | ||||||
Nationstar Mortgage Holdings, Inc. † | 12,581 | 124,552 | ||||||
Navigators Group, Inc. (The) † | 18,902 | 1,585,311 | ||||||
NBT Bancorp, Inc. | 50,468 | 1,360,113 | ||||||
New Residential Investment Corp. REIT | 81,804 | 951,381 | ||||||
New Senior Investment Group, Inc. REIT | 19,416 | 199,985 | ||||||
New York REIT, Inc. | 41,190 | 416,019 | ||||||
Northwest Bancshares, Inc. | 30,780 | 415,838 | ||||||
Old National Bancorp | 133,930 | 1,632,607 | ||||||
Opus Bank | 55,171 | 1,875,814 | ||||||
Oritani Financial Corp. | 72,704 | 1,233,787 | ||||||
Pacific Premier Bancorp, Inc. † | 35,886 | 766,884 | ||||||
Parkway Properties, Inc. REIT | 25,794 | 403,934 | ||||||
Peapack Gladstone Financial Corp. | 19,987 | 337,780 | ||||||
Pebblebrook Hotel Trust REIT | 21,604 | 628,028 | ||||||
Pennsylvania REIT | 23,793 | 519,877 | ||||||
PennyMac Mortgage Investment Trust REIT | 26,446 | 360,723 | ||||||
Physicians Realty Trust REIT | 23,959 | 445,158 | ||||||
Pinnacle Financial Partners, Inc. | 11,756 | 576,749 | ||||||
Piper Jaffray Cos. † | 4,700 | 232,932 | ||||||
Potlatch Corp. REIT | 10,575 | 333,113 | ||||||
Preferred Bank | 19,130 | 578,683 | ||||||
PrivateBancorp, Inc. | 41,910 | 1,617,726 | ||||||
Prosperity Bancshares, Inc. (a) | 47,701 | 2,212,849 | ||||||
Provident Financial Services, Inc. | 76,807 | 1,550,733 | ||||||
PS Business Parks, Inc. REIT | 3,143 | 315,903 | ||||||
QCR Holdings, Inc. | 9,628 | 229,628 | ||||||
QTS Realty Trust, Inc., Class A REIT | 9,590 | 454,374 | ||||||
Radian Group, Inc. | 42,103 | 522,077 | ||||||
Ramco-Gershenson Properties Trust REIT | 24,346 | 438,958 | ||||||
Redwood Trust, Inc. REIT | 46,054 | 602,386 | ||||||
Regional Management Corp. † | 23,958 | 409,921 | ||||||
Renasant Corp. | 31,594 | 1,039,759 | ||||||
Retail Opportunity Investments Corp. REIT | 21,113 | 424,794 | ||||||
Rexford Industrial Realty, Inc. REIT | 18,305 | 332,419 | ||||||
RLJ Lodging Trust REIT | 37,630 | 860,974 | ||||||
Ryman Hospitality Properties, Inc. REIT | 12,904 | 664,298 | ||||||
S&T Bancorp, Inc. | 8,693 | 223,932 | ||||||
Sabra Health Care REIT, Inc. | 23,403 | 470,166 | ||||||
Sandy Spring Bancorp, Inc. | 28,398 | 790,316 | ||||||
Select Income REIT | 14,940 | 344,367 | ||||||
Selective Insurance Group, Inc. | 72,297 | 2,646,793 | ||||||
ServisFirst Bancshares, Inc. | 24,376 | 1,082,294 | ||||||
Simmons First National Corp., Class A | 18,838 | 849,029 | ||||||
Sovran Self Storage, Inc. REIT | 10,261 | 1,210,285 | ||||||
STAG Industrial, Inc. REIT | 15,509 | 315,763 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
9
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 28.5% (continued) | ||||||||
State Auto Financial Corp. | 14,626 | $ | 322,650 | |||||
Stewart Information Services Corp. | 14,406 | 522,650 | ||||||
Stock Yards Bancorp, Inc. | 5,873 | 226,287 | ||||||
Stonegate Bank | 13,869 | 415,515 | ||||||
STORE Capital Corp. REIT | 11,155 | 288,691 | ||||||
Suffolk Bancorp | 2,598 | 65,574 | ||||||
Summit Hotel Properties, Inc. REIT | 24,976 | 298,963 | ||||||
Sun Communities, Inc. REIT | 11,183 | 800,815 | ||||||
Sunstone Hotel Investors, Inc. REIT | 53,947 | 755,258 | ||||||
Terreno Realty Corp. REIT | 8,179 | 191,798 | ||||||
Territorial Bancorp, Inc. | 10,063 | 262,242 | ||||||
Texas Capital Bancshares, Inc. † | 26,338 | 1,010,852 | ||||||
Tompkins Financial Corp. | 3,719 | 238,016 | ||||||
Towne Bank (a) | 57,122 | 1,096,171 | ||||||
Trico Bancshares | 17,104 | 433,073 | ||||||
TriState Capital Holdings, Inc. † | 17,048 | 214,805 | ||||||
Trustmark Corp. | 105,107 | 2,420,614 | ||||||
Umpqua Holdings Corp. | 132,089 | 2,094,932 | ||||||
Union Bankshares Corp. | 40,776 | 1,004,313 | ||||||
United Community Banks, Inc. | 7,200 | 132,984 | ||||||
United Financial Bancorp, Inc. | 68,185 | 858,449 | ||||||
United Fire Group, Inc. | 29,154 | 1,277,528 | ||||||
Universal Insurance Holdings, Inc. (a) | 67,723 | 1,205,469 | ||||||
Univest Corp. of Pennsylvania | 14,508 | 283,051 | ||||||
Urban Edge Properties REIT | 21,963 | 567,524 | ||||||
Walker & Dunlop, Inc. † | 72,607 | 1,762,172 | ||||||
Washington Federal, Inc. | 111,947 | 2,535,600 | ||||||
Washington REIT | 10,281 | 300,308 | ||||||
Webster Financial Corp. | 34,446 | 1,236,611 | ||||||
Western Alliance Bancorp † | 59,862 | 1,998,194 | ||||||
Wintrust Financial Corp. | 47,337 | 2,098,923 | ||||||
WSFS Financial Corp. | 28,715 | 933,812 | ||||||
Xenia Hotels & Resorts, Inc. REIT | 26,630 | 415,961 | ||||||
|
| |||||||
184,640,648 | ||||||||
|
| |||||||
Health Care - 9.5% | ||||||||
ABIOMED, Inc. † | 33,309 | 3,158,026 | ||||||
ACADIA Pharmaceuticals, Inc. † | 22,130 | 618,755 | ||||||
Aceto Corp. (a) | 33,006 | 777,621 | ||||||
Acorda Therapeutics, Inc. † | 45,593 | 1,205,935 | ||||||
Addus HomeCare Corp. † | 14,437 | 248,172 | ||||||
Alder Biopharmaceuticals, Inc. † | 17,586 | 430,681 | ||||||
Almost Family, Inc. † | 22,324 | 831,346 | ||||||
AMAG Pharmaceuticals, Inc. † | 39,926 | 934,268 | ||||||
Amedisys, Inc. † | 46,820 | 2,263,279 | ||||||
AMN Healthcare Services, Inc. † | 56,761 | 1,907,737 | ||||||
Amsurg Corp. † | 29,066 | 2,168,324 | ||||||
Anacor Pharmaceuticals, Inc. † | 10,731 | 573,572 | ||||||
Analogic Corp. | 4,759 | 376,009 | ||||||
ANI Pharmaceuticals, Inc. † | 5,045 | 169,815 | ||||||
Anika Therapeutics, Inc. † | 3,611 | 161,484 | ||||||
BioCryst Pharmaceuticals, Inc. † | 86,097 | 243,654 | ||||||
BioSpecifics Technologies Corp. † | 4,984 | 173,543 | ||||||
Cambrex Corp. † | 39,845 | 1,753,180 | ||||||
Cara Therapeutics, Inc. † | 41,790 | 259,934 | ||||||
Chemed Corp. | 16,413 | 2,223,141 | ||||||
Coherus Biosciences, Inc. † | 6,360 | 135,023 | ||||||
Cross Country Healthcare, Inc. † | 24,081 | 280,062 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 9.5% (continued) | ||||||||
Cynosure, Inc., Class A † | 27,574 | $ | 1,216,565 | |||||
Depomed, Inc. †(a) | 53,016 | 738,513 | ||||||
Eagle Pharmaceuticals, Inc. † | 23,976 | 971,028 | ||||||
Emergent BioSolutions, Inc. † | 53,202 | 1,933,893 | ||||||
Enanta Pharmaceuticals, Inc. †(a) | 25,050 | 735,718 | ||||||
Exactech, Inc. † | 13,690 | 277,359 | ||||||
Five Prime Therapeutics, Inc. † | 23,334 | 948,060 | ||||||
ICU Medical, Inc. † | 2,346 | 244,219 | ||||||
INC Research Holdings, Inc., Class A † | 22,455 | 925,371 | ||||||
Innoviva, Inc. | 33,742 | 424,812 | ||||||
Inogen, Inc. † | 7,880 | 354,442 | ||||||
Integra LifeSciences Holdings Corp. † | 1,200 | 80,832 | ||||||
Invacare Corp. (a) | 11,600 | 152,772 | ||||||
iRadimed Corp. †(a) | 24,335 | 466,259 | ||||||
Kindred Healthcare, Inc. | 29,189 | 360,484 | ||||||
Kite Pharma, Inc. † | 7,159 | 328,670 | ||||||
Lannett Co., Inc. †(a) | 14,265 | 255,771 | ||||||
LeMaitre Vascular, Inc. | 38,342 | 595,068 | ||||||
Lexicon Pharmaceuticals, Inc. † | 30,792 | 367,964 | ||||||
LHC Group, Inc. † | 27,858 | 990,630 | ||||||
Ligand Pharmaceuticals, Inc. †(a) | 21,176 | 2,267,738 | ||||||
Luminex Corp. † | 48,602 | 942,879 | ||||||
MacroGenics, Inc. † | 8,421 | 157,894 | ||||||
Masimo Corp. † | 49,580 | 2,074,427 | ||||||
Meridian Bioscience, Inc. (a) | 31,167 | 642,352 | ||||||
Merit Medical Systems, Inc. † | 34,265 | 633,560 | ||||||
Molina Healthcare, Inc. † | 49,060 | 3,163,879 | ||||||
Myriad Genetics, Inc. †(a) | 31,379 | 1,174,516 | ||||||
Natus Medical, Inc. † | 20,576 | 790,736 | ||||||
NewLink Genetics Corp. †(a) | 5,900 | 107,380 | ||||||
Nobilis Health Corp. †(a) | 79,191 | 247,076 | ||||||
Orthofix International NV † | 24,549 | 1,019,274 | ||||||
Owens & Minor, Inc. | 14,281 | 577,238 | ||||||
Pacific Biosciences of California, Inc. † | 65,723 | 558,645 | ||||||
PDL BioPharma, Inc. | 278,517 | 927,462 | ||||||
Pfenex, Inc. † | 8,788 | 86,386 | ||||||
PharMerica Corp. † | 40,175 | 888,269 | ||||||
PTC Therapeutics, Inc. † | 74,757 | 481,435 | ||||||
Radius Health, Inc. † | 21,119 | 663,981 | ||||||
Repligen Corp. † | 20,947 | 561,799 | ||||||
Retrophin, Inc. † | 37,207 | 508,248 | ||||||
SciClone Pharmaceuticals, Inc. † | 94,723 | 1,041,953 | ||||||
Spark Therapeutics, Inc. † | 19,383 | 571,992 | ||||||
Sucampo Pharmaceuticals, Inc., Class A † | 44,685 | 488,407 | ||||||
Supernus Pharmaceuticals, Inc. † | 79,983 | 1,219,741 | ||||||
Surgical Care Affiliates, Inc. † | 20,400 | 944,112 | ||||||
TransEnterix, Inc. † | 89,936 | 382,228 | ||||||
Triple-S Management Corp., Class B † | 44,030 | 1,094,586 | ||||||
Ultragenyx Pharmaceutical, Inc. † | 2,171 | 137,446 | ||||||
WellCare Health Plans, Inc. † | 36,348 | 3,371,277 | ||||||
Xencor, Inc. † | 11,156 | 149,713 | ||||||
|
| |||||||
61,138,620 | ||||||||
|
| |||||||
Industrials - 13.8% | ||||||||
ABM Industries, Inc. | 8,516 | 275,152 | ||||||
ACCO Brands Corp. † | 146,193 | 1,312,813 | ||||||
Aegion Corp. † | 63,370 | 1,336,473 | ||||||
Air Transport Services Group, Inc. † | 78,308 | 1,204,377 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
10
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Industrials - 13.8% (continued) | ||||||||
Aircastle Ltd. (a) | 26,215 | $ | 583,022 | |||||
Alamo Group, Inc. | 17,165 | 956,262 | ||||||
Allegiant Travel Co. | 6,457 | 1,149,733 | ||||||
Allied Motion Technologies, Inc. (a) | 21,029 | 378,522 | ||||||
Altra Industrial Motion Corp. | 31,823 | 884,043 | ||||||
American Railcar Industries, Inc. (a) | 18,439 | 751,021 | ||||||
American Woodmark Corp. † | 28,473 | 2,123,801 | ||||||
Apogee Enterprises, Inc. | 33,871 | 1,486,598 | ||||||
Applied Industrial Technologies, Inc. | 27,608 | 1,198,187 | ||||||
Argan, Inc. | 2,400 | 84,384 | ||||||
Atlas Air Worldwide Holdings, Inc. † | 23,763 | 1,004,462 | ||||||
AZZ, Inc. | 12,933 | 732,008 | ||||||
Barnes Group, Inc. | 39,826 | 1,395,105 | ||||||
Barrett Business Services, Inc. | 26,883 | 772,886 | ||||||
Beacon Roofing Supply, Inc. † | 25,822 | 1,058,960 | ||||||
Briggs & Stratton Corp. | 41,707 | 997,632 | ||||||
Brink’s Co. (The) | 43,054 | 1,446,184 | ||||||
Builders FirstSource, Inc. † | 143,121 | 1,612,974 | ||||||
Casella Waste Systems, Inc., Class A † | 28,022 | 187,747 | ||||||
CBIZ, Inc. † | 66,944 | 675,465 | ||||||
CEB, Inc. | 2,000 | 129,460 | ||||||
Comfort Systems USA, Inc. | 65,696 | 2,087,162 | ||||||
Continental Building Products, Inc. † | 3,900 | 72,384 | ||||||
Covenant Transportation Group, Inc., Class A †(a) | 3,300 | 79,827 | ||||||
Deluxe Corp. | 43,529 | 2,720,127 | ||||||
Douglas Dynamics, Inc. | 35,408 | 811,197 | ||||||
Dycom Industries, Inc. †(a) | 13,656 | 883,134 | ||||||
EMCOR Group, Inc. | 53,499 | 2,600,051 | ||||||
Encore Wire Corp. | 18,802 | 731,962 | ||||||
EnerSys | 9,697 | 540,317 | ||||||
Ennis, Inc. | 48,560 | 949,348 | ||||||
Federal Signal Corp. | 71,877 | 953,089 | ||||||
FreightCar America, Inc. | 12,944 | 201,668 | ||||||
FTI Consulting, Inc. † | 2,000 | 71,020 | ||||||
General Cable Corp. | 54,477 | 665,164 | ||||||
Gibraltar Industries, Inc. † | 54,568 | 1,560,645 | ||||||
Global Brass & Copper Holdings, Inc. | 49,800 | 1,242,510 | ||||||
Greenbrier Cos., Inc. (The) | 36,916 | 1,020,358 | ||||||
Griffon Corp. | 60,303 | 931,681 | ||||||
Hawaiian Holdings, Inc. † | 32,365 | 1,527,304 | ||||||
HEICO Corp., Class A | 6,605 | 314,398 | ||||||
Heidrick & Struggles International, Inc. | 29,580 | 701,046 | ||||||
Herman Miller, Inc. | 66,206 | 2,045,103 | ||||||
Hub Group, Inc., Class A † | 41,061 | 1,674,878 | ||||||
ICF International, Inc. † | 24,190 | 831,410 | ||||||
Insperity, Inc. | 23,918 | 1,237,278 | ||||||
Insteel Industries, Inc. | 37,619 | 1,150,013 | ||||||
Interface, Inc. | 86,197 | 1,598,092 | ||||||
John Bean Technologies Corp. | 21,328 | 1,203,113 | ||||||
Kadant, Inc. | 14,571 | 658,026 | ||||||
Kaman Corp. | 38,464 | 1,642,028 | ||||||
Kelly Services, Inc., Class A | 25,462 | 486,834 | ||||||
Kforce, Inc. | 56,285 | 1,102,060 | ||||||
Kimball International, Inc., Class B | 29,087 | 330,138 | ||||||
Knoll, Inc. | 46,601 | 1,008,912 | ||||||
Korn | 21,061 | 595,816 | ||||||
Lawson Products, Inc. † | 3,399 | 66,552 | ||||||
LSI Industries, Inc. | 64,036 | 752,423 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 13.8% (continued) | ||||||||
Lydall, Inc. † | 21,671 | $ | 704,741 | |||||
MasTec, Inc. † | 9,595 | 194,203 | ||||||
Matson, Inc. | 11,096 | 445,726 | ||||||
Meritor, Inc. † | 47,759 | 384,938 | ||||||
Mistras Group, Inc. † | 38,516 | 954,041 | ||||||
MRC Global, Inc. † | 131,122 | 1,722,943 | ||||||
Mueller Industries, Inc. | 9,904 | 291,376 | ||||||
Multi-Color Corp. | 6,035 | 321,967 | ||||||
MYR Group, Inc. † | 14,882 | 373,687 | ||||||
National Presto Industries, Inc. (a) | 13,472 | 1,128,145 | ||||||
Navigant Consulting, Inc. † | 74,686 | 1,180,786 | ||||||
NV5 Global, Inc. †(a) | 9,145 | 245,360 | ||||||
On Assignment, Inc. † | 33,567 | 1,239,294 | ||||||
Patrick Industries, Inc. † | 32,014 | 1,453,116 | ||||||
PowerSecure International, Inc. † | 6,509 | 121,653 | ||||||
Quanex Building Products Corp. | 5,900 | 102,424 | ||||||
Resources Connection, Inc. | 49,953 | 777,269 | ||||||
Roadrunner Transportation Systems, Inc. † | 9,713 | 121,024 | ||||||
RPX Corp. † | 127,343 | 1,433,882 | ||||||
SkyWest, Inc. | 50,208 | 1,003,658 | ||||||
Standex International Corp. | 18,725 | 1,456,992 | ||||||
Steelcase, Inc., Class A | 103,751 | 1,547,965 | ||||||
Swift Transportation Co. † | 6,762 | 125,976 | ||||||
Tetra Tech, Inc. | 39,670 | 1,182,959 | ||||||
Titan Machinery, Inc. †(a) | 36,355 | 420,264 | ||||||
TrueBlue, Inc. † | 65,132 | 1,703,202 | ||||||
UniFirst Corp. | 8,447 | 921,737 | ||||||
Universal Forest Products, Inc. | 32,626 | 2,799,963 | ||||||
Viad Corp. | 8,188 | 238,762 | ||||||
Virgin America, Inc. †(a) | 21,054 | 811,842 | ||||||
Wabash National Corp. † | 160,534 | 2,119,049 | ||||||
West Corp. | 30,986 | 707,101 | ||||||
|
| |||||||
89,020,384 | ||||||||
|
| |||||||
Information Technology - 18.3% | ||||||||
A10 Networks, Inc. † | 44,553 | 263,754 | ||||||
Advanced Energy Industries, Inc. † | 57,575 | 2,003,034 | ||||||
Alliance Fiber Optic Products, Inc. †(a) | 38,338 | 567,019 | ||||||
Ambarella, Inc. †(a) | 21,308 | 952,468 | ||||||
Amkor Technology, Inc. † | 162,473 | 956,966 | ||||||
Applied Optoelectronics, Inc. †(a) | 18,557 | 276,685 | ||||||
AVG Technologies NV (Netherlands) † | 27,686 | 574,484 | ||||||
AVX Corp. | 52,117 | 655,111 | ||||||
Bankrate, Inc. † | 60,174 | 551,796 | ||||||
Belden, Inc. | 5,797 | 355,820 | ||||||
Blackhawk Network Holdings, Inc. † | 32,021 | 1,098,320 | ||||||
BroadSoft, Inc. † | 17,289 | 697,611 | ||||||
Cabot Microelectronics Corp. | 12,737 | 521,071 | ||||||
CACI International, Inc., Class A † | 23,308 | 2,486,964 | ||||||
Ciena Corp. † | 41,732 | 793,743 | ||||||
Cirrus Logic, Inc. † | 69,377 | 2,526,016 | ||||||
Coherent, Inc. † | 24,904 | 2,288,678 | ||||||
Cohu, Inc. | 26,046 | 309,426 | ||||||
Convergys Corp. | 98,923 | 2,747,092 | ||||||
Cray, Inc. † | 32,059 | 1,343,593 | ||||||
CSG Systems International, Inc. | 68,877 | 3,110,485 | ||||||
CTS Corp. | 21,563 | 339,402 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
11
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 18.3% (continued) | ||||||||
Digi International, Inc. † | 43,411 | $ | 409,366 | |||||
EarthLink Holdings Corp. | 140,131 | 794,543 | ||||||
Ebix, Inc. (a) | 43,371 | 1,769,103 | ||||||
Ellie Mae, Inc. †(a) | 23,167 | 2,099,857 | ||||||
EMCORE Corp. † | 60,565 | 302,825 | ||||||
Entegris, Inc. † | 14,680 | 199,942 | ||||||
ePlus, Inc. † | 15,972 | 1,285,906 | ||||||
ExlService Holdings, Inc. † | 41,965 | 2,173,787 | ||||||
Extreme Networks, Inc. † | 166,302 | 517,199 | ||||||
Fabrinet (Thailand) † | 41,591 | 1,345,469 | ||||||
Fair Isaac Corp. | 2,903 | 307,979 | ||||||
Fairchild Semiconductor International, Inc. † | 30,604 | 612,080 | ||||||
Finisar Corp. † | 11,123 | 202,883 | ||||||
Fleetmatics Group plc (Ireland) †(a) | 28,744 | 1,170,168 | ||||||
FormFactor, Inc. † | 88,651 | 644,493 | ||||||
Gigamon, Inc. † | 48,949 | 1,518,398 | ||||||
Hackett Group, Inc. (The) | 63,411 | 958,774 | ||||||
Heartland Payment Systems, Inc. | 9,431 | 910,752 | ||||||
II-VI, Inc. † | 81,221 | 1,763,308 | ||||||
Infinera Corp. † | 80,718 | 1,296,331 | ||||||
Inphi Corp. † | 47,254 | 1,575,448 | ||||||
Insight Enterprises, Inc. † | 48,835 | 1,398,634 | ||||||
Integrated Device Technology, Inc. † | 122,401 | 2,501,876 | ||||||
InterDigital, Inc. | 6,925 | 385,376 | ||||||
InvenSense, Inc. † | 44,717 | 375,623 | ||||||
Ixia † | 107,777 | 1,342,901 | ||||||
IXYS Corp. | 41,618 | 466,954 | ||||||
j2 Global, Inc. (a) | 37,700 | 2,321,566 | ||||||
Kimball Electronics, Inc. † | 14,446 | 161,362 | ||||||
Liquidity Services, Inc. † | 78,032 | 404,206 | ||||||
Littelfuse, Inc. | 5,917 | 728,442 | ||||||
LogMeIn, Inc. † | 21,719 | 1,095,941 | ||||||
Luxoft Holding, Inc. (Switzerland) † | 41,275 | 2,271,363 | ||||||
Manhattan Associates, Inc. † | 44,494 | 2,530,374 | ||||||
MaxLinear, Inc., Class A † | 78,031 | 1,443,573 | ||||||
Mentor Graphics Corp. | 47,367 | 962,971 | ||||||
Mercury Systems, Inc. † | 15,270 | 309,981 | ||||||
Methode Electronics, Inc. | 25,782 | 753,866 | ||||||
Microsemi Corp. † | 34,990 | 1,340,467 | ||||||
MicroStrategy, Inc., Class A † | 11,537 | 2,073,430 | ||||||
MKS Instruments, Inc. | 55,410 | 2,086,186 | ||||||
MoneyGram International, Inc. † | 28,391 | 173,753 | ||||||
Monster Worldwide, Inc. †(a) | 231,391 | 754,335 | ||||||
NeoPhotonics Corp. † | 128,185 | 1,799,717 | ||||||
NETGEAR, Inc. † | 43,980 | 1,775,473 | ||||||
NeuStar, Inc., Class A †(a) | 93,020 | 2,288,292 | ||||||
OSI Systems, Inc. † | 2,500 | 163,725 | ||||||
Paycom Software, Inc. † | 4,537 | 161,517 | ||||||
PC Connection, Inc. | 13,644 | 352,152 | ||||||
PDF Solutions, Inc. † | 17,260 | 230,939 | ||||||
Pegasystems, Inc. | 11,694 | 296,794 | ||||||
Perficient, Inc. † | 15,631 | 339,505 | ||||||
PFSweb, Inc. † | 22,897 | 300,409 | ||||||
Photronics, Inc. † | 145,783 | 1,517,601 | ||||||
Plantronics, Inc. | 36,112 | 1,415,229 | ||||||
Polycom, Inc. † | 137,508 | 1,533,214 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 18.3% (continued) | ||||||||
QAD, Inc., Class A | 7,390 | $ | 157,037 | |||||
QLogic Corp. † | 114,527 | 1,539,243 | ||||||
Rambus, Inc. † | 20,369 | 280,074 | ||||||
RetailMeNot, Inc. † | 49,944 | 400,051 | ||||||
Rofin-Sinar Technologies, Inc. † | 30,836 | 993,536 | ||||||
Rovi Corp. † | 44,974 | 922,417 | ||||||
Rudolph Technologies, Inc. † | 85,646 | 1,169,924 | ||||||
Sanmina Corp. † | 94,199 | 2,202,373 | ||||||
Sapiens International Corp. NV (Israel) | 17,289 | 207,122 | ||||||
ShoreTel, Inc. † | 110,030 | 818,623 | ||||||
Sigma Designs, Inc. † | 61,399 | 417,513 | ||||||
Silver Spring Networks, Inc. † | 8,533 | 125,862 | ||||||
Stamps.com, Inc. † | 16,754 | 1,780,615 | ||||||
Super Micro Computer, Inc. † | 16,513 | 562,763 | ||||||
Sykes Enterprises, Inc. † | 62,192 | 1,876,954 | ||||||
Synaptics, Inc. † | 32,823 | 2,617,306 | ||||||
Synchronoss Technologies, Inc. † | 7,554 | 244,296 | ||||||
SYNNEX Corp. | 34,357 | 3,181,115 | ||||||
Syntel, Inc. † | 22,483 | 1,122,576 | ||||||
Take-Two Interactive Software, Inc. † | 38,892 | 1,465,062 | ||||||
Tech Data Corp. † | 36,853 | 2,829,205 | ||||||
TeleTech Holdings, Inc. | 33,173 | 920,882 | ||||||
Tessera Technologies, Inc. | 45,301 | 1,404,331 | ||||||
TTM Technologies, Inc. † | 94,954 | 631,444 | ||||||
Ubiquiti Networks, Inc. †(a) | 68,383 | 2,275,102 | ||||||
United Online, Inc. † | 17,417 | 200,992 | ||||||
VASCO Data Security International, Inc. † | 24,615 | 379,071 | ||||||
Virtusa Corp. † | 9,747 | 365,123 | ||||||
Vishay Intertechnology, Inc. (a) | 38,238 | 466,886 | ||||||
Web.com Group, Inc. † | 66,820 | 1,324,372 | ||||||
XO Group, Inc. † | 1,200 | 19,260 | ||||||
Zix Corp. † | 92,018 | 361,631 | ||||||
|
| |||||||
118,598,657 | ||||||||
|
| |||||||
Materials - 2.6% | ||||||||
AEP Industries, Inc. | 10,177 | 671,682 | ||||||
American Vanguard Corp. †(a) | 48,099 | 759,002 | ||||||
Chemtura Corp. † | 56,829 | 1,500,286 | ||||||
Commercial Metals Co. | 87,371 | 1,482,686 | ||||||
FutureFuel Corp. | 33,765 | 398,089 | ||||||
Headwaters, Inc. † | 51,912 | 1,029,934 | ||||||
Innospec, Inc. | 41,909 | 1,817,174 | ||||||
Kaiser Aluminum Corp. | 12,702 | 1,073,827 | ||||||
KMG Chemicals, Inc. | 10,861 | 250,563 | ||||||
Kraton Performance Polymers, Inc. † | 47,298 | 818,256 | ||||||
Materion Corp. | 2,800 | 74,144 | ||||||
Neenah Paper, Inc. | 12,962 | 825,161 | ||||||
Quaker Chemical Corp. | 1,000 | 84,860 | ||||||
Rayonier Advanced Materials, Inc. | 25,752 | 244,644 | ||||||
Schweitzer-Mauduit International, Inc. | 15,052 | 473,837 | ||||||
Stepan Co. | 27,704 | 1,531,754 | ||||||
Trinseo SA †(a) | 49,369 | 1,817,273 | ||||||
US Concrete, Inc. † | 13,620 | 811,480 | ||||||
Worthington Industries, Inc. | 37,297 | 1,329,265 | ||||||
|
| |||||||
16,993,917 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
12
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Telecommunication Services - 0.8% | ||||||||
Atlantic Tele-Network, Inc. | 3,001 | $ | 227,566 | |||||
Cincinnati Bell, Inc. † | 98,296 | 380,406 | ||||||
General Communication, Inc., Class A † | 35,715 | 654,299 | ||||||
Inteliquent, Inc. | 68,225 | 1,095,011 | ||||||
Iridium Communications, Inc. †(a) | 40,948 | 322,261 | ||||||
Shenandoah Telecommunications Co. | 41,692 | 1,115,261 | ||||||
Spok Holdings, Inc. | 30,306 | 530,658 | ||||||
Vonage Holdings Corp. † | 254,334 | 1,162,306 | ||||||
|
| |||||||
5,487,768 | ||||||||
|
| |||||||
Utilities - 0.6% | ||||||||
ONE Gas, Inc. | 35,311 | 2,157,502 | ||||||
Ormat Technologies, Inc. | 9,483 | 391,079 | ||||||
Piedmont Natural Gas Co., Inc. | 20,656 | 1,235,848 | ||||||
Spark Energy, Inc., Class A (a) | 12,687 | 228,366 | ||||||
|
| |||||||
4,012,795 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 621,189,890 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT - 5.3% | ||||||||
Investment Company - 5.3% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (2)(b) | ||||||||
(cost $34,002,429) | 34,002,429 | 34,002,429 | ||||||
|
|
SECURITIES LENDING COLLATERAL - 8.0% | SHARES | VALUE (Note 4) | ||||||
Money Market Funds - 8.0% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
Dreyfus Treasury Cash Management, 0.180% (2)(b)(c) | ||||||||
(cost $51,797,286) | 51,797,286 | $ | 51,797,286 | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 109.3% | ||||||||
(cost $671,173,150) | 706,989,605 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (9.3%) (d) | (60,041,630) | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 646,947,975 | |||||
|
|
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 $50,655,402; cash collateral of $51,797,286 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. |
(d) | 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 March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
142 | J.P. Morgan | E-Mini Russell 2000 Futures | 06/2016 | $ | 15,331,618 | $ | 15,756,320 | $ | 424,702 | |||||||||
|
|
|
|
|
|
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
J.P. Morgan | ||||||||||||
Cash | $— | $637,774 | $637,774 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
13
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL MULTI-STYLE FUND |
COMMON STOCKS - 94.2% | SHARES | VALUE (Note 4) | ||||||
Australia - 4.3% | ||||||||
Aurizon Holdings Ltd. | 30,613 | $ | 93,025 | |||||
Bank of Queensland Ltd. | 20,793 | 192,788 | ||||||
Caltex Australia Ltd. | 18,665 | 486,805 | ||||||
Challenger Ltd. | 52,578 | 337,409 | ||||||
CIMIC Group Ltd. | 46,761 | 1,244,109 | ||||||
Cochlear Ltd. | 8,740 | 683,621 | ||||||
Dexus Property Group REIT | 104,929 | 637,195 | ||||||
Flight Centre Travel Group Ltd. | 15,578 | 515,957 | ||||||
Goodman Group REIT | 41,832 | 213,940 | ||||||
GPT Group (The) REIT | 196,673 | 752,918 | ||||||
Harvey Norman Holdings Ltd. | 47,125 | 169,527 | ||||||
Incitec Pivot Ltd. | 272,013 | 663,875 | ||||||
Insurance Australia Group Ltd. | 67,821 | 289,657 | ||||||
Macquarie Group Ltd. | 28,288 | 1,431,773 | ||||||
Orica Ltd. | 21,653 | 254,682 | ||||||
Qantas Airways Ltd. † | 385,335 | 1,202,768 | ||||||
QBE Insurance Group Ltd. | 135,974 | 1,136,296 | ||||||
Scentre Group REIT | 235,569 | 801,879 | ||||||
Tabcorp Holdings Ltd. | 398,978 | 1,308,323 | ||||||
Telstra Corp. Ltd. | 298,620 | 1,218,661 | ||||||
Woodside Petroleum Ltd. | 26,834 | 536,782 | ||||||
|
| |||||||
14,171,990 | ||||||||
|
| |||||||
Austria - 1.3% | ||||||||
Erste Group Bank AG † | 58,313 | 1,636,673 | ||||||
OMV AG | 59,718 | 1,676,779 | ||||||
Raiffeisen Bank International AG † | 55,693 | 841,696 | ||||||
|
| |||||||
4,155,148 | ||||||||
|
| |||||||
Belgium - 1.0% | ||||||||
Ageas | 27,779 | 1,099,391 | ||||||
Colruyt SA | 1,643 | 95,547 | ||||||
KBC Groep NV | 22,666 | 1,167,248 | ||||||
Proximus | 24,506 | 836,254 | ||||||
|
| |||||||
3,198,440 | ||||||||
|
| |||||||
Canada - 4.8% | ||||||||
Alimentation Couche-Tard, Inc., Class B (1) | 65,286 | 2,905,510 | ||||||
Bank of Montreal (1) | 30,564 | 1,856,079 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 12,929 | 449,665 | ||||||
Canadian Imperial Bank of Commerce (1) | 17,851 | 1,333,516 | ||||||
CCL Industries, Inc., Class B (1) | 1,483 | 281,470 | ||||||
CGI Group, Inc., Class A (1)† | 4,993 | 238,626 | ||||||
Empire Co. Ltd., Class A (1) | 51,753 | 896,587 | ||||||
Fairfax Financial Holdings Ltd. (1) | 1,727 | 966,814 | ||||||
George Weston Ltd. (1) | 11,619 | 1,040,275 | ||||||
Great-West Lifeco, Inc. (1) | 3,723 | 102,452 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. (1) | 9,925 | 299,565 | ||||||
Intact Financial Corp. (1) | 22,743 | 1,592,317 | ||||||
Linamar Corp. (1) | 3,114 | 149,832 | ||||||
Loblaw Cos. Ltd. (1) | 10,490 | 587,359 | ||||||
Metro, Inc. (1) | 37,583 | 1,303,938 | ||||||
National Bank of Canada (1) | 10,700 | 350,062 | ||||||
Onex Corp. (1) | 2,252 | 137,262 | ||||||
Open Text Corp. (1) | 2,605 | 134,949 |
SHARES | VALUE (Note 4) | |||||||
Canada - 4.8% (continued) | ||||||||
Power Corp. of Canada (1) | 5,259 | $ | 121,316 | |||||
Sun Life Financial, Inc. (1) | 41,856 | 1,350,350 | ||||||
|
| |||||||
16,097,944 | ||||||||
|
| |||||||
China - 0.0% (a) | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 181,200 | 131,605 | ||||||
|
| |||||||
Denmark - 2.0% | ||||||||
Danske Bank A/S | 37,074 | 1,046,246 | ||||||
DSV A/S | 8,045 | 334,626 | ||||||
ISS A/S | 38,532 | 1,545,393 | ||||||
Pandora A/S | 10,549 | 1,379,154 | ||||||
Tryg A/S | 35,657 | 690,559 | ||||||
Vestas Wind Systems A/S | 5,369 | 378,298 | ||||||
William Demant Holding A/S † | 11,517 | 1,156,774 | ||||||
|
| |||||||
6,531,050 | ||||||||
|
| |||||||
Finland - 1.1% | ||||||||
Elisa OYJ † | 33,904 | 1,316,533 | ||||||
Neste OYJ | 27,126 | 891,418 | ||||||
Nokia OYJ | 27,216 | 161,452 | ||||||
Nokian Renkaat OYJ | 24,051 | 848,532 | ||||||
UPM-Kymmene OYJ | 24,138 | 436,405 | ||||||
|
| |||||||
3,654,340 | ||||||||
|
| |||||||
France - 8.6% | ||||||||
Arkema SA | 4,649 | 348,292 | ||||||
AXA SA | 98,948 | 2,320,203 | ||||||
BNP Paribas SA | 65,394 | 3,285,433 | ||||||
Cap Gemini SA | 13,576 | 1,273,489 | ||||||
Christian Dior SE | 6,014 | 1,088,986 | ||||||
Cie Generale des Etablissements Michelin | 16,998 | 1,736,662 | ||||||
Credit Agricole SA | 56,528 | 611,287 | ||||||
Eurazeo SA | 9,537 | 644,154 | ||||||
Ingenico Group | 2,577 | 295,406 | ||||||
Lagardere SCA | 11,207 | 297,260 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 2,744 | 468,885 | ||||||
Numericable-SFR SA | 6,725 | 282,433 | ||||||
Orange SA | 24,421 | 426,462 | ||||||
Peugeot SA † | 70,151 | 1,200,145 | ||||||
Renault SA | 11,067 | 1,099,811 | ||||||
Safran SA | 10,436 | 728,432 | ||||||
SCOR SE | 27,455 | 967,952 | ||||||
Societe BIC SA | 5,963 | 895,972 | ||||||
Societe Generale SA | 52,262 | 1,931,185 | ||||||
Suez Environnement Co. | 37,656 | 689,343 | ||||||
Thales SA | 2,746 | 239,959 | ||||||
TOTAL SA | 43,299 | 1,970,163 | ||||||
Valeo SA | 8,077 | 1,255,962 | ||||||
Veolia Environnement SA | 42,065 | 1,012,455 | ||||||
Vinci SA | 35,182 | 2,611,352 | ||||||
Vivendi SA | 35,297 | 739,717 | ||||||
|
| |||||||
28,421,400 | ||||||||
|
| |||||||
Germany - 7.3% | ||||||||
adidas AG | 14,132 | 1,650,065 | ||||||
Allianz SE | 22,286 | 3,619,360 | ||||||
Brenntag AG | 12,421 | 707,783 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
14
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Germany - 7.3% (continued) | ||||||||
Continental AG | 8,497 | $ | 1,927,204 | |||||
Daimler AG | 3,750 | 286,997 | ||||||
Deutsche Lufthansa AG † | 47,896 | 773,014 | ||||||
Deutsche Telekom AG | 135,625 | 2,431,529 | ||||||
Evonik Industries AG | 22,517 | 673,422 | ||||||
Hannover Rueck SE | 25,426 | 2,955,069 | ||||||
HeidelbergCement AG | 12,100 | 1,034,009 | ||||||
Infineon Technologies AG | 114,790 | 1,627,531 | ||||||
Merck KGaA | 2,195 | 182,588 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 17,358 | 3,522,707 | ||||||
OSRAM Licht AG | 8,530 | 438,491 | ||||||
ProSiebenSat.1 Media SE | 30,110 | 1,545,693 | ||||||
Telefonica Deutschland Holding AG | 171,068 | 924,756 | ||||||
|
| |||||||
24,300,218 | ||||||||
|
| |||||||
Hong Kong - 2.5% | ||||||||
BOC Hong Kong Holdings Ltd. | 101,000 | 301,711 | ||||||
Cathay Pacific Airways Ltd. | 162,000 | 280,585 | ||||||
CK Hutchison Holdings Ltd. | 16,500 | 214,369 | ||||||
Hang Seng Bank Ltd. | 55,900 | 989,094 | ||||||
Henderson Land Development Co. Ltd. | 141,731 | 871,534 | ||||||
Hysan Development Co. Ltd. | 42,000 | 178,991 | ||||||
Kerry Properties Ltd. | 99,500 | 273,188 | ||||||
Link REIT | 26,000 | 154,457 | ||||||
New World Development Co. Ltd. | 157,000 | 149,845 | ||||||
NWS Holdings Ltd. | 261,000 | 416,226 | ||||||
PCCW Ltd. | 1,022,000 | 661,962 | ||||||
Sino Land Co. Ltd. | 484,000 | 768,804 | ||||||
Swire Properties Ltd. | 72,200 | 195,431 | ||||||
Techtronic Industries Co. Ltd. | 182,500 | 722,972 | ||||||
WH Group Ltd. 144A †(b) | 1,781,500 | 1,288,401 | ||||||
Wharf Holdings Ltd. (The) | 23,000 | 125,982 | ||||||
Wheelock & Co. Ltd. | 94,000 | 420,034 | ||||||
Yue Yuen Industrial Holdings Ltd. | 103,500 | 355,836 | ||||||
|
| |||||||
8,369,422 | ||||||||
|
| |||||||
Ireland - 0.0% (a) | ||||||||
Shire plc | 2,591 | 147,777 | ||||||
|
| |||||||
Italy - 3.1% | ||||||||
Assicurazioni Generali SpA | 79,585 | 1,178,102 | ||||||
Banco Popolare SC † | 62,122 | 426,576 | ||||||
Enel SpA | 57,227 | 253,700 | ||||||
Eni SpA | 98,797 | 1,492,101 | ||||||
Intesa Sanpaolo SpA | 888,836 | 2,457,646 | ||||||
Mediobanca SpA | 103,622 | 745,205 | ||||||
Prysmian SpA | 48,045 | 1,087,036 | ||||||
Snam SpA | 98,844 | 618,568 | ||||||
Telecom Italia SpA † | 122,135 | 131,640 | ||||||
Terna Rete Elettrica Nazionale SpA | 149,357 | 851,607 | ||||||
UniCredit SpA | 161,482 | 582,142 | ||||||
UnipolSai SpA | 151,569 | 350,047 | ||||||
|
| |||||||
10,174,370 | ||||||||
|
| |||||||
Japan - 33.4% | ||||||||
Acom Co. Ltd. † | 81,500 | 410,360 | ||||||
AEON Financial Service Co. Ltd. | 41,800 | 984,068 |
SHARES | VALUE (Note 4) | |||||||
Japan - 33.4% (continued) | ||||||||
Aisin Seiki Co. Ltd. | 31,000 | $ | 1,166,835 | |||||
Alfresa Holdings Corp. | 57,700 | 1,107,375 | �� | |||||
Alps Electric Co. Ltd. | 61,100 | 1,066,142 | ||||||
Amada Holdings Co. Ltd. | 50,800 | 494,984 | ||||||
Bandai Namco Holdings, Inc. | 18,300 | 398,911 | ||||||
Bank of Yokohama Ltd. (The) | 85,000 | 382,436 | ||||||
Bridgestone Corp. | 40,300 | 1,504,112 | ||||||
Casio Computer Co. Ltd. | 27,600 | 556,633 | ||||||
Central Japan Railway Co. | 13,400 | 2,369,809 | ||||||
Chiba Bank Ltd. (The) | 157,000 | 781,965 | ||||||
Chubu Electric Power Co., Inc. | 90,800 | 1,267,145 | ||||||
Credit Saison Co. Ltd. | 16,800 | 292,248 | ||||||
Daicel Corp. | 7,500 | 102,236 | ||||||
Dai-ichi Life Insurance Co. Ltd. (The) | 216,100 | 2,619,020 | ||||||
Daiichi Sankyo Co. Ltd. | 74,200 | 1,646,880 | ||||||
Daikin Industries Ltd. | 5,700 | 425,702 | ||||||
Dentsu, Inc. | 18,500 | 928,080 | ||||||
East Japan Railway Co. | 2,900 | 250,153 | ||||||
Eisai Co. Ltd. | 6,800 | 408,828 | ||||||
Fuji Heavy Industries Ltd. | 56,400 | 1,991,667 | ||||||
FUJIFILM Holdings Corp. | 33,500 | 1,324,165 | ||||||
Fukuoka Financial Group, Inc. | 219,000 | 713,387 | ||||||
Gunma Bank Ltd. (The) | 45,000 | 185,865 | ||||||
Hachijuni Bank Ltd. (The) | 122,000 | 525,586 | ||||||
Hiroshima Bank Ltd. (The) | 269,000 | 981,513 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 5,500 | 245,798 | ||||||
Hitachi Chemical Co. Ltd. | 6,600 | 118,601 | ||||||
Hokuhoku Financial Group, Inc. | 698,000 | 917,162 | ||||||
Honda Motor Co. Ltd. | 110,700 | 3,026,660 | ||||||
Hoya Corp. | 14,900 | 566,359 | ||||||
Idemitsu Kosan Co. Ltd. | 31,000 | 553,142 | ||||||
Iida Group Holdings Co. Ltd. | 73,200 | 1,425,631 | ||||||
ITOCHU Corp. | 62,900 | 772,968 | ||||||
Iyo Bank Ltd. (The) | 56,600 | 370,046 | ||||||
Japan Airlines Co. Ltd. | 18,900 | 692,873 | ||||||
JTEKT Corp. | 53,100 | 689,047 | ||||||
JX Holdings, Inc. | 581,900 | 2,240,526 | ||||||
Kaneka Corp. | 73,000 | 625,087 | ||||||
Kansai Electric Power Co., Inc. (The) † | 115,500 | 1,021,920 | ||||||
KDDI Corp. | 75,700 | 2,019,735 | ||||||
Koito Manufacturing Co. Ltd. | 32,800 | 1,485,212 | ||||||
Konami Holdings Corp. | 14,700 | 434,446 | ||||||
Konica Minolta, Inc. | 16,600 | 140,795 | ||||||
Kose Corp. | 12,800 | 1,244,382 | ||||||
Mabuchi Motor Co. Ltd. | 3,600 | 167,488 | ||||||
Mazda Motor Corp. | 45,300 | 703,139 | ||||||
Medipal Holdings Corp. | 49,800 | 787,719 | ||||||
MEIJI Holdings Co. Ltd. | 9,600 | 771,444 | ||||||
Minebea Co. Ltd. | 17,000 | 132,540 | ||||||
Mitsubishi Chemical Holdings Corp. | 200,000 | 1,044,220 | ||||||
Mitsubishi Electric Corp. | 14,000 | 146,691 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 1,248,400 | 5,784,593 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 143,500 | 629,152 | ||||||
Mitsui Chemicals, Inc. | 198,000 | 659,071 | ||||||
Mixi, Inc. | 25,300 | 938,313 | ||||||
Mizuho Financial Group, Inc. | 1,725,300 | 2,571,185 | ||||||
MS&AD Insurance Group Holdings, Inc. | 68,800 | 1,917,543 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
15
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 33.4% (continued) | ||||||||
Murata Manufacturing Co. Ltd. | 22,700 | $ | 2,739,137 | |||||
Nexon Co. Ltd. | 91,000 | 1,551,951 | ||||||
NHK Spring Co. Ltd. | 15,500 | 148,223 | ||||||
Nippon Telegraph & Telephone Corp. | 73,700 | 3,183,656 | ||||||
Nissan Motor Co. Ltd. | 153,500 | 1,419,145 | ||||||
Nitto Denko Corp. | 24,200 | 1,348,508 | ||||||
NOK Corp. | 44,000 | 750,661 | ||||||
Nomura Holdings, Inc. | 593,700 | 2,651,672 | ||||||
Nomura Real Estate Holdings, Inc. | 8,000 | 147,680 | ||||||
NSK Ltd. | 88,900 | 813,695 | ||||||
NTT DOCOMO, Inc. | 70,300 | 1,598,019 | ||||||
Obayashi Corp. | 48,300 | 476,076 | ||||||
ORIX Corp. | 166,200 | 2,367,222 | ||||||
Otsuka Corp. | 7,200 | 379,809 | ||||||
Otsuka Holdings Co. Ltd. | 22,700 | 824,501 | ||||||
Panasonic Corp. | 10,600 | 96,002 | ||||||
Ryohin Keikaku Co. Ltd. | 1,300 | 274,652 | ||||||
Santen Pharmaceutical Co. Ltd. | 52,500 | 789,100 | ||||||
Sekisui House Ltd. | 26,900 | 453,845 | ||||||
Seven & i Holdings Co. Ltd. | 52,300 | 2,228,382 | ||||||
Shimadzu Corp. | 50,000 | 784,421 | ||||||
Shimamura Co. Ltd. | 1,300 | 162,281 | ||||||
Shimizu Corp. | 16,000 | 135,510 | ||||||
Shinsei Bank Ltd. | 103,000 | 134,427 | ||||||
Shionogi & Co. Ltd. | 37,300 | 1,753,145 | ||||||
Shiseido Co. Ltd. | 8,300 | 184,907 | ||||||
Shizuoka Bank Ltd. (The) | 31,000 | 223,515 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 55,500 | 1,572,952 | ||||||
Sony Corp. | 61,000 | 1,568,380 | ||||||
Sumitomo Chemical Co. Ltd. | 217,000 | 982,230 | ||||||
Sumitomo Electric Industries Ltd. | 18,300 | 221,905 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 114,500 | 3,475,954 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 138,000 | 403,992 | ||||||
Suzuken Co. Ltd. | 26,400 | 896,047 | ||||||
Suzuki Motor Corp. | 24,000 | 641,728 | ||||||
T&D Holdings, Inc. | 117,600 | 1,098,506 | ||||||
TDK Corp. | 20,400 | 1,131,913 | ||||||
Teijin Ltd. | 237,000 | 825,303 | ||||||
Tohoku Electric Power Co., Inc. | 78,900 | 1,016,821 | ||||||
Tokio Marine Holdings, Inc. | 39,800 | 1,344,760 | ||||||
Tokyo Electric Power Co., Inc. † | 396,900 | 2,180,428 | ||||||
Toppan Printing Co. Ltd. | 31,000 | 259,911 | ||||||
TOTO Ltd. | 21,300 | 663,001 | ||||||
Toyo Seikan Group Holdings Ltd. | 25,200 | 471,557 | ||||||
Toyoda Gosei Co. Ltd. | 6,500 | 125,355 | ||||||
Toyota Motor Corp. | 3,400 | 180,320 | ||||||
West Japan Railway Co. | 12,200 | 753,316 | ||||||
Yahoo Japan Corp. | 51,500 | 219,196 | ||||||
Yamaguchi Financial Group, Inc. | 72,000 | 653,695 | ||||||
Yamaha Corp. | 43,000 | 1,293,516 | ||||||
Yamaha Motor Co. Ltd. | 40,300 | 669,814 | ||||||
Yamazaki Baking Co. Ltd. | 39,000 | 820,889 | ||||||
Yokogawa Electric Corp. | 9,300 | 96,059 | ||||||
|
| |||||||
110,917,283 | ||||||||
|
| |||||||
Luxembourg - 0.4% | ||||||||
Tenaris SA | 96,418 | 1,196,332 | ||||||
|
|
SHARES | VALUE (Note 4) | |||||||
Netherlands - 3.9% | ||||||||
Boskalis Westminster | 21,691 | $ | 850,134 | |||||
ING Groep NV CVA | 296,462 | 3,547,708 | ||||||
Koninklijke Ahold NV | 128,956 | 2,896,521 | ||||||
NN Group NV | 80,001 | 2,611,608 | ||||||
Randstad Holding NV | 19,714 | 1,090,414 | ||||||
Wolters Kluwer NV | 51,332 | 2,045,967 | ||||||
|
| |||||||
13,042,352 | ||||||||
|
| |||||||
Portugal - 0.4% | ||||||||
Galp Energia SGPS SA | 36,164 | 454,107 | ||||||
Jeronimo Martins SGPS SA | 59,309 | 969,522 | ||||||
|
| |||||||
1,423,629 | ||||||||
|
| |||||||
Singapore - 0.9% | ||||||||
CapitaLand Commercial Trust Ltd. REIT | 273,500 | 298,509 | ||||||
ComfortDelGro Corp. Ltd. | 226,400 | 490,694 | ||||||
DBS Group Holdings Ltd. | 53,900 | 614,027 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 157,800 | 1,034,172 | ||||||
United Overseas Bank Ltd. | 48,700 | 681,216 | ||||||
|
| |||||||
3,118,618 | ||||||||
|
| |||||||
South Africa - 0.2% | ||||||||
Mondi plc | 41,628 | 796,063 | ||||||
|
| |||||||
Spain - 2.0% | ||||||||
Endesa SA | 64,235 | 1,230,955 | ||||||
Ferrovial SA | 71,088 | 1,525,616 | ||||||
Gas Natural SDG SA | 19,740 | 398,525 | ||||||
Iberdrola SA | 417,517 | 2,779,393 | ||||||
Industria de Diseno Textil SA | 17,342 | 581,297 | ||||||
|
| |||||||
6,515,786 | ||||||||
|
| |||||||
Sweden - 0.6% | ||||||||
Investor AB, Class B | 8,330 | 294,459 | ||||||
Nordea Bank AB | 102,090 | 979,238 | ||||||
Securitas AB, Class B | 41,762 | 690,597 | ||||||
|
| |||||||
1,964,294 | ||||||||
|
| |||||||
Switzerland - 5.2% | ||||||||
Actelion Ltd. † | 1,458 | 217,592 | ||||||
Adecco SA † | 10,431 | 678,549 | ||||||
Baloise Holding AG | 26,481 | 3,361,295 | ||||||
Coca-Cola HBC AG † | 33,552 | 711,515 | ||||||
Credit Suisse Group AG † | 87,466 | 1,235,191 | ||||||
Givaudan SA | 631 | 1,236,634 | ||||||
Sika AG | 129 | 510,664 | ||||||
STMicroelectronics NV | 15,340 | 85,386 | ||||||
Swiss Life Holding AG † | 7,791 | 2,067,481 | ||||||
Swiss Re AG | 45,001 | 4,155,377 | ||||||
Swisscom AG | 984 | 534,075 | ||||||
UBS Group AG | 130,786 | 2,103,829 | ||||||
Zurich Insurance Group AG † | 2,039 | 472,867 | ||||||
|
| |||||||
17,370,455 | ||||||||
|
| |||||||
United Kingdom - 11.2% | ||||||||
3i Group plc | 125,998 | 823,869 | ||||||
AstraZeneca plc | 4,834 | 269,891 | ||||||
Aviva plc | 59,245 | 386,837 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
16
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 11.2% (continued) | ||||||||
BAE Systems plc | 67,524 | $ | 492,539 | |||||
Barclays plc | 72,812 | 156,298 | ||||||
Barratt Developments plc | 74,162 | 595,373 | ||||||
British Land Co. plc (The) REIT | 80,014 | 803,175 | ||||||
BT Group plc | 680,762 | 4,298,438 | ||||||
Direct Line Insurance Group plc | 508,473 | 2,697,044 | ||||||
Dixons Carphone plc | 150,583 | 920,271 | ||||||
easyJet plc | 5,939 | 129,261 | ||||||
Fiat Chrysler Automobiles NV | 55,205 | 445,494 | ||||||
Hammerson plc REIT | 43,773 | 363,133 | ||||||
HSBC Holdings plc | 107,591 | 669,105 | ||||||
Imperial Brands plc | 25,501 | 1,411,921 | ||||||
Inmarsat plc | 11,677 | 164,715 | ||||||
International Consolidated Airlines Group SA | 168,326 | 1,339,355 | ||||||
Intertek Group plc | 34,454 | 1,564,376 | ||||||
Intu Properties plc REIT | 169,532 | 760,159 | ||||||
J Sainsbury plc | 41,134 | 163,001 | ||||||
Kingfisher plc | 262,138 | 1,413,866 | ||||||
Land Securities Group plc REIT | 27,580 | 434,869 | ||||||
Legal & General Group plc | 187,218 | 630,823 | ||||||
Marks & Spencer Group plc | 185,873 | 1,083,147 | ||||||
National Grid plc | 177,198 | 2,507,239 | ||||||
Next plc | 2,690 | 208,318 | ||||||
Old Mutual plc | 44,546 | 123,042 | ||||||
Persimmon plc | 55,671 | 1,663,519 | ||||||
Petrofac Ltd. | 51,169 | 675,296 | ||||||
Prudential plc | 33,550 | 624,314 | ||||||
Royal Mail plc | 242,492 | 1,672,125 | ||||||
Sage Group plc (The) | 137,032 | 1,235,537 | ||||||
Segro plc REIT | 105,872 | 622,751 | ||||||
Sky plc | 119,129 | 1,750,548 | ||||||
Taylor Wimpey plc | 394,997 | 1,076,512 | ||||||
Vodafone Group plc | 212,804 | 676,218 | ||||||
William Hill plc | 67,084 | 313,865 | ||||||
WPP plc | 95,069 | 2,212,781 | ||||||
|
| |||||||
37,379,025 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 313,077,541 | |||||||
|
| |||||||
EXCHANGE TRADED FUND - 4.7% | ||||||||
iShares MSCI EAFE Fund (1) | 274,521 | 15,683,385 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT - 0.8% | ||||||||
Investment Company - 0.8% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (c) | ||||||||
(cost $2,568,966) | 2,568,966 | 2,568,966 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.7% | 331,329,892 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% | 1,003,043 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 332,332,935 | ||||||
|
|
† | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(c) | Represents annualized seven-day yield as of the close of the reporting period. |
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 |
REIT | - Real Estate Investment Trust |
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 53,793,901 | 16.1 | % | ||||
Consumer Staples | 19,520,103 | 5.9 | ||||||
Energy | 12,173,451 | 3.7 | ||||||
Exchange Traded Fund | 15,683,385 | 4.7 | ||||||
Financials | 117,554,106 | 35.3 | ||||||
Health Care | 11,683,995 | 3.5 | ||||||
Industrials | 33,090,464 | 10.0 | ||||||
Information Technology | 15,858,721 | 4.8 | ||||||
Materials | 12,412,329 | 3.7 | ||||||
Telecommunication Services | 21,162,371 | 6.4 | ||||||
Utilities | 15,828,100 | 4.8 | ||||||
Short-Term Investment | 2,568,966 | 0.8 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 331,329,892 | 99.7 | ||||||
Other Assets in Excess of Liabilities | 1,003,043 | 0.3 | ||||||
|
|
|
| |||||
Net Assets | $ | 332,332,935 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
17
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING MULTI-STYLE FUND |
COMMON STOCKS - 92.9% | SHARES | VALUE (Note 4) | ||||||
Brazil - 4.4% | ||||||||
Ambev SA ADR (1) | 135,449 | $ | 701,626 | |||||
Banco Bradesco SA ADR (1) | 51,147 | 381,045 | ||||||
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros (1) | 139,900 | 595,294 | ||||||
BRF SA (1) | 10,200 | 145,724 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR (1) | 8,652 | 57,103 | ||||||
Cia Energetica de Minas Gerais ADR (1) | 84,582 | 191,155 | ||||||
Cia Paranaense de Energia ADR (1)(a) | 15,535 | 123,037 | ||||||
EDP - Energias do Brasil SA (1) | 255,800 | 888,558 | ||||||
Equatorial Energia SA (1) | 110,100 | 1,251,759 | ||||||
Fibria Celulose SA ADR (1) | 74,563 | 632,294 | ||||||
Itau Unibanco Holding SA ADR (1) | 21,411 | 183,921 | ||||||
JBS SA (1) | 713,400 | 2,170,566 | ||||||
Kroton Educacional SA (1) | 73,800 | 235,625 | ||||||
Lojas Renner SA (1) | 37,300 | 216,394 | ||||||
Natura Cosmeticos SA (1) | 12,700 | 94,412 | ||||||
Porto Seguro SA (1) | 79,800 | 603,219 | ||||||
Qualicorp SA (1)† | 9,400 | 38,953 | ||||||
Telefonica Brasil SA ADR (1) | 8,329 | 104,029 | ||||||
Ultrapar Participacoes SA (1) | 35,500 | 687,361 | ||||||
|
| |||||||
9,302,075 | ||||||||
|
| |||||||
Chile - 1.0% | ||||||||
Banco Santander Chile ADR (1) | 11,908 | 230,420 | ||||||
Cencosud SA (1) | 233,120 | 587,968 | ||||||
Cia Cervecerias Unidas SA ADR (1) | 10,700 | 240,215 | ||||||
Corpbanca SA (1) | 40,321,571 | 368,726 | ||||||
Enersis Americas SA ADR (1) | 47,158 | 655,496 | ||||||
|
| |||||||
2,082,825 | ||||||||
|
| |||||||
China - 20.9% | ||||||||
Agricultural Bank of China Ltd., Class H | 2,831,000 | 1,018,480 | ||||||
Alibaba Group Holding Ltd. ADR (1)† | 13,943 | 1,101,915 | ||||||
Anhui Conch Cement Co. Ltd., Class H | 10,500 | 28,175 | ||||||
ANTA Sports Products Ltd. | 281,000 | 618,606 | ||||||
Baidu, Inc. ADR (1)† | 3,800 | 725,344 | ||||||
Bank of China Ltd., Class H | 296,000 | 122,889 | ||||||
Bank of Communications Co. Ltd., Class H | 1,041,000 | 684,947 | ||||||
Beijing Capital International Airport Co. Ltd., Class H | 298,000 | 318,266 | ||||||
Belle International Holdings Ltd. | 1,289,000 | 747,214 | ||||||
China Cinda Asset Management Co. Ltd., Class H | 507,000 | 177,944 | ||||||
China CITIC Bank Corp. Ltd., Class H † | 1,489,000 | 912,680 | ||||||
China Communications Services Corp. Ltd., Class H | 604,000 | 275,799 | ||||||
China Construction Bank Corp., Class H | 8,427,000 | 5,394,583 | ||||||
China Everbright Bank Co. Ltd., Class H | 2,056,000 | 999,475 | ||||||
China Galaxy Securities Co. Ltd., Class H | 993,500 | 967,621 | ||||||
China Life Insurance Co. Ltd., Class H | 8,000 | 19,658 | ||||||
China Merchants Bank Co. Ltd., Class H | 1,170,000 | 2,462,286 | ||||||
China Minsheng Banking Corp. Ltd., Class H | 1,802,000 | 1,683,421 | ||||||
China Pacific Insurance Group Co. Ltd., Class H | 7,000 | 26,288 |
SHARES | VALUE (Note 4) | |||||||
China - 20.9% (continued) | ||||||||
China Railway Construction Corp. Ltd., Class H (a) | 668,000 | $ | 795,333 | |||||
China Southern Airlines Co. Ltd., Class H | 2,068,000 | 1,302,116 | ||||||
China Telecom Corp. Ltd., Class H | 2,376,000 | 1,257,910 | ||||||
China Vanke Co. Ltd., Class H | 297,000 | 728,819 | ||||||
Chongqing Rural Commercial Bank Co. Ltd., Class H | 1,698,000 | 898,890 | ||||||
CNOOC Ltd. ADR (1) | 20,711 | 2,424,430 | ||||||
Country Garden Holdings Co. Ltd. | 2,066,000 | 821,212 | ||||||
Ctrip.com International Ltd. ADR (1)† | 3,737 | 165,400 | ||||||
Dalian Wanda Commercial Properties Co. Ltd., Class H 144A (b) | 90,100 | 533,910 | ||||||
Dongfeng Motor Group Co. Ltd., Class H | 370,000 | 462,720 | ||||||
Evergrande Real Estate Group Ltd. (a) | 849,000 | 655,506 | ||||||
Geely Automobile Holdings Ltd. | 2,125,000 | 1,053,959 | ||||||
GOME Electrical Appliances Holding Ltd. | 999,000 | 144,278 | ||||||
Great Wall Motor Co. Ltd., Class H | 249,500 | 202,608 | ||||||
Guangzhou R&F Properties Co. Ltd., Class H | 192,800 | 276,266 | ||||||
Huadian Power International Corp. Ltd., Class H | 384,000 | 245,016 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 6,829,000 | 3,825,428 | ||||||
JD.com, Inc. ADR (1)† | 4,817 | 127,651 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 100,000 | 134,668 | ||||||
Kingsoft Corp. Ltd. (a) | 58,000 | 136,136 | ||||||
Longfor Properties Co. Ltd. | 508,000 | 722,694 | ||||||
NetEase, Inc. ADR (1) | 1,184 | 169,999 | ||||||
New China Life Insurance Co. Ltd., Class H | 7,200 | 25,448 | ||||||
People’s Insurance Co. Group of China Ltd. (The), Class H | 2,063,000 | 876,005 | ||||||
PICC Property & Casualty Co. Ltd., Class H | 602,000 | 1,108,443 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 466,000 | 2,236,230 | ||||||
Qihoo 360 Technology Co. Ltd. ADR (1)† | 1,381 | 104,335 | ||||||
Shui On Land Ltd. (a) | 1,821,000 | 491,656 | ||||||
Sihuan Pharmaceutical Holdings Group Ltd. | 8,000 | 2,289 | ||||||
Sino-Ocean Land Holdings Ltd. | 916,500 | 434,318 | ||||||
Sinopec Engineering Group Co. Ltd., Class H | 301,500 | 243,990 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H † | 2,254,000 | 1,144,166 | ||||||
Sinotrans Ltd., Class H | 267,000 | 116,936 | ||||||
Sunac China Holdings Ltd. | 63,000 | 42,452 | ||||||
Tencent Holdings Ltd. | 49,100 | 1,003,818 | ||||||
TravelSky Technology Ltd., Class H | 342,000 | 560,687 | ||||||
Zhejiang Expressway Co. Ltd., Class H | 50,000 | 53,655 | ||||||
ZHuzhou CRRC Times Electric Co. Ltd., Class H | 35,500 | 207,477 | ||||||
ZTE Corp., Class H (3)(c) | 291,400 | 542,609 | ||||||
|
| |||||||
44,565,054 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
18
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Hong Kong - 7.7% | ||||||||
China Everbright Ltd. | 194,000 | $ | 406,684 | |||||
China Jinmao Holdings Group Ltd. | 1,336,000 | 371,680 | ||||||
China Mobile Ltd. ADR (1) | 148,539 | 8,236,488 | ||||||
China Overseas Land & Investment Ltd. | 512,000 | 1,621,593 | ||||||
China Power International Development Ltd. | 1,171,000 | 606,581 | ||||||
China Resources Gas Group Ltd. | 38,000 | 108,529 | ||||||
China Resources Land Ltd. | 402,000 | 1,031,371 | ||||||
China Resources Power Holdings Co. Ltd. | 304,000 | 568,311 | ||||||
China Taiping Insurance Holdings Co. Ltd. † | 108,600 | 239,186 | ||||||
China Unicom Hong Kong Ltd. | 252,000 | 331,890 | ||||||
CITIC Ltd. (a) | 474,000 | 721,183 | ||||||
Far East Horizon Ltd. | 363,000 | 279,653 | ||||||
Guangdong Investment Ltd. | 192,000 | 242,778 | ||||||
Kunlun Energy Co. Ltd. | 416,000 | 361,913 | ||||||
Nine Dragons Paper Holdings Ltd. | 377,000 | 285,626 | ||||||
Shimao Property Holdings Ltd. | 87,500 | 129,757 | ||||||
Sino Biopharmaceutical Ltd. | 679,000 | 509,421 | ||||||
Yuexiu Property Co. Ltd. | 1,884,000 | 272,122 | ||||||
|
| |||||||
16,324,766 | ||||||||
|
| |||||||
Hungary - 1.2% | ||||||||
MOL Hungarian Oil & Gas plc | 14,642 | 880,125 | ||||||
OTP Bank plc | 35,910 | 900,895 | ||||||
Richter Gedeon Nyrt | 39,390 | 784,695 | ||||||
|
| |||||||
2,565,715 | ||||||||
|
| |||||||
India - 3.7% | ||||||||
Dr. Reddy’s Laboratories Ltd. ADR (1)(a) | 21,561 | 974,342 | ||||||
ICICI Bank Ltd. ADR (1) | 182,293 | 1,305,218 | ||||||
Infosys Ltd. ADR (1) | 158,927 | 3,022,791 | ||||||
Reliance Industries Ltd. GDR (LSE) 144A (b) | 5,523 | 169,158 | ||||||
Reliance Industries Ltd. GDR 144A (b) | 6,321 | 199,531 | ||||||
State Bank of India GDR | 24,063 | 705,912 | ||||||
Tata Motors Ltd. ADR (1)† | 43,999 | 1,278,171 | ||||||
Wipro Ltd. ADR (1) | 23,417 | 294,586 | ||||||
|
| |||||||
7,949,709 | ||||||||
|
| |||||||
Indonesia - 1.3% | ||||||||
Adaro Energy Tbk. PT | 885,300 | 42,996 | ||||||
Bank Negara Indonesia Persero Tbk. PT | 178,000 | 69,781 | ||||||
Bank Rakyat Indonesia Persero Tbk. PT † | 293,500 | 252,570 | ||||||
Gudang Garam Tbk. PT | 64,600 | 317,998 | ||||||
Indofood Sukses Makmur Tbk. PT | 132,400 | 72,133 | ||||||
Lippo Karawaci Tbk. PT | 733,100 | 57,735 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 4,461,200 | 1,124,509 | ||||||
United Tractors Tbk. PT | 792,800 | 914,493 | ||||||
|
| |||||||
2,852,215 | ||||||||
|
| |||||||
Korea, Republic of - 19.2% | ||||||||
Amorepacific Corp. | 282 | 95,364 | ||||||
AMOREPACIFIC Group | 1,259 | 161,254 | ||||||
BGF retail Co. Ltd. | 1,643 | 235,628 | ||||||
BNK Financial Group, Inc. | 18,827 | 159,670 | ||||||
Cheil Worldwide, Inc. | 4,995 | 74,320 | ||||||
CJ Corp. | 4,997 | 854,384 |
SHARES | VALUE (Note 4) | |||||||
Korea, Republic of - 19.2% (continued) | ||||||||
CJ E&M Corp. | 9,382 | $ | 523,812 | |||||
Coway Co. Ltd. | 1,536 | 129,373 | ||||||
Daelim Industrial Co. Ltd. | 3,326 | 264,510 | ||||||
Daewoo Securities Co. Ltd. | 104,813 | 758,233 | ||||||
DGB Financial Group, Inc. | 25,477 | 198,310 | ||||||
Dongbu Insurance Co. Ltd. | 12,213 | 812,265 | ||||||
E-MART, Inc. | 497 | 76,321 | ||||||
GS Retail Co. Ltd. | 10,981 | 452,960 | ||||||
Hana Financial Group, Inc. | 11,975 | 259,819 | ||||||
Hankook Tire Co. Ltd. | 13,291 | 632,202 | ||||||
Hanwha Chemical Corp. | 41,564 | 908,088 | ||||||
Hanwha Corp. | 27,933 | 867,492 | ||||||
Hanwha Life Insurance Co. Ltd. | 72,422 | 424,469 | ||||||
Hyosung Corp. | 4,637 | 583,606 | ||||||
Hyundai Department Store Co. Ltd. | 2,063 | 248,188 | ||||||
Hyundai Development Co.-Engineering & Construction | 9,285 | 373,361 | ||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 36,571 | 1,062,261 | ||||||
Hyundai Mobis Co. Ltd. | 4,602 | 1,002,673 | ||||||
Hyundai Steel Co. | 2,253 | 109,473 | ||||||
Industrial Bank of Korea | 76,830 | 823,025 | ||||||
Kangwon Land, Inc. | 18,958 | 677,713 | ||||||
KB Financial Group, Inc. | 45,460 | 1,262,298 | ||||||
Kia Motors Corp. | 22,135 | 935,005 | ||||||
Korea Electric Power Corp. | 35,247 | 1,846,430 | ||||||
Korea Gas Corp. | 1,520 | 51,041 | ||||||
Korea Investment Holdings Co. Ltd. | 8,974 | 345,192 | ||||||
Korea Zinc Co. Ltd. | 431 | 181,638 | ||||||
Korean Air Lines Co. Ltd. † | 1,998 | 54,112 | ||||||
KT Corp. | 9,941 | 258,255 | ||||||
KT&G Corp. | 11,308 | 1,088,848 | ||||||
LG Chem Ltd. | 3,947 | 1,132,754 | ||||||
LG Corp. | 4,009 | 240,176 | ||||||
LG Display Co. Ltd. | 3,009 | 69,662 | ||||||
LG Household & Health Care Ltd. | 386 | 319,167 | ||||||
LG Innotek Co. Ltd. | 1,936 | 134,267 | ||||||
LG Uplus Corp. | 78,546 | 759,099 | ||||||
Lotte Chemical Corp. | 5,426 | 1,622,755 | ||||||
Lotte Chilsung Beverage Co. Ltd. | 191 | 303,858 | ||||||
Mirae Asset Securities Co. Ltd. | 3,918 | 80,070 | ||||||
NCSoft Corp. | 1,102 | 244,495 | ||||||
NH Investment & Securities Co. Ltd. | 28,635 | 248,855 | ||||||
S-1 Corp. | 3,504 | 271,071 | ||||||
Samsung Card Co. Ltd. | 7,168 | 236,073 | ||||||
Samsung Electro-Mechanics Co. Ltd. | 6,378 | 328,012 | ||||||
Samsung Electronics Co. Ltd. GDR (LSE) | 13,758 | 7,825,730 | ||||||
Samsung Electronics Co. Ltd. GDR 144A (b) | 1,641 | 941,322 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 857 | 221,334 | ||||||
Samsung Life Insurance Co. Ltd. | 2,185 | 224,783 | ||||||
Samsung Securities Co. Ltd. | 12,240 | 427,811 | ||||||
Shinhan Financial Group Co. Ltd. | 43,430 | 1,528,729 | ||||||
Shinsegae Co. Ltd. | 3,658 | 649,857 | ||||||
SK Innovation Co. Ltd. | 12,316 | 1,856,206 | ||||||
SK Telecom Co. Ltd. | 401 | 72,665 | ||||||
S-Oil Corp. | 15,369 | 1,317,853 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
19
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Korea, Republic of - 19.2% (continued) | ||||||||
Woori Bank | 115,423 | $ | 954,527 | |||||
|
| |||||||
40,802,724 | ||||||||
|
| |||||||
Malaysia - 1.5% | ||||||||
AirAsia Bhd. | 1,306,700 | 613,009 | ||||||
IHH Healthcare Bhd. | 160,200 | 269,267 | ||||||
Malayan Banking Bhd. | 175,100 | 404,695 | ||||||
MISC Bhd. | 112,300 | 256,139 | ||||||
Public Bank Bhd. | 92,100 | 443,141 | ||||||
Tenaga Nasional Bhd. | 214,700 | 767,031 | ||||||
YTL Corp. Bhd. | 994,100 | 417,876 | ||||||
|
| |||||||
3,171,158 | ||||||||
|
| |||||||
Malta - 0.7% | ||||||||
Brait SE † | 129,729 | 1,466,296 | ||||||
|
| |||||||
Mexico - 2.9% | ||||||||
Alfa SAB de CV, Class A (1) | 290,500 | 583,282 | ||||||
Cemex SAB de CV ADR (1)† | 37,816 | 275,300 | ||||||
Fomento Economico Mexicano SAB de CV ADR (1) | 5,105 | 491,663 | ||||||
Gentera SAB de CV (1) | 75,800 | 148,993 | ||||||
Gruma SAB de CV, Class B (1) | 74,985 | 1,187,936 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | 35,600 | 317,609 | ||||||
Grupo Aeroportuario del Sureste SAB de CV ADR (1) | 928 | 139,358 | ||||||
Grupo Bimbo SAB de CV, Series A (1)† | 56,900 | 168,192 | ||||||
Grupo Financiero Banorte SAB de CV, Class O (1) | 128,400 | 724,078 | ||||||
Grupo Financiero Santander Mexico SAB de CV, Class B ADR (1) | 22,421 | 202,462 | ||||||
Grupo Lala SAB de CV (1) | 295,500 | 805,233 | ||||||
Grupo Televisa SAB ADR (1) | 13,766 | 378,014 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A (1) | 184,700 | 444,401 | ||||||
OHL Mexico SAB de CV (1)† | 94,400 | 149,382 | ||||||
Promotora y Operadora de Infraestructura SAB de CV (1) | 8,870 | 117,937 | ||||||
|
| |||||||
6,133,840 | ||||||||
|
| |||||||
Peru - 0.2% | ||||||||
Cia de Minas Buenaventura SAA ADR (1)† | 10,000 | 73,600 | ||||||
Credicorp Ltd. (1) | 1,963 | 257,173 | ||||||
|
| |||||||
330,773 | ||||||||
|
| |||||||
Philippines - 0.2% | ||||||||
Ayala Corp. | 6,310 | 102,792 | ||||||
Globe Telecom, Inc. | 5,760 | 277,652 | ||||||
JG Summit Holdings, Inc. | 72,330 | 124,684 | ||||||
|
| |||||||
505,128 | ||||||||
|
| |||||||
Poland - 2.4% | ||||||||
Cyfrowy Polsat SA † | 12,420 | 80,731 | ||||||
Enea SA | 87,032 | 277,528 | ||||||
Energa SA | 46,339 | 162,543 | ||||||
Eurocash SA | 68,282 | 975,223 | ||||||
Grupa Azoty SA † | 21,525 | 555,031 |
SHARES | VALUE (Note 4) | |||||||
Poland - 2.4% (continued) | ||||||||
Grupa Lotos SA † | 52,946 | $ | 394,917 | |||||
KGHM Polska Miedz SA | 4,678 | 95,219 | ||||||
Orange Polska SA | 18,123 | 32,695 | ||||||
PGE Polska Grupa Energetyczna SA | 17,416 | 65,120 | ||||||
Polski Koncern Naftowy Orlen SA | 70,835 | 1,401,207 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 635,556 | 904,746 | ||||||
Tauron Polska Energia SA | 103,207 | 83,132 | ||||||
|
| |||||||
5,028,092 | ||||||||
|
| |||||||
Russia - 3.1% | ||||||||
Gazprom PAO ADR (1) | 175,044 | 754,440 | ||||||
Lukoil PJSC ADR (1) | 14,639 | 565,797 | ||||||
MegaFon PJSC GDR | 18,909 | 207,599 | ||||||
MMC Norilsk Nickel PJSC ADR (LSE) | 70,371 | 906,864 | ||||||
MMC Norilsk Nickel PJSC ADR (1) | 7,581 | 98,250 | ||||||
Mobile TeleSystems PJSC ADR (1) | 111,847 | 904,842 | ||||||
Novatek OAO GDR | 2,620 | 234,888 | ||||||
Rosneft OAO GDR | 34,136 | 154,547 | ||||||
Severstal PAO GDR | 55,110 | 582,230 | ||||||
Sistema JSFC GDR | 48,929 | 315,601 | ||||||
Surgutneftegas OAO ADR (1) | 44,232 | 259,199 | ||||||
Tatneft PAO ADR (LSE) | 35,099 | 1,113,016 | ||||||
Tatneft PAO ADR (1) | 16,260 | 527,800 | ||||||
|
| |||||||
6,625,073 | ||||||||
|
| |||||||
South Africa - 5.6% | ||||||||
AngloGold Ashanti Ltd. ADR (1)† | 2,155 | 29,502 | ||||||
Barloworld Ltd. | 43,618 | 222,360 | ||||||
Bidvest Group Ltd. (The) | 21,227 | 535,686 | ||||||
Capitec Bank Holdings Ltd. | 10,046 | 388,937 | ||||||
Discovery Ltd. | 15,232 | 125,219 | ||||||
Exxaro Resources Ltd. | 62,396 | 303,269 | ||||||
FirstRand Ltd. | 52,277 | 170,717 | ||||||
Foschini Group Ltd. (The) | 3,513 | 33,608 | ||||||
Gold Fields Ltd. ADR (1) | 6,400 | 25,216 | ||||||
Hyprop Investments Ltd. REIT | 89,153 | 708,393 | ||||||
Investec Ltd. | 189,137 | 1,406,512 | ||||||
Liberty Holdings Ltd. | 38,040 | 372,576 | ||||||
MMI Holdings Ltd. | 46,291 | 77,860 | ||||||
Mondi Ltd. | 48,473 | 932,767 | ||||||
Naspers Ltd., Class N | 7,661 | 1,067,942 | ||||||
Netcare Ltd. | 62,915 | 153,737 | ||||||
Pick n Pay Stores Ltd. | 107,695 | 511,758 | ||||||
Pioneer Foods Group Ltd. | 5,819 | 54,807 | ||||||
Redefine Properties Ltd. REIT | 130,202 | 105,297 | ||||||
Remgro Ltd. | 14,039 | 237,665 | ||||||
Resilient REIT Ltd. | 80,551 | 739,211 | ||||||
Sappi Ltd. † | 86,242 | 381,524 | ||||||
Sasol Ltd. | 50,124 | 1,487,402 | ||||||
SPAR Group Ltd. (The) | 11,044 | 148,790 | ||||||
Standard Bank Group Ltd. | 57,365 | 513,298 | ||||||
Telkom SA SOC Ltd. | 85,928 | 334,599 | ||||||
Truworths International Ltd. | 88,103 | 585,240 | ||||||
Vodacom Group Ltd. | 33,384 | 362,620 | ||||||
|
| |||||||
12,016,512 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
20
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Taiwan - 12.8% | ||||||||
Asustek Computer, Inc. | 27,000 | $ | 242,281 | |||||
AU Optronics Corp. | 66,000 | 19,770 | ||||||
Casetek Holdings Ltd. | 173,000 | 939,748 | ||||||
Catcher Technology Co. Ltd. | 122,000 | 999,882 | ||||||
Cathay Financial Holding Co. Ltd. | 516,200 | 617,597 | ||||||
Chailease Holding Co. Ltd. † | 189,240 | 329,627 | ||||||
Chicony Electronics Co. Ltd. | 92,545 | 238,107 | ||||||
China Airlines Ltd. † | 703,000 | 250,980 | ||||||
China Development Financial Holding Corp. | 634,000 | 169,383 | ||||||
China Life Insurance Co. Ltd. | 1,276,500 | 982,504 | ||||||
Compal Electronics, Inc. † | 204,000 | 128,003 | ||||||
CTBC Financial Holding Co. Ltd. | 352,259 | 186,015 | ||||||
E.Sun Financial Holding Co. Ltd. | 999,000 | 558,653 | ||||||
Eva Airways Corp. † | 293,000 | 163,794 | ||||||
Evergreen Marine Corp. Taiwan Ltd. | 58,000 | 21,527 | ||||||
Far EasTone Telecommunications Co. Ltd. † | 145,000 | 324,753 | ||||||
Feng TAY Enterprise Co. Ltd. | 92,870 | 493,404 | ||||||
Foxconn Technology Co. Ltd. | 393,613 | 882,996 | ||||||
Fubon Financial Holding Co. Ltd. | 940,000 | 1,197,274 | ||||||
Hon Hai Precision Industry Co. Ltd. | 1,128,630 | 2,970,845 | ||||||
Innolux Corp. | 1,771,000 | 618,388 | ||||||
Inventec Corp. | 191,000 | 120,950 | ||||||
Largan Precision Co. Ltd. | 1,000 | 77,509 | ||||||
Lite-On Technology Corp. | 322,000 | 392,805 | ||||||
Mega Financial Holding Co. Ltd. | 450,000 | 320,065 | ||||||
Pegatron Corp. | 197,000 | 458,615 | ||||||
Pou Chen Corp. | 638,000 | 812,554 | ||||||
Powertech Technology, Inc. † | 429,000 | 972,243 | ||||||
Radiant Opto-Electronics Corp. | 103,000 | 199,625 | ||||||
Shin Kong Financial Holding Co. Ltd. | 2,008,786 | 403,254 | ||||||
SinoPac Financial Holdings Co. Ltd. | 817,841 | 252,833 | ||||||
Taiwan Business Bank † | 343,106 | 90,952 | ||||||
Taiwan Fertilizer Co. Ltd. | 60,000 | 90,781 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (1) | 313,583 | 8,215,875 | ||||||
Transcend Information, Inc. | 18,000 | 55,609 | ||||||
Uni-President Enterprises Corp. | 566,000 | 993,931 | ||||||
United Microelectronics Corp. | 1,233,000 | 506,604 | ||||||
Wistron Corp. | 117,192 | 72,380 | ||||||
WPG Holdings Ltd. | 193,000 | 205,613 | ||||||
Zhen Ding Technology Holding Ltd. | 318,000 | 711,421 | ||||||
|
| |||||||
27,289,150 | ||||||||
|
| |||||||
Thailand - 2.4% | ||||||||
Airports of Thailand PCL NVDR | 13,600 | 155,264 | ||||||
Bangkok Bank PCL NVDR | 68,500 | 350,169 | ||||||
Bumrungrad Hospital PCL NVDR | 22,700 | 136,668 | ||||||
Delta Electronics Thailand PCL NVDR | 173,300 | 428,189 | ||||||
Indorama Ventures PCL NVDR | 256,100 | 165,761 | ||||||
IRPC PCL NVDR | 5,930,100 | 849,975 | ||||||
Kasikornbank PCL NVDR | 24,100 | 118,341 | ||||||
Krung Thai Bank PCL NVDR | 257,900 | 136,939 | ||||||
PTT Exploration & Production PCL NVDR | 209,900 | 418,461 | ||||||
PTT Global Chemical PCL NVDR | 474,200 | 815,363 | ||||||
Thai Oil PCL NVDR | 538,700 | 1,058,597 |
SHARES | VALUE (Note 4) | |||||||
Thailand - 2.4% (continued) | ||||||||
Thai Union Group PCL NVDR | 765,900 | $ | 454,943 | |||||
TMB Bank PCL NVDR | 1,619,200 | 115,884 | ||||||
|
| |||||||
5,204,554 | ||||||||
|
| |||||||
Turkey - 1.7% | ||||||||
Arcelik A/S | 131,390 | 893,342 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 376,345 | 566,559 | ||||||
Ford Otomotiv Sanayi A/S | 6,201 | 81,753 | ||||||
TAV Havalimanlari Holding A/S | 97,254 | 580,413 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S † | 14,640 | 412,346 | ||||||
Turk Hava Yollari AO † | 76,404 | 211,378 | ||||||
Turkiye Sise ve Cam Fabrikalari A/S | 377,081 | 490,057 | ||||||
Turkiye Vakiflar Bankasi TAO, Class D | 104,815 | 175,324 | ||||||
Yapi ve Kredi Bankasi A/S † | 71,355 | 105,203 | ||||||
|
| |||||||
3,516,375 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 197,732,034 | |||||||
|
| |||||||
PREFERRED STOCKS - 1.7% | ||||||||
Brazil - 1.5% | ||||||||
Braskem SA, Class A (1) | 245,800 | 1,588,695 | ||||||
Centrais Eletricas Brasileiras SA, Class B (1) | 210,500 | 614,116 | ||||||
Cia Brasileira de Distribuicao (1) | 2,600 | 36,119 | ||||||
Cia Energetica de Sao Paulo, Series B (1) | 60,400 | 266,082 | ||||||
Gerdau SA (1) | 18,100 | 33,072 | ||||||
Itausa - Investimentos Itau SA (1) | 55,310 | 124,598 | ||||||
Suzano Papel e Celulose SA, Series A (1) | 157,500 | 556,297 | ||||||
|
| |||||||
3,218,979 | ||||||||
|
| |||||||
Chile - 0.2% | ||||||||
Embotelladora Andina SA, Series B (1) | 93,404 | 306,662 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 3,525,641 | |||||||
|
| |||||||
RIGHTS - 0.0% (d) | ||||||||
Taiwan - 0.0% (d) | ||||||||
Fubon Financial Holding Co. Ltd. (3)†(c) | ||||||||
(cost $— ) | 41,334 | — | ||||||
|
| |||||||
SHORT-TERM INVESTMENT - 3.0% | ||||||||
Investment Company - 3.0% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (e) | ||||||||
(cost $6,424,414) | 6,424,414 | 6,424,414 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
21
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING MULTI-STYLE FUND |
SECURITIES LENDING COLLATERAL - 1.0% | SHARES | VALUE (Note 4) | ||||||
Money Market Funds - 1.0% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
Dreyfus Treasury Cash Management, 0.180% (e)(f) | ||||||||
(cost $2,221,189) | 2,221,189 | $ | 2,221,189 | |||||
|
| |||||||
TOTAL INVESTMENTS IN | 209,903,278 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% (g) | 3,039,232 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 212,942,510 | ||||||
|
|
† | Non-income producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $2,071,995; cash collateral of $2,221,189 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 Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(c) | Security fair valued as of March 31, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $542,609 or 0.3% of total net assets. |
(d) | Represents less than 0.05% of net assets. |
(e) | Represents annualized seven-day yield as of the close of the reporting period. |
(f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(g) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 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
LSE - London Stock Exchange
NVDR - Non-Voting Depositary Receipt
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 14,552,355 | 6.8 | % | ||||
Consumer Staples | 13,643,699 | 6.4 | ||||||
Energy | 18,780,180 | 8.8 | ||||||
Financials | 63,011,984 | 29.7 | ||||||
Health Care | 2,869,372 | 1.3 | ||||||
Industrials | 12,666,084 | 5.9 | ||||||
Information Technology | 36,663,167 | 17.3 | ||||||
Materials | 14,400,608 | 6.8 | ||||||
Telecommunication Services | 15,181,003 | 7.1 | ||||||
Utilities | 9,489,223 | 4.5 | ||||||
Short-Term Investment | 6,424,414 | 3.0 | ||||||
Securities Lending Collateral | 2,221,189 | 1.0 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 209,903,278 | 98.6 | ||||||
Other Assets in Excess of Liabilities (g) | 3,039,232 | 1.4 | ||||||
|
|
|
| |||||
Net Assets | $ | 212,942,510 | 100.0 | % | ||||
|
|
|
|
Open futures contracts outstanding at March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
195 | Barclays Capital | E-Mini MSCI Emerging Markets Index Futures | 06/2016 | $7,955,466 | $8,130,525 | $175,059 | ||||||||||||||
|
|
|
|
|
|
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Barclays Capital | ||||||||||||
Cash | $— | $(1,739 | ) | $(1,739 | ) | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
22
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM LARGE CAP MULTI-STYLE FUND |
COMMON STOCKS - 89.0% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 13.7% | ||||||||
Advance Auto Parts, Inc. | 580 | $ | 92,997 | |||||
Amazon.com, Inc. † | 131 | 77,767 | ||||||
AMC Networks, Inc., Class A † | 1,473 | 95,657 | ||||||
AutoNation, Inc. † | 786 | 36,690 | ||||||
AutoZone, Inc. † | 480 | 382,411 | ||||||
Bed Bath & Beyond, Inc. † | 992 | 49,243 | ||||||
Best Buy Co., Inc. | 5,935 | 192,531 | ||||||
Brunswick Corp. | 1,340 | 64,293 | ||||||
Carnival Corp. | 7,749 | 408,915 | ||||||
Carter’s, Inc. | 1,083 | 114,126 | ||||||
Comcast Corp., Class A | 10,061 | 614,526 | ||||||
Darden Restaurants, Inc. | 1,742 | 115,495 | ||||||
Delphi Automotive plc (United Kingdom) | 5,955 | 446,744 | ||||||
Dick’s Sporting Goods, Inc. | 1,069 | 49,976 | ||||||
Dollar General Corp. | 3,650 | 312,440 | ||||||
Dollar Tree, Inc. † | 1,439 | 118,660 | ||||||
DR Horton, Inc. | 12,155 | 367,446 | ||||||
Expedia, Inc. | 2,483 | 267,717 | ||||||
Foot Locker, Inc. | 3,531 | 227,749 | ||||||
Ford Motor Co. | 41,181 | 555,943 | ||||||
GameStop Corp., Class A | 2,816 | 89,352 | ||||||
Gap, Inc. (The) | 3,765 | 110,691 | ||||||
General Motors Co. | 19,346 | 608,045 | ||||||
Goodyear Tire & Rubber Co. (The) | 8,909 | 293,819 | ||||||
Graham Holdings Co., Class B | 55 | 26,400 | ||||||
H&R Block, Inc. | 3,223 | 85,152 | ||||||
Hasbro, Inc. | 2,680 | 214,668 | ||||||
Home Depot, Inc. (The) | 10,742 | 1,433,305 | ||||||
JC Penney Co., Inc. † | 5,086 | 56,251 | ||||||
Kohl’s Corp. | 1,260 | 58,729 | ||||||
L Brands, Inc. | 3,466 | 304,349 | ||||||
Lear Corp. | 2,146 | 238,571 | ||||||
Leggett & Platt, Inc. | 735 | 35,574 | ||||||
LKQ Corp. † | 2,068 | 66,031 | ||||||
Lowe’s Cos., Inc. | 7,982 | 604,636 | ||||||
Macy’s, Inc. | 2,608 | 114,987 | ||||||
Mattel, Inc. | 800 | 26,896 | ||||||
McDonald’s Corp. | 2,976 | 374,024 | ||||||
Michaels Cos., Inc. (The) † | 1,677 | 46,906 | ||||||
Mohawk Industries, Inc. † | 1,886 | 360,037 | ||||||
NIKE, Inc., Class B | 16,792 | 1,032,204 | ||||||
Nordstrom, Inc. | 1,153 | 65,963 | ||||||
NVR, Inc. † | 120 | 207,888 | ||||||
O’Reilly Automotive, Inc. † | 1,521 | 416,237 | ||||||
Priceline Group, Inc. (The) † | 308 | 397,000 | ||||||
PVH Corp. | 853 | 84,498 | ||||||
Ross Stores, Inc. | 4,649 | 269,177 | ||||||
Royal Caribbean Cruises Ltd. | 477 | 39,186 | ||||||
Skechers U.S.A., Inc., Class A † | 5,869 | 178,711 | ||||||
Staples, Inc. | 4,741 | 52,293 | ||||||
Target Corp. | 8,043 | 661,778 | ||||||
TEGNA, Inc. | 4,354 | 102,145 | ||||||
Tempur Sealy International, Inc. † | 611 | 37,143 | ||||||
Tiffany & Co. | 561 | 41,166 | ||||||
Time Warner, Inc. | 625 | 45,344 | ||||||
TJX Cos., Inc. (The) | 6,263 | 490,706 | ||||||
Tractor Supply Co. | 1,246 | 112,713 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 13.7% (continued) | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc. † | 220 | $ | 42,623 | |||||
Visteon Corp. | 422 | 33,587 | ||||||
Whirlpool Corp. | 935 | 168,618 | ||||||
|
| |||||||
14,218,729 | ||||||||
|
| |||||||
Consumer Staples - 6.0% | ||||||||
Altria Group, Inc. | 3,228 | 202,267 | ||||||
Archer-Daniels-Midland Co. | 2,074 | 75,307 | ||||||
Campbell Soup Co. | 1,383 | 88,222 | ||||||
Clorox Co. (The) | 1,053 | 132,741 | ||||||
Coca-Cola Enterprises, Inc. | 3,144 | 159,527 | ||||||
ConAgra Foods, Inc. | 1,989 | 88,749 | ||||||
Costco Wholesale Corp. | 1,516 | 238,891 | ||||||
Coty, Inc., Class A | 3,847 | 107,062 | ||||||
CVS Health Corp. | 7,540 | 782,124 | ||||||
Dr Pepper Snapple Group, Inc. | 2,134 | 190,822 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 3,266 | 308,016 | ||||||
Flowers Foods, Inc. | 2,751 | 50,783 | ||||||
Hormel Foods Corp. | 3,688 | 159,469 | ||||||
Ingredion, Inc. | 955 | 101,984 | ||||||
Kroger Co. (The) | 13,438 | 514,004 | ||||||
Mondelez International, Inc., Class A | 18,029 | 723,323 | ||||||
Monster Beverage Corp. † | 728 | 97,101 | ||||||
Nu Skin Enterprises, Inc., Class A | 1,849 | 70,724 | ||||||
PepsiCo, Inc. | 1,495 | 153,208 | ||||||
Philip Morris International, Inc. | 3,055 | 299,726 | ||||||
Pilgrim’s Pride Corp. † | 4,358 | 110,693 | ||||||
Reynolds American, Inc. | 1,176 | 59,165 | ||||||
Tyson Foods, Inc., Class A | 7,837 | 522,414 | ||||||
Walgreens Boots Alliance, Inc. | 10,212 | 860,259 | ||||||
Wal-Mart Stores, Inc. | 2,436 | 166,842 | ||||||
|
| |||||||
6,263,423 | ||||||||
|
| |||||||
Energy - 3.8% | ||||||||
CVR Energy, Inc. | 2,135 | 55,723 | ||||||
Dril-Quip, Inc. † | 1,376 | 83,330 | ||||||
Frank’s International NV (Netherlands) | 5,722 | 94,298 | ||||||
HollyFrontier Corp. | 10,003 | 353,306 | ||||||
Marathon Petroleum Corp. | 13,810 | 513,456 | ||||||
Noble Corp. plc (United Kingdom) | 4,462 | 46,182 | ||||||
Patterson-UTI Energy, Inc. | 20,398 | 359,413 | ||||||
PBF Energy, Inc., Class A | 6,559 | 217,759 | ||||||
Phillips 66 | 11,135 | 964,180 | ||||||
Tesoro Corp. | 5,569 | 478,990 | ||||||
Valero Energy Corp. | 12,605 | 808,485 | ||||||
|
| |||||||
3,975,122 | ||||||||
|
| |||||||
Financials - 23.8% | ||||||||
Aflac, Inc. | 8,091 | 510,866 | ||||||
Alleghany Corp. † | 232 | 115,118 | ||||||
Allied World Assurance Co. Holdings AG (Switzerland) | 2,077 | 72,570 | ||||||
Allstate Corp. (The) | 5,280 | 355,714 | ||||||
American Financial Group, Inc. | 1,180 | 83,037 | ||||||
American International Group, Inc. | 23,149 | 1,251,203 | ||||||
Ameriprise Financial, Inc. | 577 | 54,244 | ||||||
AmTrust Financial Services, Inc. | 4,179 | 108,152 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
23
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM LARGE CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 23.8% (continued) | ||||||||
Arch Capital Group Ltd. † | 3,827 | $ | 272,100 | |||||
Aspen Insurance Holdings Ltd. | 1,157 | 55,189 | ||||||
Assurant, Inc. | 1,497 | 115,494 | ||||||
Assured Guaranty Ltd. | 6,362 | 160,959 | ||||||
Axis Capital Holdings Ltd. | 2,517 | 139,593 | ||||||
Bank of America Corp. | 108,068 | 1,461,079 | ||||||
Bank of New York Mellon Corp. (The) | 19,104 | 703,600 | ||||||
BankUnited, Inc. | 1,595 | 54,932 | ||||||
BB&T Corp. | 10,025 | 333,532 | ||||||
Berkshire Hathaway, Inc., Class B † | 5,252 | 745,154 | ||||||
BlackRock, Inc. | 335 | 114,091 | ||||||
Capital One Financial Corp. | 8,396 | 581,927 | ||||||
CBRE Group, Inc., Class A † | 4,541 | 130,872 | ||||||
Chubb Ltd. (Switzerland) | 7,449 | 887,548 | ||||||
Cincinnati Financial Corp. | 1,614 | 105,491 | ||||||
Citigroup, Inc. | 36,700 | 1,532,225 | ||||||
Citizens Financial Group, Inc. | 8,086 | 169,402 | ||||||
Comerica, Inc. | 1,584 | 59,986 | ||||||
Commerce Bancshares, Inc. | 608 | 27,330 | ||||||
Credit Acceptance Corp. † | 678 | 123,091 | ||||||
East West Bancorp, Inc. | 2,054 | 66,714 | ||||||
Endurance Specialty Holdings Ltd. | 1,498 | 97,879 | ||||||
Everest Re Group Ltd. | 1,970 | 388,937 | ||||||
Fifth Third Bancorp | 13,754 | 229,554 | ||||||
First Republic Bank | 2,471 | 164,667 | ||||||
FNF Group | 5,230 | 177,297 | ||||||
Goldman Sachs Group, Inc. (The) | 5,678 | 891,332 | ||||||
Hanover Insurance Group, Inc. (The) | 836 | 75,424 | ||||||
Hartford Financial Services Group, Inc. (The) | 8,770 | 404,122 | ||||||
Huntington Bancshares, Inc. | 10,804 | 103,070 | ||||||
Intercontinental Exchange, Inc. | 134 | 31,509 | ||||||
Jones Lang LaSalle, Inc. | 772 | 90,571 | ||||||
JPMorgan Chase & Co. | 33,619 | 1,990,917 | ||||||
KeyCorp | 12,873 | 142,118 | ||||||
Lincoln National Corp. | 4,506 | 176,635 | ||||||
Loews Corp. | 993 | 37,992 | ||||||
Macerich Co. (The) REIT | 480 | 38,035 | ||||||
Markel Corp. † | 257 | 229,133 | ||||||
MetLife, Inc. | 20,013 | 879,371 | ||||||
Morgan Stanley | 9,894 | 247,449 | ||||||
Nasdaq, Inc. | 1,829 | 121,409 | ||||||
New York Community Bancorp, Inc. | 5,184 | 82,426 | ||||||
Northern Trust Corp. | 2,807 | 182,932 | ||||||
Old Republic International Corp. | 3,140 | 57,399 | ||||||
People’s United Financial, Inc. | 3,710 | 59,100 | ||||||
PNC Financial Services Group, Inc. (The) | 8,462 | 715,631 | ||||||
Popular, Inc. | 1,348 | 38,566 | ||||||
Principal Financial Group, Inc. | 1,881 | 74,205 | ||||||
Progressive Corp. (The) | 14,022 | 492,733 | ||||||
Prudential Financial, Inc. | 6,303 | 455,203 | ||||||
Raymond James Financial, Inc. | 1,023 | 48,705 | ||||||
Regions Financial Corp. | 14,829 | 116,408 | ||||||
Reinsurance Group of America, Inc. | 744 | 71,610 | ||||||
RenaissanceRe Holdings Ltd. | 1,552 | 185,976 | ||||||
Signature Bank † | 413 | 56,218 | ||||||
State Street Corp. | 1,751 | 102,468 |
SHARES | VALUE (Note 4) | |||||||
Financials - 23.8% (continued) | ||||||||
SunTrust Banks, Inc. | 10,764 | $ | 388,365 | |||||
SVB Financial Group † | 594 | 60,618 | ||||||
Synchrony Financial † | 9,939 | 284,852 | ||||||
Torchmark Corp. | 1,353 | 73,278 | ||||||
Travelers Cos., Inc. (The) | 7,698 | 898,434 | ||||||
Unum Group | 2,416 | 74,703 | ||||||
US Bancorp | 14,939 | 606,374 | ||||||
Validus Holdings Ltd. | 2,485 | 117,267 | ||||||
Wells Fargo & Co. | 42,758 | 2,067,777 | ||||||
White Mountains Insurance Group Ltd. | 106 | 85,076 | ||||||
WR Berkley Corp. | 1,691 | 95,034 | ||||||
XL Group plc (Ireland) | 6,347 | 233,570 | ||||||
Zions Bancorp | 1,618 | 39,172 | ||||||
|
| |||||||
24,672,734 | ||||||||
|
| |||||||
Health Care - 6.2% | ||||||||
AbbVie, Inc. | 796 | 45,468 | ||||||
Aetna, Inc. | 5,041 | 566,356 | ||||||
AmerisourceBergen Corp. | 1,863 | 161,243 | ||||||
Amgen, Inc. | 1,919 | 287,716 | ||||||
Anthem, Inc. | 3,698 | 513,985 | ||||||
Becton Dickinson and Co. | 367 | 55,718 | ||||||
Biogen, Inc. † | 184 | 47,899 | ||||||
Boston Scientific Corp. † | 1,552 | 29,193 | ||||||
Celgene Corp. † | 618 | 61,856 | ||||||
Centene Corp. † | 2,535 | 156,080 | ||||||
DENTSPLY SIRONA, Inc. | 693 | 42,710 | ||||||
Edwards Lifesciences Corp. † | 1,006 | 88,739 | ||||||
Eli Lilly & Co. | 543 | 39,101 | ||||||
Express Scripts Holding Co. † | 1,886 | 129,549 | ||||||
Gilead Sciences, Inc. | 11,883 | 1,091,572 | ||||||
HCA Holdings, Inc. † | 3,814 | 297,683 | ||||||
Hologic, Inc. (2)† | 1,667 | 57,511 | ||||||
Johnson & Johnson | 3,689 | 399,150 | ||||||
Laboratory Corp. of America Holdings † | 472 | 55,285 | ||||||
LifePoint Health, Inc. † | 426 | 29,500 | ||||||
McKesson Corp. | 373 | 58,654 | ||||||
Pfizer, Inc. | 14,503 | 429,869 | ||||||
Quest Diagnostics, Inc. | 1,408 | 100,602 | ||||||
Quintiles Transnational Holdings, Inc. † | 713 | 46,416 | ||||||
St. Jude Medical, Inc. | 674 | 37,070 | ||||||
United Therapeutics Corp. † | 535 | 59,615 | ||||||
UnitedHealth Group, Inc. | 10,322 | 1,330,506 | ||||||
Universal Health Services, Inc., Class B | 1,533 | 191,196 | ||||||
Zoetis, Inc. | 734 | 32,538 | ||||||
|
| |||||||
6,442,780 | ||||||||
|
| |||||||
Industrials - 8.3% | ||||||||
3M Co. | 1,376 | 229,283 | ||||||
A.O. Smith Corp. | 2,570 | 196,117 | ||||||
Acuity Brands, Inc. | 450 | 98,163 | ||||||
ADT Corp. (The) | 2,039 | 84,129 | ||||||
AECOM † | 1,359 | 41,844 | ||||||
AGCO Corp. | 4,202 | 208,839 | ||||||
Alaska Air Group, Inc. | 3,067 | 251,555 | ||||||
AMERCO | 271 | 96,831 | ||||||
American Airlines Group, Inc. | 5,231 | 214,523 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
24
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM LARGE CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Industrials - 8.3% (continued) | ||||||||
Boeing Co. (The) | 7,105 | $ | 901,909 | |||||
BWX Technologies, Inc. | 2,490 | 83,564 | ||||||
Cintas Corp. | 2,169 | 194,798 | ||||||
CSX Corp. | 1,978 | 50,934 | ||||||
Danaher Corp. | 3,850 | 365,211 | ||||||
Delta Air Lines, Inc. | 11,713 | 570,189 | ||||||
Equifax, Inc. | 1,449 | 165,606 | ||||||
Expeditors International of Washington, Inc. | 2,820 | 137,644 | ||||||
FedEx Corp. | 1,049 | 170,693 | ||||||
General Dynamics Corp. | 2,345 | 308,063 | ||||||
HD Supply Holdings, Inc. † | 2,518 | 83,270 | ||||||
Huntington Ingalls Industries, Inc. | 660 | 90,380 | ||||||
Jacobs Engineering Group, Inc. † | 1,179 | 51,346 | ||||||
JetBlue Airways Corp. † | 11,149 | 235,467 | ||||||
Lennox International, Inc. | 454 | 61,376 | ||||||
Lockheed Martin Corp. | 397 | 87,936 | ||||||
ManpowerGroup, Inc. | 1,857 | 151,197 | ||||||
Masco Corp. | 9,963 | 313,336 | ||||||
Northrop Grumman Corp. | 3,170 | 627,343 | ||||||
Orbital ATK, Inc. | 610 | 53,033 | ||||||
Owens Corning | 4,133 | 195,408 | ||||||
Pitney Bowes, Inc. | 1,916 | 41,271 | ||||||
Raytheon Co. | 2,167 | 265,739 | ||||||
Republic Services, Inc. | 721 | 34,356 | ||||||
Rockwell Automation, Inc. | 1,558 | 177,223 | ||||||
Snap-on, Inc. | 1,601 | 251,341 | ||||||
Southwest Airlines Co. | 10,181 | 456,109 | ||||||
Spirit AeroSystems Holdings, Inc., Class A † | 1,876 | 85,095 | ||||||
Stanley Black & Decker, Inc. | 4,216 | 443,565 | ||||||
Textron, Inc. | 1,471 | 53,633 | ||||||
Toro Co. (The) | 726 | 62,523 | ||||||
Union Pacific Corp. | 1,045 | 83,130 | ||||||
United Continental Holdings, Inc. † | 6,113 | 365,924 | ||||||
|
| |||||||
8,639,896 | ||||||||
|
| |||||||
Information Technology - 22.1% | ||||||||
Accenture plc, Class A (Ireland) | 7,680 | 886,272 | ||||||
Activision Blizzard, Inc. | 11,247 | 380,598 | ||||||
Alphabet, Inc., Class A † | 4,807 | 3,667,260 | ||||||
Amdocs Ltd. | 4,547 | 274,730 | ||||||
Analog Devices, Inc. | 3,582 | 212,019 | ||||||
Apple, Inc. | 39,974 | 4,356,766 | ||||||
Applied Materials, Inc. | 3,002 | 63,582 | ||||||
ARRIS International plc † | 1,722 | 39,468 | ||||||
Arrow Electronics, Inc. † | 715 | 46,053 | ||||||
Avnet, Inc. | 1,543 | 68,355 | ||||||
Broadcom Ltd. (Singapore) | 3,869 | 597,760 | ||||||
Brocade Communications Systems, Inc. | 7,061 | 74,705 | ||||||
CA, Inc. | 1,723 | 53,051 | ||||||
Cadence Design Systems, Inc. † | 4,634 | 109,270 | ||||||
CDW Corp. | 2,550 | 105,825 | ||||||
Cisco Systems, Inc. | 52,198 | 1,486,077 | ||||||
Citrix Systems, Inc. † | 2,797 | 219,788 | ||||||
Cognizant Technology Solutions Corp., Class A † | 5,777 | 362,218 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 22.1% (continued) | ||||||||
Corning, Inc. | 7,467 | $ | 155,986 | |||||
eBay, Inc. † | 16,278 | 388,393 | ||||||
Electronic Arts, Inc. † | 5,736 | 379,207 | ||||||
First Solar, Inc. † | 3,931 | 269,156 | ||||||
Fiserv, Inc. † | 889 | 91,194 | ||||||
Genpact Ltd. † | 2,135 | 58,051 | ||||||
Global Payments, Inc. | 2,827 | 184,603 | ||||||
Harris Corp. | 543 | 42,278 | ||||||
Hewlett Packard Enterprise Co. | 3,877 | 68,739 | ||||||
HP, Inc. | 3,877 | 47,765 | ||||||
Intel Corp. | 44,703 | 1,446,142 | ||||||
IPG Photonics Corp. † | 1,144 | 109,915 | ||||||
Jabil Circuit, Inc. | 3,481 | 67,079 | ||||||
Juniper Networks, Inc. | 8,856 | 225,916 | ||||||
Lam Research Corp. | 3,001 | 247,883 | ||||||
Micron Technology, Inc. † | 4,223 | 44,215 | ||||||
Microsoft Corp. | 59,950 | 3,311,038 | ||||||
NetApp, Inc. | 1,211 | 33,048 | ||||||
Nuance Communications, Inc. † | 4,960 | 92,702 | ||||||
NVIDIA Corp. | 10,590 | 377,322 | ||||||
ON Semiconductor Corp. † | 8,522 | 81,726 | ||||||
Oracle Corp. | 5,078 | 207,741 | ||||||
Palo Alto Networks, Inc. † | 766 | 124,965 | ||||||
PayPal Holdings, Inc. † | 1,728 | 66,701 | ||||||
Qorvo, Inc. † | 946 | 47,688 | ||||||
Red Hat, Inc. † | 670 | 49,922 | ||||||
Skyworks Solutions, Inc. | 4,030 | 313,937 | ||||||
Synopsys, Inc. † | 1,540 | 74,598 | ||||||
Teradyne, Inc. | 2,979 | 64,317 | ||||||
Texas Instruments, Inc. | 10,592 | 608,193 | ||||||
Total System Services, Inc. | 2,877 | 136,888 | ||||||
VeriSign, Inc. † | 1,510 | 133,695 | ||||||
Western Digital Corp. | 1,786 | 84,371 | ||||||
Western Union Co. (The) | 7,332 | 141,434 | ||||||
Xilinx, Inc. | 3,482 | 165,151 | ||||||
|
| |||||||
22,945,756 | ||||||||
|
| |||||||
Materials - 2.2% | ||||||||
Avery Dennison Corp. | 1,548 | 111,626 | ||||||
Celanese Corp., Series A | 1,942 | 127,201 | ||||||
CF Industries Holdings, Inc. | 1,315 | 41,212 | ||||||
Crown Holdings, Inc. † | 1,830 | 90,750 | ||||||
Dow Chemical Co. (The) | 12,625 | 642,108 | ||||||
Eastman Chemical Co. | 722 | 52,150 | ||||||
Graphic Packaging Holding Co. | 3,086 | 39,655 | ||||||
International Paper Co. | 1,582 | 64,925 | ||||||
LyondellBasell Industries NV, Class A | 6,327 | 541,465 | ||||||
Newmont Mining Corp. | 7,768 | 206,473 | ||||||
Reliance Steel & Aluminum Co. | 1,261 | 87,249 | ||||||
Sealed Air Corp. | 2,034 | 97,652 | ||||||
Sherwin-Williams Co. (The) | 255 | 72,591 | ||||||
Westlake Chemical Corp. | 827 | 38,290 | ||||||
WestRock Co. | 1,764 | 68,849 | ||||||
|
| |||||||
2,282,196 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
25
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM LARGE CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Telecommunication Services - 2.6% | ||||||||
AT&T, Inc. | 30,071 | $ | 1,177,881 | |||||
Telephone & Data Systems, Inc. | 1,001 | 30,120 | ||||||
T-Mobile US, Inc. † | 10,072 | 385,758 | ||||||
Verizon Communications, Inc. | 20,281 | 1,096,796 | ||||||
|
| |||||||
2,690,555 | ||||||||
|
| |||||||
Utilities - 0.3% | ||||||||
Ameren Corp. | 562 | 28,156 | ||||||
American Electric Power Co., Inc. | 703 | 46,679 | ||||||
Consolidated Edison, Inc. | 438 | 33,560 | ||||||
Exelon Corp. | 1,423 | 51,029 | ||||||
PG&E Corp. | 869 | 51,897 | ||||||
Public Service Enterprise Group, Inc. | 2,039 | 96,118 | ||||||
|
| |||||||
307,439 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 92,438,630 | |||||||
|
| |||||||
EXCHANGE TRADED FUND - 9.9% | ||||||||
SPDR S&P 500 ETF Trust | ||||||||
(cost $9,969,214) | 50,217 | 10,322,607 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT - 2.3% | ||||||||
Investment Company - 2.3% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (2)(a) | ||||||||
(cost $2,378,535) | 2,378,535 | 2,378,535 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 105,139,772 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2%) | (1,290,164) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 103,849,608 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non-income producing security. |
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT | - Real Estate Investment Trust |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
26
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
COMMON STOCKS - 93.9% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 16.0% | ||||||||
1-800-Flowers.com, Inc., Class A † | 1,397 | $ | 11,008 | |||||
Abercrombie & Fitch Co., Class A (a) | 1,229 | 38,763 | ||||||
American Axle & Manufacturing Holdings, Inc. † | 3,180 | 48,940 | ||||||
American Eagle Outfitters, Inc. (a) | 5,188 | 86,484 | ||||||
Asbury Automotive Group, Inc. † | 105 | 6,283 | ||||||
Ascena Retail Group, Inc. †(a) | 2,572 | 28,446 | ||||||
Bassett Furniture Industries, Inc. | 516 | 16,440 | ||||||
Beazer Homes USA, Inc. † | 2,302 | 20,073 | ||||||
Big 5 Sporting Goods Corp. | 342 | 3,800 | ||||||
Big Lots, Inc. | 575 | 26,042 | ||||||
Bloomin’ Brands, Inc. | 225 | 3,796 | ||||||
Boyd Gaming Corp. † | 714 | 14,751 | ||||||
Buckle, Inc. (The) (a) | 357 | 12,092 | ||||||
Build-A-Bear Workshop, Inc. † | 447 | 5,806 | ||||||
Burlington Stores, Inc. † | 493 | 27,726 | ||||||
Caesars Entertainment Corp. † | 3,155 | 21,454 | ||||||
Caleres, Inc. | 708 | 20,029 | ||||||
Capella Education Co. | 88 | 4,632 | ||||||
Carrols Restaurant Group, Inc. † | 824 | 11,899 | ||||||
Cato Corp. (The), Class A | 362 | 13,955 | ||||||
Chico’s FAS, Inc. | 1,310 | 17,384 | ||||||
Children’s Place, Inc. (The) | 466 | 38,897 | ||||||
Citi Trends, Inc. | 524 | 9,343 | ||||||
Columbia Sportswear Co. | 587 | 35,273 | ||||||
Conn’s, Inc. †(a) | 407 | 5,071 | ||||||
Cooper Tire & Rubber Co. | 1,246 | 46,127 | ||||||
Cooper-Standard Holding, Inc. † | 437 | 31,394 | ||||||
Core-Mark Holding Co., Inc. | 91 | 7,422 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 421 | 64,274 | ||||||
Culp, Inc. | 323 | 8,469 | ||||||
Deckers Outdoor Corp. † | 99 | 5,931 | ||||||
Denny’s Corp. † | 651 | 6,744 | ||||||
Diamond Resorts International, Inc. †(a) | 810 | 19,683 | ||||||
Drew Industries, Inc. | 499 | 32,166 | ||||||
Eldorado Resorts, Inc. † | 482 | 5,514 | ||||||
Ethan Allen Interiors, Inc. | 260 | 8,273 | ||||||
Express, Inc. † | 1,990 | 42,606 | ||||||
Finish Line, Inc. (The), Class A | 221 | 4,663 | ||||||
Flexsteel Industries, Inc. | 201 | 8,780 | ||||||
Francesca’s Holdings Corp. † | 838 | 16,056 | ||||||
Fred’s, Inc., Class A (a) | 332 | 4,950 | ||||||
Genesco, Inc. † | 89 | 6,430 | ||||||
Gentherm, Inc. † | 742 | 30,860 | ||||||
G-III Apparel Group Ltd. † | 583 | 28,503 | ||||||
Gray Television, Inc. † | 1,385 | 16,232 | ||||||
Group 1 Automotive, Inc. | 192 | 11,268 | ||||||
Guess?, Inc. | 1,516 | 28,455 | ||||||
Haverty Furniture Cos., Inc. | 170 | 3,597 | ||||||
Helen of Troy Ltd. † | 524 | 54,334 | ||||||
Hibbett Sports, Inc. †(a) | 359 | 12,888 | ||||||
Hooker Furniture Corp. | 628 | 20,630 | ||||||
Houghton Mifflin Harcourt Co. † | 200 | 3,988 | ||||||
HSN, Inc. | 118 | 6,173 | ||||||
Installed Building Products, Inc. † | 100 | 2,661 | ||||||
Interval Leisure Group, Inc. (a) | 523 | 7,552 | ||||||
Isle of Capri Casinos, Inc. † | 787 | 11,018 | ||||||
Jack in the Box, Inc. | 113 | 7,217 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 16.0% (continued) | ||||||||
JAKKS Pacific, Inc. †(a) | 925 | $ | 6,882 | |||||
K12, Inc. † | 380 | 3,758 | ||||||
KB Home | 1,496 | 21,363 | ||||||
Kirkland’s, Inc. | 327 | 5,726 | ||||||
La-Z-Boy, Inc. | 552 | 14,760 | ||||||
LGI Homes, Inc. †(a) | 980 | 23,726 | ||||||
Libbey, Inc. | 100 | 1,860 | ||||||
Lithia Motors, Inc., Class A | 654 | 57,114 | ||||||
Marcus Corp. (The) | 223 | 4,226 | ||||||
Marriott Vacations Worldwide Corp. | 222 | 14,985 | ||||||
Metaldyne Performance Group, Inc. | 752 | 12,641 | ||||||
Monarch Casino & Resort, Inc. † | 122 | 2,374 | ||||||
Movado Group, Inc. | 632 | 17,399 | ||||||
Nautilus, Inc. † | 783 | 15,128 | ||||||
New Media Investment Group, Inc. | 363 | 6,040 | ||||||
New York Times Co. (The), Class A | 773 | 9,632 | ||||||
Nutrisystem, Inc. | 745 | 15,548 | ||||||
Outerwall, Inc. (a) | 611 | 22,601 | ||||||
Oxford Industries, Inc. | 326 | 21,917 | ||||||
Papa John’s International, Inc. (a) | 116 | 6,286 | ||||||
Penn National Gaming, Inc. † | 1,457 | 24,317 | ||||||
Perry Ellis International, Inc. † | 516 | 9,500 | ||||||
PetMed Express, Inc. | 855 | 15,313 | ||||||
Pinnacle Entertainment, Inc. † | 345 | 12,109 | ||||||
Pool Corp. | 526 | 46,151 | ||||||
Red Robin Gourmet Burgers, Inc. † | 149 | 9,606 | ||||||
Regis Corp. † | 100 | 1,519 | ||||||
Rent-A-Center, Inc. | 338 | 5,357 | ||||||
Ruby Tuesday, Inc. † | 200 | 1,076 | ||||||
Ruth’s Hospitality Group, Inc. | 1,008 | 18,557 | ||||||
Scholastic Corp. (a) | 202 | 7,549 | ||||||
Select Comfort Corp. † | 1,099 | 21,310 | ||||||
Shoe Carnival, Inc. | 500 | 13,480 | ||||||
Sinclair Broadcast Group, Inc., Class A | 1,366 | 42,004 | ||||||
Smith & Wesson Holding Corp. † | 3,164 | 84,226 | ||||||
Sonic Automotive, Inc., Class A | 222 | 4,103 | ||||||
Sonic Corp. | 209 | 7,348 | ||||||
Sportsman’s Warehouse Holdings, Inc. † | 300 | 3,780 | ||||||
Standard Motor Products, Inc. | 409 | 14,172 | ||||||
Stein Mart, Inc. | 200 | 1,466 | ||||||
Steven Madden Ltd. † | 1,197 | 44,337 | ||||||
Stoneridge, Inc. † | 444 | 6,465 | ||||||
Strayer Education, Inc. † | 273 | 13,309 | ||||||
Sturm Ruger & Co., Inc. | 457 | 31,250 | ||||||
Tenneco, Inc. † | 1,069 | 55,064 | ||||||
Texas Roadhouse, Inc. | 339 | 14,774 | ||||||
Tile Shop Holdings, Inc. † | 538 | 8,022 | ||||||
Time, Inc. | 200 | 3,088 | ||||||
Tower International, Inc. | 710 | 19,312 | ||||||
Vera Bradley, Inc. † | 706 | 14,360 | ||||||
Wayfair, Inc., Class A †(a) | 513 | 22,172 | ||||||
Winnebago Industries, Inc. (a) | 392 | 8,800 | ||||||
Wolverine World Wide, Inc. | 318 | 5,858 | ||||||
World Wrestling Entertainment, Inc., Class A (a) | 1,019 | 17,996 | ||||||
ZAGG, Inc. † | 3,599 | 32,427 | ||||||
Zumiez, Inc. †(a) | 185 | 3,685 | ||||||
|
| |||||||
2,021,073 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
27
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Consumer Staples - 5.0% | ||||||||
Cal-Maine Foods, Inc. (a) | 1,324 | $ | 68,729 | |||||
Casey’s General Stores, Inc. | 632 | 71,618 | ||||||
Central Garden & Pet Co., Class A † | 616 | 10,035 | ||||||
Coca-Cola Bottling Co. Consolidated | 108 | 17,254 | ||||||
Dean Foods Co. (a) | 2,091 | 36,216 | ||||||
Fresh Del Monte Produce, Inc. | 534 | 22,465 | ||||||
Fresh Market, Inc. (The) †(a) | 199 | 5,677 | ||||||
Ingles Markets, Inc., Class A | 454 | 17,025 | ||||||
J&J Snack Foods Corp. | 34 | 3,682 | ||||||
John B. Sanfilippo & Son, Inc. | 365 | 25,218 | ||||||
Medifast, Inc. | 127 | 3,834 | ||||||
MGP Ingredients, Inc. | 166 | 4,024 | ||||||
National Beverage Corp. † | 334 | 14,135 | ||||||
Natural Health Trends Corp. (a) | 1,665 | 55,195 | ||||||
Nutraceutical International Corp. † | 192 | 4,675 | ||||||
Omega Protein Corp. † | 801 | 13,569 | ||||||
Post Holdings, Inc. † | 654 | 44,976 | ||||||
Revlon, Inc., Class A † | 206 | 7,500 | ||||||
Sanderson Farms, Inc. (a) | 642 | 57,896 | ||||||
Seneca Foods Corp., Class A † | 32 | 1,112 | ||||||
Smart & Final Stores, Inc. † | 321 | 5,200 | ||||||
SpartanNash Co. | 620 | 18,792 | ||||||
SUPERVALU, Inc. † | 1,241 | 7,148 | ||||||
Universal Corp. (a) | 269 | 15,282 | ||||||
USANA Health Sciences, Inc. † | 634 | 76,980 | ||||||
Vector Group Ltd. | 737 | 16,833 | ||||||
Village Super Market, Inc., Class A | 65 | 1,570 | ||||||
Weis Markets, Inc. | 125 | 5,633 | ||||||
|
| |||||||
632,273 | ||||||||
|
| |||||||
Energy - 2.2% | ||||||||
Alon USA Energy, Inc. | 1,917 | 19,783 | ||||||
Approach Resources, Inc. † | 1,978 | 2,295 | ||||||
Ardmore Shipping Corp. (Ireland) | 300 | 2,535 | ||||||
Atwood Oceanics, Inc. (a) | 6,680 | 61,256 | ||||||
Delek US Holdings, Inc. | 285 | 4,343 | ||||||
DHT Holdings, Inc. | 2,971 | 17,113 | ||||||
Green Plains, Inc. | 100 | 1,596 | ||||||
Hornbeck Offshore Services, Inc. † | 1,165 | 11,569 | ||||||
Matrix Service Co. † | 333 | 5,894 | ||||||
McDermott International, Inc. † | 3,248 | 13,284 | ||||||
Nordic American Tankers Ltd. (Norway) (a) | 900 | 12,681 | ||||||
Par Pacific Holdings, Inc. † | 200 | 3,752 | ||||||
REX American Resources Corp. † | 219 | 12,148 | ||||||
Scorpio Tankers, Inc. (Monaco) | 3,881 | 22,626 | ||||||
Ship Finance International Ltd. (Norway) (a) | 900 | 12,501 | ||||||
Teekay Tankers Ltd., Class A | 3,730 | 13,689 | ||||||
TETRA Technologies, Inc. † | 500 | 3,175 | ||||||
Ultra Petroleum Corp. † | 5,184 | 2,582 | ||||||
Western Refining, Inc. | 1,860 | 54,107 | ||||||
|
| |||||||
276,929 | ||||||||
|
| |||||||
Financials - 26.9% | ||||||||
1st Source Corp. | 596 | 18,977 | ||||||
Acadia Realty Trust REIT | 327 | 11,488 | ||||||
Alexander & Baldwin, Inc. | 261 | 9,573 | ||||||
American Assets Trust, Inc. REIT | 185 | 7,385 | ||||||
American Equity Investment Life Holding Co. | 1,747 | 29,350 |
SHARES | VALUE (Note 4) | |||||||
Financials - 26.9% (continued) | ||||||||
Ameris Bancorp | 200 | $ | 5,916 | |||||
AMERISAFE, Inc. | 595 | 31,261 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 614 | 10,008 | ||||||
Argo Group International Holdings Ltd. | 967 | 55,496 | ||||||
Arrow Financial Corp. | 17 | 452 | ||||||
Atlas Financial Holdings, Inc. † | 234 | 4,245 | ||||||
Banc of California, Inc. | 1,039 | 18,183 | ||||||
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | 100 | 2,422 | ||||||
BancorpSouth, Inc. | 1,819 | 38,763 | ||||||
BBCN Bancorp, Inc. | 603 | 9,160 | ||||||
Berkshire Hills Bancorp, Inc. | 768 | 20,652 | ||||||
BGC Partners, Inc., Class A | 886 | 8,018 | ||||||
BNC Bancorp | 210 | 4,435 | ||||||
BofI Holding, Inc. †(a) | 605 | 12,911 | ||||||
Brookline Bancorp, Inc. | 576 | 6,342 | ||||||
Capstead Mortgage Corp. REIT | 1,474 | 14,578 | ||||||
Cardinal Financial Corp. | 573 | 11,661 | ||||||
Cathay General Bancorp | 1,997 | 56,575 | ||||||
CenterState Banks, Inc. | 1,155 | 17,198 | ||||||
Central Pacific Financial Corp. | 413 | 8,991 | ||||||
Chatham Lodging Trust REIT | 434 | 9,301 | ||||||
Chemical Financial Corp. (a) | 955 | 34,084 | ||||||
Chesapeake Lodging Trust REIT | 334 | 8,838 | ||||||
City Holding Co. | 433 | 20,689 | ||||||
CNO Financial Group, Inc. | 5,135 | 92,019 | ||||||
Colony Capital, Inc., Class A REIT | 662 | 11,102 | ||||||
Columbia Banking System, Inc. | 559 | 16,725 | ||||||
Community Trust Bancorp, Inc. | 222 | 7,841 | ||||||
ConnectOne Bancorp, Inc. | 100 | 1,635 | ||||||
CoreSite Realty Corp. REIT | 194 | 13,582 | ||||||
Cousins Properties, Inc. REIT | 1,117 | 11,594 | ||||||
Cowen Group, Inc., Class A †(a) | 2,561 | 9,757 | ||||||
CU Bancorp † | 22 | 466 | ||||||
CubeSmart REIT | 890 | 29,637 | ||||||
Customers Bancorp, Inc. † | 1,062 | 25,095 | ||||||
CyrusOne, Inc. REIT | 374 | 17,073 | ||||||
CYS Investments, Inc. REIT | 1,973 | 16,060 | ||||||
DCT Industrial Trust, Inc. REIT | 443 | 17,485 | ||||||
DiamondRock Hospitality Co. REIT | 1,497 | 15,150 | ||||||
Dime Community Bancshares, Inc. | 873 | 15,382 | ||||||
DuPont Fabros Technology, Inc. REIT | 332 | 13,456 | ||||||
EastGroup Properties, Inc. REIT | 136 | 8,210 | ||||||
Education Realty Trust, Inc. REIT | 355 | 14,768 | ||||||
EMC Insurance Group, Inc. | 77 | 1,975 | ||||||
Employers Holdings, Inc. | 665 | 18,713 | ||||||
Enterprise Financial Services Corp. | 721 | 19,496 | ||||||
EPR Properties REIT | 299 | 19,919 | ||||||
Equity One, Inc. REIT | 315 | 9,028 | ||||||
EverBank Financial Corp. | 300 | 4,527 | ||||||
FBL Financial Group, Inc., Class A | 333 | 20,486 | ||||||
Federal Agricultural Mortgage Corp., Class C | 100 | 3,773 | ||||||
Federated National Holding Co. | 432 | 8,493 | ||||||
FelCor Lodging Trust, Inc. REIT | 1,317 | 10,694 | ||||||
Fidelity Southern Corp. | 893 | 14,324 | ||||||
Financial Institutions, Inc. | 571 | 16,599 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
28
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 26.9% (continued) | ||||||||
First American Financial Corp. | 3,035 | $ | 115,664 | |||||
First Bancorp | 250 | 4,713 | ||||||
First Busey Corp. | 573 | 11,735 | ||||||
First Business Financial Services, Inc. (a) | 373 | 8,553 | ||||||
First Citizens BancShares, Inc., Class A | 129 | 32,388 | ||||||
First Commonwealth Financial Corp. | 1,176 | 10,419 | ||||||
First Community Bancshares, Inc. | 319 | 6,329 | ||||||
First Connecticut Bancorp, Inc. | 20 | 319 | ||||||
First Defiance Financial Corp. | 680 | 26,119 | ||||||
First Financial Bancorp | 786 | 14,289 | ||||||
First Financial Corp. | 223 | 7,629 | ||||||
First Industrial Realty Trust, Inc. REIT | 643 | 14,622 | ||||||
First Interstate BancSystem, Inc., Class A | 1,269 | 35,697 | ||||||
First Merchants Corp. | 870 | 20,506 | ||||||
First Midwest Bancorp, Inc. | 830 | 14,957 | ||||||
First NBC Bank Holding Co. † | 540 | 11,119 | ||||||
First of Long Island Corp. (The) | 30 | 855 | ||||||
FirstMerit Corp. | 861 | 18,124 | ||||||
Flagstar Bancorp, Inc. † | 573 | 12,297 | ||||||
Flushing Financial Corp. | 511 | 11,048 | ||||||
FNB Corp. | 3,087 | 40,162 | ||||||
Franklin Street Properties Corp. REIT | 852 | 9,040 | ||||||
Fulton Financial Corp. | 3,838 | 51,352 | ||||||
GEO Group, Inc. (The) REIT | 310 | 10,748 | ||||||
Government Properties Income Trust REIT | 345 | 6,158 | ||||||
Gramercy Property Trust REIT | 2,124 | 17,948 | ||||||
Great Southern Bancorp, Inc. | 426 | 15,817 | ||||||
Great Western Bancorp, Inc. | 1,088 | 29,670 | ||||||
Hallmark Financial Services, Inc. † | 312 | 3,588 | ||||||
Hancock Holding Co. | 1,363 | 31,294 | ||||||
Hanmi Financial Corp. | 656 | 14,445 | ||||||
Hatteras Financial Corp. REIT | 667 | 9,538 | ||||||
HCI Group, Inc. (a) | 144 | 4,795 | ||||||
Healthcare Realty Trust, Inc. REIT | 497 | 15,352 | ||||||
Heartland Financial USA, Inc. | 596 | 18,351 | ||||||
Heritage Financial Corp. | 537 | 9,435 | ||||||
Heritage Insurance Holdings, Inc. | 867 | 13,846 | ||||||
Hersha Hospitality Trust REIT | 485 | 10,350 | ||||||
Highwoods Properties, Inc. REIT | 375 | 17,929 | ||||||
Hilltop Holdings, Inc. † | 1,030 | 19,446 | ||||||
HomeStreet, Inc. † | 697 | 14,505 | ||||||
Horace Mann Educators Corp. | 851 | 26,968 | ||||||
Horizon Bancorp | 84 | 2,076 | ||||||
Hudson Pacific Properties, Inc. REIT | 352 | 10,180 | ||||||
Impac Mortgage Holdings, Inc. † | 333 | 4,619 | ||||||
Independent Bank Corp./MI | 755 | 10,985 | ||||||
Independent Bank Group, Inc. | 131 | 3,589 | ||||||
Infinity Property & Casualty Corp. | 197 | 15,859 | ||||||
International Bancshares Corp. | 840 | 20,714 | ||||||
INTL. FCStone, Inc. † | 677 | 18,096 | ||||||
Invesco Mortgage Capital, Inc. REIT | 1,185 | 14,433 | ||||||
Investment Technology Group, Inc. | 203 | 4,486 | ||||||
Investors Real Estate Trust REIT | 842 | 6,113 | ||||||
James River Group Holdings Ltd. | 518 | 16,711 | ||||||
Janus Capital Group, Inc. | 594 | 8,690 | ||||||
Kemper Corp. | 200 | 5,914 | ||||||
Kennedy-Wilson Holdings, Inc. | 492 | 10,775 | ||||||
Kite Realty Group Trust REIT | 338 | 9,366 |
SHARES | VALUE (Note 4) | |||||||
Financials - 26.9% (continued) | ||||||||
Lakeland Bancorp, Inc. | 370 | $ | 3,756 | |||||
LaSalle Hotel Properties REIT | 569 | 14,401 | ||||||
LegacyTexas Financial Group, Inc. | 599 | 11,770 | ||||||
Lexington Realty Trust REIT | 1,064 | 9,150 | ||||||
LTC Properties, Inc. REIT | 180 | 8,143 | ||||||
Mack-Cali Realty Corp. REIT | 1,735 | 40,773 | ||||||
Maiden Holdings Ltd. (a) | 1,955 | 25,298 | ||||||
MainSource Financial Group, Inc. | 347 | 7,318 | ||||||
MarketAxess Holdings, Inc. | 178 | 22,220 | ||||||
MB Financial, Inc. | 1,204 | 39,070 | ||||||
Medical Properties Trust, Inc. REIT | 1,279 | 16,601 | ||||||
Mercantile Bank Corp. | 237 | 5,314 | ||||||
Meta Financial Group, Inc. | 152 | 6,931 | ||||||
MGIC Investment Corp. † | 5,890 | 45,176 | ||||||
Monogram Residential Trust, Inc. REIT | 1,118 | 11,023 | ||||||
National General Holdings Corp. | 765 | 16,516 | ||||||
National Health Investors, Inc. REIT | 136 | 9,047 | ||||||
National Western Life Group, Inc., Class A | 55 | 12,685 | ||||||
Navigators Group, Inc. (The) † | 423 | 35,477 | ||||||
NBT Bancorp, Inc. | 921 | 24,821 | ||||||
Nelnet, Inc., Class A | 233 | 9,173 | ||||||
New Residential Investment Corp. REIT | 1,590 | 18,492 | ||||||
New Senior Investment Group, Inc. REIT | 310 | 3,193 | ||||||
New York REIT, Inc. | 750 | 7,575 | ||||||
OceanFirst Financial Corp. | 236 | 4,172 | ||||||
Old National Bancorp | 1,544 | 18,821 | ||||||
OneBeacon Insurance Group Ltd., Class A | 100 | 1,273 | ||||||
Opus Bank | 662 | 22,508 | ||||||
Oritani Financial Corp. | 488 | 8,281 | ||||||
Pacific Continental Corp. | 351 | 5,662 | ||||||
Pacific Premier Bancorp, Inc. † | 514 | 10,984 | ||||||
Parkway Properties, Inc. REIT | 487 | 7,626 | ||||||
Peapack Gladstone Financial Corp. | 315 | 5,324 | ||||||
Pebblebrook Hotel Trust REIT | 400 | 11,628 | ||||||
Pennsylvania REIT | 434 | 9,483 | ||||||
PennyMac Mortgage Investment Trust REIT | 513 | 6,997 | ||||||
Physicians Realty Trust REIT | 468 | 8,695 | ||||||
Piper Jaffray Cos. † | 141 | 6,988 | ||||||
Potlatch Corp. REIT | 185 | 5,828 | ||||||
Preferred Bank | 673 | 20,358 | ||||||
Primerica, Inc. | 276 | 12,290 | ||||||
PrivateBancorp, Inc. | 529 | 20,419 | ||||||
Prosperity Bancshares, Inc. | 1,545 | 71,673 | ||||||
Provident Financial Services, Inc. | 940 | 18,979 | ||||||
PS Business Parks, Inc. REIT | 86 | 8,644 | ||||||
QCR Holdings, Inc. | 313 | 7,465 | ||||||
QTS Realty Trust, Inc., Class A REIT | 171 | 8,102 | ||||||
Radian Group, Inc. | 798 | 9,895 | ||||||
Ramco-Gershenson Properties Trust REIT | 474 | 8,546 | ||||||
Redwood Trust, Inc. REIT | 879 | 11,497 | ||||||
Regional Management Corp. † | 348 | 5,954 | ||||||
Renasant Corp. | 315 | 10,367 | ||||||
Retail Opportunity Investments Corp. REIT | 411 | 8,269 | ||||||
Rexford Industrial Realty, Inc. REIT | 502 | 9,116 | ||||||
RLJ Lodging Trust REIT | 768 | 17,572 | ||||||
Ryman Hospitality Properties, Inc. REIT | 261 | 13,436 | ||||||
S&T Bancorp, Inc. | 100 | 2,576 | ||||||
Sabra Health Care REIT, Inc. | 455 | 9,141 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
29
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 26.9% (continued) | ||||||||
Sandy Spring Bancorp, Inc. | 515 | $ | 14,332 | |||||
Select Income REIT | 276 | 6,362 | ||||||
Selective Insurance Group, Inc. | 896 | 32,803 | ||||||
ServisFirst Bancshares, Inc. | 233 | 10,345 | ||||||
Simmons First National Corp., Class A | 152 | 6,851 | ||||||
Sovran Self Storage, Inc. REIT | 193 | 22,764 | ||||||
STAG Industrial, Inc. REIT | 305 | 6,210 | ||||||
State Auto Financial Corp. | 114 | 2,515 | ||||||
Stewart Information Services Corp. | 100 | 3,628 | ||||||
Stifel Financial Corp. † | 188 | 5,565 | ||||||
Stock Yards Bancorp, Inc. | 93 | 3,583 | ||||||
Stonegate Bank | 406 | 12,164 | ||||||
STORE Capital Corp. REIT | 166 | 4,296 | ||||||
Suffolk Bancorp | 119 | 3,004 | ||||||
Summit Hotel Properties, Inc. REIT | 657 | 7,864 | ||||||
Sun Communities, Inc. REIT | 210 | 15,038 | ||||||
Sunstone Hotel Investors, Inc. REIT | 980 | 13,720 | ||||||
Terreno Realty Corp. REIT | 405 | 9,497 | ||||||
Territorial Bancorp, Inc. | 390 | 10,163 | ||||||
Texas Capital Bancshares, Inc. † | 672 | 25,791 | ||||||
Towne Bank (a) | 1,008 | 19,344 | ||||||
Trico Bancshares | 365 | 9,242 | ||||||
TriState Capital Holdings, Inc. † | 444 | 5,594 | ||||||
Triumph Bancorp, Inc. † | 368 | 5,825 | ||||||
Trustmark Corp. | 1,520 | 35,006 | ||||||
Umpqua Holdings Corp. | 4,495 | 71,291 | ||||||
Union Bankshares Corp. | 200 | 4,926 | ||||||
United Community Banks, Inc. | 100 | 1,847 | ||||||
United Financial Bancorp, Inc. | 473 | 5,955 | ||||||
United Fire Group, Inc. | 680 | 29,798 | ||||||
United Insurance Holdings Corp. | 100 | 1,921 | ||||||
Universal Insurance Holdings, Inc. (a) | 1,304 | 23,211 | ||||||
Univest Corp. of Pennsylvania | 411 | 8,019 | ||||||
Urban Edge Properties REIT | 404 | 10,439 | ||||||
Walker & Dunlop, Inc. † | 1,057 | 25,653 | ||||||
Washington Federal, Inc. | 2,612 | 59,162 | ||||||
Washington REIT | 133 | 3,885 | ||||||
Webster Financial Corp. | 2,091 | 75,067 | ||||||
Wintrust Financial Corp. | 1,208 | 53,563 | ||||||
WSFS Financial Corp. | 309 | 10,049 | ||||||
Xenia Hotels & Resorts, Inc. REIT | 513 | 8,013 | ||||||
|
| |||||||
3,399,538 | ||||||||
|
| |||||||
Health Care - 9.0% | ||||||||
ABIOMED, Inc. † | 685 | 64,945 | ||||||
ACADIA Pharmaceuticals, Inc. † | 442 | 12,358 | ||||||
Aceto Corp. | 553 | 13,029 | ||||||
Acorda Therapeutics, Inc. † | 774 | 20,472 | ||||||
Addus HomeCare Corp. † | 256 | 4,401 | ||||||
Alder Biopharmaceuticals, Inc. † | 269 | 6,588 | ||||||
Almost Family, Inc. † | 234 | 8,714 | ||||||
AMAG Pharmaceuticals, Inc. †(a) | 749 | 17,527 | ||||||
Amedisys, Inc. † | 885 | 42,781 | ||||||
AMN Healthcare Services, Inc. † | 945 | 31,761 | ||||||
Amsurg Corp. † | 694 | 51,772 | ||||||
Anacor Pharmaceuticals, Inc. † | 211 | 11,278 | ||||||
Analogic Corp. | 100 | 7,901 | ||||||
ANI Pharmaceuticals, Inc. †(a) | 126 | 4,241 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 9.0% (continued) | ||||||||
Anika Therapeutics, Inc. † | 99 | $ | 4,427 | |||||
BioCryst Pharmaceuticals, Inc. † | 3,994 | 11,303 | ||||||
BioSpecifics Technologies Corp. † | 289 | 10,063 | ||||||
Cambrex Corp. † | 672 | 29,568 | ||||||
Cara Therapeutics, Inc. † | 2,199 | 13,678 | ||||||
Chemed Corp. | 304 | 41,177 | ||||||
Cynosure, Inc., Class A † | 576 | 25,413 | ||||||
Depomed, Inc. †(a) | 902 | 12,565 | ||||||
Eagle Pharmaceuticals, Inc. † | 410 | 16,605 | ||||||
Emergent BioSolutions, Inc. † | 792 | 28,789 | ||||||
Enanta Pharmaceuticals, Inc. † | 418 | 12,277 | ||||||
Exactech, Inc. † | 85 | 1,722 | ||||||
Five Prime Therapeutics, Inc. † | 416 | 16,902 | ||||||
ICU Medical, Inc. † | 129 | 13,429 | ||||||
INC Research Holdings, Inc., Class A † | 88 | 3,626 | ||||||
Innoviva, Inc. | 903 | 11,369 | ||||||
Inogen, Inc. † | 100 | 4,498 | ||||||
Insys Therapeutics, Inc. †(a) | 100 | 1,599 | ||||||
Integra LifeSciences Holdings Corp. † | 223 | 15,021 | ||||||
Invacare Corp. (a) | 100 | 1,317 | ||||||
iRadimed Corp. †(a) | 404 | 7,741 | ||||||
Kite Pharma, Inc. † | 81 | 3,719 | ||||||
Lannett Co., Inc. †(a) | 538 | 9,646 | ||||||
LeMaitre Vascular, Inc. | 739 | 11,469 | ||||||
Lexicon Pharmaceuticals, Inc. † | 317 | 3,788 | ||||||
LHC Group, Inc. † | 515 | 18,313 | ||||||
Ligand Pharmaceuticals, Inc. † | 535 | 57,293 | ||||||
Luminex Corp. † | 531 | 10,301 | ||||||
Masimo Corp. † | 934 | 39,079 | ||||||
Meridian Bioscience, Inc. | 200 | 4,122 | ||||||
Merit Medical Systems, Inc. † | 673 | 12,444 | ||||||
Molina Healthcare, Inc. † | 1,091 | 70,359 | ||||||
Myriad Genetics, Inc. †(a) | 260 | 9,732 | ||||||
Natus Medical, Inc. † | 525 | 20,176 | ||||||
NewLink Genetics Corp. †(a) | 200 | 3,640 | ||||||
NuVasive, Inc. † | 213 | 10,362 | ||||||
Omnicell, Inc. † | 100 | 2,787 | ||||||
Orthofix International NV † | 100 | 4,152 | ||||||
Pacific Biosciences of California, Inc. † | 1,063 | 9,035 | ||||||
PDL BioPharma, Inc. | 6,763 | 22,521 | ||||||
PharMerica Corp. † | 742 | 16,406 | ||||||
Phibro Animal Health Corp., Class A | 166 | 4,489 | ||||||
PTC Therapeutics, Inc. † | 1,212 | 7,805 | ||||||
Radius Health, Inc. † | 363 | 11,413 | ||||||
Repligen Corp. † | 346 | 9,280 | ||||||
Retrophin, Inc. † | 1,031 | 14,083 | ||||||
SciClone Pharmaceuticals, Inc. † | 1,980 | 21,780 | ||||||
Select Medical Holdings Corp. † | 452 | 5,338 | ||||||
Sorrento Therapeutics, Inc. † | 1,074 | 5,778 | ||||||
Spark Therapeutics, Inc. † | 442 | 13,043 | ||||||
Sucampo Pharmaceuticals, Inc., Class A † | 1,105 | 12,078 | ||||||
Supernus Pharmaceuticals, Inc. † | 1,271 | 19,383 | ||||||
TransEnterix, Inc. † | 2,148 | 9,129 | ||||||
Triple-S Management Corp., Class B † | 760 | 18,894 | ||||||
WellCare Health Plans, Inc. † | 686 | 63,627 | ||||||
Xencor, Inc. † | 191 | 2,563 | ||||||
|
| |||||||
1,138,884 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
30
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Industrials - 11.7% | ||||||||
ABM Industries, Inc. | 120 | $ | 3,877 | |||||
ACCO Brands Corp. † | 3,451 | 30,990 | ||||||
Aegion Corp. † | 851 | 17,948 | ||||||
Air Transport Services Group, Inc. † | 739 | 11,366 | ||||||
Aircastle Ltd. | 1,507 | 33,516 | ||||||
Alamo Group, Inc. | 200 | 11,142 | ||||||
Allegiant Travel Co. | 100 | 17,806 | ||||||
Allied Motion Technologies, Inc. | 317 | 5,706 | ||||||
Altra Industrial Motion Corp. | 431 | 11,973 | ||||||
American Railcar Industries, Inc. (a) | 139 | 5,661 | ||||||
American Woodmark Corp. † | 586 | 43,710 | ||||||
Apogee Enterprises, Inc. | 513 | 22,516 | ||||||
Applied Industrial Technologies, Inc. | 387 | 16,796 | ||||||
Atlas Air Worldwide Holdings, Inc. † | 429 | 18,134 | ||||||
AZZ, Inc. | 100 | 5,660 | ||||||
Barnes Group, Inc. | 736 | 25,782 | ||||||
Barrett Business Services, Inc. | 292 | 8,395 | ||||||
Beacon Roofing Supply, Inc. † | 300 | 12,303 | ||||||
Briggs & Stratton Corp. | 508 | 12,151 | ||||||
Brink’s Co. (The) | 524 | 17,601 | ||||||
Builders FirstSource, Inc. † | 2,623 | 29,561 | ||||||
CBIZ, Inc. † | 1,182 | 11,926 | ||||||
Comfort Systems USA, Inc. | 1,182 | 37,552 | ||||||
Continental Building Products, Inc. † | 100 | 1,856 | ||||||
Covenant Transportation Group, Inc., Class A † | 141 | 3,411 | ||||||
Deluxe Corp. | 973 | 60,803 | ||||||
Douglas Dynamics, Inc. | 481 | 11,020 | ||||||
Dycom Industries, Inc. †(a) | 92 | 5,950 | ||||||
Echo Global Logistics, Inc. † | 198 | 5,378 | ||||||
EMCOR Group, Inc. | 1,222 | 59,389 | ||||||
Encore Wire Corp. | 178 | 6,930 | ||||||
EnerSys | 337 | 18,778 | ||||||
Ennis, Inc. | 772 | 15,093 | ||||||
Federal Signal Corp. | 846 | 11,218 | ||||||
FreightCar America, Inc. | 305 | 4,752 | ||||||
FTI Consulting, Inc. † | 150 | 5,326 | ||||||
G&K Services, Inc., Class A | 129 | 9,449 | ||||||
General Cable Corp. | 599 | 7,314 | ||||||
Gibraltar Industries, Inc. † | 848 | 24,253 | ||||||
Global Brass & Copper Holdings, Inc. | 836 | 20,858 | ||||||
Greenbrier Cos., Inc. (The) | 1,000 | 27,640 | ||||||
Griffon Corp. | 841 | 12,993 | ||||||
Hawaiian Holdings, Inc. † | 553 | 26,096 | ||||||
HEICO Corp., Class A | 195 | 9,282 | ||||||
Heidrick & Struggles International, Inc. | 300 | 7,110 | ||||||
Herman Miller, Inc. | 986 | 30,458 | ||||||
Hillenbrand, Inc. | 227 | 6,799 | ||||||
HNI Corp. | 227 | 8,892 | ||||||
Hub Group, Inc., Class A † | 503 | 20,517 | ||||||
Huron Consulting Group, Inc. † | 92 | 5,353 | ||||||
ICF International, Inc. † | 362 | 12,442 | ||||||
Insperity, Inc. | 695 | 35,952 | ||||||
Insteel Industries, Inc. | 249 | 7,612 | ||||||
Interface, Inc. | 987 | 18,299 | ||||||
John Bean Technologies Corp. | 342 | 19,292 | ||||||
Kadant, Inc. | 399 | 18,019 | ||||||
Kaman Corp. | 403 | 17,204 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 11.7% (continued) | ||||||||
Kelly Services, Inc., Class A | 404 | $ | 7,724 | |||||
Kforce, Inc. | 470 | 9,203 | ||||||
Kimball International, Inc., Class B | 100 | 1,135 | ||||||
Knoll, Inc. | 642 | 13,899 | ||||||
Korn | 347 | 9,817 | ||||||
LSI Industries, Inc. | 467 | 5,487 | ||||||
Lydall, Inc. † | 330 | 10,732 | ||||||
Matson, Inc. | 220 | 8,837 | ||||||
Meritor, Inc. † | 638 | 5,142 | ||||||
Mistras Group, Inc. † | 382 | 9,462 | ||||||
MRC Global, Inc. † | 2,388 | 31,378 | ||||||
Mueller Industries, Inc. | 140 | 4,119 | ||||||
MYR Group, Inc. † | 223 | 5,600 | ||||||
National Presto Industries, Inc. (a) | 193 | 16,162 | ||||||
Navigant Consulting, Inc. † | 938 | 14,830 | ||||||
NV5 Global, Inc. †(a) | 150 | 4,024 | ||||||
On Assignment, Inc. † | 656 | 24,220 | ||||||
Patrick Industries, Inc. † | 683 | 31,001 | ||||||
PowerSecure International, Inc. † | 470 | 8,784 | ||||||
Resources Connection, Inc. | 898 | 13,973 | ||||||
RPX Corp. † | 1,404 | 15,809 | ||||||
SkyWest, Inc. | 613 | 12,254 | ||||||
Standex International Corp. | 405 | 31,513 | ||||||
Steelcase, Inc., Class A | 2,073 | 30,929 | ||||||
TASER International, Inc. †(a) | 253 | 4,966 | ||||||
Tetra Tech, Inc. | 377 | 11,242 | ||||||
Titan Machinery, Inc. † | 595 | 6,878 | ||||||
Trex Co., Inc. † | 106 | 5,081 | ||||||
TrueBlue, Inc. † | 950 | 24,843 | ||||||
UniFirst Corp. | 160 | 17,459 | ||||||
Universal Forest Products, Inc. | 483 | 41,451 | ||||||
Viad Corp. | 153 | 4,461 | ||||||
Virgin America, Inc. † | 290 | 11,182 | ||||||
Wabash National Corp. † | 2,617 | 34,544 | ||||||
West Corp. | 779 | 17,777 | ||||||
|
| |||||||
1,473,728 | ||||||||
|
| |||||||
Information Technology - 18.7% | ||||||||
A10 Networks, Inc. † | 300 | 1,776 | ||||||
Advanced Energy Industries, Inc. † | 1,344 | 46,758 | ||||||
Alliance Fiber Optic Products, Inc. † | 200 | 2,958 | ||||||
Ambarella, Inc. †(a) | 310 | 13,857 | ||||||
Amkor Technology, Inc. † | 1,790 | 10,543 | ||||||
Applied Optoelectronics, Inc. † | 440 | 6,560 | ||||||
AVG Technologies NV (Netherlands) † | 886 | 18,384 | ||||||
AVX Corp. | 825 | 10,370 | ||||||
Bankrate, Inc. † | 1,087 | 9,968 | ||||||
Benchmark Electronics, Inc. † | 228 | 5,255 | ||||||
Blackhawk Network Holdings, Inc. † | 651 | 22,329 | ||||||
BroadSoft, Inc. † | 511 | 20,619 | ||||||
Cabot Microelectronics Corp. | 100 | 4,091 | ||||||
CACI International, Inc., Class A † | 437 | 46,628 | ||||||
Ciena Corp. † | 2,496 | 47,474 | ||||||
Cimpress NV (Netherlands) † | 195 | 17,685 | ||||||
Cirrus Logic, Inc. † | 1,880 | 68,451 | ||||||
Coherent, Inc. † | 309 | 28,397 | ||||||
Cohu, Inc. | 422 | 5,013 | ||||||
comScore, Inc. † | 172 | 5,167 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
31
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 18.7% (continued) | ||||||||
Convergys Corp. | 1,832 | $ | 50,875 | |||||
Cray, Inc. † | 644 | 26,990 | ||||||
CSG Systems International, Inc. | 1,098 | 49,586 | ||||||
CTS Corp. | 344 | 5,415 | ||||||
Digi International, Inc. † | 219 | 2,065 | ||||||
Diodes, Inc. † | 100 | 2,010 | ||||||
EarthLink Holdings Corp. | 900 | 5,103 | ||||||
Ebix, Inc. (a) | 859 | 35,039 | ||||||
Electronics For Imaging, Inc. † | 167 | 7,079 | ||||||
Ellie Mae, Inc. † | 548 | 49,671 | ||||||
EMCORE Corp. † | 868 | 4,340 | ||||||
EPAM Systems, Inc. † | 51 | 3,808 | ||||||
ePlus, Inc. † | 306 | 24,636 | ||||||
ExlService Holdings, Inc. † | 628 | 32,530 | ||||||
Extreme Networks, Inc. † | 1,618 | 5,032 | ||||||
Fabrinet (Thailand) † | 810 | 26,203 | ||||||
Fair Isaac Corp. | 251 | 26,629 | ||||||
Fairchild Semiconductor International, Inc. † | 586 | 11,720 | ||||||
Fleetmatics Group plc (Ireland) † | 638 | 25,973 | ||||||
FormFactor, Inc. † | 958 | 6,965 | ||||||
Gigamon, Inc. † | 759 | 23,544 | ||||||
Hackett Group, Inc. (The) | 836 | 12,640 | ||||||
Heartland Payment Systems, Inc. | 173 | 16,707 | ||||||
II-VI, Inc. † | 1,298 | 28,180 | ||||||
Infinera Corp. † | 2,275 | 36,536 | ||||||
Infoblox, Inc. † | 229 | 3,916 | ||||||
Inphi Corp. † | 1,088 | 36,274 | ||||||
Insight Enterprises, Inc. † | 637 | 18,244 | ||||||
Integrated Device Technology, Inc. † | 3,468 | 70,886 | ||||||
InterDigital, Inc. | 316 | 17,585 | ||||||
InvenSense, Inc. † | 341 | 2,864 | ||||||
Ixia † | 1,380 | 17,195 | ||||||
IXYS Corp. | 445 | 4,993 | ||||||
j2 Global, Inc. | 993 | 61,149 | ||||||
Lattice Semiconductor Corp. †(a) | 789 | 4,481 | ||||||
Liquidity Services, Inc. † | 300 | 1,554 | ||||||
LogMeIn, Inc. † | 424 | 21,395 | ||||||
Luxoft Holding, Inc. (Switzerland) † | 781 | 42,978 | ||||||
Manhattan Associates, Inc. † | 1,456 | 82,803 | ||||||
MaxLinear, Inc., Class A † | 1,486 | 27,491 | ||||||
Mentor Graphics Corp. | 1,717 | 34,907 | ||||||
Methode Electronics, Inc. | 409 | 11,959 | ||||||
Microsemi Corp. † | 2,115 | 81,026 | ||||||
MicroStrategy, Inc., Class A † | 222 | 39,898 | ||||||
MKS Instruments, Inc. | 1,001 | 37,688 | ||||||
Monolithic Power Systems, Inc. | 99 | 6,300 | ||||||
Monster Worldwide, Inc. †(a) | 2,573 | 8,388 | ||||||
NeoPhotonics Corp. † | 1,656 | 23,250 | ||||||
NETGEAR, Inc. † | 862 | 34,799 | ||||||
NeuStar, Inc., Class A †(a) | 1,373 | 33,776 | ||||||
OSI Systems, Inc. † | 100 | 6,549 | ||||||
PC Connection, Inc. | 203 | 5,239 | ||||||
PDF Solutions, Inc. † | 512 | 6,851 | ||||||
Perficient, Inc. † | 100 | 2,172 | ||||||
PFSweb, Inc. † | 100 | 1,312 | ||||||
Photronics, Inc. † | 2,118 | 22,048 | ||||||
Plantronics, Inc. | 624 | 24,455 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 18.7% (continued) | ||||||||
Plexus Corp. † | 115 | $ | 4,545 | |||||
Polycom, Inc. † | 2,176 | 24,262 | ||||||
Progress Software Corp. † | 223 | 5,379 | ||||||
QAD, Inc., Class A | 107 | 2,274 | ||||||
QLogic Corp. † | 1,916 | 25,751 | ||||||
Qualys, Inc. † | 204 | 5,163 | ||||||
Rambus, Inc. † | 447 | 6,146 | ||||||
RetailMeNot, Inc. † | 777 | 6,224 | ||||||
Rofin-Sinar Technologies, Inc. † | 313 | 10,085 | ||||||
Rovi Corp. † | 233 | 4,779 | ||||||
Rubicon Project, Inc. (The) † | 289 | 5,283 | ||||||
Rudolph Technologies, Inc. † | 1,202 | 16,419 | ||||||
Sanmina Corp. † | 1,361 | 31,820 | ||||||
Sapiens International Corp. NV (Israel) | 322 | 3,858 | ||||||
ShoreTel, Inc. † | 1,371 | 10,200 | ||||||
Sigma Designs, Inc. † | 400 | 2,720 | ||||||
Stamps.com, Inc. † | 354 | 37,623 | ||||||
Super Micro Computer, Inc. † | 220 | 7,498 | ||||||
Sykes Enterprises, Inc. † | 1,321 | 39,868 | ||||||
Synaptics, Inc. † | 618 | 49,279 | ||||||
SYNNEX Corp. | 763 | 70,646 | ||||||
Syntel, Inc. † | 631 | 31,506 | ||||||
Take-Two Interactive Software, Inc. † | 1,661 | 62,570 | ||||||
Tech Data Corp. † | 812 | 62,337 | ||||||
TeleTech Holdings, Inc. | 622 | 17,267 | ||||||
Tessera Technologies, Inc. | 873 | 27,063 | ||||||
TTM Technologies, Inc. † | 1,290 | 8,578 | ||||||
Ubiquiti Networks, Inc. †(a) | 823 | 27,381 | ||||||
United Online, Inc. † | 320 | 3,693 | ||||||
VASCO Data Security International, Inc. †(a) | 371 | 5,713 | ||||||
Vishay Intertechnology, Inc. | 1,424 | 17,387 | ||||||
Web.com Group, Inc. † | 754 | 14,944 | ||||||
Xcerra Corp. † | 300 | 1,956 | ||||||
Zix Corp. † | 1,315 | 5,168 | ||||||
|
| |||||||
2,361,369 | ||||||||
|
| |||||||
Materials - 2.5% | ||||||||
AEP Industries, Inc. | 157 | 10,362 | ||||||
American Vanguard Corp. † | 513 | 8,095 | ||||||
Chemtura Corp. † | 878 | 23,179 | ||||||
Clearwater Paper Corp. † | 86 | 4,172 | ||||||
Commercial Metals Co. | 2,391 | 40,575 | ||||||
FutureFuel Corp. | 417 | 4,916 | ||||||
Headwaters, Inc. † | 874 | 17,340 | ||||||
Innospec, Inc. | 805 | 34,905 | ||||||
Kaiser Aluminum Corp. | 200 | 16,908 | ||||||
KMG Chemicals, Inc. | 139 | 3,207 | ||||||
Kraton Performance Polymers, Inc. † | 733 | 12,681 | ||||||
Materion Corp. | 186 | 4,925 | ||||||
Minerals Technologies, Inc. | 163 | 9,267 | ||||||
Neenah Paper, Inc. | 279 | 17,761 | ||||||
Rayonier Advanced Materials, Inc. | 284 | 2,698 | ||||||
Schweitzer-Mauduit International, Inc. | 171 | 5,383 | ||||||
Stepan Co. | 426 | 23,554 | ||||||
Trinseo SA † | 872 | 32,098 | ||||||
US Concrete, Inc. † | 310 | 18,470 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
32
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Materials - 2.5% (continued) | ||||||||
Worthington Industries, Inc. | 680 | $ | 24,235 | |||||
|
| |||||||
314,731 | ||||||||
|
| |||||||
Telecommunication Services - 0.7% | ||||||||
Atlantic Tele-Network, Inc. | 62 | 4,701 | ||||||
Cincinnati Bell, Inc. † | 1,611 | 6,235 | ||||||
FairPoint Communications, Inc. †(a) | 285 | 4,241 | ||||||
General Communication, Inc., Class A † | 525 | 9,618 | ||||||
Inteliquent, Inc. | 692 | 11,107 | ||||||
Intelsat SA (Luxembourg) † | 1,731 | 4,362 | ||||||
Iridium Communications, Inc. †(a) | 891 | 7,012 | ||||||
Shenandoah Telecommunications Co. | 666 | 17,816 | ||||||
Spok Holdings, Inc. | 387 | 6,776 | ||||||
Vonage Holdings Corp. † | 2,571 | 11,749 | ||||||
|
| |||||||
83,617 | ||||||||
|
| |||||||
Utilities - 1.2% | ||||||||
New Jersey Resources Corp. | 100 | 3,643 | ||||||
ONE Gas, Inc. | 1,344 | 82,119 | ||||||
Ormat Technologies, Inc. | 296 | 12,207 | ||||||
Piedmont Natural Gas Co., Inc. | 398 | 23,812 | ||||||
Portland General Electric Co. | 347 | 13,703 | ||||||
Spark Energy, Inc., Class A | 189 | 3,402 | ||||||
WGL Holdings, Inc. | 156 | 11,290 | ||||||
|
| |||||||
150,176 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 11,852,318 | |||||||
|
| |||||||
EXCHANGE TRADED FUND - 3.4% | ||||||||
iShares Russell 2000 Fund (a) | ||||||||
(cost $381,553) | 3,793 | 419,581 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT - 0.9% | ||||||||
Investment company - 0.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (2)(b) | ||||||||
(cost $114,340) | 114,340 | 114,340 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 9.0% | ||||||||
Money Market Funds - 9.0% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
Dreyfus Treasury Cash Management, 0.180% (2)(b)(c) | ||||||||
(cost $1,139,174) | 1,139,174 | 1,139,174 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 13,525,413 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (7.2%) | (905,799) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 12,619,614 | ||||||
|
|
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 $1,116,770; cash collateral of $1,139,174 was received with which the Fund purchased a money market fund. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
(c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All | securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses. |
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
33
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
COMMON STOCKS - 90.4% | SHARES | VALUE (Note 4) | ||||||
Australia - 4.1% | ||||||||
Aurizon Holdings Ltd. | 17,908 | $ | 54,418 | |||||
Bank of Queensland Ltd. | 3,605 | 33,425 | ||||||
Caltex Australia Ltd. | 4,126 | 107,611 | ||||||
Challenger Ltd. | 15,303 | 98,204 | ||||||
CIMIC Group Ltd. | 14,364 | 382,164 | ||||||
Cochlear Ltd. | 1,474 | 115,293 | ||||||
Dexus Property Group REIT | 33,527 | 203,597 | ||||||
Flight Centre Travel Group Ltd. | 5,956 | 197,268 | ||||||
Goodman Group REIT | 30,886 | 157,959 | ||||||
GPT Group (The) REIT | 19,876 | 76,091 | ||||||
Harvey Norman Holdings Ltd. | 18,350 | 66,012 | ||||||
Incitec Pivot Ltd. | 100,256 | 244,685 | ||||||
Insurance Australia Group Ltd. | 25,219 | 107,708 | ||||||
Macquarie Group Ltd. | 8,404 | 425,361 | ||||||
Orica Ltd. | 10,398 | 122,301 | ||||||
Qantas Airways Ltd. † | 109,714 | 342,457 | ||||||
QBE Insurance Group Ltd. | 39,637 | 331,235 | ||||||
Scentre Group REIT | 16,646 | 56,663 | ||||||
Tabcorp Holdings Ltd. | 117,362 | 384,852 | ||||||
Telstra Corp. Ltd. | 98,332 | 401,290 | ||||||
Woodside Petroleum Ltd. | 5,055 | 101,119 | ||||||
|
| |||||||
4,009,713 | ||||||||
|
| |||||||
Austria - 1.4% | ||||||||
Erste Group Bank AG † | 17,355 | 487,103 | ||||||
OMV AG | 23,398 | 656,976 | ||||||
Raiffeisen Bank International AG † | 17,652 | 266,777 | ||||||
|
| |||||||
1,410,856 | ||||||||
|
| |||||||
Belgium - 1.0% | ||||||||
Ageas | 7,303 | 289,026 | ||||||
Colruyt SA | 1,555 | 90,430 | ||||||
Groupe Bruxelles Lambert SA | 1,467 | 120,868 | ||||||
KBC Groep NV | 7,156 | 368,518 | ||||||
Proximus | 4,280 | 146,052 | ||||||
|
| |||||||
1,014,894 | ||||||||
|
| |||||||
Canada - 4.7% | ||||||||
Alimentation Couche-Tard, Inc., Class B (1) | 20,260 | 901,658 | ||||||
Bank of Montreal (1) | 8,976 | 545,091 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 5,220 | 181,549 | ||||||
Canadian Imperial Bank of Commerce (1) | 5,176 | 386,661 | ||||||
CCL Industries, Inc., Class B (1) | 491 | 93,191 | ||||||
CGI Group, Inc., Class A (1)† | 1,377 | 65,810 | ||||||
Empire Co. Ltd., Class A (1) | 11,929 | 206,662 | ||||||
Fairfax Financial Holdings Ltd. (1) | 432 | 241,844 | ||||||
George Weston Ltd. (1) | 3,260 | 291,875 | ||||||
Great-West Lifeco, Inc. (1) | 2,283 | 62,825 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. (1) | 4,386 | 132,382 | ||||||
Intact Financial Corp. (1) | 5,015 | 351,118 | ||||||
Linamar Corp. (1) | 848 | 40,802 | ||||||
Loblaw Cos. Ltd. (1) | 3,527 | 197,485 | ||||||
Metro, Inc. (1) | 8,741 | 303,268 | ||||||
National Bank of Canada (1) | 2,436 | 79,696 | ||||||
Open Text Corp. (1) | 727 | 37,661 | ||||||
Sun Life Financial, Inc. (1) | 13,151 | 424,275 | ||||||
|
| |||||||
4,543,853 | ||||||||
|
|
SHARES | VALUE (Note 4) | |||||||
China - 0.1% | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 75,300 | $ | 54,690 | |||||
|
| |||||||
Denmark - 1.7% | ||||||||
Danske Bank A/S | 6,153 | 173,640 | ||||||
DSV A/S | 3,454 | 143,667 | ||||||
ISS A/S | 9,462 | 379,490 | ||||||
Pandora A/S | 2,282 | 298,344 | ||||||
Tryg A/S | 6,835 | 132,372 | ||||||
Vestas Wind Systems A/S | 2,134 | 150,361 | ||||||
William Demant Holding A/S † | 3,932 | 394,932 | ||||||
|
| |||||||
1,672,806 | ||||||||
|
| |||||||
Finland - 1.3% | ||||||||
Elisa OYJ † | 9,378 | 364,159 | ||||||
Neste OYJ | 9,396 | 308,773 | ||||||
Nokia OYJ | 18,647 | 110,618 | ||||||
Nokian Renkaat OYJ | 6,766 | 238,708 | ||||||
Stora Enso OYJ, Class R | 9,570 | 85,504 | ||||||
UPM-Kymmene OYJ | 9,397 | 169,894 | ||||||
|
| |||||||
1,277,656 | ||||||||
|
| |||||||
France - 8.4% | ||||||||
AXA SA | 23,754 | 557,001 | ||||||
BNP Paribas SA | 20,284 | 1,019,080 | ||||||
Cap Gemini SA | 2,566 | 240,702 | ||||||
Christian Dior SE | 1,872 | 338,973 | ||||||
Cie Generale des Etablissements Michelin | 5,596 | 571,735 | ||||||
Credit Agricole SA | 2,641 | 28,559 | ||||||
Engie | 1,980 | 30,677 | ||||||
Eurazeo SA | 4,415 | 298,201 | ||||||
Ingenico Group | 245 | 28,085 | ||||||
Lagardere SCA | 4,168 | 110,554 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 3,282 | 560,817 | ||||||
Numericable-SFR SA | 2,420 | 101,634 | ||||||
Orange SA | 13,955 | 243,695 | ||||||
Peugeot SA † | 15,743 | 269,332 | ||||||
Renault SA | 1,560 | 155,029 | ||||||
Safran SA | 2,646 | 184,691 | ||||||
Sanofi | 3,215 | 258,473 | ||||||
SCOR SE | 9,744 | 343,534 | ||||||
Societe BIC SA | 2,694 | 404,787 | ||||||
Societe Generale SA | 12,740 | 470,768 | ||||||
Suez Environnement Co. | 8,710 | 159,448 | ||||||
Thales SA | 784 | 68,510 | ||||||
TOTAL SA | 9,782 | 445,094 | ||||||
Valeo SA | 2,236 | 347,695 | ||||||
Veolia Environnement SA | 9,160 | 220,470 | ||||||
Vinci SA | 8,165 | 606,040 | ||||||
Vivendi SA | 8,362 | 175,242 | ||||||
|
| |||||||
8,238,826 | ||||||||
|
| |||||||
Germany - 6.9% | ||||||||
adidas AG | 4,539 | 529,977 | ||||||
Allianz SE | 7,101 | 1,153,239 | ||||||
Brenntag AG | 2,138 | 121,829 | ||||||
Continental AG | 3,513 | 796,783 | ||||||
Deutsche Lufthansa AG † | 9,530 | 153,809 | ||||||
Deutsche Telekom AG | 33,737 | 604,848 | ||||||
Evonik Industries AG | 6,188 | 185,066 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
34
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Germany - 6.9% (continued) | ||||||||
Hannover Rueck SE | 5,172 | $ | 601,102 | |||||
HeidelbergCement AG | 2,638 | 225,431 | ||||||
Infineon Technologies AG | 27,628 | 391,719 | ||||||
Merck KGaA | 520 | 43,255 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 4,761 | 966,218 | ||||||
OSRAM Licht AG | 2,105 | 108,209 | ||||||
ProSiebenSat.1 Media SE | 9,280 | 476,388 | ||||||
Telefonica Deutschland Holding AG | 62,162 | 336,034 | ||||||
|
| |||||||
6,693,907 | ||||||||
|
| |||||||
Hong Kong - 2.3% | ||||||||
BOC Hong Kong Holdings Ltd. | 24,500 | 73,187 | ||||||
Cathay Pacific Airways Ltd. | 22,000 | 38,104 | ||||||
CK Hutchison Holdings Ltd. | 4,000 | 51,968 | ||||||
Hang Seng Bank Ltd. | 17,300 | 306,106 | ||||||
Henderson Land Development Co. Ltd. | 42,400 | 260,727 | ||||||
Hysan Development Co. Ltd. | 9,000 | 38,355 | ||||||
Kerry Properties Ltd. | 25,000 | 68,640 | ||||||
Link REIT | 6,500 | 38,614 | ||||||
NWS Holdings Ltd. | 50,000 | 79,737 | ||||||
PCCW Ltd. | 228,000 | 147,679 | ||||||
Sino Land Co. Ltd. | 152,000 | 241,443 | ||||||
Swire Properties Ltd. | 12,400 | 33,564 | ||||||
Techtronic Industries Co. Ltd. | 56,000 | 221,844 | ||||||
WH Group Ltd. 144A †(a) | 531,000 | 384,025 | ||||||
Wheelock & Co. Ltd. | 46,000 | 205,548 | ||||||
Yue Yuen Industrial Holdings Ltd. | 20,000 | 68,761 | ||||||
|
| |||||||
2,258,302 | ||||||||
|
| |||||||
Ireland - 0.1% | ||||||||
Shire plc | 1,532 | 87,377 | ||||||
|
| |||||||
Italy - 3.0% | ||||||||
Assicurazioni Generali SpA | 25,680 | 380,143 | ||||||
Banco Popolare SC † | 21,355 | 146,639 | ||||||
Enel SpA | 35,388 | 156,883 | ||||||
Eni SpA | 21,389 | 323,032 | ||||||
Intesa Sanpaolo SpA | 282,096 | 780,000 | ||||||
Mediobanca SpA | 29,080 | 209,131 | ||||||
Prysmian SpA | 8,786 | 198,786 | ||||||
Snam SpA | 18,414 | 115,235 | ||||||
Terna Rete Elettrica Nazionale SpA | 27,302 | 155,671 | ||||||
UniCredit SpA | 94,774 | 341,660 | ||||||
UnipolSai SpA | 49,542 | 114,417 | ||||||
|
| |||||||
2,921,597 | ||||||||
|
| |||||||
Japan - 32.1% | ||||||||
Acom Co. Ltd. † | 16,500 | 83,079 | ||||||
Aeon Co. Ltd. | 2,700 | 39,004 | ||||||
AEON Financial Service Co. Ltd. | 12,000 | 282,508 | ||||||
Aisin Seiki Co. Ltd. | 6,400 | 240,895 | ||||||
Alfresa Holdings Corp. | 16,200 | 310,909 | ||||||
Alps Electric Co. Ltd. | 17,000 | 296,635 | ||||||
Amada Holdings Co. Ltd. | 12,500 | 121,797 | ||||||
Bandai Namco Holdings, Inc. | 8,000 | 174,387 | ||||||
Bank of Yokohama Ltd. (The) | 46,000 | 206,965 | ||||||
Bridgestone Corp. | 10,900 | 406,819 | ||||||
Casio Computer Co. Ltd. | 6,200 | 125,041 |
SHARES | VALUE (Note 4) | |||||||
Japan - 32.1% (continued) | ||||||||
Central Japan Railway Co. | 4,000 | $ | 707,406 | |||||
Chiba Bank Ltd. (The) | 34,000 | 169,343 | ||||||
Chubu Electric Power Co., Inc. | 29,700 | 414,474 | ||||||
Credit Saison Co. Ltd. | 2,900 | 50,448 | ||||||
Daicel Corp. | 5,900 | 80,425 | ||||||
Dai-ichi Life Insurance Co. Ltd. (The) | 62,900 | 762,316 | ||||||
Daiichi Sankyo Co. Ltd. | 19,300 | 428,366 | ||||||
Daikin Industries Ltd. | 1,100 | 82,153 | ||||||
Daiwa Securities Group, Inc. | 17,000 | 104,489 | ||||||
Dentsu, Inc. | 4,800 | 240,799 | ||||||
Eisai Co. Ltd. | 2,200 | 132,268 | ||||||
Fuji Heavy Industries Ltd. | 15,400 | 543,824 | ||||||
FUJIFILM Holdings Corp. | 7,500 | 296,455 | ||||||
Fukuoka Financial Group, Inc. | 36,000 | 117,269 | ||||||
Gunma Bank Ltd. (The) | 24,000 | 99,128 | ||||||
Hachijuni Bank Ltd. (The) | 35,000 | 150,783 | ||||||
Hiroshima Bank Ltd. (The) | 75,000 | 273,656 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 2,300 | 102,788 | ||||||
Hitachi Chemical Co. Ltd. | 4,200 | 75,473 | ||||||
Hokuhoku Financial Group, Inc. | 113,000 | 148,480 | ||||||
Honda Motor Co. Ltd. | 31,800 | 869,447 | ||||||
Hoya Corp. | 3,200 | 121,634 | ||||||
Idemitsu Kosan Co. Ltd. | 8,300 | 148,099 | ||||||
Iida Group Holdings Co. Ltd. | 20,600 | 401,202 | ||||||
Isuzu Motors Ltd. | 2,500 | 25,787 | ||||||
ITOCHU Corp. | 11,900 | 146,237 | ||||||
Itochu Techno-Solutions Corp. | 1,300 | 24,529 | ||||||
Iyo Bank Ltd. (The) | 18,300 | 119,644 | ||||||
Japan Airlines Co. Ltd. | 5,400 | 197,964 | ||||||
JTEKT Corp. | 13,900 | 180,372 | ||||||
JX Holdings, Inc. | 203,500 | 783,549 | ||||||
Kaneka Corp. | 20,000 | 171,257 | ||||||
Kansai Electric Power Co., Inc. (The) † | 29,500 | 261,010 | ||||||
KDDI Corp. | 22,900 | 610,990 | ||||||
Koito Manufacturing Co. Ltd. | 8,500 | 384,887 | ||||||
Konami Holdings Corp. | 4,200 | 124,127 | ||||||
Konica Minolta, Inc. | 4,100 | 34,775 | ||||||
Kose Corp. | 3,700 | 359,704 | ||||||
Mabuchi Motor Co. Ltd. | 1,600 | 74,439 | ||||||
Mazda Motor Corp. | 10,000 | 155,218 | ||||||
Medipal Holdings Corp. | 13,000 | 205,629 | ||||||
MEIJI Holdings Co. Ltd. | 2,900 | 233,040 | ||||||
Minebea Co. Ltd. | 9,000 | 70,168 | ||||||
Mitsubishi Chemical Holdings Corp. | 39,900 | 208,322 | ||||||
Mitsubishi Electric Corp. | 7,000 | 73,346 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 349,000 | 1,617,128 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 39,800 | 174,497 | ||||||
Mitsui Chemicals, Inc. | 36,000 | 119,831 | ||||||
Mixi, Inc. | 7,200 | 267,030 | ||||||
Mizuho Financial Group, Inc. | 490,900 | 731,580 | ||||||
MS&AD Insurance Group Holdings, Inc. | 15,200 | 423,643 | ||||||
Murata Manufacturing Co. Ltd. | 6,200 | 748,134 | ||||||
Nexon Co. Ltd. | 25,700 | 438,298 | ||||||
NHK Spring Co. Ltd. | 3,200 | 30,601 | ||||||
Nippon Telegraph & Telephone Corp. | 23,500 | 1,015,141 | ||||||
Nissan Motor Co. Ltd. | 54,500 | 503,866 | ||||||
Nitto Denko Corp. | 6,600 | 367,775 | ||||||
NOK Corp. | 12,900 | 220,080 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
35
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 32.1% (continued) | ||||||||
Nomura Holdings, Inc. | 140,700 | $ | 628,416 | |||||
Nomura Real Estate Holdings, Inc. | 2,700 | 49,842 | ||||||
NSK Ltd. | 27,800 | 254,451 | ||||||
NTT Data Corp. | 700 | 35,104 | ||||||
NTT DOCOMO, Inc. | 16,700 | 379,615 | ||||||
Obayashi Corp. | 15,600 | 153,764 | ||||||
ORIX Corp. | 43,500 | 619,580 | ||||||
Otsuka Corp. | 1,500 | 79,127 | ||||||
Otsuka Holdings Co. Ltd. | 7,900 | 286,941 | ||||||
Panasonic Corp. | 6,500 | 58,869 | ||||||
Park24 Co. Ltd. | 2,800 | 78,340 | ||||||
Ryohin Keikaku Co. Ltd. | 500 | 105,635 | ||||||
Santen Pharmaceutical Co. Ltd. | 12,200 | 183,372 | ||||||
Sekisui House Ltd. | 11,100 | 187,275 | ||||||
Seven & i Holdings Co. Ltd. | 14,000 | 596,508 | ||||||
Shimadzu Corp. | 15,000 | 235,326 | ||||||
Shimamura Co. Ltd. | 300 | 37,449 | ||||||
Shimizu Corp. | 10,000 | 84,694 | ||||||
Shinsei Bank Ltd. | 27,000 | 35,238 | ||||||
Shionogi & Co. Ltd. | 11,000 | 517,013 | ||||||
Shiseido Co. Ltd. | 3,500 | 77,973 | ||||||
Shizuoka Bank Ltd. (The) | 10,000 | 72,102 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 13,100 | 371,273 | ||||||
Sony Corp. | 27,400 | 704,485 | ||||||
Sumitomo Chemical Co. Ltd. | 63,000 | 285,164 | ||||||
Sumitomo Electric Industries Ltd. | 2,200 | 26,677 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 30,900 | 938,052 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 37,000 | 108,317 | ||||||
Suzuken Co. Ltd. | 8,000 | 271,529 | ||||||
Suzuki Motor Corp. | 7,700 | 205,888 | ||||||
T&D Holdings, Inc. | 35,500 | 331,607 | ||||||
TDK Corp. | 4,700 | 260,784 | ||||||
Teijin Ltd. | 43,000 | 149,739 | ||||||
Toho Gas Co. Ltd. | 13,000 | 92,273 | ||||||
Tohoku Electric Power Co., Inc. | 15,800 | 203,622 | ||||||
Tokio Marine Holdings, Inc. | 12,200 | 412,213 | ||||||
Tokyo Electric Power Co., Inc. † | 111,000 | 609,795 | ||||||
Toppan Printing Co. Ltd. | 10,000 | 83,842 | ||||||
TOTO Ltd. | 5,300 | 164,972 | ||||||
Toyo Seikan Group Holdings Ltd. | 5,000 | 93,563 | ||||||
Toyota Motor Corp. | 4,300 | 228,052 | ||||||
West Japan Railway Co. | 4,200 | 259,338 | ||||||
Yahoo Japan Corp. | 6,400 | 27,240 | ||||||
Yamaguchi Financial Group, Inc. | 14,000 | 127,107 | ||||||
Yamaha Corp. | 8,200 | 246,671 | ||||||
Yamaha Motor Co. Ltd. | 9,200 | 152,911 | ||||||
Yamazaki Baking Co. Ltd. | 12,000 | 252,581 | ||||||
|
| |||||||
31,275,691 | ||||||||
|
| |||||||
Luxembourg - 0.3% | ||||||||
Tenaris SA | 25,416 | 315,356 | ||||||
|
| |||||||
Netherlands - 3.4% | ||||||||
Boskalis Westminster | 3,985 | 156,184 | ||||||
ING Groep NV CVA | 82,031 | 981,650 | ||||||
Koninklijke Ahold NV | 25,703 | 577,323 | ||||||
NN Group NV | 20,994 | 685,343 | ||||||
Randstad Holding NV | 4,934 | 272,908 |
SHARES | VALUE (Note 4) | |||||||
Netherlands - 3.4% (continued) | ||||||||
Wolters Kluwer NV | 16,618 | $ | 662,352 | |||||
|
| |||||||
3,335,760 | ||||||||
|
| |||||||
Portugal - 0.4% | ||||||||
Galp Energia SGPS SA | 8,228 | 103,318 | ||||||
Jeronimo Martins SGPS SA | 15,231 | 248,981 | ||||||
|
| |||||||
352,299 | ||||||||
|
| |||||||
Singapore - 0.8% | ||||||||
CapitaLand Commercial Trust Ltd. REIT | 42,100 | 45,950 | ||||||
ComfortDelGro Corp. Ltd. | 57,000 | 123,540 | ||||||
DBS Group Holdings Ltd. | 14,300 | 162,905 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 37,100 | 243,142 | ||||||
United Overseas Bank Ltd. | 12,400 | 173,451 | ||||||
|
| |||||||
748,988 | ||||||||
|
| |||||||
South Africa - 0.3% | ||||||||
Mondi plc | 12,922 | 247,111 | ||||||
|
| |||||||
Spain - 1.9% | ||||||||
Endesa SA | 18,999 | 364,083 | ||||||
Ferrovial SA | 17,019 | 365,244 | ||||||
Gas Natural SDG SA | 2,169 | 43,789 | ||||||
Iberdrola SA | 121,604 | 809,513 | ||||||
Industria de Diseno Textil SA | 7,838 | 262,727 | ||||||
|
| |||||||
1,845,356 | ||||||||
|
| |||||||
Sweden - 0.6% | ||||||||
Investor AB, Class B | 2,740 | 96,857 | ||||||
Nordea Bank AB | 33,639 | 322,662 | ||||||
Securitas AB, Class B | 10,323 | 170,706 | ||||||
Swedish Match AB | 1,210 | 41,017 | ||||||
|
| |||||||
631,242 | ||||||||
|
| |||||||
Switzerland - 4.9% | ||||||||
Actelion Ltd. † | 534 | 79,694 | ||||||
Adecco SA † | 3,018 | 196,324 | ||||||
Baloise Holding AG | 8,007 | 1,016,347 | ||||||
Coca-Cola HBC AG † | 14,323 | 303,738 | ||||||
Credit Suisse Group AG † | 21,171 | 298,976 | ||||||
Givaudan SA | 136 | 266,533 | ||||||
Sika AG | 35 | 138,552 | ||||||
Swiss Life Holding AG † | 2,494 | 661,828 | ||||||
Swiss Re AG | 12,164 | 1,123,220 | ||||||
UBS Group AG | 29,019 | 466,801 | ||||||
Zurich Insurance Group AG † | 998 | 231,448 | ||||||
|
| |||||||
4,783,461 | ||||||||
|
| |||||||
United Kingdom - 10.7% | ||||||||
3i Group plc | 26,738 | 174,833 | ||||||
Aviva plc | 24,923 | 162,733 | ||||||
BAE Systems plc | 22,878 | 166,879 | ||||||
Barclays plc | 20,544 | 44,100 | ||||||
Barratt Developments plc | 19,908 | 159,822 | ||||||
British Land Co. plc (The) REIT | 9,564 | 96,003 | ||||||
BT Group plc | 181,125 | 1,143,652 | ||||||
Direct Line Insurance Group plc | 144,477 | 766,335 | ||||||
Dixons Carphone plc | 43,998 | 268,889 | ||||||
Fiat Chrysler Automobiles NV | 32,719 | 264,036 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
36
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 10.7% (continued) | ||||||||
Hammerson plc REIT | 5,925 | $ | 49,153 | |||||
HSBC Holdings plc | 32,248 | 200,549 | ||||||
Imperial Brands plc | 6,967 | 385,744 | ||||||
Inmarsat plc | 3,105 | 43,799 | ||||||
International Consolidated Airlines Group SA | 49,051 | 390,294 | ||||||
Intertek Group plc | 11,369 | 516,207 | ||||||
Intu Properties plc REIT | 21,010 | 94,206 | ||||||
J Sainsbury plc | 14,763 | 58,501 | ||||||
Kingfisher plc | 79,044 | 426,331 | ||||||
Land Securities Group plc REIT | 4,025 | 63,464 | ||||||
Legal & General Group plc | 34,823 | 117,335 | ||||||
Marks & Spencer Group plc | 47,875 | 278,984 | ||||||
National Grid plc | 53,255 | 753,524 | ||||||
Old Mutual plc | 11,016 | 30,428 | ||||||
Persimmon plc | 14,991 | 447,950 | ||||||
Petrofac Ltd. | 9,586 | 126,510 | ||||||
Prudential plc | 5,602 | 104,245 | ||||||
Royal Mail plc | 71,876 | 495,627 | ||||||
Sage Group plc (The) | 39,230 | 353,714 | ||||||
Segro plc REIT | 57,152 | 336,174 | ||||||
Sky plc | 36,287 | 533,221 | ||||||
Taylor Wimpey plc | 124,147 | 338,346 | ||||||
Vodafone Group plc | 135,401 | 430,258 | ||||||
William Hill plc | 25,380 | 118,745 | ||||||
WPP plc | 20,607 | 479,639 | ||||||
|
| |||||||
10,420,230 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 88,139,971 | |||||||
|
| |||||||
EXCHANGE TRADED FUND - 8.5% | ||||||||
iShares MSCI EAFE Fund (1) | ||||||||
(cost $8,012,223) | 145,107 | 8,289,963 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT - 1.0% | ||||||||
Investment Company - 1.0% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (b) | ||||||||
(cost $953,110) | 953,110 | 953,110 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 97,383,044 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% | 142,997 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 97,526,041 | ||||||
|
|
† | Non-income producing security. |
(a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser 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
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 16,293,315 | 16.7 | % | ||||
Consumer Staples | 5,549,518 | 5.7 | ||||||
Energy | 3,419,436 | 3.5 | ||||||
Exchange Traded Fund | 8,289,963 | 8.5 | ||||||
Financials | 32,368,703 | 33.3 | ||||||
Health Care | 3,539,475 | 3.6 | ||||||
Industrials | 9,110,913 | 9.3 | ||||||
Information Technology | 4,095,873 | 4.2 | ||||||
Materials | 3,329,816 | 3.4 | ||||||
Telecommunication Services | 6,042,454 | 6.2 | ||||||
Utilities | 4,390,468 | 4.5 | ||||||
Short-Term Investment | 953,110 | 1.0 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 97,383,044 | 99.9 | ||||||
Other Assets in Excess of Liabilities | 142,997 | 0.1 | ||||||
|
|
|
| |||||
Net Assets | $ | 97,526,041 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
37
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM EMERGING MULTI-STYLE FUND |
COMMON STOCKS - 91.1% | SHARES | VALUE (Note 4) | ||||||
Brazil - 4.2% | ||||||||
Ambev SA ADR (1) | 154,942 | $ | 802,600 | |||||
Banco Bradesco SA ADR (1) | 70,800 | 527,460 | ||||||
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros (1) | 74,400 | 316,583 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR (1) | 20,200 | 133,320 | ||||||
Cia Energetica de Minas Gerais ADR (1) | 113,611 | 256,761 | ||||||
EDP - Energias do Brasil SA (1) | 259,700 | 902,105 | ||||||
Equatorial Energia SA (1) | 112,200 | 1,275,635 | ||||||
Fibria Celulose SA ADR (1) | 89,150 | 755,992 | ||||||
Itau Unibanco Holding SA ADR (1) | 40,863 | 351,013 | ||||||
JBS SA (1) | 690,100 | 2,099,674 | ||||||
Kroton Educacional SA (1) | 104,500 | 333,642 | ||||||
Lojas Renner SA (1) | 95,900 | 556,359 | ||||||
Natura Cosmeticos SA (1) | 22,400 | 166,521 | ||||||
Porto Seguro SA (1) | 92,300 | 697,708 | ||||||
Qualicorp SA (1)† | 23,100 | 95,724 | ||||||
Telefonica Brasil SA ADR (1) | 13,425 | 167,678 | ||||||
Ultrapar Participacoes SA (1) | 38,300 | 741,576 | ||||||
|
| |||||||
10,180,351 | ||||||||
|
| |||||||
Chile - 1.3% | ||||||||
Banco Santander Chile ADR (1) | 11,323 | 219,100 | ||||||
Cencosud SA (1) | 266,801 | 672,917 | ||||||
Cia Cervecerias Unidas SA ADR (1) | 29,511 | 662,522 | ||||||
Corpbanca SA (1) | 36,427,789 | 333,119 | ||||||
Enersis Americas SA ADR (1) | 85,995 | 1,195,331 | ||||||
|
| |||||||
3,082,989 | ||||||||
|
| |||||||
China - 20.8% | ||||||||
Agricultural Bank of China Ltd., Class H | 3,304,000 | 1,188,647 | ||||||
Air China Ltd., Class H | 132,000 | 93,676 | ||||||
Alibaba Group Holding Ltd. ADR (1)† | 15,942 | 1,259,896 | ||||||
ANTA Sports Products Ltd. | 239,000 | 526,145 | ||||||
Baidu, Inc. ADR (1)† | 4,367 | 833,573 | ||||||
Bank of China Ltd., Class H | 1,847,000 | 766,812 | ||||||
Bank of Communications Co. Ltd., Class H | 791,000 | 520,454 | ||||||
Beijing Capital International Airport Co. Ltd., Class H | 288,000 | 307,586 | ||||||
Belle International Holdings Ltd. | 1,267,000 | 734,461 | ||||||
China Cinda Asset Management Co. Ltd., Class H | 480,000 | 168,468 | ||||||
China CITIC Bank Corp. Ltd., Class H † | 1,133,000 | 694,470 | ||||||
China Communications Services Corp. Ltd., Class H | 862,000 | 393,607 | ||||||
China Construction Bank Corp., Class H | 8,891,000 | 5,691,614 | ||||||
China Everbright Bank Co. Ltd., Class H | 1,956,000 | 950,862 | ||||||
China Galaxy Securities Co. Ltd., Class H | 1,073,500 | 1,045,537 | ||||||
China Life Insurance Co. Ltd., Class H | 27,000 | 66,346 | ||||||
China Merchants Bank Co. Ltd., Class H | 1,164,500 | 2,450,711 | ||||||
China Minsheng Banking Corp. Ltd., Class H | 2,177,000 | 2,033,744 | ||||||
China Pacific Insurance Group Co. Ltd., Class H | 53,200 | 199,790 | ||||||
China Railway Construction Corp. Ltd., Class H | 815,000 | 970,354 | ||||||
China Railway Group Ltd., Class H | 38,000 | 28,869 |
SHARES | VALUE (Note 4) | |||||||
China - 20.8% (continued) | ||||||||
China Southern Airlines Co. Ltd., Class H | 1,870,000 | $ | 1,177,446 | |||||
China Telecom Corp. Ltd., Class H | 2,494,000 | 1,320,382 | ||||||
China Vanke Co. Ltd., Class H | 459,300 | 1,127,092 | ||||||
Chongqing Rural Commercial Bank Co. Ltd., Class H | 1,534,000 | 812,071 | ||||||
CNOOC Ltd. ADR (1) | 24,589 | 2,878,388 | ||||||
Country Garden Holdings Co. Ltd. | 2,237,000 | 889,182 | ||||||
Ctrip.com International Ltd. ADR (1)† | 4,200 | 185,892 | ||||||
Dalian Wanda Commercial Properties Co. Ltd., Class H 144A (a) | 90,000 | 533,317 | ||||||
Dongfeng Motor Group Co. Ltd., Class H | 390,000 | 487,732 | ||||||
Evergrande Real Estate Group Ltd. (b) | 985,000 | 760,511 | ||||||
Geely Automobile Holdings Ltd. | 2,245,000 | 1,113,477 | ||||||
Great Wall Motor Co. Ltd., Class H | 452,500 | 367,455 | ||||||
Guangzhou R&F Properties Co. Ltd., Class H | 198,000 | 283,717 | ||||||
Huadian Power International Corp. Ltd., Class H | 714,000 | 455,577 | ||||||
Huaneng Power International, Inc., Class H | 338,000 | 303,060 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 8,377,000 | 4,692,577 | ||||||
JD.com, Inc. ADR (1)† | 5,598 | 148,347 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 188,000 | 253,176 | ||||||
Longfor Properties Co. Ltd. | 474,000 | 674,324 | ||||||
NetEase, Inc. ADR (1) | 1,313 | 188,521 | ||||||
New China Life Insurance Co. Ltd., Class H | 24,800 | 87,655 | ||||||
People’s Insurance Co. Group of China Ltd. (The), Class H | 1,869,000 | 793,628 | ||||||
PICC Property & Casualty Co. Ltd., Class H | 660,000 | 1,215,237 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 610,500 | 2,929,654 | ||||||
Qihoo 360 Technology Co. Ltd. ADR (1)† | 1,566 | 118,311 | ||||||
Shui On Land Ltd. (b) | 1,860,000 | 502,185 | ||||||
Sino-Ocean Land Holdings Ltd. | 759,500 | 359,918 | ||||||
Sinopec Engineering Group Co. Ltd., Class H | 577,000 | 466,939 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H † | 2,156,000 | 1,094,420 | ||||||
Sinotrans Ltd., Class H | 607,000 | 265,844 | ||||||
Sunac China Holdings Ltd. | 46,000 | 30,997 | ||||||
Tencent Holdings Ltd. | 77,100 | 1,576,261 | ||||||
TravelSky Technology Ltd., Class H | 440,000 | 721,352 | ||||||
Zhejiang Expressway Co. Ltd., Class H | 70,000 | 75,117 | ||||||
ZHuzhou CRRC Times Electric Co. Ltd., Class H | 59,500 | 347,743 | ||||||
ZTE Corp., Class H (3)(c) | 225,200 | 419,340 | ||||||
|
| |||||||
50,582,467 | ||||||||
|
| |||||||
Hong Kong - 7.3% | ||||||||
China Everbright Ltd. | 200,000 | 419,262 | ||||||
China Jinmao Holdings Group Ltd. | 1,118,000 | 311,032 | ||||||
China Mobile Ltd. ADR (1) | 166,399 | 9,226,824 | ||||||
China Overseas Land & Investment Ltd. | 550,000 | 1,741,945 | ||||||
China Power International Development Ltd. | 1,145,000 | 593,113 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
38
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM EMERGING MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Hong Kong - 7.3% (continued) | ||||||||
China Resources Gas Group Ltd. | 18,000 | $ | 51,409 | |||||
China Resources Land Ltd. | 420,000 | 1,077,552 | ||||||
China Resources Power Holdings Co. Ltd. | 278,000 | 519,706 | ||||||
China Taiping Insurance Holdings Co. Ltd. † | 126,000 | 277,508 | ||||||
China Unicom Hong Kong Ltd. | 332,000 | �� | 437,252 | |||||
CITIC Ltd. (b) | 463,000 | 704,447 | ||||||
Far East Horizon Ltd. | 287,000 | 221,103 | ||||||
Guangdong Investment Ltd. | 296,000 | 374,282 | ||||||
Kunlun Energy Co. Ltd. | 390,000 | 339,293 | ||||||
New World China Land Ltd. | 254,000 | 258,848 | ||||||
Nine Dragons Paper Holdings Ltd. | 628,000 | 475,792 | ||||||
Shimao Property Holdings Ltd. | 54,500 | 80,820 | ||||||
Sino Biopharmaceutical Ltd. | 675,000 | 506,420 | ||||||
Yuexiu Property Co. Ltd. (b) | 1,510,000 | 218,102 | ||||||
|
| |||||||
17,834,710 | ||||||||
|
| |||||||
Hungary - 1.1% | ||||||||
MOL Hungarian Oil & Gas plc | 14,849 | 892,567 | ||||||
OTP Bank plc | 33,455 | 839,305 | ||||||
Richter Gedeon Nyrt | 48,882 | 973,788 | ||||||
|
| |||||||
2,705,660 | ||||||||
|
| |||||||
India - 3.7% | ||||||||
Dr. Reddy’s Laboratories Ltd. ADR (1) | 24,235 | 1,095,179 | ||||||
ICICI Bank Ltd. ADR (1) | 272,200 | 1,948,952 | ||||||
Infosys Ltd. ADR (1) | 167,000 | 3,176,340 | ||||||
Reliance Industries Ltd. GDR (LSE) 144A (a) | 2,197 | 67,290 | ||||||
Reliance Industries Ltd. GDR 144A (a) | 5,268 | 166,291 | ||||||
State Bank of India GDR | 15,850 | 464,976 | ||||||
Tata Motors Ltd. ADR (1)† | 63,657 | 1,849,236 | ||||||
Wipro Ltd. ADR (1) | 19,515 | 245,499 | ||||||
|
| |||||||
9,013,763 | ||||||||
|
| |||||||
Indonesia - 1.3% | ||||||||
Bank Negara Indonesia Persero Tbk. PT | 740,300 | 290,219 | ||||||
Bank Rakyat Indonesia Persero Tbk. PT † | 143,500 | 123,488 | ||||||
Gudang Garam Tbk. PT | 60,800 | 299,292 | ||||||
Indofood Sukses Makmur Tbk. PT | 195,300 | 106,402 | ||||||
Lippo Karawaci Tbk. PT | 1,901,500 | 149,751 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 4,384,100 | 1,105,074 | ||||||
United Tractors Tbk. PT | 884,300 | 1,020,038 | ||||||
|
| |||||||
3,094,264 | ||||||||
|
| |||||||
Korea, Republic of - 18.4% | ||||||||
Amorepacific Corp. | 622 | 210,342 | ||||||
AMOREPACIFIC Group | 2,555 | 327,246 | ||||||
BGF retail Co. Ltd. | 4,959 | 711,185 | ||||||
BNK Financial Group, Inc. | 29,001 | 245,954 | ||||||
CJ Corp. | 6,907 | 1,180,954 | ||||||
CJ E&M Corp. | 8,542 | 476,913 | ||||||
Coway Co. Ltd. | 1,040 | 87,596 | ||||||
Daelim Industrial Co. Ltd. | 7,643 | 607,833 | ||||||
Daewoo Securities Co. Ltd. | 121,767 | 880,881 | ||||||
DGB Financial Group, Inc. | 74,019 | 576,154 | ||||||
Dongbu Insurance Co. Ltd. | 15,961 | 1,061,538 | ||||||
E-MART, Inc. | 850 | 130,530 |
SHARES | VALUE (Note 4) | |||||||
Korea, Republic of - 18.4% (continued) | ||||||||
GS Retail Co. Ltd. | 11,644 | $ | 480,308 | |||||
Hana Financial Group, Inc. | 3,462 | 75,114 | ||||||
Hankook Tire Co. Ltd. | 13,098 | 623,022 | ||||||
Hanwha Chemical Corp. | 49,472 | 1,080,862 | ||||||
Hanwha Corp. | 33,133 | 1,028,984 | ||||||
Hanwha Life Insurance Co. Ltd. | 113,353 | 664,367 | ||||||
Hyosung Corp. | 5,605 | 705,437 | ||||||
Hyundai Department Store Co. Ltd. | 2,820 | 339,259 | ||||||
Hyundai Development Co.-Engineering & Construction | 13,898 | 558,856 | ||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 51,378 | 1,492,353 | ||||||
Hyundai Mobis Co. Ltd. | 2,246 | 489,354 | ||||||
Industrial Bank of Korea | 87,145 | 933,522 | ||||||
Kangwon Land, Inc. | 26,291 | 939,854 | ||||||
KB Financial Group, Inc. | 54,931 | 1,525,281 | ||||||
Kia Motors Corp. | 27,109 | 1,145,112 | ||||||
Korea Electric Power Corp. | 42,426 | 2,222,506 | ||||||
Korea Investment Holdings Co. Ltd. | 13,873 | 533,636 | ||||||
Korea Zinc Co. Ltd. | 1,237 | 521,313 | ||||||
Korean Air Lines Co. Ltd. † | 6,799 | 184,139 | ||||||
KT Corp. | 9,982 | 259,320 | ||||||
KT&G Corp. | 11,482 | 1,105,602 | ||||||
LG Chem Ltd. | 4,851 | 1,392,194 | ||||||
LG Display Co. Ltd. | 3,696 | 85,566 | ||||||
LG Household & Health Care Ltd. | 474 | 391,931 | ||||||
LG Innotek Co. Ltd. | 2,151 | 149,178 | ||||||
LG Uplus Corp. | 90,999 | 879,449 | ||||||
Lotte Chemical Corp. | 6,882 | 2,058,202 | ||||||
Lotte Chilsung Beverage Co. Ltd. | 164 | 260,904 | ||||||
Mirae Asset Securities Co. Ltd. | 8,714 | 178,084 | ||||||
NCSoft Corp. | 2,665 | 591,270 | ||||||
NH Investment & Securities Co. Ltd. | 26,063 | 226,503 | ||||||
S-1 Corp. | 5,639 | 436,236 | ||||||
Samsung Electro-Mechanics Co. Ltd. | 9,021 | 463,938 | ||||||
Samsung Electronics Co. Ltd. GDR (LSE) | 2,258 | 1,284,380 | ||||||
Samsung Electronics Co. Ltd. GDR 144A (a) | 8,337 | 4,782,329 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 825 | 213,070 | ||||||
Samsung Life Insurance Co. Ltd. | 2,899 | 298,237 | ||||||
Samsung Securities Co. Ltd. | 16,965 | 592,959 | ||||||
Shinhan Financial Group Co. Ltd. | 38,233 | 1,345,795 | ||||||
Shinsegae Co. Ltd. | 4,246 | 754,317 | ||||||
SK Hynix, Inc. | 5,184 | 127,618 | ||||||
SK Innovation Co. Ltd. | 15,387 | 2,319,052 | ||||||
SK Telecom Co. Ltd. | 665 | 120,504 | ||||||
S-Oil Corp. | 16,503 | 1,415,090 | ||||||
Woori Bank | 126,902 | 1,049,456 | ||||||
|
| |||||||
44,821,589 | ||||||||
|
| |||||||
Malaysia - 1.3% | ||||||||
AirAsia Bhd. | 1,544,800 | 724,708 | ||||||
IHH Healthcare Bhd. | 245,500 | 412,641 | ||||||
Malayan Banking Bhd. | 256,500 | 592,828 | ||||||
MISC Bhd. | 130,500 | 297,651 | ||||||
Public Bank Bhd. | 134,300 | 646,187 | ||||||
Tenaga Nasional Bhd. | 95,400 | 340,823 | ||||||
|
| |||||||
3,014,838 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
39
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM EMERGING MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Malta - 0.7% | ||||||||
Brait SE † | 140,702 | $ | 1,590,321 | |||||
|
| |||||||
Mexico - 2.7% | ||||||||
Alfa SAB de CV, Class A (1) | 277,400 | 556,979 | ||||||
Cemex SAB de CV ADR (1)† | 43,274 | 315,035 | ||||||
Fomento Economico Mexicano SAB de CV ADR (1) | 5,871 | 565,436 | ||||||
Gentera SAB de CV (1) | 89,800 | 176,511 | ||||||
Gruma SAB de CV, Class B (1) | 87,600 | 1,387,786 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | 42,000 | 374,708 | ||||||
Grupo Aeroportuario del Sureste SAB de CV ADR (1) | 1,140 | 171,194 | ||||||
Grupo Bimbo SAB de CV, Series A (1)† | 58,600 | 173,217 | ||||||
Grupo Financiero Banorte SAB de CV, Class O (1) | 94,700 | 534,036 | ||||||
Grupo Financiero Santander Mexico SAB de CV, Class B ADR (1) | 33,807 | 305,277 | ||||||
Grupo Lala SAB de CV (1) | 351,900 | 958,923 | ||||||
Grupo Televisa SAB ADR (1) | 15,696 | 431,012 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A (1) | 153,900 | 370,294 | ||||||
OHL Mexico SAB de CV (1)† | 106,600 | 168,688 | ||||||
Promotora y Operadora de Infraestructura SAB de CV (1) | 11,280 | 149,981 | ||||||
|
| |||||||
6,639,077 | ||||||||
|
| |||||||
Peru - 0.1% | ||||||||
Credicorp Ltd. (1) | 1,800 | 235,818 | ||||||
|
| |||||||
Philippines - 0.2% | ||||||||
Ayala Corp. | 7,220 | 117,616 | ||||||
BDO Unibank, Inc. | 30,960 | 68,754 | ||||||
Globe Telecom, Inc. | 5,085 | 245,115 | ||||||
JG Summit Holdings, Inc. | 82,720 | 142,595 | ||||||
|
| |||||||
574,080 | ||||||||
|
| |||||||
Poland - 2.3% | ||||||||
Alior Bank SA † | 10,041 | 174,517 | ||||||
Cyfrowy Polsat SA † | 13,989 | 90,929 | ||||||
Enea SA | 97,650 | 311,387 | ||||||
Energa SA | 134,922 | 473,265 | ||||||
Eurocash SA | 69,980 | 999,474 | ||||||
Grupa Azoty SA † | 14,392 | 371,104 | ||||||
Grupa Lotos SA † | 89,626 | 668,508 | ||||||
mBank SA † | 578 | 52,547 | ||||||
Polski Koncern Naftowy Orlen SA | 70,126 | 1,387,183 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 763,487 | 1,086,862 | ||||||
|
| |||||||
5,615,776 | ||||||||
|
| |||||||
Russia - 3.2% | ||||||||
Gazprom PAO ADR (1) | 200,180 | 862,776 | ||||||
Lukoil PJSC ADR (1) | 16,741 | 647,040 | ||||||
MegaFon PJSC GDR | 13,455 | 147,720 | ||||||
MMC Norilsk Nickel PJSC ADR (LSE) | 8,107 | 104,474 | ||||||
MMC Norilsk Nickel PJSC ADR (1) | 77,108 | 999,320 | ||||||
Mobile TeleSystems PJSC ADR (1) | 131,735 | 1,065,736 | ||||||
Novatek OAO GDR | 2,996 | 268,597 | ||||||
Rosneft OAO GDR | 39,038 | 176,740 |
SHARES | VALUE (Note 4) | |||||||
Russia - 3.2% (continued) | ||||||||
Severstal PAO GDR | 84,693 | $ | 894,770 | |||||
Sistema JSFC GDR | 81,093 | 523,064 | ||||||
Surgutneftegas OAO ADR (1) | 50,584 | 296,422 | ||||||
Tatneft PAO ADR (LSE) | 3,417 | 108,356 | ||||||
Tatneft PAO ADR (1) | 53,266 | 1,729,014 | ||||||
|
| |||||||
7,824,029 | ||||||||
|
| |||||||
South Africa - 5.4% | ||||||||
AngloGold Ashanti Ltd. ADR (1)† | 7,058 | 96,624 | ||||||
Barloworld Ltd. | 54,389 | 277,269 | ||||||
Bidvest Group Ltd. (The) | 25,674 | 647,911 | ||||||
Capitec Bank Holdings Ltd. | 10,318 | 399,468 | ||||||
Discovery Ltd. | 10,406 | 85,545 | ||||||
Exxaro Resources Ltd. | 54,605 | 265,402 | ||||||
Hyprop Investments Ltd. REIT | 84,685 | 672,891 | ||||||
Investec Ltd. | 170,547 | 1,268,268 | ||||||
Liberty Holdings Ltd. | 43,343 | 424,515 | ||||||
MMI Holdings Ltd. | 173,193 | 291,307 | ||||||
Mondi Ltd. | 45,390 | 873,441 | ||||||
Naspers Ltd., Class N | 9,933 | 1,384,658 | ||||||
Nedbank Group Ltd. | 8,400 | 110,227 | ||||||
Netcare Ltd. | 137,191 | 335,235 | ||||||
Pick n Pay Stores Ltd. | 98,405 | 467,613 | ||||||
Pioneer Foods Group Ltd. | 19,600 | 184,607 | ||||||
Redefine Properties Ltd. REIT | 425,319 | 343,963 | ||||||
Remgro Ltd. | 16,055 | 271,794 | ||||||
Resilient REIT Ltd. | 74,141 | 680,386 | ||||||
Sappi Ltd. † | 56,500 | 249,949 | ||||||
Sasol Ltd. | 54,516 | 1,617,732 | ||||||
SPAR Group Ltd. (The) | 17,087 | 230,204 | ||||||
Standard Bank Group Ltd. | 88,812 | 794,684 | ||||||
Telkom SA SOC Ltd. | 74,958 | 291,883 | ||||||
Truworths International Ltd. | 93,944 | 624,040 | ||||||
Vodacom Group Ltd. | 8,410 | 91,350 | ||||||
Woolworths Holdings Ltd. | 37,041 | 224,685 | ||||||
|
| |||||||
13,205,651 | ||||||||
|
| |||||||
Taiwan - 12.9% | ||||||||
Advanced Semiconductor Engineering, Inc. | 70,000 | 81,083 | ||||||
Asustek Computer, Inc. | 72,000 | 646,082 | ||||||
AU Optronics Corp. | 170,000 | 50,922 | ||||||
Casetek Holdings Ltd. | 153,000 | 831,107 | ||||||
Catcher Technology Co. Ltd. | 145,000 | 1,188,385 | ||||||
Cathay Financial Holding Co. Ltd. | 542,000 | 648,465 | ||||||
China Airlines Ltd. † | 994,000 | 354,871 | ||||||
China Development Financial Holding Corp. | 1,190,000 | 317,927 | ||||||
China Life Insurance Co. Ltd. | 1,172,300 | 902,303 | ||||||
Compal Electronics, Inc. † | 419,000 | 262,909 | ||||||
E.Sun Financial Holding Co. Ltd. | 196,000 | 109,606 | ||||||
Eva Airways Corp. † | 720,000 | 402,497 | ||||||
Far EasTone Telecommunications Co. Ltd. † | 227,000 | 508,406 | ||||||
Feng TAY Enterprise Co. Ltd. | 102,090 | 542,388 | ||||||
Foxconn Technology Co. Ltd. | 410,240 | 920,295 | ||||||
Fubon Financial Holding Co. Ltd. | 1,088,000 | 1,385,781 | ||||||
Hon Hai Precision Industry Co. Ltd. | 1,293,950 | 3,406,010 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
40
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM EMERGING MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Taiwan - 12.9% (continued) | ||||||||
Innolux Corp. | 2,657,000 | $ | 927,756 | |||||
Inventec Corp. | 379,000 | 240,000 | ||||||
Lite-On Technology Corp. | 713,000 | 869,782 | ||||||
Mega Financial Holding Co. Ltd. | 623,000 | 443,112 | ||||||
Novatek Microelectronics Corp. | 22,000 | 88,560 | ||||||
Pegatron Corp. | 340,000 | 791,519 | ||||||
Pou Chen Corp. | 641,000 | 816,375 | ||||||
Powertech Technology, Inc. † | 381,000 | 863,461 | ||||||
Radiant Opto-Electronics Corp. | 99,000 | 191,872 | ||||||
Realtek Semiconductor Corp. | 14,000 | 38,485 | ||||||
Shin Kong Financial Holding Co. Ltd. | 3,200,411 | 642,467 | ||||||
SinoPac Financial Holdings Co. Ltd. | 1,090,680 | 337,180 | ||||||
Taiwan Business Bank † | 255,563 | 67,745 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (1) | 377,505 | 9,890,631 | ||||||
Transcend Information, Inc. | 18,000 | 55,609 | ||||||
Uni-President Enterprises Corp. | 564,000 | 990,419 | ||||||
United Microelectronics Corp. | 1,647,000 | 676,704 | ||||||
WPG Holdings Ltd. | 109,000 | 116,124 | ||||||
Zhen Ding Technology Holding Ltd. | 363,000 | 812,094 | ||||||
|
| |||||||
31,418,932 | ||||||||
|
| |||||||
Thailand - 2.4% | ||||||||
Airports of Thailand PCL NVDR | 13,800 | 157,547 | ||||||
Bangkok Bank PCL NVDR | 56,000 | 286,269 | ||||||
Bumrungrad Hospital PCL NVDR | 24,400 | 146,904 | ||||||
Delta Electronics Thailand PCL NVDR | 206,300 | 509,725 | ||||||
Indorama Ventures PCL NVDR | 328,900 | 212,881 | ||||||
IRPC PCL NVDR | 6,181,600 | 886,023 | ||||||
PTT Exploration & Production PCL NVDR | 226,300 | 451,156 | ||||||
PTT Global Chemical PCL NVDR | 519,600 | 893,426 | ||||||
PTT PCL NVDR | 56,700 | 450,119 | ||||||
Thai Oil PCL NVDR | 590,200 | 1,159,800 | ||||||
Thai Union Group PCL NVDR | 1,289,900 | 766,198 | ||||||
|
| |||||||
5,920,048 | ||||||||
|
| |||||||
Turkey - 1.8% | ||||||||
Akbank TAS | 52,156 | 148,560 | ||||||
Arcelik A/S | 123,231 | 837,868 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 608,065 | 915,396 | ||||||
TAV Havalimanlari Holding A/S | 71,741 | 428,151 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S † | 13,163 | 370,745 | ||||||
Turk Hava Yollari AO † | 108,836 | 301,104 | ||||||
Turk Telekomunikasyon A/S | 21,953 | 52,042 | ||||||
Turkiye Sise ve Cam Fabrikalari A/S | 467,881 | 608,062 | ||||||
Turkiye Vakiflar Bankasi TAO, Class D | 253,634 | 424,253 | ||||||
Yapi ve Kredi Bankasi A/S † | 169,040 | 249,226 | ||||||
|
| |||||||
4,335,407 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 221,689,770 | |||||||
|
| |||||||
PREFERRED STOCKS - 1.7% | ||||||||
Brazil - 1.5% | ||||||||
Braskem SA, Class A (1) | 278,900 | 1,802,633 | ||||||
Centrais Eletricas Brasileiras SA, Class B (1) | 325,600 | 949,910 | ||||||
Cia Brasileira de Distribuicao (1) | 6,500 | 90,297 |
SHARES | VALUE (Note 4) | |||||||
Brazil - 1.5% (continued) | ||||||||
Cia Energetica de Sao Paulo, Series B (1) | 73,800 | $ | 325,113 | |||||
Gerdau SA (1) | 28,300 | 51,710 | ||||||
Suzano Papel e Celulose SA, Series A (1) | 170,800 | 603,273 | ||||||
|
| |||||||
3,822,936 | ||||||||
|
| |||||||
Chile - 0.2% | ||||||||
Embotelladora Andina SA, Series B (1) | 127,370 | 418,178 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 4,241,114 | |||||||
|
| |||||||
RIGHTS - 0.0% (d) | ||||||||
Taiwan - 0.0% (d) | ||||||||
Fubon Financial Holding Co. Ltd. (3)†(c) | ||||||||
(cost $—) | 47,842 | — | ||||||
|
| |||||||
SHORT-TERM INVESTMENT - 7.0% | ||||||||
Investment Company - 7.0% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (e) | ||||||||
(cost $16,947,978) | 16,947,978 | 16,947,978 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 0.5% | ||||||||
Money Market Funds - 0.5% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
Dreyfus Treasury Cash Management, 0.180% (e)(f) | ||||||||
(cost $1,153,057) | 1,153,057 | 1,153,057 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 244,031,919 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3%) (g) | (613,693) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 243,418,226 | ||||||
|
|
† | Non-income producing security. |
(a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(b) | All or a portion of the security on loan. The aggregate market value of such securities is $1,047,485; cash collateral of $1,153,057 was received with which the Fund purchased a money market fund. |
(c) | Security fair valued as of March 31, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $419,340 or 0.2% of total net assets. |
(d) | Represents less than 0.05% of net assets. |
(e) | Represents annualized seven-day yield as of the close of the reporting period. |
(f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(g) | Includes appreciation/(depreciation) on futures contracts. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
41
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM EMERGING MULTI-STYLE FUND |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
(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
LSE - London Stock Exchange
NVDR - Non-Voting Depositary Receipt
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 16,110,127 | 6.6 | % | ||||
Consumer Staples | 16,030,622 | 6.6 | ||||||
Energy | 21,252,022 | 8.7 | ||||||
Financials | 70,030,631 | 28.7 | ||||||
Health Care | 3,565,890 | 1.5 | ||||||
Industrials | 15,472,152 | 6.4 | ||||||
Information Technology | 39,482,485 | 16.2 | ||||||
Materials | 16,468,246 | 6.8 | ||||||
Telecommunication Services | 16,835,408 | 6.9 | ||||||
Utilities | 10,683,301 | 4.4 | ||||||
Short-Term Investment | 16,947,978 | 7.0 | ||||||
Securities Lending Collateral | 1,153,057 | 0.5 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 244,031,919 | 100.3 | ||||||
Liabilities in Excess of Other Assets (g) | (613,693 | ) | (0.3 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 243,418,226 | 100.0 | % | ||||
|
|
|
|
Open futures contracts outstanding at March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
337 | J.P. Morgan | E-Mini MSCI Emerging Markets Index Futures | 06/2016 | $13,471,796 | $14,051,215 | $579,419 | ||||||||||||
|
|
|
|
|
|
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
J.P. Morgan | ||||||||||||
Cash | $— | $(72,425 | ) | $(72,425 | ) | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
42
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND |
COMMON STOCKS - 95.8% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 15.9% | ||||||||
Amazon.com, Inc. † | 37,320 | $ | 22,154,645 | |||||
AutoZone, Inc. † | 3,668 | 2,922,259 | ||||||
Brinker International, Inc. | 12,400 | 569,780 | ||||||
Carnival Corp. | 67,859 | 3,580,919 | ||||||
Carter’s, Inc. | 7,700 | 811,426 | ||||||
Charter Communications, Inc., Class A † | 11,687 | 2,365,799 | ||||||
Comcast Corp., Class A | 88,256 | 5,390,676 | ||||||
CST Brands, Inc. | 13,128 | 502,671 | ||||||
Darden Restaurants, Inc. | 15,065 | 998,809 | ||||||
Delphi Automotive plc (United Kingdom) | 21,132 | 1,585,323 | ||||||
Dollar General Corp. | 20,464 | 1,751,718 | ||||||
Dollar Tree, Inc. † | 15,105 | 1,245,558 | ||||||
Domino’s Pizza, Inc. | 12,719 | 1,677,127 | ||||||
DR Horton, Inc. | 47,077 | 1,423,138 | ||||||
Expedia, Inc. | 22,219 | 2,395,653 | ||||||
Foot Locker, Inc. | 24,400 | 1,573,800 | ||||||
Gentex Corp. | 26,000 | 407,940 | ||||||
Genuine Parts Co. | 16,500 | 1,639,440 | ||||||
Goodyear Tire & Rubber Co. (The) | 29,794 | 982,606 | ||||||
Graham Holdings Co., Class B | 737 | 353,760 | ||||||
Hanesbrands, Inc. | 16,103 | 456,359 | ||||||
Hasbro, Inc. | 20,483 | 1,640,688 | ||||||
Home Depot, Inc. (The) | 108,992 | 14,542,803 | ||||||
Interpublic Group of Cos., Inc. (The) | 21,162 | 485,668 | ||||||
L Brands, Inc. | 29,991 | 2,633,510 | ||||||
Lear Corp. | 7,439 | 826,994 | ||||||
Leggett & Platt, Inc. | 14,426 | 698,218 | ||||||
LKQ Corp. † | 26,100 | 833,373 | ||||||
Lowe’s Cos., Inc. | 49,493 | 3,749,095 | ||||||
Madison Square Garden Co. (The), Class A † | 2,525 | 420,059 | ||||||
McDonald’s Corp. | 81,803 | 10,281,001 | ||||||
Michaels Cos., Inc. (The) † | 21,313 | 596,125 | ||||||
Mohawk Industries, Inc. † | 10,420 | 1,989,178 | ||||||
Murphy USA, Inc. † | 6,252 | 384,185 | ||||||
Netflix, Inc. † | 37,635 | 3,847,426 | ||||||
Newell Rubbermaid, Inc. | 15,515 | 687,159 | ||||||
NIKE, Inc., Class B | 155,032 | 9,529,817 | ||||||
Norwegian Cruise Line Holdings Ltd. † | 23,063 | 1,275,153 | ||||||
NVR, Inc. † | 599 | 1,037,708 | ||||||
O’Reilly Automotive, Inc. † | 15,430 | 4,222,574 | ||||||
Panera Bread Co., Class A † | 2,400 | 491,592 | ||||||
Priceline Group, Inc. (The) † | 4,029 | 5,193,220 | ||||||
Ross Stores, Inc. | 49,175 | 2,847,232 | ||||||
Royal Caribbean Cruises Ltd. | 13,346 | 1,096,374 | ||||||
Service Corp. International | 15,037 | 371,113 | ||||||
ServiceMaster Global Holdings, Inc. † | 25,750 | 970,260 | ||||||
Signet Jewelers Ltd. | 5,263 | 652,770 | ||||||
Sirius XM Holdings, Inc. † | 112,520 | 444,454 | ||||||
Six Flags Entertainment Corp. | 28,810 | 1,598,667 | ||||||
Skechers U.S.A., Inc., Class A † | 46,778 | 1,424,390 | ||||||
Starbucks Corp. | 152,489 | 9,103,593 | ||||||
Target Corp. | 7,711 | 634,461 | ||||||
Tesla Motors, Inc. † | 1,632 | 374,985 | ||||||
Thomson Reuters Corp. | 8,785 | 355,617 | ||||||
TJX Cos., Inc. (The) | 51,267 | 4,016,769 | ||||||
Tractor Supply Co. | 25,462 | 2,303,293 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. † | 13,660 | 2,646,488 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 15.9% (continued) | ||||||||
Under Armour, Inc., Class A † | 22,597 | $ | 1,916,904 | |||||
VF Corp. | 5,195 | 336,428 | ||||||
Walt Disney Co. (The) | 63,592 | 6,315,322 | ||||||
Yum! Brands, Inc. | 10,703 | 876,041 | ||||||
|
| |||||||
158,440,113 | ||||||||
|
| |||||||
Consumer Staples - 14.2% | ||||||||
Altria Group, Inc. | 196,306 | 12,300,534 | ||||||
Brown-Forman Corp., Class B | 20,357 | 2,004,554 | ||||||
Campbell Soup Co. | 38,033 | 2,426,125 | ||||||
Church & Dwight Co., Inc. | 19,767 | 1,822,122 | ||||||
Clorox Co. (The) | 16,676 | 2,102,177 | ||||||
Coca-Cola Co. (The) | 304,705 | 14,135,265 | ||||||
Coca-Cola Enterprises, Inc. | 15,168 | 769,624 | ||||||
ConAgra Foods, Inc. | 44,404 | 1,981,306 | ||||||
Constellation Brands, Inc., Class A | 28,302 | 4,276,149 | ||||||
Costco Wholesale Corp. | 43,123 | 6,795,322 | ||||||
Coty, Inc., Class A | 61,025 | 1,698,326 | ||||||
CVS Health Corp. | 7,725 | 801,314 | ||||||
Dr Pepper Snapple Group, Inc. | 46,900 | 4,193,798 | ||||||
Edgewell Personal Care Co. | 4,753 | 382,759 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 35,083 | 3,308,678 | ||||||
Flowers Foods, Inc. | 31,299 | 577,780 | ||||||
General Mills, Inc. | 56,783 | 3,597,203 | ||||||
Hershey Co. (The) | 11,545 | 1,063,179 | ||||||
Hormel Foods Corp. | 70,962 | 3,068,397 | ||||||
Ingredion, Inc. | 7,588 | 810,323 | ||||||
JM Smucker Co. (The) | 15,205 | 1,974,217 | ||||||
Kellogg Co. | 14,057 | 1,076,063 | ||||||
Kimberly-Clark Corp. | 32,974 | 4,435,333 | ||||||
Kroger Co. (The) | 120,271 | 4,600,366 | ||||||
McCormick & Co., Inc. | 19,951 | 1,984,725 | ||||||
Mead Johnson Nutrition Co. | 5,275 | 448,217 | ||||||
Molson Coors Brewing Co., Class B | 20,295 | 1,951,973 | ||||||
Mondelez International, Inc., Class A | 163,269 | 6,550,352 | ||||||
Monster Beverage Corp. † | 27,755 | 3,701,962 | ||||||
PepsiCo, Inc. | 107,437 | 11,010,144 | ||||||
Philip Morris International, Inc. | 100,836 | 9,893,020 | ||||||
Pilgrim’s Pride Corp. † | 18,200 | 462,280 | ||||||
Pinnacle Foods, Inc. | 16,281 | 727,435 | ||||||
Procter & Gamble Co. (The) | 58,010 | 4,774,803 | ||||||
Reynolds American, Inc. | 167,296 | 8,416,662 | ||||||
Sysco Corp. | 16,829 | 786,419 | ||||||
Tyson Foods, Inc., Class A | 41,474 | 2,764,657 | ||||||
Walgreens Boots Alliance, Inc. | 77,629 | 6,539,467 | ||||||
WhiteWave Foods Co. (The) † | 30,208 | 1,227,653 | ||||||
|
| |||||||
141,440,683 | ||||||||
|
| |||||||
Energy - 4.2% | ||||||||
Cimarex Energy Co. | 3,765 | 366,222 | ||||||
CVR Energy, Inc. | 90,182 | 2,353,750 | ||||||
Diamondback Energy, Inc. † | 40,860 | 3,153,575 | ||||||
Exxon Mobil Corp. | 152,074 | 12,711,866 | ||||||
HollyFrontier Corp. | 67,997 | 2,401,654 | ||||||
Marathon Petroleum Corp. | 49,773 | 1,850,560 | ||||||
Newfield Exploration Co. † | 74,504 | 2,477,258 | ||||||
PBF Energy, Inc., Class A | 87,195 | 2,894,874 | ||||||
Phillips 66 | 77,487 | 6,709,599 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
43
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Energy - 4.2% (continued) | ||||||||
Tesoro Corp. | 29,267 | $ | 2,517,255 | |||||
Valero Energy Corp. | 73,444 | 4,710,698 | ||||||
|
| |||||||
42,147,311 | ||||||||
|
| |||||||
Financials - 12.4% | ||||||||
Alexandria Real Estate Equities, Inc. REIT | 5,032 | 457,359 | ||||||
Allstate Corp. (The) | 34,468 | 2,322,109 | ||||||
American Financial Group, Inc. | 13,868 | 975,891 | ||||||
American International Group, Inc. | 81,126 | 4,384,860 | ||||||
AmTrust Financial Services, Inc. | 36,624 | 947,829 | ||||||
Aon plc (United Kingdom) | 13,615 | 1,422,087 | ||||||
Apartment Investment & Management Co., Class A REIT | 32,100 | 1,342,422 | ||||||
Arch Capital Group Ltd. † | 25,671 | 1,825,208 | ||||||
Aspen Insurance Holdings Ltd. | 8,457 | 403,399 | ||||||
Assurant, Inc. | 6,148 | 474,318 | ||||||
Assured Guaranty Ltd. | 19,688 | 498,106 | ||||||
AvalonBay Communities, Inc. REIT | 8,208 | 1,561,162 | ||||||
Axis Capital Holdings Ltd. | 14,145 | 784,482 | ||||||
Bank of Hawaii Corp. | 14,763 | 1,008,018 | ||||||
Bank of New York Mellon Corp. (The) | 36,995 | 1,362,526 | ||||||
BankUnited, Inc. | 26,771 | 921,993 | ||||||
Berkshire Hathaway, Inc., Class B † | 6,136 | 870,576 | ||||||
BlackRock, Inc. | 1,365 | 464,878 | ||||||
BOK Financial Corp. | 15,919 | 869,496 | ||||||
Boston Properties, Inc. REIT | 11,893 | 1,511,363 | ||||||
Brixmor Property Group, Inc. REIT | 40,616 | 1,040,582 | ||||||
Camden Property Trust REIT | 10,668 | 897,072 | ||||||
Charles Schwab Corp. (The) | 10,072 | 282,217 | ||||||
Chubb Ltd. (Switzerland) | 21,488 | 2,560,295 | ||||||
Cincinnati Financial Corp. | 26,000 | 1,699,360 | ||||||
CME Group, Inc. | 43,903 | 4,216,883 | ||||||
Commerce Bancshares, Inc. | 23,475 | 1,055,201 | ||||||
Corrections Corp. of America REIT | 18,552 | 594,592 | ||||||
Credit Acceptance Corp. † | 6,100 | 1,107,455 | ||||||
Crown Castle International Corp. REIT | 18,171 | 1,571,792 | ||||||
Digital Realty Trust, Inc. REIT | 24,330 | 2,152,962 | ||||||
E*TRADE Financial Corp. † | 12,825 | 314,084 | ||||||
East West Bancorp, Inc. | 21,386 | 694,617 | ||||||
Endurance Specialty Holdings Ltd. | 10,737 | 701,556 | ||||||
Equinix, Inc. REIT | 5,987 | 1,979,961 | ||||||
Equity LifeStyle Properties, Inc. REIT | 13,451 | 978,291 | ||||||
Equity Residential REIT | 24,742 | 1,856,392 | ||||||
Erie Indemnity Co., Class A | 4,737 | 440,494 | ||||||
Essex Property Trust, Inc. REIT | 10,272 | 2,402,210 | ||||||
Everest Re Group Ltd. | 3,784 | 747,075 | ||||||
Extra Space Storage, Inc. REIT | 32,200 | 3,009,412 | ||||||
FactSet Research Systems, Inc. | 5,507 | 834,476 | ||||||
Federal Realty Investment Trust REIT | 14,501 | 2,262,881 | ||||||
First Horizon National Corp. | 34,651 | 453,928 | ||||||
First Republic Bank | 26,811 | 1,786,685 | ||||||
FNF Group | 44,357 | 1,503,702 | ||||||
General Growth Properties, Inc. REIT | 10,665 | 317,071 | ||||||
Hanover Insurance Group, Inc. (The) | 8,155 | 735,744 | ||||||
Hartford Financial Services Group, Inc. (The) | 21,581 | 994,453 | ||||||
Huntington Bancshares, Inc. | 29,730 | 283,624 |
SHARES | VALUE (Note 4) | |||||||
Financials - 12.4% (continued) | ||||||||
Interactive Brokers Group, Inc., Class A | 41,795 | $ | 1,643,379 | |||||
Intercontinental Exchange, Inc. | 10,528 | 2,475,554 | ||||||
Iron Mountain, Inc. REIT | 14,195 | 481,353 | ||||||
JPMorgan Chase & Co. | 230,479 | 13,648,966 | ||||||
Kimco Realty Corp. REIT | 13,298 | 382,717 | ||||||
Lamar Advertising Co., Class A REIT | 12,300 | 756,450 | ||||||
M&T Bank Corp. | 3,100 | 344,100 | ||||||
Markel Corp. † | 1,798 | 1,603,043 | ||||||
Marsh & McLennan Cos., Inc. | 10,537 | 640,544 | ||||||
McGraw Hill Financial, Inc. | 3,685 | 364,741 | ||||||
Morningstar, Inc. | 5,320 | 469,596 | ||||||
MSCI, Inc. | 14,254 | 1,055,936 | ||||||
Nasdaq, Inc. | 18,693 | 1,240,841 | ||||||
National Retail Properties, Inc. REIT | 18,861 | 871,378 | ||||||
New York Community Bancorp, Inc. | 19,038 | 302,704 | ||||||
Northern Trust Corp. | 29,239 | 1,905,506 | ||||||
Omega Healthcare Investors, Inc. REIT | 11,537 | 407,256 | ||||||
People’s United Financial, Inc. | 32,508 | 517,852 | ||||||
PNC Financial Services Group, Inc. (The) | 18,255 | 1,543,825 | ||||||
Post Properties, Inc. REIT | 5,900 | 352,466 | ||||||
ProAssurance Corp. | 15,238 | 771,043 | ||||||
Progressive Corp. (The) | 57,200 | 2,010,008 | ||||||
Public Storage REIT | 20,907 | 5,766,778 | ||||||
Realty Income Corp. REIT | 10,175 | 636,039 | ||||||
Regency Centers Corp. REIT | 19,200 | 1,437,120 | ||||||
RenaissanceRe Holdings Ltd. | 12,378 | 1,483,256 | ||||||
SEI Investments Co. | 15,136 | 651,605 | ||||||
Signature Bank † | 13,478 | 1,834,625 | ||||||
Simon Property Group, Inc. REIT | 10,470 | 2,174,514 | ||||||
SVB Financial Group † | 3,554 | 362,686 | ||||||
Synchrony Financial † | 23,099 | 662,017 | ||||||
Synovus Financial Corp. | 16,897 | 488,492 | ||||||
TFS Financial Corp. | 41,075 | 713,473 | ||||||
Torchmark Corp. | 14,100 | 763,656 | ||||||
Travelers Cos., Inc. (The) | 23,589 | 2,753,072 | ||||||
UDR, Inc. REIT | 41,200 | 1,587,436 | ||||||
Validus Holdings Ltd. | 15,511 | 731,964 | ||||||
Vornado Realty Trust REIT | 7,098 | 670,264 | ||||||
Voya Financial, Inc. | 13,148 | 391,416 | ||||||
White Mountains Insurance Group Ltd. | 2,232 | 1,791,403 | ||||||
WR Berkley Corp. | 13,700 | 769,940 | ||||||
XL Group plc (Ireland) | 13,546 | 498,493 | ||||||
|
| |||||||
123,840,656 | ||||||||
|
| |||||||
Health Care - 10.9% | ||||||||
Abbott Laboratories | 10,524 | 440,219 | ||||||
AbbVie, Inc. | 43,121 | 2,463,072 | ||||||
Acadia Healthcare Co., Inc. † | 10,990 | 605,659 | ||||||
Aetna, Inc. | 36,523 | 4,103,359 | ||||||
Align Technology, Inc. † | 9,300 | 676,017 | ||||||
Allscripts Healthcare Solutions, Inc. † | 37,159 | 490,870 | ||||||
AmerisourceBergen Corp. | 11,809 | 1,022,069 | ||||||
Amgen, Inc. | 19,354 | 2,901,745 | ||||||
Anthem, Inc. | 3,918 | 544,563 | ||||||
athenahealth, Inc. † | 5,100 | 707,778 | ||||||
Baxter International, Inc. | 6,975 | 286,533 | ||||||
Becton Dickinson and Co. | 17,103 | 2,596,577 | ||||||
BioMarin Pharmaceutical, Inc. † | 7,548 | 622,559 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
44
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Health Care - 10.9% (continued) | ||||||||
Bio-Rad Laboratories, Inc., Class A † | 5,986 | $ | 818,406 | |||||
Boston Scientific Corp. † | 140,144 | 2,636,109 | ||||||
Bristol-Myers Squibb Co. | 135,057 | 8,627,441 | ||||||
Bruker Corp. | 28,932 | 810,096 | ||||||
Cardinal Health, Inc. | 14,044 | 1,150,906 | ||||||
Centene Corp. † | 5,453 | 335,741 | ||||||
Cerner Corp. † | 9,639 | 510,481 | ||||||
Charles River Laboratories International, Inc. † | 6,903 | 524,214 | ||||||
Cooper Cos., Inc. (The) | 7,400 | 1,139,378 | ||||||
CR Bard, Inc. | 6,011 | 1,218,249 | ||||||
DaVita HealthCare Partners, Inc. † | 4,255 | 312,232 | ||||||
DENTSPLY SIRONA, Inc. | 15,018 | 925,559 | ||||||
DexCom, Inc. † | 29,613 | 2,011,019 | ||||||
Edwards Lifesciences Corp. † | 40,243 | 3,549,835 | ||||||
Eli Lilly & Co. | 110,287 | 7,941,767 | ||||||
Henry Schein, Inc. † | 10,724 | 1,851,284 | ||||||
Hologic, Inc. (2)† | 42,077 | 1,451,657 | ||||||
IDEXX Laboratories, Inc. † | 8,000 | 626,560 | ||||||
Incyte Corp. † | 12,751 | 924,065 | ||||||
Intrexon Corp. † | 8,146 | 276,068 | ||||||
Intuitive Surgical, Inc. † | 2,945 | 1,770,092 | ||||||
Johnson & Johnson | 125,414 | 13,569,795 | ||||||
Laboratory Corp. of America Holdings † | 3,822 | 447,671 | ||||||
MEDNAX, Inc. † | 11,701 | 756,119 | ||||||
Medtronic plc (Ireland) | 88,439 | 6,632,925 | ||||||
Mettler-Toledo International, Inc. † | 2,212 | 762,609 | ||||||
PerkinElmer, Inc. | 9,553 | 472,491 | ||||||
Pfizer, Inc. | 19,827 | 587,672 | ||||||
QIAGEN NV (Netherlands) † | 21,131 | 472,067 | ||||||
Quest Diagnostics, Inc. | 8,879 | 634,405 | ||||||
Quintiles Transnational Holdings, Inc. † | 11,644 | 758,024 | ||||||
Regeneron Pharmaceuticals, Inc. † | 8,384 | 3,021,929 | ||||||
ResMed, Inc. | 14,316 | 827,751 | ||||||
St. Jude Medical, Inc. | 6,695 | 368,225 | ||||||
Stryker Corp. | 22,951 | 2,462,413 | ||||||
Teleflex, Inc. | 5,002 | 785,364 | ||||||
Thermo Fisher Scientific, Inc. | 18,110 | 2,564,195 | ||||||
United Therapeutics Corp. † | 5,442 | 606,402 | ||||||
UnitedHealth Group, Inc. | 75,245 | 9,699,081 | ||||||
Universal Health Services, Inc., Class B | 11,152 | 1,390,877 | ||||||
VCA, Inc. † | 11,583 | 668,223 | ||||||
Waters Corp. † | 7,531 | 993,490 | ||||||
Zimmer Biomet Holdings, Inc. | 9,679 | 1,032,072 | ||||||
Zoetis, Inc. | 42,768 | 1,895,905 | ||||||
|
| |||||||
108,281,884 | ||||||||
|
| |||||||
Industrials - 9.7% | ||||||||
3M Co. | 7,455 | 1,242,227 | ||||||
A.O. Smith Corp. | 18,950 | 1,446,074 | ||||||
Acuity Brands, Inc. | 9,990 | 2,179,219 | ||||||
Alaska Air Group, Inc. | 35,600 | 2,919,912 | ||||||
Allegion plc (Ireland) | 8,013 | 510,508 | ||||||
AMERCO | 3,404 | 1,216,283 | ||||||
Boeing Co. (The) | 6,369 | 808,481 | ||||||
BWX Technologies, Inc. | 9,860 | 330,902 | ||||||
CH Robinson Worldwide, Inc. | 6,166 | 457,702 | ||||||
Cintas Corp. | 23,846 | 2,141,609 | ||||||
Danaher Corp. | 55,269 | 5,242,817 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 9.7% (continued) | ||||||||
Delta Air Lines, Inc. | 45,455 | $ | 2,212,749 | |||||
Equifax, Inc. | 16,124 | 1,842,812 | ||||||
Fortune Brands Home & Security, Inc. | 44,029 | 2,467,385 | ||||||
General Dynamics Corp. | 18,326 | 2,407,487 | ||||||
General Electric Co. | 711,857 | 22,629,934 | ||||||
Hexcel Corp. | 8,545 | 373,502 | ||||||
Honeywell International, Inc. | 18,281 | 2,048,386 | ||||||
Huntington Ingalls Industries, Inc. | 9,900 | 1,355,706 | ||||||
JB Hunt Transport Services, Inc. | 11,505 | 969,181 | ||||||
JetBlue Airways Corp. † | 92,391 | 1,951,298 | ||||||
Lennox International, Inc. | 4,124 | 557,524 | ||||||
Lockheed Martin Corp. | 34,340 | 7,606,310 | ||||||
Macquarie Infrastructure Corp. | 8,955 | 603,925 | ||||||
ManpowerGroup, Inc. | 5,846 | 475,981 | ||||||
Masco Corp. | 38,919 | 1,224,003 | ||||||
Middleby Corp. (The) † | 3,107 | 331,734 | ||||||
Nielsen Holdings plc | 6,292 | 331,337 | ||||||
Northrop Grumman Corp. | 28,354 | 5,611,257 | ||||||
Old Dominion Freight Line, Inc. † | 5,160 | 359,239 | ||||||
Orbital ATK, Inc. | 8,225 | 715,081 | ||||||
Owens Corning | 12,800 | 605,184 | ||||||
Raytheon Co. | 22,747 | 2,789,465 | ||||||
Republic Services, Inc. | 18,423 | 877,856 | ||||||
Robert Half International, Inc. | 8,010 | 373,106 | ||||||
Rollins, Inc. | 21,305 | 577,792 | ||||||
Roper Technologies, Inc. | 10,539 | 1,926,213 | ||||||
RR Donnelley & Sons Co. | 19,678 | 322,719 | ||||||
Snap-on, Inc. | 7,597 | 1,192,653 | ||||||
Southwest Airlines Co. | 19,564 | 876,467 | ||||||
Spirit AeroSystems Holdings, Inc., Class A † | 11,661 | 528,943 | ||||||
Stanley Black & Decker, Inc. | 5,011 | 527,207 | ||||||
Stericycle, Inc. † | 9,772 | 1,233,129 | ||||||
Toro Co. (The) | 8,192 | 705,495 | ||||||
TransDigm Group, Inc. † | 7,649 | 1,685,381 | ||||||
United Continental Holdings, Inc. † | 7,990 | 478,281 | ||||||
United Parcel Service, Inc., Class B | 20,198 | 2,130,283 | ||||||
Verisk Analytics, Inc. † | 21,342 | 1,705,653 | ||||||
Waste Connections, Inc. | 12,653 | 817,257 | ||||||
Waste Management, Inc. | 30,496 | 1,799,264 | ||||||
WW Grainger, Inc. | 3,083 | 719,665 | ||||||
|
| |||||||
96,442,578 | ||||||||
|
| |||||||
Information Technology - 21.1% | ||||||||
Accenture plc, Class A (Ireland) | 53,983 | 6,229,638 | ||||||
Activision Blizzard, Inc. | 91,993 | 3,113,043 | ||||||
Adobe Systems, Inc. † | 45,877 | 4,303,263 | ||||||
Alphabet, Inc., Class A † | 54,074 | 41,253,055 | ||||||
Amdocs Ltd. | 28,463 | 1,719,734 | ||||||
Amphenol Corp., Class A | 21,046 | 1,216,880 | ||||||
Analog Devices, Inc. | 18,146 | 1,074,062 | ||||||
ANSYS, Inc. † | 5,600 | 500,976 | ||||||
Arista Networks, Inc. † | 7,240 | 456,844 | ||||||
Arrow Electronics, Inc. † | 8,600 | 553,926 | ||||||
Automatic Data Processing, Inc. | 37,904 | 3,400,368 | ||||||
Booz Allen Hamilton Holding Corp. | 14,749 | 446,600 | ||||||
Broadridge Financial Solutions, Inc. | 11,087 | 657,570 | ||||||
Cadence Design Systems, Inc. † | 23,600 | 556,488 | ||||||
CDK Global, Inc. | 20,178 | 939,286 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
45
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 21.1% (continued) | ||||||||
CDW Corp. | 25,023 | $ | 1,038,454 | |||||
Cisco Systems, Inc. | 50,222 | 1,429,820 | ||||||
Citrix Systems, Inc. † | 14,512 | 1,140,353 | ||||||
Cognizant Technology Solutions Corp., Class A † | 47,811 | 2,997,750 | ||||||
CommScope Holding Co., Inc. † | 11,249 | 314,072 | ||||||
Computer Sciences Corp. | 10,500 | 361,095 | ||||||
CoreLogic, Inc. † | 18,100 | 628,070 | ||||||
CoStar Group, Inc. † | 4,800 | 903,216 | ||||||
eBay, Inc. † | 125,683 | 2,998,796 | ||||||
Electronic Arts, Inc. † | 39,226 | 2,593,231 | ||||||
Facebook, Inc., Class A † | 220,623 | 25,173,084 | ||||||
Fidelity National Information Services, Inc. | 10,051 | 636,329 | ||||||
First Solar, Inc. † | 11,793 | 807,467 | ||||||
Fiserv, Inc. † | 42,630 | 4,372,985 | ||||||
Fortinet, Inc. † | 10,159 | 311,170 | ||||||
Gartner, Inc. † | 6,200 | 553,970 | ||||||
Genpact Ltd. † | 44,401 | 1,207,263 | ||||||
Global Payments, Inc. | 27,914 | 1,822,784 | ||||||
Harris Corp. | 8,866 | 690,307 | ||||||
IAC/InterActiveCorp. | 8,860 | 417,129 | ||||||
Intuit, Inc. | 27,653 | 2,876,188 | ||||||
IPG Photonics Corp. † | 5,942 | 570,907 | ||||||
Jack Henry & Associates, Inc. | 15,620 | 1,320,983 | ||||||
Juniper Networks, Inc. | 30,816 | 786,116 | ||||||
Lam Research Corp. | 4,648 | 383,925 | ||||||
Marvell Technology Group Ltd. | 28,986 | 298,846 | ||||||
MasterCard, Inc., Class A | 98,622 | 9,319,779 | ||||||
Maxim Integrated Products, Inc. | 31,919 | 1,173,981 | ||||||
Microsoft Corp. | 637,888 | 35,230,554 | ||||||
Motorola Solutions, Inc. | 7,334 | 555,184 | ||||||
Nuance Communications, Inc. † | 49,154 | 918,688 | ||||||
NVIDIA Corp. | 70,579 | 2,514,730 | ||||||
Palo Alto Networks, Inc. † | 13,369 | 2,181,019 | ||||||
Paychex, Inc. | 31,318 | 1,691,485 | ||||||
Red Hat, Inc. † | 25,058 | 1,867,072 | ||||||
Sabre Corp. | 45,937 | 1,328,498 | ||||||
salesforce.com, Inc. † | 57,387 | 4,236,882 | ||||||
ServiceNow, Inc. † | 8,726 | 533,857 | ||||||
Skyworks Solutions, Inc. | 3,773 | 293,917 | ||||||
SS&C Technologies Holdings, Inc. | 15,179 | 962,652 | ||||||
Synopsys, Inc. † | 12,734 | 616,835 | ||||||
Texas Instruments, Inc. | 26,005 | 1,493,207 | ||||||
Total System Services, Inc. | 31,608 | 1,503,909 | ||||||
Ultimate Software Group, Inc. (The) † | 5,637 | 1,090,759 | ||||||
Vantiv, Inc., Class A † | 24,891 | 1,341,127 | ||||||
VeriSign, Inc. † | 21,755 | 1,926,188 | ||||||
Visa, Inc., Class A | 200,877 | 15,363,073 | ||||||
Western Union Co. (The) | 34,255 | 660,779 | ||||||
Xilinx, Inc. | 20,824 | 987,682 | ||||||
|
| |||||||
210,847,900 | ||||||||
|
| |||||||
Materials - 1.5% | ||||||||
Air Products & Chemicals, Inc. | 4,020 | 579,081 | ||||||
Dow Chemical Co. (The) | 72,751 | 3,700,116 | ||||||
Ecolab, Inc. | 13,574 | 1,513,772 | ||||||
International Flavors & Fragrances, Inc. | 6,500 | 739,505 | ||||||
LyondellBasell Industries NV, Class A | 11,282 | 965,514 |
SHARES | VALUE (Note 4) | |||||||
Materials - 1.5% (continued) | ||||||||
Martin Marietta Materials, Inc. | 7,530 | $ | 1,201,110 | |||||
NewMarket Corp. | 1,600 | 634,016 | ||||||
Newmont Mining Corp. | 18,486 | 491,358 | ||||||
PPG Industries, Inc. | 2,995 | 333,913 | ||||||
Sealed Air Corp. | 16,422 | 788,420 | ||||||
Sherwin-Williams Co. (The) | 2,808 | 799,353 | ||||||
Vulcan Materials Co. | 23,489 | 2,479,734 | ||||||
WR Grace & Co. † | 6,272 | 446,441 | ||||||
|
| |||||||
14,672,333 | ||||||||
|
| |||||||
Telecommunication Services - 3.2% | ||||||||
AT&T, Inc. | 454,264 | 17,793,521 | ||||||
Level 3 Communications, Inc. † | 7,443 | 393,363 | ||||||
SBA Communications Corp., Class A † | 2,896 | 290,092 | ||||||
T-Mobile US, Inc. † | 86,104 | 3,297,783 | ||||||
Verizon Communications, Inc. | 184,086 | 9,955,371 | ||||||
|
| |||||||
31,730,130 | ||||||||
|
| |||||||
Utilities - 2.7% | ||||||||
Alliant Energy Corp. | 3,888 | 288,801 | ||||||
Ameren Corp. | 11,498 | 576,050 | ||||||
American Electric Power Co., Inc. | 25,862 | 1,717,237 | ||||||
American Water Works Co., Inc. | 29,976 | 2,066,246 | ||||||
CMS Energy Corp. | 31,443 | 1,334,441 | ||||||
Consolidated Edison, Inc. | 26,243 | 2,010,739 | ||||||
Dominion Resources, Inc. | 20,014 | 1,503,452 | ||||||
DTE Energy Co. | 12,286 | 1,113,849 | ||||||
Edison International | 16,567 | 1,191,002 | ||||||
Eversource Energy | 11,512 | 671,610 | ||||||
Exelon Corp. | 13,436 | 481,815 | ||||||
NextEra Energy, Inc. | 28,492 | 3,371,743 | ||||||
PG&E Corp. | 24,914 | 1,487,864 | ||||||
Pinnacle West Capital Corp. | 5,664 | 425,196 | ||||||
PPL Corp. | 30,317 | 1,154,168 | ||||||
Public Service Enterprise Group, Inc. | 23,915 | 1,127,353 | ||||||
SCANA Corp. | 10,017 | 702,692 | ||||||
Southern Co. (The) | 59,028 | 3,053,518 | ||||||
WEC Energy Group, Inc. | 14,510 | 871,616 | ||||||
Westar Energy, Inc. | 5,863 | 290,863 | ||||||
Xcel Energy, Inc. | 35,325 | 1,477,291 | ||||||
|
| |||||||
26,917,546 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 954,761,134 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT - 3.9% | ||||||||
Investment Company - 3.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money |
| |||||||
(cost $39,328,246) | 39,328,246 | 39,328,246 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 994,089,380 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% (b) | 2,815,747 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 996,905,127 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
46
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP MOMENTUM 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. |
(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 March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
318 | Barclays Capital | S&P 500 E-Mini Futures | 06/2016 | $32,091,602 | $32,618,850 | $527,248 | ||||||||||||
|
|
|
|
|
|
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Barclays Capital | ||||||||||||
Cash | $— | $923,720 | $923,720 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
47
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
COMMON STOCKS - 98.9% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 12.1% | ||||||||
1-800-Flowers.com, Inc., Class A † | 13,119 | $ | 103,378 | |||||
2U, Inc. †(a) | 25,111 | 567,509 | ||||||
Abercrombie & Fitch Co., Class A (a) | 11,010 | 347,255 | ||||||
AMC Entertainment Holdings, Inc., Class A | 3,176 | 88,896 | ||||||
American Eagle Outfitters, Inc. (a) | 29,625 | 493,849 | ||||||
Bassett Furniture Industries, Inc. | 16,512 | 526,072 | ||||||
Boyd Gaming Corp. † | 39,480 | 815,657 | ||||||
Bright Horizons Family Solutions, Inc. † | 22,449 | 1,454,246 | ||||||
Burlington Stores, Inc. † | 3,588 | 201,789 | ||||||
CalAtlantic Group, Inc. | 9,021 | 301,482 | ||||||
Caleres, Inc. | 5,009 | 141,705 | ||||||
Callaway Golf Co. | 14,351 | 130,881 | ||||||
Carriage Services, Inc. (a) | 10,033 | 216,813 | ||||||
Carrols Restaurant Group, Inc. † | 32,223 | 465,300 | ||||||
Cato Corp. (The), Class A | 3,507 | 135,195 | ||||||
Cavco Industries, Inc. † | 1,960 | 183,182 | ||||||
Cheesecake Factory, Inc. (The) | 3,161 | 167,817 | ||||||
Cherokee, Inc. †(a) | 6,795 | 120,883 | ||||||
Children’s Place, Inc. (The) | 3,428 | 286,135 | ||||||
Churchill Downs, Inc. | 8,148 | 1,204,926 | ||||||
Chuy’s Holdings, Inc. †(a) | 10,033 | 311,725 | ||||||
Citi Trends, Inc. | 7,878 | 140,465 | ||||||
ClubCorp Holdings, Inc. | 9,715 | 136,399 | ||||||
Columbia Sportswear Co. | 21,684 | 1,302,992 | ||||||
Cooper Tire & Rubber Co. | 10,971 | 406,146 | ||||||
Cooper-Standard Holding, Inc. † | 5,426 | 389,804 | ||||||
Core-Mark Holding Co., Inc. | 8,272 | 674,664 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 2,587 | 394,957 | ||||||
Culp, Inc. | 11,894 | 311,861 | ||||||
Dave & Buster’s Entertainment, Inc. † | 15,327 | 594,381 | ||||||
Denny’s Corp. † | 28,600 | 296,296 | ||||||
DreamWorks Animation SKG, Inc., Class A †(a) | 15,454 | 385,577 | ||||||
Drew Industries, Inc. | 7,011 | 451,929 | ||||||
Eldorado Resorts, Inc. † | 22,326 | 255,409 | ||||||
Entravision Communications Corp., Class A | 28,539 | 212,330 | ||||||
EW Scripps Co. (The), Class A | 9,551 | 148,900 | ||||||
Express, Inc. † | 28,766 | 615,880 | ||||||
Five Below, Inc. † | 9,692 | 400,667 | ||||||
Flexsteel Industries, Inc. | 4,671 | 204,029 | ||||||
Gentherm, Inc. † | 9,694 | 403,173 | ||||||
G-III Apparel Group Ltd. † | 3,440 | 168,182 | ||||||
Global Eagle Entertainment, Inc. † | 13,077 | 111,416 | ||||||
Gray Television, Inc. † | 33,329 | 390,616 | ||||||
Guess?, Inc. | 8,836 | 165,852 | ||||||
Haverty Furniture Cos., Inc. | 7,500 | 158,700 | ||||||
Helen of Troy Ltd. † | 13,639 | 1,414,228 | ||||||
Hooker Furniture Corp. | 12,387 | 406,913 | ||||||
IMAX Corp. (Canada) †(a) | 11,418 | 354,986 | ||||||
Installed Building Products, Inc. † | 18,360 | 488,560 | ||||||
International Speedway Corp., Class A | 8,963 | 330,824 | ||||||
Isle of Capri Casinos, Inc. † | 24,642 | 344,988 | ||||||
Jamba, Inc. †(a) | 721 | 8,912 | ||||||
Kirkland’s, Inc. | 9,573 | 167,623 | ||||||
La-Z-Boy, Inc. | 4,371 | 116,881 | ||||||
LGI Homes, Inc. †(a) | 14,862 | 359,809 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 12.1% (continued) | ||||||||
Libbey, Inc. | 6,903 | $ | 128,396 | |||||
Liberty Tax, Inc. (a) | 3,164 | 61,983 | ||||||
Liberty TripAdvisor Holdings, Inc., Class A † | 4,476 | 99,188 | ||||||
Lithia Motors, Inc., Class A | 7,455 | 651,045 | ||||||
Marcus Corp. (The) | 6,900 | 130,755 | ||||||
Monarch Casino & Resort, Inc. † | 7,349 | 143,012 | ||||||
Monro Muffler Brake, Inc. | 9,620 | 687,541 | ||||||
Motorcar Parts of America, Inc. † | 9,004 | 341,972 | ||||||
NACCO Industries, Inc., Class A | 3,287 | 188,707 | ||||||
National CineMedia, Inc. | 6,168 | 93,815 | ||||||
Nautilus, Inc. † | 20,609 | 398,166 | ||||||
New Media Investment Group, Inc. | 8,166 | 135,882 | ||||||
New York Times Co. (The), Class A | 20,517 | 255,642 | ||||||
Nutrisystem, Inc. | 18,885 | 394,130 | ||||||
Overstock.com, Inc. † | 9,124 | 131,203 | ||||||
Oxford Industries, Inc. | 8,914 | 599,288 | ||||||
Papa John’s International, Inc. (a) | 2,316 | 125,504 | ||||||
Papa Murphy’s Holdings, Inc. †(a) | 11,313 | 135,190 | ||||||
Penn National Gaming, Inc. † | 13,217 | 220,592 | ||||||
Perry Ellis International, Inc. † | 7,211 | 132,755 | ||||||
PetMed Express, Inc. (a) | 10,939 | 195,917 | ||||||
Pool Corp. | 16,375 | 1,436,742 | ||||||
Popeyes Louisiana Kitchen, Inc. † | 6,298 | 327,874 | ||||||
Red Robin Gourmet Burgers, Inc. † | 1,873 | 120,752 | ||||||
Ruth’s Hospitality Group, Inc. | 18,219 | 335,412 | ||||||
Scholastic Corp. (a) | 11,229 | 419,628 | ||||||
Sequential Brands Group, Inc. †(a) | 17,635 | 112,688 | ||||||
Shoe Carnival, Inc. | 7,229 | 194,894 | ||||||
Sinclair Broadcast Group, Inc., Class A | 31,403 | 965,642 | ||||||
Smith & Wesson Holding Corp. † | 27,900 | 742,698 | ||||||
Speedway Motorsports, Inc. | 5,751 | 114,042 | ||||||
Sportsman’s Warehouse Holdings, Inc. †(a) | 23,901 | 301,153 | ||||||
Standard Motor Products, Inc. | 3,350 | 116,078 | ||||||
Stein Mart, Inc. | 14,500 | 106,285 | ||||||
Steven Madden Ltd. † | 4,461 | 165,235 | ||||||
Sturm Ruger & Co., Inc. | 9,071 | 620,275 | ||||||
Texas Roadhouse, Inc. | 13,696 | 596,872 | ||||||
Tile Shop Holdings, Inc. † | 17,779 | 265,085 | ||||||
Tilly’s, Inc., Class A † | 5,846 | 39,110 | ||||||
Tower International, Inc. | 5,389 | 146,581 | ||||||
Unifi, Inc. † | 5,876 | 134,619 | ||||||
Universal Electronics, Inc. † | 1,646 | 102,036 | ||||||
Vail Resorts, Inc. | 12,909 | 1,725,933 | ||||||
Wayfair, Inc., Class A †(a) | 32,873 | 1,420,771 | ||||||
Weight Watchers International, Inc. †(a) | 8,372 | 121,645 | ||||||
World Wrestling Entertainment, Inc., Class A (a) | 38,215 | 674,877 | ||||||
ZAGG, Inc. † | 15,934 | 143,565 | ||||||
Zoe’s Kitchen, Inc. †(a) | 4,706 | 183,487 | ||||||
|
| |||||||
37,863,706 | ||||||||
|
| |||||||
Consumer Staples - 5.8% | ||||||||
B&G Foods, Inc. | 22,721 | 790,918 | ||||||
Calavo Growers, Inc. | 5,972 | 340,762 | ||||||
Cal-Maine Foods, Inc. (a) | 21,254 | 1,103,295 | ||||||
Casey’s General Stores, Inc. | 15,076 | 1,708,412 | ||||||
Central Garden & Pet Co., Class A † | 25,171 | 410,036 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
48
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Consumer Staples - 5.8% (continued) | ||||||||
Coca-Cola Bottling Co. Consolidated | 6,015 | $ | 960,956 | |||||
Dean Foods Co. (a) | 19,051 | 329,963 | ||||||
Fresh Del Monte Produce, Inc. | 27,695 | 1,165,129 | ||||||
Ingles Markets, Inc., Class A | 8,276 | 310,350 | ||||||
Inter Parfums, Inc. | 6,100 | 188,490 | ||||||
J&J Snack Foods Corp. | 5,932 | 642,317 | ||||||
John B. Sanfilippo & Son, Inc. | 10,866 | 750,732 | ||||||
Lancaster Colony Corp. | 10,414 | 1,151,476 | ||||||
MGP Ingredients, Inc. | 6,465 | 156,712 | ||||||
National Beverage Corp. † | 17,435 | 737,849 | ||||||
Natural Health Trends Corp. (a) | 11,996 | 397,667 | ||||||
Omega Protein Corp. † | 14,399 | 243,919 | ||||||
Post Holdings, Inc. † | 27,279 | 1,875,977 | ||||||
Revlon, Inc., Class A † | 10,022 | 364,901 | ||||||
Sanderson Farms, Inc. | 3,526 | 317,975 | ||||||
Snyder’s-Lance, Inc. (a) | 25,562 | 804,692 | ||||||
SpartanNash Co. | 7,211 | 218,565 | ||||||
Tootsie Roll Industries, Inc. (a) | 6,696 | 233,959 | ||||||
Universal Corp. (a) | 8,367 | 475,329 | ||||||
USANA Health Sciences, Inc. †(a) | 5,437 | 660,161 | ||||||
Vector Group Ltd. (a) | 49,072 | 1,120,805 | ||||||
WD-40 Co. | 5,417 | 585,090 | ||||||
|
| |||||||
18,046,437 | ||||||||
|
| |||||||
Energy - 1.5% | ||||||||
Alon USA Energy, Inc. | 17,581 | 181,436 | ||||||
Ardmore Shipping Corp. (Ireland) | 14,473 | 122,297 | ||||||
Callon Petroleum Co. † | 32,162 | 284,633 | ||||||
Matador Resources Co. †(a) | 6,330 | 120,017 | ||||||
McDermott International, Inc. †(a) | 52,965 | 216,627 | ||||||
Nordic American Tankers Ltd. (Norway) (a) | 37,600 | 529,784 | ||||||
Panhandle Oil and Gas, Inc., Class A (a) | 8,155 | 141,163 | ||||||
Par Pacific Holdings, Inc. †(a) | 14,584 | 273,596 | ||||||
Parsley Energy, Inc., Class A † | 61,865 | 1,398,149 | ||||||
PDC Energy, Inc. † | 16,444 | 977,596 | ||||||
Ship Finance International Ltd. (Norway) (a) | 17,888 | 248,464 | ||||||
Teekay Tankers Ltd., Class A | 25,847 | 94,858 | ||||||
TETRA Technologies, Inc. † | 26,462 | 168,034 | ||||||
|
| |||||||
4,756,654 | ||||||||
|
| |||||||
Financials - 26.8% | ||||||||
Acadia Realty Trust REIT | 12,094 | 424,862 | ||||||
Actua Corp. † | 12,100 | 109,505 | ||||||
Agree Realty Corp. REIT | 6,373 | 245,169 | ||||||
Alexander’s, Inc. REIT | 1,154 | 439,155 | ||||||
Altisource Portfolio Solutions SA (Luxembourg) †(a) | 6,158 | 148,716 | ||||||
American Assets Trust, Inc. REIT | 9,951 | 397,244 | ||||||
Ameris Bancorp | 13,369 | 395,455 | ||||||
AMERISAFE, Inc. | 8,584 | 451,003 | ||||||
Argo Group International Holdings Ltd. | 14,285 | 819,816 | ||||||
Atlas Financial Holdings, Inc. † | 8,617 | 156,312 | ||||||
Banc of California, Inc. | 15,122 | 264,635 | ||||||
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | 8,673 | 210,060 | ||||||
BancorpSouth, Inc. | 28,091 | 598,619 | ||||||
Bank of the Ozarks, Inc. | 39,935 | 1,676,072 |
SHARES | VALUE (Note 4) | |||||||
Financials - 26.8% (continued) | ||||||||
Banner Corp. | 9,827 | $ | 413,127 | |||||
BBCN Bancorp, Inc. | 7,697 | 116,917 | ||||||
Beneficial Bancorp, Inc. † | 38,657 | 529,214 | ||||||
Berkshire Hills Bancorp, Inc. | 13,780 | 370,544 | ||||||
BGC Partners, Inc., Class A | 78,465 | 710,108 | ||||||
BNC Bancorp | 22,518 | 475,580 | ||||||
BofI Holding, Inc. †(a) | 10,897 | 232,542 | ||||||
Brookline Bancorp, Inc. | 18,831 | 207,329 | ||||||
Capital Bank Financial Corp., Class A | 28,180 | 869,353 | ||||||
Capitol Federal Financial, Inc. | 22,680 | 300,737 | ||||||
Cardinal Financial Corp. | 10,024 | 203,988 | ||||||
Cash America International, Inc. | 14,321 | 553,363 | ||||||
Cathay General Bancorp | 44,038 | 1,247,597 | ||||||
Cedar Realty Trust, Inc. REIT | 19,172 | 138,614 | ||||||
CenterState Banks, Inc. | 21,995 | 327,506 | ||||||
Central Pacific Financial Corp. | 13,052 | 284,142 | ||||||
Chemical Financial Corp. (a) | 10,758 | 383,953 | ||||||
CNO Financial Group, Inc. | 41,965 | 752,013 | ||||||
Cohen & Steers, Inc. | 4,567 | 177,748 | ||||||
Columbia Banking System, Inc. | 23,424 | 700,846 | ||||||
Community Bank System, Inc. | 10,380 | 396,620 | ||||||
ConnectOne Bancorp, Inc. | 11,700 | 191,295 | ||||||
CoreSite Realty Corp. REIT | 16,482 | 1,153,905 | ||||||
CubeSmart REIT | 72,437 | 2,412,152 | ||||||
Customers Bancorp, Inc. † | 23,643 | 558,684 | ||||||
CVB Financial Corp. (a) | 23,846 | 416,113 | ||||||
CyrusOne, Inc. REIT | 29,427 | 1,343,343 | ||||||
DCT Industrial Trust, Inc. REIT | 12,871 | 508,018 | ||||||
Diamond Hill Investment Group, Inc. | 1,639 | 290,693 | ||||||
Dime Community Bancshares, Inc. | 8,591 | 151,373 | ||||||
DuPont Fabros Technology, Inc. REIT | 13,904 | 563,529 | ||||||
Eagle Bancorp, Inc. † | 24,111 | 1,157,328 | ||||||
Education Realty Trust, Inc. REIT | 12,320 | 512,512 | ||||||
Employers Holdings, Inc. | 6,048 | 170,191 | ||||||
Enstar Group Ltd. † | 3,670 | 596,669 | ||||||
Enterprise Financial Services Corp. | 11,181 | 302,334 | ||||||
EPR Properties REIT | 10,062 | 670,330 | ||||||
Equity One, Inc. REIT | 23,760 | 680,962 | ||||||
Evercore Partners, Inc., Class A | 5,772 | 298,701 | ||||||
FBL Financial Group, Inc., Class A | 10,027 | 616,861 | ||||||
FCB Financial Holdings, Inc., Class A † | 30,591 | 1,017,457 | ||||||
Federated National Holding Co. | 7,509 | 147,627 | ||||||
Fidelity Southern Corp. | 19,921 | 319,533 | ||||||
First American Financial Corp. | 36,768 | 1,401,228 | ||||||
First Defiance Financial Corp. | 8,602 | 330,403 | ||||||
First Financial Bankshares, Inc. (a) | 13,118 | 388,030 | ||||||
First Industrial Realty Trust, Inc. REIT | 12,929 | 294,005 | ||||||
First Interstate BancSystem, Inc., Class A | 11,618 | 326,814 | ||||||
First Merchants Corp. | 17,270 | 407,054 | ||||||
First Midwest Bancorp, Inc. | 12,076 | 217,609 | ||||||
Flagstar Bancorp, Inc. † | 20,448 | 438,814 | ||||||
Flushing Financial Corp. | 7,004 | 151,426 | ||||||
FNB Corp. | 26,058 | 339,015 | ||||||
Fulton Financial Corp. | 57,652 | 771,384 | ||||||
GAIN Capital Holdings, Inc. | 24,292 | 159,356 | ||||||
Glacier Bancorp, Inc. | 3,726 | 94,715 | ||||||
Gladstone Commercial Corp. REIT | 10,000 | 163,800 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
49
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 26.8% (continued) | ||||||||
Great Southern Bancorp, Inc. | 6,714 | $ | 249,291 | |||||
Great Western Bancorp, Inc. | 34,191 | 932,389 | ||||||
Hanmi Financial Corp. | 16,388 | 360,864 | ||||||
Healthcare Realty Trust, Inc. REIT | 15,239 | 470,733 | ||||||
Heartland Financial USA, Inc. | 9,469 | 291,550 | ||||||
Heritage Insurance Holdings, Inc. | 11,213 | 179,072 | ||||||
HFF, Inc., Class A | 5,546 | 152,681 | ||||||
Highwoods Properties, Inc. REIT | 9,153 | 437,605 | ||||||
Home BancShares, Inc. | 35,355 | 1,447,787 | ||||||
HomeStreet, Inc. † | 11,176 | 232,573 | ||||||
Horace Mann Educators Corp. | 9,835 | 311,671 | ||||||
Hudson Pacific Properties, Inc. REIT | 13,022 | 376,596 | ||||||
Impac Mortgage Holdings, Inc. †(a) | 14,283 | 198,105 | ||||||
Independent Bank Corp./MA | 12,042 | 553,450 | ||||||
Independent Bank Corp./MI | 27,663 | 402,497 | ||||||
Infinity Property & Casualty Corp. | 3,108 | 250,194 | ||||||
International Bancshares Corp. | 6,452 | 159,106 | ||||||
INTL. FCStone, Inc. † | 11,704 | 312,848 | ||||||
Investment Technology Group, Inc. | 5,427 | 119,937 | ||||||
Investors Bancorp, Inc. | 160,028 | 1,862,726 | ||||||
James River Group Holdings Ltd. | 11,794 | 380,474 | ||||||
Kearny Financial Corp. | 38,505 | 475,537 | ||||||
Kemper Corp. | 3,161 | 93,471 | ||||||
Kite Realty Group Trust REIT | 3,366 | 93,272 | ||||||
Ladenburg Thalmann Financial Services, Inc. †(a) | 38,218 | 95,545 | ||||||
Lakeland Financial Corp. | 8,803 | 403,001 | ||||||
LegacyTexas Financial Group, Inc. | 18,941 | 372,191 | ||||||
LendingTree, Inc. †(a) | 7,566 | 739,803 | ||||||
LTC Properties, Inc. REIT | 6,376 | 288,450 | ||||||
Mack-Cali Realty Corp. REIT | 22,472 | 528,092 | ||||||
Maiden Holdings Ltd. (a) | 33,054 | 427,719 | ||||||
Marcus & Millichap, Inc. † | 5,385 | 136,725 | ||||||
MarketAxess Holdings, Inc. | 15,503 | 1,935,239 | ||||||
MB Financial, Inc. | 25,998 | 843,635 | ||||||
Meridian Bancorp, Inc. | 29,164 | 405,963 | ||||||
Meta Financial Group, Inc. | 6,520 | 297,312 | ||||||
Monmouth Real Estate Investment Corp. REIT | 23,876 | 283,886 | ||||||
National Bank Holdings Corp., Class A | 10,700 | 218,173 | ||||||
National General Holdings Corp. | 21,132 | 456,240 | ||||||
Navigators Group, Inc. (The) † | 5,759 | 483,007 | ||||||
NBT Bancorp, Inc. | 9,707 | 261,604 | ||||||
Northfield Bancorp, Inc. | 9,328 | 153,352 | ||||||
Northwest Bancshares, Inc. (a) | 44,759 | 604,694 | ||||||
OneBeacon Insurance Group Ltd., Class A | 10,443 | 132,939 | ||||||
Opus Bank | 17,368 | 590,512 | ||||||
Oritani Financial Corp. | 27,731 | 470,595 | ||||||
Pacific Premier Bancorp, Inc. † | 7,111 | 151,962 | ||||||
Park National Corp. | 1,036 | 93,240 | ||||||
Pennsylvania REIT | 9,224 | 201,544 | ||||||
Physicians Realty Trust REIT | 16,442 | 305,492 | ||||||
Pinnacle Financial Partners, Inc. | 24,888 | 1,221,005 | ||||||
Preferred Bank | 12,772 | 386,353 | ||||||
PrivateBancorp, Inc. | 29,238 | 1,128,587 | ||||||
Provident Financial Services, Inc. | 15,861 | 320,234 | ||||||
PS Business Parks, Inc. REIT | 7,227 | 726,386 |
SHARES | VALUE (Note 4) | |||||||
Financials - 26.8% (continued) | ||||||||
QTS Realty Trust, Inc., Class A REIT | 23,232 | $ | 1,100,732 | |||||
RE/MAX Holdings, Inc., Class A | 5,481 | 187,998 | ||||||
Renasant Corp. | 11,957 | 393,505 | ||||||
Retail Opportunity Investments Corp. REIT | 25,947 | 522,054 | ||||||
Rexford Industrial Realty, Inc. REIT | 5,098 | 92,580 | ||||||
RLI Corp. | 20,618 | 1,378,519 | ||||||
S&T Bancorp, Inc. | 6,680 | 172,077 | ||||||
Safety Insurance Group, Inc. | 3,686 | 210,323 | ||||||
Sandy Spring Bancorp, Inc. | 3,390 | 94,344 | ||||||
Saul Centers, Inc. REIT | 3,781 | 200,469 | ||||||
Seacoast Banking Corp. of Florida † | 27,451 | 433,451 | ||||||
Selective Insurance Group, Inc. | 16,206 | 593,302 | ||||||
ServisFirst Bancshares, Inc. | 19,573 | 869,041 | ||||||
Simmons First National Corp., Class A | 10,773 | 485,539 | ||||||
South State Corp. | 12,446 | 799,407 | ||||||
Southside Bancshares, Inc. | 5,652 | 147,348 | ||||||
Sovran Self Storage, Inc. REIT | 17,208 | 2,029,684 | ||||||
State Bank Financial Corp. | 8,486 | 167,683 | ||||||
Sterling Bancorp | 41,571 | 662,226 | ||||||
Stewart Information Services Corp. | 10,038 | 364,179 | ||||||
Stonegate Bank | 6,484 | 194,261 | ||||||
STORE Capital Corp. REIT | 50,547 | 1,308,156 | ||||||
Sun Communities, Inc. REIT | 20,985 | 1,502,736 | ||||||
Terreno Realty Corp. REIT | 4,591 | 107,659 | ||||||
Tompkins Financial Corp. | 1,585 | 101,440 | ||||||
Towne Bank (a) | 14,776 | 283,551 | ||||||
Union Bankshares Corp. | 3,912 | 96,353 | ||||||
United Bankshares, Inc. (a) | 30,085 | 1,104,119 | ||||||
United Community Banks, Inc. | 47,961 | 885,840 | ||||||
United Fire Group, Inc. | 7,029 | 308,011 | ||||||
United Insurance Holdings Corp. | 8,652 | 166,205 | ||||||
Universal Health Realty Income Trust REIT | 2,973 | 167,231 | ||||||
Universal Insurance Holdings, Inc. (a) | 8,162 | 145,284 | ||||||
Urban Edge Properties REIT | 15,489 | 400,236 | ||||||
Urstadt Biddle Properties, Inc., Class A REIT | 5,947 | 124,590 | ||||||
Valley National Bancorp | 60,914 | 581,120 | ||||||
Walker & Dunlop, Inc. † | 20,117 | 488,240 | ||||||
Washington Federal, Inc. | 34,062 | 771,504 | ||||||
Waterstone Financial, Inc. | 33,935 | 464,231 | ||||||
Webster Financial Corp. | 29,153 | 1,046,593 | ||||||
WesBanco, Inc. | 4,357 | 129,446 | ||||||
Western Alliance Bancorp † | 51,360 | 1,714,397 | ||||||
Wintrust Financial Corp. | 13,012 | 576,952 | ||||||
WSFS Financial Corp. | 10,598 | 344,647 | ||||||
|
| |||||||
84,216,899 | ||||||||
|
| |||||||
Health Care - 17.4% | ||||||||
ABIOMED, Inc. † | 16,141 | 1,530,328 | ||||||
Accelerate Diagnostics, Inc. †(a) | 7,300 | 104,901 | ||||||
Acceleron Pharma, Inc. † | 4,617 | 121,843 | ||||||
Aceto Corp. | 12,688 | 298,929 | ||||||
Addus HomeCare Corp. † | 11,731 | 201,656 | ||||||
Adeptus Health, Inc., Class A †(a) | 10,647 | 591,334 | ||||||
Advaxis, Inc. †(a) | 10,733 | 96,919 | ||||||
Agenus, Inc. †(a) | 22,733 | 94,569 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
50
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Health Care - 17.4% (continued) | ||||||||
Alder Biopharmaceuticals, Inc. † | 17,119 | $ | 419,244 | |||||
Almost Family, Inc. † | 8,516 | 317,136 | ||||||
Amedisys, Inc. † | 18,086 | 874,277 | ||||||
Amicus Therapeutics, Inc. †(a) | 16,776 | 141,757 | ||||||
AMN Healthcare Services, Inc. † | 23,440 | 787,818 | ||||||
Amphastar Pharmaceuticals, Inc. †(a) | 20,654 | 247,848 | ||||||
Amsurg Corp. † | 19,641 | 1,465,219 | ||||||
Anacor Pharmaceuticals, Inc. †(a) | 15,058 | 804,850 | ||||||
Analogic Corp. | 2,068 | 163,393 | ||||||
Anika Therapeutics, Inc. † | 3,747 | 167,566 | ||||||
Anthera Pharmaceuticals, Inc. †(a) | 26,600 | 96,292 | ||||||
Assembly Biosciences, Inc. † | 1,747 | 8,770 | ||||||
AtriCure, Inc. † | 14,179 | 238,633 | ||||||
Atrion Corp. | 700 | 276,752 | ||||||
BioSpecifics Technologies Corp. † | 3,618 | 125,979 | ||||||
BioTelemetry, Inc. † | 25,845 | 301,870 | ||||||
BioTime, Inc. †(a) | 10,248 | 29,412 | ||||||
Cambrex Corp. † | 15,734 | 692,296 | ||||||
Cantel Medical Corp. | 21,426 | 1,528,959 | ||||||
Capital Senior Living Corp. †(a) | 6,600 | 122,232 | ||||||
Cellular Biomedicine Group, Inc. †(a) | 5,891 | 109,867 | ||||||
Chemed Corp. | 8,505 | 1,152,002 | ||||||
Civitas Solutions, Inc. † | 9,846 | 171,616 | ||||||
Concert Pharmaceuticals, Inc. † | 20,086 | 274,375 | ||||||
CONMED Corp. | 4,002 | 167,844 | ||||||
Corcept Therapeutics, Inc. †(a) | 59,094 | 276,560 | ||||||
CorMedix, Inc. †(a) | 9,275 | 24,579 | ||||||
CorVel Corp. † | 6,100 | 240,462 | ||||||
Cross Country Healthcare, Inc. † | 24,798 | 288,401 | ||||||
CTI BioPharma Corp. †(a) | 77,000 | 40,918 | ||||||
Curis, Inc. †(a) | 62,196 | 100,136 | ||||||
Cynosure, Inc., Class A † | 12,609 | 556,309 | ||||||
Cytokinetics, Inc. † | 18,480 | 130,284 | ||||||
Dermira, Inc. † | 14,874 | 307,594 | ||||||
Diplomat Pharmacy, Inc. † | 21,685 | 594,169 | ||||||
Durect Corp. (2)†(a) | 83,176 | 112,288 | ||||||
Dynavax Technologies Corp. † | 13,128 | 252,583 | ||||||
Eagle Pharmaceuticals, Inc. †(a) | 9,269 | 375,394 | ||||||
Emergent BioSolutions, Inc. † | 11,701 | 425,331 | ||||||
Ensign Group, Inc. (The) | 20,062 | 454,204 | ||||||
Exelixis, Inc. †(a) | 91,653 | 366,612 | ||||||
Five Prime Therapeutics, Inc. † | 10,794 | 438,560 | ||||||
Geron Corp. †(a) | 37,688 | 110,049 | ||||||
Globus Medical, Inc., Class A † | 21,168 | 502,740 | ||||||
Greatbatch, Inc. † | 6,832 | 243,492 | ||||||
Halozyme Therapeutics, Inc. †(a) | 10,572 | 100,117 | ||||||
HealthEquity, Inc. † | 24,326 | 600,122 | ||||||
HealthStream, Inc. † | 7,258 | 160,329 | ||||||
Heska Corp. † | 11,975 | 341,288 | ||||||
ICU Medical, Inc. † | 9,560 | 995,196 | ||||||
Ignyta, Inc. †(a) | 27,713 | 187,617 | ||||||
ImmunoGen, Inc. †(a) | 27,143 | 231,258 | ||||||
Impax Laboratories, Inc. † | 13,213 | 423,080 | ||||||
INC Research Holdings, Inc., Class A † | 22,018 | 907,362 | ||||||
Inogen, Inc. † | 15,965 | 718,106 | ||||||
Insmed, Inc. †(a) | 11,460 | 145,198 | ||||||
Integra LifeSciences Holdings Corp. † | 15,081 | 1,015,856 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 17.4% (continued) | ||||||||
Intersect ENT, Inc. † | 6,339 | $ | 120,441 | |||||
Intra-Cellular Therapies, Inc. † | 18,753 | 521,333 | ||||||
Invacare Corp. (a) | 7,013 | 92,361 | ||||||
iRadimed Corp. †(a) | 7,495 | 143,604 | ||||||
K2M Group Holdings, Inc. † | 10,780 | 159,867 | ||||||
LeMaitre Vascular, Inc. | 10,217 | 158,568 | ||||||
Lexicon Pharmaceuticals, Inc. †(a) | 35,424 | 423,317 | ||||||
LHC Group, Inc. † | 10,762 | 382,697 | ||||||
Ligand Pharmaceuticals, Inc. †(a) | 9,640 | 1,032,348 | ||||||
Lion Biotechnologies, Inc. †(a) | 20,585 | 104,572 | ||||||
LivaNova plc (United Kingdom) † | 10,027 | 541,257 | ||||||
Loxo Oncology, Inc. †(a) | 13,313 | 363,977 | ||||||
Luminex Corp. † | 8,372 | 162,417 | ||||||
Masimo Corp. † | 26,646 | 1,114,869 | ||||||
Medcath Corp. (3)†(b) | 10,300 | — | ||||||
Medicines Co. (The) †(a) | 25,000 | 794,250 | ||||||
Meridian Bioscience, Inc. | 4,498 | 92,704 | ||||||
Merit Medical Systems, Inc. † | 20,171 | 372,962 | ||||||
Mirati Therapeutics, Inc. † | 10,689 | 228,745 | ||||||
Molina Healthcare, Inc. † | 11,923 | 768,914 | ||||||
Momenta Pharmaceuticals, Inc. † | 16,643 | 153,781 | ||||||
Myriad Genetics, Inc. † | 21,783 | 815,338 | ||||||
National HealthCare Corp. | 2,800 | 174,440 | ||||||
Natus Medical, Inc. † | 18,669 | 717,450 | ||||||
Nektar Therapeutics † | 22,649 | 311,424 | ||||||
Neogen Corp. † | 10,709 | 539,198 | ||||||
NeoGenomics, Inc. † | 32,423 | 218,531 | ||||||
Neurocrine Biosciences, Inc. † | 22,328 | 883,072 | ||||||
Nevro Corp. †(a) | 11,892 | 669,044 | ||||||
Northwest Biotherapeutics, Inc. †(a) | 11,464 | 16,737 | ||||||
Novavax, Inc. †(a) | 21,232 | 109,557 | ||||||
NuVasive, Inc. † | 17,231 | 838,288 | ||||||
Nuvectra Corp. † | 3,005 | 16,257 | ||||||
NxStage Medical, Inc. † | 18,427 | 276,221 | ||||||
Ohr Pharmaceutical, Inc. †(a) | 7,600 | 24,396 | ||||||
Omnicell, Inc. † | 6,219 | 173,324 | ||||||
Oncothyreon, Inc. †(a) | 121,216 | 153,944 | ||||||
Ophthotech Corp. † | 8,102 | 342,472 | ||||||
OraSure Technologies, Inc. † | 19,400 | 140,262 | ||||||
Organovo Holdings, Inc. †(a) | 37,800 | 82,026 | ||||||
Orthofix International NV † | 5,619 | 233,301 | ||||||
Owens & Minor, Inc. | 13,531 | 546,923 | ||||||
Pacific Biosciences of California, Inc. † | 17,219 | 146,362 | ||||||
Peregrine Pharmaceuticals, Inc. †(a) | 181,400 | 76,279 | ||||||
Pfenex, Inc. † | 6,032 | 59,295 | ||||||
PharMerica Corp. † | 12,824 | 283,539 | ||||||
Phibro Animal Health Corp., Class A | 4,026 | 108,863 | ||||||
Portola Pharmaceuticals, Inc. † | 14,419 | 294,148 | ||||||
PRA Health Sciences, Inc. †(a) | 22,032 | 942,088 | ||||||
Prestige Brands Holdings, Inc. † | 23,124 | 1,234,590 | ||||||
Prothena Corp. plc (Ireland) †(a) | 14,632 | 602,253 | ||||||
Providence Service Corp. (The) † | 4,930 | 251,775 | ||||||
Radius Health, Inc. † | 5,943 | 186,848 | ||||||
RadNet, Inc. † | 19,258 | 93,016 | ||||||
Repligen Corp. † | 11,121 | 298,265 | ||||||
Retrophin, Inc. †(a) | 24,495 | 334,602 | ||||||
Revance Therapeutics, Inc. †(a) | 14,318 | 249,992 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
51
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Health Care - 17.4% (continued) | ||||||||
Rockwell Medical, Inc. †(a) | 14,232 | $ | 106,882 | |||||
RTI Surgical, Inc. † | 39,509 | 158,036 | ||||||
Sage Therapeutics, Inc. † | 4,671 | 149,752 | ||||||
Sarepta Therapeutics, Inc. †(a) | 22,054 | 430,494 | ||||||
SciClone Pharmaceuticals, Inc. † | 17,936 | 197,296 | ||||||
Sequenom, Inc. †(a) | 70,200 | 98,982 | ||||||
STERIS plc (United Kingdom) | 26,800 | 1,904,140 | ||||||
Supernus Pharmaceuticals, Inc. † | 29,422 | 448,686 | ||||||
Surgical Care Affiliates, Inc. † | 12,716 | 588,496 | ||||||
Synergy Pharmaceuticals, Inc. † | 51,404 | 141,875 | ||||||
TESARO, Inc. †(a) | 5,172 | 227,723 | ||||||
TherapeuticsMD, Inc. †(a) | 69,649 | 445,754 | ||||||
Trevena, Inc. † | 28,383 | 234,727 | ||||||
Ultragenyx Pharmaceutical, Inc. † | 13,842 | 876,337 | ||||||
Universal American Corp. | 19,738 | 140,929 | ||||||
US Physical Therapy, Inc. | 6,163 | 306,486 | ||||||
Vascular Solutions, Inc. † | 13,700 | 445,661 | ||||||
Vocera Communications, Inc. † | 10,735 | 136,871 | ||||||
WellCare Health Plans, Inc. † | 1,718 | 159,345 | ||||||
West Pharmaceutical Services, Inc. | 22,226 | 1,540,706 | ||||||
Xencor, Inc. † | 9,465 | 127,020 | ||||||
Zeltiq Aesthetics, Inc. †(a) | 5,253 | 142,671 | ||||||
ZIOPHARM Oncology, Inc. †(a) | 18,183 | 134,918 | ||||||
Zogenix, Inc. †(a) | 9,937 | 91,818 | ||||||
|
| |||||||
54,805,389 | ||||||||
|
| |||||||
Industrials - 8.3% | ||||||||
AAON, Inc. | 8,544 | 239,232 | ||||||
ABM Industries, Inc. | 6,667 | 215,411 | ||||||
Advanced Drainage Systems, Inc. (a) | 10,125 | 215,662 | ||||||
Aerojet Rocketdyne Holdings, Inc. † | 7,667 | 125,585 | ||||||
Air Transport Services Group, Inc. † | 33,900 | 521,382 | ||||||
Aircastle Ltd. (a) | 5,512 | 122,587 | ||||||
Alamo Group, Inc. | 3,400 | 189,414 | ||||||
Albany International Corp., Class A | 2,564 | 96,381 | ||||||
Allegiant Travel Co. | 3,591 | 639,413 | ||||||
American Woodmark Corp. † | 11,108 | 828,546 | ||||||
Apogee Enterprises, Inc. | 8,015 | 351,778 | ||||||
Argan, Inc. | 5,482 | 192,747 | ||||||
Astec Industries, Inc. | 3,050 | 142,343 | ||||||
AZZ, Inc. | 5,863 | 331,846 | ||||||
Barnes Group, Inc. | 3,154 | 110,485 | ||||||
Barrett Business Services, Inc. | 3,741 | 107,554 | ||||||
Beacon Roofing Supply, Inc. † | 22,211 | 910,873 | ||||||
Brink’s Co. (The) | 17,037 | 572,273 | ||||||
Builders FirstSource, Inc. † | 59,970 | 675,862 | ||||||
Comfort Systems USA, Inc. | 21,641 | 687,535 | ||||||
Covenant Transportation Group, Inc., Class A † | 4,298 | 103,969 | ||||||
CRA International, Inc. † | 6,151 | 120,806 | ||||||
Curtiss-Wright Corp. | 3,906 | 295,567 | ||||||
Douglas Dynamics, Inc. | 10,400 | 238,264 | ||||||
Dycom Industries, Inc. † | 14,787 | 956,275 | ||||||
EMCOR Group, Inc. | 11,751 | 571,099 | ||||||
Encore Wire Corp. | 2,448 | 95,301 | ||||||
Ennis, Inc. | 7,540 | 147,407 | ||||||
Exponent, Inc. | 14,044 | 716,384 | ||||||
Federal Signal Corp. | 14,847 | 196,871 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 8.3% (continued) | ||||||||
FTI Consulting, Inc. † | 3,688 | $ | 130,961 | |||||
G&K Services, Inc., Class A | 5,623 | 411,885 | ||||||
Gibraltar Industries, Inc. † | 16,328 | 466,981 | ||||||
Global Brass & Copper Holdings, Inc. | 14,454 | 360,627 | ||||||
GP Strategies Corp. † | 4,353 | 119,272 | ||||||
Granite Construction, Inc. | 6,469 | 309,218 | ||||||
Griffon Corp. | 21,547 | 332,901 | ||||||
Hawaiian Holdings, Inc. † | 21,616 | 1,020,059 | ||||||
HC2 Holdings, Inc. †(a) | 27,896 | 106,563 | ||||||
Healthcare Services Group, Inc. | 28,128 | 1,035,392 | ||||||
Heidrick & Struggles International, Inc. | 6,742 | 159,785 | ||||||
HNI Corp. | 2,603 | 101,959 | ||||||
Insperity, Inc. | 10,266 | 531,060 | ||||||
Insteel Industries, Inc. | 3,065 | 93,697 | ||||||
Interface, Inc. | 20,541 | 380,830 | ||||||
John Bean Technologies Corp. | 9,989 | 563,479 | ||||||
Kadant, Inc. | 3,300 | 149,028 | ||||||
Kaman Corp. | 4,422 | 188,775 | ||||||
Kforce, Inc. | 9,696 | 189,848 | ||||||
Knoll, Inc. | 11,667 | 252,590 | ||||||
Korn | 9,913 | 280,439 | ||||||
Lydall, Inc. † | 5,838 | 189,852 | ||||||
Marten Transport Ltd. | 7,355 | 137,686 | ||||||
Masonite International Corp. † | 1,839 | 120,454 | ||||||
Matson, Inc. | 20,915 | 840,156 | ||||||
Matthews International Corp., Class A | 8,717 | 448,664 | ||||||
Mistras Group, Inc. † | 3,977 | 98,510 | ||||||
Mueller Industries, Inc. | 9,061 | 266,575 | ||||||
Multi-Color Corp. | 4,489 | 239,488 | ||||||
MYR Group, Inc. † | 5,924 | 148,752 | ||||||
National Presto Industries, Inc. (a) | 1,715 | 143,614 | ||||||
NV5 Global, Inc. †(a) | 13,579 | 364,325 | ||||||
On Assignment, Inc. † | 12,161 | 448,984 | ||||||
PAM Transportation Services, Inc. † | 3,028 | 93,262 | ||||||
Park-Ohio Holdings Corp. | 2,529 | 108,292 | ||||||
Patrick Industries, Inc. † | 12,211 | 554,257 | ||||||
PGT, Inc. † | 28,250 | 277,980 | �� | |||||
Radiant Logistics, Inc. † | 19,798 | 70,679 | ||||||
RBC Bearings, Inc. † | 2,775 | 203,296 | ||||||
Resources Connection, Inc. | 10,068 | 156,658 | ||||||
SkyWest, Inc. | 21,997 | 439,720 | ||||||
Sparton Corp. † | 6,924 | 124,563 | ||||||
Standex International Corp. | 4,173 | 324,701 | ||||||
Steelcase, Inc., Class A | 10,190 | 152,035 | ||||||
Team, Inc. †(a) | 4,400 | 133,672 | ||||||
Tennant Co. | 3,269 | 168,288 | ||||||
Tetra Tech, Inc. | 8,778 | 261,760 | ||||||
TrueBlue, Inc. † | 4,019 | 105,097 | ||||||
UniFirst Corp. | 2,005 | 218,786 | ||||||
Universal Forest Products, Inc. | 6,579 | 564,610 | ||||||
US Ecology, Inc. | 4,522 | 199,691 | ||||||
USA Truck, Inc. † | 7,500 | 141,300 | ||||||
Viad Corp. | 5,800 | 169,128 | ||||||
VSE Corp. | 2,457 | 166,806 | ||||||
WageWorks, Inc. † | 2,384 | 120,654 | ||||||
Willdan Group, Inc. † | 2,158 | 20,825 | ||||||
|
| |||||||
26,127,321 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
52
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 18.7% | ||||||||
A10 Networks, Inc. † | 24,258 | $ | 143,607 | |||||
ACI Worldwide, Inc. † | 28,926 | 601,372 | ||||||
Acxiom Corp. † | 15,894 | 340,767 | ||||||
Advanced Energy Industries, Inc. † | 16,825 | 585,342 | ||||||
Applied Optoelectronics, Inc. †(a) | 13,854 | 206,563 | ||||||
Aspen Technology, Inc. † | 9,985 | 360,758 | ||||||
AVG Technologies NV (Netherlands) † | 5,307 | 110,120 | ||||||
AVX Corp. | 12,390 | 155,742 | ||||||
Axcelis Technologies, Inc. † | 52,688 | 147,526 | ||||||
Badger Meter, Inc. | 1,766 | 117,457 | ||||||
Benefitfocus, Inc. †(a) | 8,834 | 294,614 | ||||||
Blackbaud, Inc. | 21,626 | 1,360,059 | ||||||
Blackhawk Network Holdings, Inc. † | 21,626 | 741,772 | ||||||
Bottomline Technologies de, Inc. † | 6,446 | 196,539 | ||||||
BroadSoft, Inc. † | 16,157 | 651,935 | ||||||
Brooks Automation, Inc. | 10,126 | 105,310 | ||||||
Cabot Microelectronics Corp. | 2,479 | 101,416 | ||||||
CACI International, Inc., Class A † | 6,137 | 654,818 | ||||||
CalAmp Corp. † | 5,277 | 94,617 | ||||||
Callidus Software, Inc. † | 30,531 | 509,257 | ||||||
Carbonite, Inc. † | 13,200 | 105,204 | ||||||
Cardtronics, Inc. † | 3,516 | 126,541 | ||||||
Cavium, Inc. † | 2,936 | 179,566 | ||||||
CEVA, Inc. † | 12,650 | 284,625 | ||||||
Cimpress NV (Netherlands) † | 2,629 | 238,424 | ||||||
Cirrus Logic, Inc. † | 25,548 | 930,203 | ||||||
Clearfield, Inc. †(a) | 11,651 | 187,232 | ||||||
Coherent, Inc. † | 5,917 | 543,772 | ||||||
Convergys Corp. | 34,452 | 956,732 | ||||||
Cray, Inc. † | 5,185 | 217,303 | ||||||
CSG Systems International, Inc. (a) | 11,909 | 537,810 | ||||||
CTS Corp. | 12,200 | 192,028 | ||||||
Cvent, Inc. † | 12,501 | 267,521 | ||||||
DHI Group, Inc. † | 15,761 | 127,191 | ||||||
Digimarc Corp. †(a) | 4,179 | 126,624 | ||||||
DTS, Inc. † | 4,612 | 100,449 | ||||||
EarthLink Holdings Corp. | 83,562 | 473,797 | ||||||
Ebix, Inc. | 17,236 | 703,056 | ||||||
Electronics For Imaging, Inc. † | 10,714 | 454,166 | ||||||
Ellie Mae, Inc. †(a) | 13,739 | 1,245,303 | ||||||
Entegris, Inc. † | 9,172 | 124,923 | ||||||
EPAM Systems, Inc. † | 18,880 | 1,409,770 | ||||||
Epiq Systems, Inc. | 9,360 | 140,587 | ||||||
ePlus, Inc. † | 5,396 | 434,432 | ||||||
Euronet Worldwide, Inc. † | 20,309 | 1,505,100 | ||||||
ExlService Holdings, Inc. † | 15,184 | 786,531 | ||||||
Fabrinet (Thailand) † | 14,746 | 477,033 | ||||||
Fair Isaac Corp. | 13,991 | 1,484,305 | ||||||
FEI Co. | 1,328 | 118,205 | ||||||
Five9, Inc. † | 27,776 | 246,929 | ||||||
Fleetmatics Group plc (Ireland) † | 13,991 | 569,574 | ||||||
FormFactor, Inc. † | 22,524 | 163,749 | ||||||
Gigamon, Inc. † | 17,482 | 542,292 | ||||||
Glu Mobile, Inc. †(a) | 101,300 | 285,666 | ||||||
Gogo, Inc. †(a) | 9,871 | 108,680 | ||||||
GTT Communications, Inc. † | 20,778 | 343,668 | ||||||
Guidewire Software, Inc. † | 23,459 | 1,278,046 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 18.7% (continued) | ||||||||
Hackett Group, Inc. (The) | 26,961 | $ | 407,650 | |||||
HubSpot, Inc. † | 12,507 | 545,555 | ||||||
II-VI, Inc. † | 19,798 | 429,815 | ||||||
Imperva, Inc. † | 12,579 | 635,240 | ||||||
Infinera Corp. † | 25,798 | 414,316 | ||||||
Inphi Corp. † | 18,026 | 600,987 | ||||||
Insight Enterprises, Inc. † | 4,032 | 115,476 | ||||||
Integrated Device Technology, Inc. † | 35,076 | 716,953 | ||||||
InterDigital, Inc. | 4,418 | 245,862 | ||||||
Intralinks Holdings, Inc. † | 16,496 | 129,988 | ||||||
Ixia † | 19,705 | 245,524 | ||||||
j2 Global, Inc. | 16,986 | 1,045,998 | ||||||
Lionbridge Technologies, Inc. † | 23,819 | 120,524 | ||||||
Littelfuse, Inc. | 5,611 | 690,770 | ||||||
LogMeIn, Inc. † | 11,810 | 595,933 | ||||||
Luxoft Holding, Inc. (Switzerland) † | 14,216 | 782,306 | ||||||
M/A-COM Technology Solutions Holdings, Inc. † | 20,407 | 893,623 | ||||||
Manhattan Associates, Inc. † | 28,254 | 1,606,805 | ||||||
MAXIMUS, Inc. | 2,777 | 146,181 | ||||||
MaxLinear, Inc., Class A † | 29,966 | 554,371 | ||||||
Mercury Systems, Inc. † | 18,800 | 381,640 | ||||||
Mesa Laboratories, Inc. (a) | 1,966 | 189,424 | ||||||
Microsemi Corp. † | 16,050 | 614,876 | ||||||
MicroStrategy, Inc., Class A † | 1,843 | 331,224 | ||||||
MKS Instruments, Inc. | 7,480 | 281,622 | ||||||
Monolithic Power Systems, Inc. | 19,973 | 1,271,082 | ||||||
Monotype Imaging Holdings, Inc. | 5,625 | 134,550 | ||||||
Monster Worldwide, Inc. †(a) | 28,201 | 91,935 | ||||||
MTS Systems Corp. | 2,200 | 133,870 | ||||||
Multi-Fineline Electronix, Inc. † | 2,392 | 55,518 | ||||||
NeoPhotonics Corp. † | 41,663 | 584,949 | ||||||
NETGEAR, Inc. † | 7,662 | 309,315 | ||||||
NIC, Inc. | 11,658 | 210,194 | ||||||
NVE Corp. | 2,643 | 149,409 | ||||||
Oclaro, Inc. †(a) | 62,690 | 338,526 | ||||||
OSI Systems, Inc. † | 4,691 | 307,214 | ||||||
Paycom Software, Inc. †(a) | 21,938 | 780,993 | ||||||
Paylocity Holding Corp. †(a) | 21,153 | 692,549 | ||||||
PC Connection, Inc. | 9,526 | 245,866 | ||||||
Pegasystems, Inc. | 16,041 | 407,121 | ||||||
Perficient, Inc. † | 8,400 | 182,448 | ||||||
PFSweb, Inc. † | 16,898 | 221,702 | ||||||
Photronics, Inc. † | 17,287 | 179,958 | ||||||
Plantronics, Inc. | 3,678 | 144,141 | ||||||
Progress Software Corp. † | 3,731 | 89,992 | ||||||
Proofpoint, Inc. †(a) | 6,536 | 351,506 | ||||||
Q2 Holdings, Inc. † | 24,645 | 592,466 | ||||||
QAD, Inc., Class A | 5,645 | 119,956 | ||||||
RealPage, Inc. † | 7,499 | 156,279 | ||||||
RF Industries Ltd. | 2,658 | 7,177 | ||||||
RingCentral, Inc., Class A † | 32,012 | 504,189 | ||||||
Rudolph Technologies, Inc. † | 14,942 | 204,108 | ||||||
ServiceSource International, Inc. † | 27,897 | 118,841 | ||||||
ShoreTel, Inc. † | 18,745 | 139,463 | ||||||
Sigma Designs, Inc. † | 22,053 | 149,960 | ||||||
Silver Spring Networks, Inc. † | 17,845 | 263,214 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
53
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 18.7% (continued) | ||||||||
SPS Commerce, Inc. † | 4,320 | $ | 185,501 | |||||
Stamps.com, Inc. † | 8,358 | 888,288 | ||||||
Sykes Enterprises, Inc. † | 10,388 | 313,510 | ||||||
Synaptics, Inc. † | 1,219 | 97,203 | ||||||
SYNNEX Corp. | 13,618 | 1,260,891 | ||||||
Take-Two Interactive Software, Inc. † | 36,651 | 1,380,643 | ||||||
Tech Data Corp. † | 12,164 | 933,830 | ||||||
TechTarget, Inc. † | 3,469 | 25,740 | ||||||
Telenav, Inc. † | 41,098 | 242,478 | ||||||
TeleTech Holdings, Inc. | 5,303 | 147,211 | ||||||
Tessera Technologies, Inc. | 4,092 | 126,852 | ||||||
Tyler Technologies, Inc. † | 13,264 | 1,705,883 | ||||||
Ubiquiti Networks, Inc. †(a) | 26,418 | 878,927 | ||||||
Ultra Clean Holdings, Inc. † | 7,049 | 37,783 | ||||||
United Online, Inc. † | 10,738 | 123,917 | ||||||
Universal Display Corp. † | 17,899 | 968,336 | ||||||
ViaSat, Inc. † | 1,253 | 92,070 | ||||||
Virtusa Corp. † | 5,140 | 192,544 | ||||||
Web.com Group, Inc. † | 14,831 | 293,950 | ||||||
WebMD Health Corp. † | 11,983 | 750,495 | ||||||
Xcerra Corp. † | 21,804 | 142,162 | ||||||
XO Group, Inc. † | 20,289 | 325,638 | ||||||
Zendesk, Inc. †(a) | 5,833 | 122,085 | ||||||
Zix Corp. † | 50,931 | 200,159 | ||||||
|
| |||||||
58,793,878 | ||||||||
|
| |||||||
Materials - 2.4% | ||||||||
AEP Industries, Inc. | 1,963 | 129,558 | ||||||
Balchem Corp. | 5,276 | 327,217 | ||||||
Berry Plastics Group, Inc. † | 16,863 | 609,597 | ||||||
Chemtura Corp. † | 19,791 | 522,482 | ||||||
Core Molding Technologies, Inc. † | 1,860 | 23,213 | ||||||
Ferro Corp. † | 12,422 | 147,449 | ||||||
Handy & Harman Ltd. † | 291 | 7,959 | ||||||
Headwaters, Inc. † | 31,502 | 625,000 | ||||||
Innospec, Inc. | 9,110 | 395,010 | ||||||
Kaiser Aluminum Corp. | 7,395 | 625,173 | ||||||
KMG Chemicals, Inc. | 10,063 | 232,153 | ||||||
Louisiana-Pacific Corp. † | 31,763 | 543,783 | ||||||
Materion Corp. | 4,614 | 122,179 | ||||||
Neenah Paper, Inc. | 3,745 | 238,407 | ||||||
Quaker Chemical Corp. | 1,296 | 109,979 | ||||||
Sensient Technologies Corp. | 7,339 | 465,733 | ||||||
Stepan Co. | 4,660 | 257,651 | ||||||
Trinseo SA † | 27,114 | 998,066 | ||||||
US Concrete, Inc. † | 12,313 | 733,609 | ||||||
Worthington Industries, Inc. | 11,197 | 399,061 | ||||||
|
| |||||||
7,513,279 | ||||||||
|
| |||||||
Telecommunication Services - 1.2% | ||||||||
8x8, Inc. † | 31,514 | 317,031 | ||||||
Atlantic Tele-Network, Inc. | 4,115 | 312,040 | ||||||
Boingo Wireless, Inc. † | 19,566 | 151,050 | ||||||
Cincinnati Bell, Inc. † | 36,600 | 141,642 | ||||||
Consolidated Communications Holdings, Inc. (a) | 10,599 | 273,030 | ||||||
FairPoint Communications, Inc. †(a) | 9,396 | 139,812 | ||||||
General Communication, Inc., Class A † | 22,600 | 414,032 |
SHARES | VALUE (Note 4) | |||||||
Telecommunication Services - 1.2% (continued) | ||||||||
IDT Corp., Class B | 12,066 | $ | 188,109 | |||||
Inteliquent, Inc. | 8,841 | 141,898 | ||||||
Lumos Networks Corp. † | 9,282 | 119,181 | ||||||
ORBCOMM, Inc. †(a) | 27,400 | 277,562 | ||||||
Shenandoah Telecommunications Co. | 19,762 | 528,634 | ||||||
Spok Holdings, Inc. | 10,576 | 185,186 | ||||||
Straight Path Communications, Inc., Class B †(a) | 6,023 | 186,894 | ||||||
Vonage Holdings Corp. † | 110,469 | 504,843 | ||||||
|
| |||||||
3,880,944 | ||||||||
|
| |||||||
Utilities - 4.7% | ||||||||
ALLETE, Inc. | 4,119 | 230,952 | ||||||
American States Water Co. | 16,786 | 660,697 | ||||||
Avista Corp. | 17,563 | 716,219 | ||||||
Black Hills Corp. (a) | 9,787 | 588,492 | ||||||
Chesapeake Utilities Corp. | 9,836 | 619,373 | ||||||
Cleco Corp. | 6,363 | 351,301 | ||||||
Connecticut Water Service, Inc. | 2,053 | 92,590 | ||||||
El Paso Electric Co. | 8,711 | 399,661 | ||||||
IDACORP, Inc. | 12,111 | 903,359 | ||||||
Laclede Group, Inc. (The) | 15,675 | 1,061,981 | ||||||
MGE Energy, Inc. | 10,628 | 555,313 | ||||||
New Jersey Resources Corp. | 18,528 | 674,975 | ||||||
Northwest Natural Gas Co. | 4,878 | 262,680 | ||||||
NorthWestern Corp. | 12,340 | 761,995 | ||||||
ONE Gas, Inc. | 31,496 | 1,924,406 | ||||||
Ormat Technologies, Inc. (a) | 13,252 | 546,512 | ||||||
PNM Resources, Inc. | 21,044 | 709,604 | ||||||
Portland General Electric Co. | 19,975 | 788,813 | ||||||
SJW Corp. | 2,536 | 92,184 | ||||||
Southwest Gas Corp. | 3,027 | 199,328 | ||||||
Spark Energy, Inc., Class A | 8,641 | 155,538 | ||||||
Unitil Corp. | 11,324 | 481,157 | ||||||
WGL Holdings, Inc. | 25,386 | 1,837,185 | ||||||
|
| |||||||
14,614,315 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 310,618,822 | |||||||
|
| |||||||
RIGHTS - 0.0% (c) | ||||||||
Health Care - 0.0% (c) | ||||||||
Durata Therapeutics, Inc. (3)†(a)(b) | 9,900 | 7,456 | ||||||
|
| |||||||
Information Technology - 0.0% (c) | ||||||||
Gerber Scientific, Inc. (3)†(a)(b) | 4,000 | — | ||||||
|
| |||||||
TOTAL RIGHTS | 7,456 | |||||||
|
| |||||||
WARRANTS - 0.0% (c) | ||||||||
Consumer Discretionary - 0.0% (c) | ||||||||
Education Management Corp., Class B (3)†(b) | ||||||||
(cost $— ) | 6,600 | 36 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
54
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHORT-TERM INVESTMENT - 1.7% | SHARES | VALUE (Note 4) | ||||||
Investment Company - 1.7% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (2)(d) | ||||||||
(cost $5,213,798) | 5,213,798 | $ | 5,213,798 | |||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 10.7% | ||||||||
Money Market Funds - 10.7% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
Dreyfus Treasury Cash Management, 0.180% (2)(d)(e) | ||||||||
(cost $33,769,149) | 33,769,149 | 33,769,149 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 349,609,261 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (11.3%) (f) | (35,418,321) | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 314,190,940 | |||||
|
|
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 $33,187,084; cash collateral of $33,769,149 was received with which the Fund purchased a money market fund. |
(b) | Security fair valued as of March 31, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $7,492 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 March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
2 | Barclays Capital | E-Mini Russell 2000 Futures | 06/2016 | $215,424 | $221,920 | $6,496 | ||||||||||||
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|
|
|
|
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Barclays Capital | ||||||||||||
Cash | $— | $5,680 | $5,680 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
55
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
COMMON STOCKS - 96.9% | SHARES | VALUE (Note 4) | ||||||
Australia - 4.6% | ||||||||
AGL Energy Ltd. | 65,494 | $ | 922,107 | |||||
Amcor Ltd. | 41,261 | 453,090 | ||||||
AMP Ltd. | 26,931 | 119,373 | ||||||
Aristocrat Leisure Ltd. | 67,187 | 530,005 | ||||||
Asciano Ltd. | 14,990 | 103,004 | ||||||
Aurizon Holdings Ltd. | 51,027 | 155,057 | ||||||
AusNet Services | 85,032 | 97,078 | ||||||
Brambles Ltd. | 49,021 | 454,140 | ||||||
Caltex Australia Ltd. | 27,181 | 708,913 | ||||||
Challenger Ltd. | 15,970 | 102,484 | ||||||
CIMIC Group Ltd. | 10,409 | 276,939 | ||||||
Cochlear Ltd. | 2,674 | 209,154 | ||||||
CSL Ltd. | 33,157 | 2,576,678 | ||||||
Dexus Property Group REIT | 36,964 | 224,469 | ||||||
Flight Centre Travel Group Ltd. | 3,072 | 101,747 | ||||||
Goodman Group REIT | 68,138 | 348,476 | ||||||
GPT Group (The) REIT | 167,107 | 639,731 | ||||||
Harvey Norman Holdings Ltd. | 63,440 | 228,218 | ||||||
Incitec Pivot Ltd. | 54,550 | 133,135 | ||||||
Insurance Australia Group Ltd. | 33,454 | 142,879 | ||||||
Macquarie Group Ltd. | 16,720 | 846,269 | ||||||
Medibank Pvt Ltd. | 145,369 | 326,036 | ||||||
Newcrest Mining Ltd. † | 20,450 | 264,643 | ||||||
Qantas Airways Ltd. † | 197,293 | 615,822 | ||||||
QBE Insurance Group Ltd. | 19,200 | 160,449 | ||||||
Ramsay Health Care Ltd. | 15,757 | 739,830 | ||||||
REA Group Ltd. | 2,572 | 106,457 | ||||||
Scentre Group REIT | 404,900 | 1,378,284 | ||||||
Stockland REIT | 84,500 | 276,450 | ||||||
Suncorp Group Ltd. | 11,430 | 104,283 | ||||||
Tabcorp Holdings Ltd. | 103,175 | 338,330 | ||||||
Tatts Group Ltd. | 66,241 | 191,918 | ||||||
Telstra Corp. Ltd. | 52,734 | 215,206 | ||||||
TPG Telecom Ltd. | 52,484 | 456,069 | ||||||
Treasury Wine Estates Ltd. | 116,790 | 862,377 | ||||||
Vocus Communications Ltd. | 15,935 | 101,655 | ||||||
|
| |||||||
15,510,755 | ||||||||
|
| |||||||
Austria - 0.7% | ||||||||
ANDRITZ AG † | 10,273 | 562,796 | ||||||
Erste Group Bank AG † | 26,080 | 731,989 | ||||||
OMV AG | 33,152 | 930,851 | ||||||
|
| |||||||
2,225,636 | ||||||||
|
| |||||||
Belgium - 2.4% | ||||||||
Ageas | 30,031 | 1,188,517 | ||||||
Anheuser-Busch InBev SA/NV | 30,661 | 3,809,225 | ||||||
Colruyt SA | 1,947 | 113,227 | ||||||
KBC Groep NV | 21,212 | 1,092,370 | ||||||
Proximus | 17,414 | 594,243 | ||||||
UCB SA | 15,242 | 1,163,501 | ||||||
|
| |||||||
7,961,083 | ||||||||
|
| |||||||
Canada - 5.5% | ||||||||
Agnico Eagle Mines Ltd. (1) | 11,257 | 407,289 | ||||||
Alimentation Couche-Tard, Inc., Class B (1) | 56,982 | 2,535,946 | ||||||
Bank of Montreal (1) | 10,620 | 644,927 | ||||||
Barrick Gold Corp. (1) | 26,994 | 366,640 |
SHARES | VALUE (Note 4) | |||||||
Canada - 5.5% (continued) | ||||||||
BCE, Inc. (1) | 49,533 | $ | 2,257,446 | |||||
Canadian Imperial Bank of Commerce (1) | 7,172 | 535,767 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 1,646 | 171,336 | ||||||
CCL Industries, Inc., Class B (1) | 4,183 | 793,925 | ||||||
CGI Group, Inc., Class A (1)† | 16,252 | 776,717 | ||||||
Constellation Software, Inc. (1) | 2,647 | 1,083,848 | ||||||
Dollarama, Inc. (1) | 18,599 | 1,308,768 | ||||||
First Capital Realty, Inc. (1) | 6,303 | 100,072 | ||||||
Fortis, Inc. (1) | 3,873 | 121,401 | ||||||
Franco-Nevada Corp. (1) | 10,144 | 622,972 | ||||||
George Weston Ltd. (1) | 1,398 | 125,166 | ||||||
Imperial Oil Ltd. (1) | 18,035 | 602,532 | ||||||
Intact Financial Corp. (1) | 3,381 | 236,716 | ||||||
Keyera Corp. (1) | 24,229 | 735,405 | ||||||
Kinross Gold Corp. (1)† | 30,474 | 103,946 | ||||||
Loblaw Cos. Ltd. (1) | 13,190 | 738,539 | ||||||
Metro, Inc. (1) | 33,920 | 1,176,851 | ||||||
Onex Corp. (1) | 8,499 | 518,022 | ||||||
Restaurant Brands International, Inc. (1) | 6,174 | 239,782 | ||||||
Rogers Communications, Inc., Class B (1) | 36,905 | 1,477,621 | ||||||
Saputo, Inc. (1) | 5,176 | 165,951 | ||||||
Sun Life Financial, Inc. (1) | 12,136 | 391,529 | ||||||
Suncor Energy, Inc. (1) | 9,150 | 254,826 | ||||||
|
| |||||||
18,493,940 | ||||||||
|
| |||||||
Denmark - 3.4% | ||||||||
Carlsberg A/S, Class B | 2,772 | 263,577 | ||||||
Chr Hansen Holding A/S | 8,842 | 592,956 | ||||||
Coloplast A/S, Class B | 5,148 | 389,565 | ||||||
Danske Bank A/S | 37,401 | 1,055,473 | ||||||
DSV A/S | 15,616 | 649,536 | ||||||
Genmab A/S † | 1,076 | 148,896 | ||||||
ISS A/S | 12,970 | 520,184 | ||||||
Novo Nordisk A/S, Class B | 78,843 | 4,269,632 | ||||||
Pandora A/S | 12,352 | 1,614,875 | ||||||
Tryg A/S | 18,790 | 363,901 | ||||||
Vestas Wind Systems A/S | 17,954 | 1,265,034 | ||||||
William Demant Holding A/S † | 3,911 | 392,823 | ||||||
|
| |||||||
11,526,452 | ||||||||
|
| |||||||
Finland - 1.3% | ||||||||
Elisa OYJ † | 17,603 | 683,546 | ||||||
Kone OYJ, Class B | 6,818 | 328,156 | ||||||
Neste OYJ | 31,357 | 1,030,457 | ||||||
Nokian Renkaat OYJ | 13,229 | 466,726 | ||||||
Orion OYJ, Class B | 6,824 | 225,256 | ||||||
Sampo OYJ, Class A | 31,575 | 1,495,533 | ||||||
|
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4,229,674 | ||||||||
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| |||||||
France - 8.8% | ||||||||
Accor SA | 3,636 | 153,808 | ||||||
Air Liquide SA | 2,890 | 324,232 | ||||||
Airbus Group SE | 53,531 | 3,546,827 | ||||||
AXA SA | 123,952 | 2,906,515 | ||||||
BNP Paribas SA | 3,348 | 168,205 | ||||||
Cap Gemini SA | 13,074 | 1,226,399 | ||||||
Christian Dior SE | 2,681 | 485,462 | ||||||
Dassault Systemes | 13,270 | 1,051,403 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
56
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
France - 8.8% (continued) | ||||||||
Essilor International SA | 11,330 | $ | 1,396,035 | |||||
Groupe Eurotunnel SE | 9,549 | 106,907 | ||||||
Hermes International | 1,920 | 675,114 | ||||||
Iliad SA | 1,060 | 272,341 | ||||||
Ingenico Group | 2,884 | 330,598 | ||||||
JCDecaux SA | 3,627 | 158,743 | ||||||
Kering | 1,110 | 198,183 | ||||||
Legrand SA | 2,988 | 167,011 | ||||||
L’Oreal SA | 10,484 | 1,875,445 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 8,797 | 1,503,200 | ||||||
Numericable-SFR SA | 7,055 | 296,292 | ||||||
Orange SA | 39,573 | 691,060 | ||||||
Pernod Ricard SA | 4,394 | 489,284 | ||||||
Peugeot SA † | 30,046 | 514,028 | ||||||
Renault SA | 5,065 | 503,347 | ||||||
Safran SA | 21,646 | 1,510,890 | ||||||
Sanofi | 5,218 | 419,505 | ||||||
SCOR SE | 9,686 | 341,489 | ||||||
Societe BIC SA | 1,113 | 167,234 | ||||||
Societe Generale SA | 15,945 | 589,200 | ||||||
Sodexo SA | 1,964 | 211,374 | ||||||
Thales SA | 8,790 | 768,112 | ||||||
TOTAL SA | 42,149 | 1,917,836 | ||||||
Unibail-Rodamco SE REIT | 3,428 | 940,147 | ||||||
Valeo SA | 3,630 | 564,460 | ||||||
Veolia Environnement SA | 28,559 | 687,382 | ||||||
Vinci SA | 26,448 | 1,963,079 | ||||||
Vivendi SA | 30,525 | 639,711 | ||||||
|
| |||||||
29,760,858 | ||||||||
|
| |||||||
Germany - 7.0% | ||||||||
adidas AG | 13,407 | 1,565,413 | ||||||
Allianz SE | 14,983 | 2,433,316 | ||||||
Beiersdorf AG | 8,715 | 784,996 | ||||||
Brenntag AG | 7,835 | 446,460 | ||||||
Continental AG | 3,871 | 877,981 | ||||||
Deutsche Boerse AG | 15,486 | 1,318,540 | ||||||
Deutsche Lufthansa AG † | 16,426 | 265,106 | ||||||
Deutsche Telekom AG | 96,092 | 1,722,768 | ||||||
Fresenius Medical Care AG & Co. KGaA | 21,024 | 1,854,862 | ||||||
GEA Group AG | 4,496 | 219,364 | ||||||
Hannover Rueck SE | 14,104 | 1,639,200 | ||||||
Infineon Technologies AG | 90,555 | 1,283,919 | ||||||
MAN SE | 2,565 | 277,396 | ||||||
Merck KGaA | 4,285 | 356,442 | ||||||
ProSiebenSat.1 Media SE | 20,090 | 1,031,318 | ||||||
SAP SE | 62,846 | 5,057,117 | ||||||
Symrise AG | 12,205 | 817,149 | ||||||
Telefonica Deutschland Holding AG | 38,930 | 210,447 | ||||||
United Internet AG | 13,958 | 699,338 | ||||||
Vonovia SE | 8,017 | 287,817 | ||||||
Zalando SE 144A †(a) | 15,346 | 503,123 | ||||||
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23,652,072 | ||||||||
|
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Hong Kong - 0.9% | ||||||||
Cathay Pacific Airways Ltd. | 60,000 | 103,920 | ||||||
CLP Holdings Ltd. | 69,500 | 629,073 | ||||||
Hang Seng Bank Ltd. | 8,300 | 146,860 | ||||||
Hong Kong & China Gas Co. Ltd. | 64,256 | 120,118 |
SHARES | VALUE (Note 4) | |||||||
Hong Kong - 0.9% (continued) | ||||||||
Hysan Development Co. Ltd. | 25,000 | $ | 106,542 | |||||
MTR Corp. Ltd. | 106,500 | 527,825 | ||||||
NWS Holdings Ltd. | 65,000 | 103,658 | ||||||
PCCW Ltd. | 157,000 | 101,691 | ||||||
Power Assets Holdings Ltd. | 21,500 | 220,044 | ||||||
Sino Land Co. Ltd. | 96,000 | 152,490 | ||||||
Techtronic Industries Co. Ltd. | 125,000 | 495,186 | ||||||
WH Group Ltd. 144A †(a) | 233,500 | 168,870 | ||||||
|
| |||||||
2,876,277 | ||||||||
|
| |||||||
Ireland - 0.2% | ||||||||
Experian plc | 30,790 | 549,585 | ||||||
Shire plc | 3,830 | 218,443 | ||||||
|
| |||||||
768,028 | ||||||||
|
| |||||||
Italy - 2.1% | ||||||||
Atlantia SpA | 33,905 | 939,411 | ||||||
Eni SpA | 78,246 | 1,181,726 | ||||||
Finmeccanica SpA † | 52,003 | 658,490 | ||||||
Intesa Sanpaolo SpA | 399,303 | 1,104,079 | ||||||
Luxottica Group SpA | 17,288 | 952,359 | ||||||
Prysmian SpA | 23,402 | 529,479 | ||||||
Snam SpA | 159,672 | 999,231 | ||||||
Terna Rete Elettrica Nazionale SpA | 126,754 | 722,729 | ||||||
|
| |||||||
7,087,504 | ||||||||
|
| |||||||
Japan - 31.3% | ||||||||
Acom Co. Ltd. † | 122,800 | 618,310 | ||||||
Aeon Co. Ltd. | 65,100 | 940,436 | ||||||
AEON Financial Service Co. Ltd. | 14,700 | 346,072 | ||||||
Aisin Seiki Co. Ltd. | 13,200 | 496,846 | ||||||
Ajinomoto Co., Inc. | 43,000 | 969,516 | ||||||
Alfresa Holdings Corp. | 26,200 | 502,829 | ||||||
Alps Electric Co. Ltd. | 5,400 | 94,225 | ||||||
ANA Holdings, Inc. | 204,000 | 574,594 | ||||||
Aozora Bank Ltd. | 28,000 | 97,733 | ||||||
Asahi Glass Co. Ltd. | 19,000 | 103,965 | ||||||
Astellas Pharma, Inc. | 15,100 | 200,672 | ||||||
Bandai Namco Holdings, Inc. | 7,500 | 163,488 | ||||||
Bank of Yokohama Ltd. (The) | 43,000 | 193,468 | ||||||
Calbee, Inc. | 8,500 | 337,252 | ||||||
Casio Computer Co. Ltd. | 19,900 | 401,341 | ||||||
Central Japan Railway Co. | 4,300 | 760,461 | ||||||
Chubu Electric Power Co., Inc. | 57,200 | 798,246 | ||||||
Chugai Pharmaceutical Co. Ltd. | 20,800 | 643,622 | ||||||
Daicel Corp. | 26,900 | 366,685 | ||||||
Dai-ichi Life Insurance Co. Ltd. (The) | 8,500 | 103,016 | ||||||
Daiichi Sankyo Co. Ltd. | 46,800 | 1,038,733 | ||||||
Daikin Industries Ltd. | 14,000 | 1,045,584 | ||||||
Daito Trust Construction Co. Ltd. | 4,500 | 638,263 | ||||||
Daiwa House Industry Co. Ltd. | 51,400 | 1,444,768 | ||||||
Dentsu, Inc. | 25,400 | 1,274,229 | ||||||
Don Quijote Holdings Co. Ltd. | 11,100 | 385,513 | ||||||
East Japan Railway Co. | 27,200 | 2,346,259 | ||||||
Eisai Co. Ltd. | 23,500 | 1,412,861 | ||||||
FamilyMart Co. Ltd. | 5,700 | 296,032 | ||||||
Fuji Heavy Industries Ltd. | 40,200 | 1,419,592 | ||||||
FUJIFILM Holdings Corp. | 37,000 | 1,462,510 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
57
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 31.3% (continued) | ||||||||
Hamamatsu Photonics KK | 12,600 | $ | 347,244 | |||||
Hankyu Hanshin Holdings, Inc. | 24,000 | 153,053 | ||||||
Hikari Tsushin, Inc. | 3,600 | 273,959 | ||||||
Hiroshima Bank Ltd. (The) | 70,000 | 255,412 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 5,300 | 236,860 | ||||||
Hitachi Chemical Co. Ltd. | 10,000 | 179,698 | ||||||
Hokuriku Electric Power Co. | 7,100 | 100,371 | ||||||
Hoshizaki Electric Co. Ltd. | 6,100 | 508,805 | ||||||
Hoya Corp. | 22,800 | 866,643 | ||||||
Idemitsu Kosan Co. Ltd. | 40,200 | 717,301 | ||||||
Iida Group Holdings Co. Ltd. | 33,100 | 644,650 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 8,100 | 94,565 | ||||||
ITOCHU Corp. | 59,000 | 725,041 | ||||||
J Front Retailing Co. Ltd. | 22,600 | 299,885 | ||||||
Japan Airlines Co. Ltd. | 30,900 | 1,132,793 | ||||||
Japan Airport Terminal Co. Ltd. | 5,200 | 184,555 | ||||||
Japan Prime Realty Investment Corp. REIT | 55 | 223,997 | ||||||
Japan Real Estate Investment Corp. REIT | 81 | 467,605 | ||||||
Japan Retail Fund Investment Corp. REIT | 149 | 357,742 | ||||||
Japan Tobacco, Inc. | 72,000 | 2,996,831 | ||||||
JX Holdings, Inc. | 741,300 | 2,854,274 | ||||||
Kajima Corp. | 101,000 | 632,688 | ||||||
Kakaku.com, Inc. | 16,800 | 311,492 | ||||||
Kaneka Corp. | 45,000 | 385,327 | ||||||
Kansai Electric Power Co., Inc. (The) † | 64,000 | 566,259 | ||||||
Kao Corp. | 31,500 | 1,679,642 | ||||||
KDDI Corp. | 122,900 | 3,279,068 | ||||||
Keihan Holdings Co. Ltd. | 35,000 | 246,568 | ||||||
Keisei Electric Railway Co. Ltd. | 14,000 | 196,962 | ||||||
Keyence Corp. | 1,740 | 948,948 | ||||||
Kikkoman Corp. | 18,000 | 590,878 | ||||||
Kintetsu Group Holdings Co. Ltd. | 75,000 | 303,951 | ||||||
Koito Manufacturing Co. Ltd. | 22,800 | 1,032,404 | ||||||
Konami Holdings Corp. | 14,800 | 437,402 | ||||||
Kose Corp. | 8,300 | 806,904 | ||||||
Kubota Corp. | 28,600 | 390,383 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 30,000 | 478,707 | ||||||
Kyushu Electric Power Co., Inc. † | 22,000 | 209,056 | ||||||
Lawson, Inc. | 5,600 | 468,780 | ||||||
LIXIL Group Corp. | 5,500 | 112,185 | ||||||
M3, Inc. | 23,000 | 578,422 | ||||||
Mabuchi Motor Co. Ltd. | 9,000 | 418,720 | ||||||
Makita Corp. | 6,400 | 396,703 | ||||||
Marui Group Co. Ltd. | 49,000 | 702,097 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 4,100 | 97,137 | ||||||
Medipal Holdings Corp. | 22,400 | 354,315 | ||||||
MEIJI Holdings Co. Ltd. | 15,200 | 1,221,453 | ||||||
Mitsubishi Chemical Holdings Corp. | 103,400 | 539,862 | ||||||
Mitsubishi Tanabe Pharma Corp. | 17,400 | 302,336 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 202,300 | 937,378 | ||||||
Mitsui Chemicals, Inc. | 92,000 | 306,235 | ||||||
Mizuho Financial Group, Inc. | 597,000 | 889,699 | ||||||
MS&AD Insurance Group Holdings, Inc. | 44,700 | 1,245,846 | ||||||
Murata Manufacturing Co. Ltd. | 11,000 | 1,327,335 | ||||||
Nagoya Railroad Co. Ltd. | 25,000 | 116,734 | ||||||
Nexon Co. Ltd. | 44,200 | 753,805 | ||||||
NGK Insulators Ltd. | 8,000 | 147,628 |
SHARES | VALUE (Note 4) | |||||||
Japan - 31.3% (continued) | ||||||||
Nidec Corp. | 20,200 | $ | 1,382,132 | |||||
Nikon Corp. | 15,800 | 241,600 | ||||||
Nintendo Co. Ltd. | 9,800 | 1,393,053 | ||||||
Nippon Building Fund, Inc. REIT | 75 | 443,990 | ||||||
Nippon Express Co. Ltd. | 34,000 | 154,580 | ||||||
Nippon Telegraph & Telephone Corp. | 83,800 | 3,619,951 | ||||||
Nissan Motor Co. Ltd. | 93,600 | 865,355 | ||||||
Nisshin Seifun Group, Inc. | 31,600 | 501,843 | ||||||
Nitori Holdings Co. Ltd. | 8,700 | 796,051 | ||||||
Nitto Denko Corp. | 5,300 | 295,334 | ||||||
Nomura Real Estate Master Fund, Inc. REIT | 209 | 311,118 | ||||||
Nomura Research Institute Ltd. | 12,950 | 436,117 | ||||||
NTT Data Corp. | 14,300 | 717,123 | ||||||
NTT DOCOMO, Inc. | 97,900 | 2,225,406 | ||||||
Obayashi Corp. | 75,500 | 744,177 | ||||||
Obic Co. Ltd. | 7,700 | 407,051 | ||||||
Oji Holdings Corp. | 37,000 | 148,608 | ||||||
Olympus Corp. | 12,300 | 477,538 | ||||||
Ono Pharmaceutical Co. Ltd. | 39,000 | 1,649,804 | ||||||
Oriental Land Co. Ltd. | 5,600 | 396,478 | ||||||
ORIX Corp. | 57,700 | 821,833 | ||||||
Otsuka Corp. | 9,900 | 522,237 | ||||||
Otsuka Holdings Co. Ltd. | 23,000 | 835,398 | ||||||
Park24 Co. Ltd. | 18,800 | 525,996 | ||||||
Rinnai Corp. | 4,900 | 432,858 | ||||||
Ryohin Keikaku Co. Ltd. | 3,500 | 739,447 | ||||||
Sankyo Co. Ltd. | 4,200 | 156,395 | ||||||
Santen Pharmaceutical Co. Ltd. | 42,000 | 631,280 | ||||||
Secom Co. Ltd. | 13,800 | 1,024,002 | ||||||
Seibu Holdings, Inc. | 14,100 | 298,157 | ||||||
Sekisui House Ltd. | 49,200 | 830,082 | ||||||
Seven & i Holdings Co. Ltd. | 42,800 | 1,823,609 | ||||||
Seven Bank Ltd. | 60,000 | 256,084 | ||||||
Shikoku Electric Power Co., Inc. | 24,300 | 325,649 | ||||||
Shimadzu Corp. | 39,000 | 611,848 | ||||||
Shimamura Co. Ltd. | 3,200 | 399,460 | ||||||
Shimano, Inc. | 3,700 | 580,260 | ||||||
Shimizu Corp. | 44,000 | 372,653 | ||||||
Shionogi & Co. Ltd. | 35,100 | 1,649,742 | ||||||
Shiseido Co. Ltd. | 27,200 | 605,962 | ||||||
Sohgo Security Services Co. Ltd. | 13,000 | 703,866 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 30,000 | 850,244 | ||||||
Sumitomo Chemical Co. Ltd. | 114,000 | 516,010 | ||||||
Suntory Beverage & Food Ltd. | 6,600 | 296,914 | ||||||
Suruga Bank Ltd. | 14,900 | 261,473 | ||||||
Suzuken Co. Ltd. | 7,200 | 244,376 | ||||||
Sysmex Corp. | 17,200 | 1,075,273 | ||||||
Taisei Corp. | 81,000 | 534,898 | ||||||
Taiyo Nippon Sanso Corp. | 14,700 | 139,678 | ||||||
Takeda Pharmaceutical Co. Ltd. | 13,700 | 624,591 | ||||||
Teijin Ltd. | 120,000 | 417,875 | ||||||
Terumo Corp. | 27,600 | 987,723 | ||||||
Toho Co. Ltd. | 7,900 | 207,662 | ||||||
Toho Gas Co. Ltd. | 61,000 | 432,972 | ||||||
Tohoku Electric Power Co., Inc. | 27,500 | 354,405 | ||||||
Tokio Marine Holdings, Inc. | 25,900 | 875,108 | ||||||
Tokyo Electric Power Co., Inc. † | 154,000 | 846,021 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
58
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 31.3% (continued) | ||||||||
Tokyu Corp. | 60,000 | $ | 502,524 | |||||
Toppan Printing Co. Ltd. | 36,000 | 301,832 | ||||||
Toray Industries, Inc. | 99,000 | 844,881 | ||||||
TOTO Ltd. | 20,500 | 638,099 | ||||||
Toyo Seikan Group Holdings Ltd. | 12,000 | 224,551 | ||||||
Toyo Suisan Kaisha Ltd. | 4,600 | 165,123 | ||||||
Toyota Industries Corp. | 2,200 | 98,802 | ||||||
Trend Micro, Inc. | 17,000 | 622,198 | ||||||
USS Co. Ltd. | 10,300 | 164,358 | ||||||
West Japan Railway Co. | 17,300 | 1,068,227 | ||||||
Yahoo Japan Corp. | 36,600 | 155,778 | ||||||
Yakult Honsha Co. Ltd. | 4,100 | 181,393 | ||||||
Yamada Denki Co. Ltd. | 80,900 | 382,413 | ||||||
Yamaguchi Financial Group, Inc. | 24,000 | 217,898 | ||||||
Yamaha Corp. | 29,000 | 872,371 | ||||||
Yamaha Motor Co. Ltd. | 8,800 | 146,262 | ||||||
Yamato Holdings Co. Ltd. | 9,300 | 185,414 | ||||||
Yamazaki Baking Co. Ltd. | 19,000 | 399,920 | ||||||
Yokogawa Electric Corp. | 9,600 | 99,158 | ||||||
|
| |||||||
105,802,266 | ||||||||
|
| |||||||
Netherlands - 2.2% | ||||||||
Heineken Holding NV | 3,988 | 310,481 | ||||||
Heineken NV | 19,923 | 1,802,585 | ||||||
ING Groep NV CVA | 33,629 | 402,432 | ||||||
Koninklijke Ahold NV | 60,867 | 1,367,153 | ||||||
Koninklijke KPN NV | 342,324 | 1,433,503 | ||||||
NN Group NV | 25,428 | 830,089 | ||||||
QIAGEN NV † | 9,510 | 211,469 | ||||||
Randstad Holding NV | 6,427 | 355,488 | ||||||
Wolters Kluwer NV | 18,813 | 749,840 | ||||||
|
| |||||||
7,463,040 | ||||||||
|
| |||||||
Norway - 0.0% (b) | ||||||||
Golar LNG Ltd. (3)(c) | 2,009 | 36,418 | ||||||
Orkla ASA | 12,015 | 108,673 | ||||||
|
| |||||||
145,091 | ||||||||
|
| |||||||
Portugal - 0.4% | ||||||||
Galp Energia SGPS SA | 47,820 | 600,470 | ||||||
Jeronimo Martins SGPS SA | 43,875 | 717,223 | ||||||
|
| |||||||
1,317,693 | ||||||||
|
| |||||||
Singapore - 0.1% | ||||||||
Ascendas REIT | 63,100 | 111,913 | ||||||
CapitaLand Mall Trust REIT | 68,500 | 106,158 | ||||||
ComfortDelGro Corp. Ltd. | 125,500 | 272,006 | ||||||
|
| |||||||
490,077 | ||||||||
|
| |||||||
South Africa - 0.1% | ||||||||
Mondi plc | 10,030 | 191,806 | ||||||
|
| |||||||
Spain - 2.5% | ||||||||
Aena SA 144A †(a) | 2,909 | 375,083 | ||||||
Amadeus IT Holding SA, Class A | 24,807 | 1,060,845 | ||||||
Endesa SA | 34,534 | 661,785 | ||||||
Ferrovial SA | 42,579 | 913,786 | ||||||
Grifols SA | 23,008 | 511,177 | ||||||
Iberdrola SA | 345,133 | 2,297,536 |
SHARES | VALUE (Note 4) | |||||||
Spain - 2.5% (continued) | ||||||||
Industria de Diseno Textil SA | 71,208 | $ | 2,386,864 | |||||
Red Electrica Corp. SA | 4,436 | 384,272 | ||||||
|
| |||||||
8,591,348 | ||||||||
|
| |||||||
Sweden - 1.6% | ||||||||
Assa Abloy AB, Class B | 45,692 | 899,561 | ||||||
Hexagon AB, Class B | 13,079 | 508,320 | ||||||
Husqvarna AB, Class B | 22,273 | 162,646 | ||||||
ICA Gruppen AB | 3,287 | 108,641 | ||||||
Lundin Petroleum AB † | 55,954 | 945,809 | ||||||
Securitas AB, Class B | 29,331 | 485,032 | ||||||
Skanska AB, Class B | 4,407 | 100,528 | ||||||
Svenska Cellulosa AB SCA, Class B | 49,964 | 1,558,416 | ||||||
Svenska Handelsbanken AB, Class A | 17,763 | 225,344 | ||||||
Swedish Match AB | 14,951 | 506,810 | ||||||
|
| |||||||
5,501,107 | ||||||||
|
| |||||||
Switzerland - 5.6% | ||||||||
Actelion Ltd. † | 9,253 | 1,380,916 | ||||||
Barry Callebaut AG † | 173 | 187,568 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 217 | 1,344,539 | ||||||
EMS-Chemie Holding AG | 921 | 476,916 | ||||||
Galenica AG | 721 | 1,081,992 | ||||||
Geberit AG | 1,176 | 439,406 | ||||||
Givaudan SA | 647 | 1,267,991 | ||||||
Julius Baer Group Ltd. † | 8,342 | 357,513 | ||||||
Kuehne + Nagel International AG | 3,478 | 494,281 | ||||||
Lonza Group AG † | 4,768 | 805,989 | ||||||
Nestle SA | 69,449 | 5,182,338 | ||||||
Partners Group Holding AG | 2,657 | 1,067,447 | ||||||
Schindler Holding AG | 2,922 | 538,315 | ||||||
SGS SA | 100 | 211,158 | ||||||
Sika AG | 87 | 344,401 | ||||||
Sonova Holding AG | 1,208 | 154,171 | ||||||
Swiss Life Holding AG † | 747 | 198,230 | ||||||
Swiss Prime Site AG † | 3,058 | 269,425 | ||||||
Swiss Re AG | 27,889 | 2,575,261 | ||||||
Swisscom AG | 472 | 256,182 | ||||||
Wolseley plc | 7,753 | 437,650 | ||||||
|
| |||||||
19,071,689 | ||||||||
|
| |||||||
United Kingdom - 15.8% | ||||||||
3i Group plc | 56,789 | 371,329 | ||||||
ARM Holdings plc | 35,698 | 519,809 | ||||||
Ashtead Group plc | 16,587 | 205,396 | ||||||
Associated British Foods plc | 16,541 | 793,599 | ||||||
AstraZeneca plc | 3,789 | 211,547 | ||||||
Aviva plc | 36,331 | 237,221 | ||||||
BAE Systems plc | 72,893 | 531,702 | ||||||
Barratt Developments plc | 86,562 | 694,921 | ||||||
British American Tobacco plc | 109,931 | 6,428,321 | ||||||
BT Group plc | 565,717 | 3,572,026 | ||||||
Bunzl plc | 7,883 | 228,660 | ||||||
Compass Group plc | 59,421 | 1,047,497 | ||||||
Croda International plc | 3,164 | 137,769 | ||||||
Direct Line Insurance Group plc | 241,246 | 1,279,618 | ||||||
Dixons Carphone plc | 91,723 | 560,555 | ||||||
easyJet plc | 20,601 | 448,377 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
59
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 15.8% (continued) | ||||||||
Hargreaves Lansdown plc | 29,884 | $ | 575,511 | |||||
HSBC Holdings plc | 50,345 | 313,094 | ||||||
ICAP plc | 22,128 | 150,503 | ||||||
Imperial Brands plc | 57,844 | 3,202,664 | ||||||
Inmarsat plc | 40,068 | 565,197 | ||||||
International Consolidated Airlines Group SA | 150,980 | 1,201,335 | ||||||
Intertek Group plc | 3,302 | 149,927 | ||||||
ITV plc | 284,289 | 982,367 | ||||||
Kingfisher plc | 42,770 | 230,684 | ||||||
Legal & General Group plc | 152,969 | 515,423 | ||||||
Marks & Spencer Group plc | 72,915 | 424,901 | ||||||
National Grid plc | 133,938 | 1,895,138 | ||||||
Next plc | 8,109 | 627,974 | ||||||
Old Mutual plc | 139,415 | 385,082 | ||||||
Persimmon plc | 33,607 | 1,004,219 | ||||||
Petrofac Ltd. | 69,604 | 918,589 | ||||||
Provident Financial plc | 3,835 | 162,992 | ||||||
Prudential plc | 33,052 | 615,047 | ||||||
Reckitt Benckiser Group plc | 42,648 | 4,113,684 | ||||||
RELX NV | 175,448 | 3,058,855 | ||||||
Royal Mail plc | 14,433 | 99,524 | ||||||
Sage Group plc (The) | 72,646 | 655,006 | ||||||
Schroders plc | 3,675 | 141,284 | ||||||
Severn Trent plc | 5,685 | 177,094 | ||||||
Sky plc | 22,727 | 333,963 | ||||||
Smith & Nephew plc | 18,671 | 307,189 | ||||||
St James’s Place plc | 20,354 | 267,621 | ||||||
Standard Life plc | 55,872 | 284,913 | ||||||
Taylor Wimpey plc | 324,580 | 884,600 | ||||||
Travis Perkins plc | 5,606 | 146,854 | ||||||
Unilever NV CVA | 177,391 | 7,975,278 | ||||||
United Utilities Group plc | 24,730 | 327,353 | ||||||
Vodafone Group plc | 649,688 | 2,064,487 | ||||||
Whitbread plc | 10,735 | 609,385 | ||||||
WPP plc | 43,221 | 1,005,991 | ||||||
|
| |||||||
53,642,075 | ||||||||
|
| |||||||
United States - 0.4% | ||||||||
Thomson Reuters Corp. (1) | 37,130 | 1,504,355 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 327,812,826 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT - 3.4% | ||||||||
Investment Company - 3.4% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (d) | ||||||||
(cost $11,667,291) | 11,667,291 | 11,667,291 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 339,480,117 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3%) (e) | (919,058) | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 338,561,059 | |||||
|
|
† | Non-income producing security. |
(a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(b) | Represents less than 0.05% of net assets. |
(c) | Security fair valued as of March 31, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $36,418 or 0.0% of total net assets. |
(d) | Represents annualized seven-day yield as of the close of the reporting period. |
(e) | 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:
144A - Restricted Security
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 46,852,730 | 13.8 | % | ||||
Consumer Staples | 63,099,913 | 18.7 | ||||||
Energy | 13,435,407 | 4.0 | ||||||
Financials | 48,458,906 | 14.3 | ||||||
Health Care | 33,816,796 | 10.0 | ||||||
Industrials | 45,249,682 | 13.4 | ||||||
Information Technology | 24,900,844 | 7.4 | ||||||
Materials | 11,663,605 | 3.4 | ||||||
Telecommunication Services | 26,439,623 | 7.8 | ||||||
Utilities | 13,895,320 | 4.1 | ||||||
Short-Term Investment | 11,667,291 | 3.4 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 339,480,117 | 100.3 | ||||||
Liabilities in Excess of Other Assets (e) | (919,058 | ) | (0.3 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 338,561,059 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
60
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
Open futures contracts outstanding at March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
71 | Barclays Capital | E-Mini MSCI EAFE Index Futures | 06/2016 | $ | 5,690,027 | $ | 5,770,525 | $ | 80,498 | |||||||||
|
|
|
|
|
|
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Barclays Capital | ||||||||||||
Cash | $— | $111,370 | $111,370 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
61
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING MOMENTUM STYLE FUND |
COMMON STOCKS - 95.9% | SHARES | VALUE (Note 4) | ||||||
Brazil - 3.0% | ||||||||
Ambev SA ADR (1) | 2,393 | $ | 12,396 | |||||
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros (1) | 8,300 | 35,318 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR (1) | 3,883 | 25,628 | ||||||
EDP - Energias do Brasil SA (1) | 3,300 | 11,463 | ||||||
Embraer SA ADR (1) | 619 | 16,317 | ||||||
Equatorial Energia SA (1) | 2,500 | 28,423 | ||||||
Fibria Celulose SA ADR (1) | 2,064 | 17,503 | ||||||
Hypermarcas SA (1)† | 3,800 | 29,612 | ||||||
JBS SA (1) | 2,100 | 6,389 | ||||||
Lojas Renner SA (1) | 5,900 | 34,228 | ||||||
Raia Drogasil SA (1) | 2,800 | 40,626 | ||||||
Ultrapar Participacoes SA (1) | 2,700 | 52,278 | ||||||
|
| |||||||
310,181 | ||||||||
|
| |||||||
Chile - 2.1% | ||||||||
Banco de Chile ADR (1) | 537 | 34,610 | ||||||
Banco Santander Chile ADR (1) | 1,207 | 23,356 | ||||||
Cia Cervecerias Unidas SA ADR (1) | 1,518 | 34,079 | ||||||
Colbun SA (1) | 105,746 | 29,462 | ||||||
Corpbanca SA (1) | 1,089,380 | 9,962 | ||||||
Empresa Nacional de Electricidad SA ADR (1) | 1,135 | 47,227 | ||||||
SACI Falabella (1) | 5,679 | 39,661 | ||||||
|
| |||||||
218,357 | ||||||||
|
| |||||||
China - 19.6% | ||||||||
AAC Technologies Holdings, Inc. | 9,000 | 68,814 | ||||||
ANTA Sports Products Ltd. | 17,000 | 37,425 | ||||||
AviChina Industry & Technology Co. Ltd., Class H | 26,000 | 19,551 | ||||||
Beijing Capital International Airport Co. Ltd., Class H | 16,000 | 17,088 | ||||||
Byd Co. Ltd., Class H †(a) | 11,000 | 63,314 | ||||||
CAR, Inc. †(a) | 7,000 | 8,227 | ||||||
China Communications Constrkuction Co. Ltd., Class H | 16,000 | 19,154 | ||||||
China COSCO Holdings Co. Ltd., Class H † | 16,500 | 6,406 | ||||||
China Everbright Bank Co. Ltd., Class H | 10,000 | 4,861 | ||||||
China Huishan Dairy Holdings Co. Ltd. (a) | 77,000 | 28,993 | ||||||
China Life Insurance Co. Ltd., Class H | 7,000 | 17,201 | ||||||
China Merchants Bank Co. Ltd., Class H | 14,000 | 29,463 | ||||||
China Pacific Insurance Group Co. Ltd., Class H | 2,600 | 9,764 | ||||||
China Railway Construction Corp. Ltd., Class H | 39,500 | 47,030 | ||||||
China Railway Group Ltd., Class H | 74,000 | 56,218 | ||||||
China Shipping Container Lines Co. Ltd., Class H † | 19,000 | 4,343 | ||||||
China Southern Airlines Co. Ltd., Class H | 42,000 | 26,445 | ||||||
China Vanke Co. Ltd., Class H | 57,300 | 140,611 | ||||||
Chongqing Rural Commercial Bank Co. Ltd., Class H | 32,000 | 16,940 | ||||||
Country Garden Holdings Co. Ltd. | 100,000 | 39,749 | ||||||
CRRC Corp. Ltd., Class H (a) | 41,000 | 41,299 | ||||||
CSPC Pharmaceutical Group Ltd. | 50,000 | 45,258 | ||||||
Dongfeng Motor Group Co. Ltd., Class H | 10,000 | 12,506 |
SHARES | VALUE (Note 4) | |||||||
China - 19.6% (continued) | ||||||||
Evergrande Real Estate Group Ltd. (a) | 50,000 | $ | 38,605 | |||||
Fosun International Ltd. | 15,000 | 21,371 | ||||||
Geely Automobile Holdings Ltd. | 50,000 | 24,799 | ||||||
GOME Electrical Appliances Holding Ltd. | 52,000 | 7,510 | ||||||
Guangzhou Automobile Group Co. Ltd., Class H | 20,000 | 20,801 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 18,000 | 24,240 | ||||||
Kingsoft Corp. Ltd. (a) | 6,000 | 14,083 | ||||||
Longfor Properties Co. Ltd. | 10,000 | 14,226 | ||||||
People’s Insurance Co. Group of China Ltd. (The), Class H | 36,000 | 15,287 | ||||||
PICC Property & Casualty Co. Ltd., Class H | 16,000 | 29,460 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 26,500 | 127,168 | ||||||
Shanghai Electric Group Co. Ltd., Class H (a) | 16,000 | 7,308 | ||||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class H | 4,300 | 8,502 | ||||||
Shenzhou International Group Holdings Ltd. | 6,000 | 32,685 | ||||||
Shui On Land Ltd. | 75,000 | 20,249 | ||||||
Sinopec Engineering Group Co. Ltd., Class H | 15,500 | 12,543 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H † | 72,000 | 36,548 | ||||||
Sinopharm Group Co. Ltd., Class H | 5,200 | 23,500 | �� | |||||
Tencent Holdings Ltd. | 35,300 | 721,686 | ||||||
TravelSky Technology Ltd., Class H | 14,000 | 22,952 | ||||||
ZHuzhou CRRC Times Electric Co. Ltd., Class H | 4,000 | 23,378 | ||||||
Zijin Mining Group Co. Ltd., Class H | 44,000 | 13,542 | ||||||
ZTE Corp., Class H (3)(b) | 20,600 | 38,359 | ||||||
|
| |||||||
2,059,462 | ||||||||
|
| |||||||
Hong Kong - 5.9% | ||||||||
Alibaba Health Information Technology Ltd. † | 10,000 | 6,112 | ||||||
Alibaba Pictures Group Ltd. †(a) | 40,000 | 9,135 | ||||||
Beijing Enterprises Water Group Ltd. †(a) | 64,000 | 40,155 | ||||||
China Everbright Ltd. | 12,000 | 25,156 | ||||||
China Jinmao Holdings Group Ltd. | 44,000 | 12,241 | ||||||
China Merchants Holdings International Co. Ltd. | 4,000 | 11,894 | ||||||
China Overseas Land & Investment Ltd. | 52,000 | 164,693 | ||||||
China Power International Development Ltd. | 34,000 | 17,612 | ||||||
China Resources Beer Holdings Co. Ltd. | 22,000 | 40,978 | ||||||
China Resources Gas Group Ltd. | 8,000 | 22,848 | ||||||
China Resources Land Ltd. | 32,000 | 82,099 | ||||||
China State Construction International Holdings Ltd. | 10,000 | 14,914 | ||||||
China Taiping Insurance Holdings Co. Ltd. † | 2,600 | 5,726 | ||||||
CITIC Ltd. (a) | 22,000 | 33,473 | ||||||
Guangdong Investment Ltd. | 40,000 | 50,579 | ||||||
Hanergy Thin Film Power Group Ltd. (3)†(b) | 86,000 | — | ||||||
New World China Land Ltd. | 46,000 | 46,878 | ||||||
Sino Biopharmaceutical Ltd. | 47,000 | 35,262 | ||||||
|
| |||||||
619,755 | ||||||||
|
| |||||||
Hungary - 1.1% | ||||||||
MOL Hungarian Oil & Gas plc | 530 | 31,858 | ||||||
OTP Bank plc | 1,704 | 42,750 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
62
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Hungary - 1.1% (continued) | ||||||||
Richter Gedeon Nyrt | 1,774 | $ | 35,340 | |||||
|
| |||||||
109,948 | ||||||||
|
| |||||||
India - 3.5% | ||||||||
Dr. Reddy’s Laboratories Ltd. ADR (1) | 337 | 15,229 | ||||||
Infosys Ltd. ADR (1) | 12,849 | 244,388 | ||||||
Reliance Industries Ltd. GDR (LSE) 144A (c) | 2,698 | 82,634 | ||||||
Reliance Industries Ltd. GDR 144A (c) | 850 | 26,831 | ||||||
|
| |||||||
369,082 | ||||||||
|
| |||||||
Indonesia - 2.5% | ||||||||
AKR Corporindo Tbk. PT | 30,200 | 15,819 | ||||||
Bank Central Asia Tbk. PT | 3,400 | 3,409 | ||||||
Bank Rakyat Indonesia Persero Tbk. PT † | 33,600 | 28,914 | ||||||
Gudang Garam Tbk. PT | 2,100 | 10,337 | ||||||
Hanjaya Mandala Sampoerna Tbk. PT | 4,400 | 32,634 | ||||||
Indofood CBP Sukses Makmur Tbk. PT | 7,400 | 8,468 | ||||||
Kalbe Farma Tbk. PT | 81,000 | 8,820 | ||||||
Lippo Karawaci Tbk. PT | 177,500 | 13,979 | ||||||
Matahari Department Store Tbk. PT | 16,700 | 23,109 | ||||||
Summarecon Agung Tbk. PT | 35,100 | 4,194 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 340,200 | 85,752 | ||||||
Unilever Indonesia Tbk. PT | 9,100 | 29,441 | ||||||
|
| |||||||
264,876 | ||||||||
|
| |||||||
Korea, Republic of - 17.6% | ||||||||
Amorepacific Corp. | 223 | 75,412 | ||||||
AMOREPACIFIC Group | 238 | 30,483 | ||||||
BGF retail Co. Ltd. | 165 | 23,663 | ||||||
Celltrion, Inc. † | 447 | 42,882 | ||||||
Cheil Worldwide, Inc. | 528 | 7,856 | ||||||
CJ CheilJedang Corp. | 33 | 10,038 | ||||||
CJ Corp. | 129 | 22,056 | ||||||
CJ E&M Corp. | 365 | 20,379 | ||||||
CJ Korea Express Corp. † | 68 | 11,307 | ||||||
Coway Co. Ltd. | 504 | 42,450 | ||||||
Daelim Industrial Co. Ltd. | 178 | 14,156 | ||||||
Daewoo Engineering & Construction Co. Ltd. † | 1,680 | 9,225 | ||||||
Daewoo Securities Co. Ltd. | 1,991 | 14,403 | ||||||
Dongbu Insurance Co. Ltd. | 469 | 31,192 | ||||||
Dongsuh Cos., Inc. | 617 | 17,358 | ||||||
GS Holdings Corp. | 755 | 39,011 | ||||||
GS Retail Co. Ltd. | 537 | 22,151 | ||||||
Hankook Tire Co. Ltd. | 213 | 10,132 | ||||||
Hanmi Pharm Co. Ltd. | 51 | 31,167 | ||||||
Hanmi Science Co. Ltd. | 228 | 29,669 | ||||||
Hanon Systems | 720 | 5,801 | ||||||
Hanssem Co. Ltd. | 142 | 27,739 | ||||||
Hanwha Chemical Corp. | 1,292 | 28,228 | ||||||
Hanwha Corp. | 505 | 15,683 | ||||||
Hanwha Life Insurance Co. Ltd. | 717 | 4,202 | ||||||
Hotel Shilla Co. Ltd. | 79 | 4,599 | ||||||
Hyosung Corp. | 268 | 33,730 | ||||||
Hyundai Department Store Co. Ltd. | 60 | 7,218 | ||||||
Hyundai Development Co.-Engineering & Construction | 177 | 7,117 | ||||||
Hyundai Glovis Co. Ltd. | 20 | 3,301 |
SHARES | VALUE (Note 4) | |||||||
Korea, Republic of - 17.6% (continued) | ||||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 581 | $ | 16,876 | |||||
Hyundai Mobis Co. Ltd. | 381 | 83,011 | ||||||
Hyundai Steel Co. | 96 | 4,665 | ||||||
Kangwon Land, Inc. | 935 | 33,425 | ||||||
KCC Corp. | 13 | 4,727 | ||||||
KEPCO Plant Service & Engineering Co. Ltd. | 212 | 11,882 | ||||||
Kia Motors Corp. | 1,421 | 60,025 | ||||||
Korea Aerospace Industries Ltd. | 480 | 27,358 | ||||||
Korea Electric Power Corp. | 1,918 | 100,475 | ||||||
Korea Investment Holdings Co. Ltd. | 314 | 12,078 | ||||||
Korea Zinc Co. Ltd. | 63 | 26,550 | ||||||
Korean Air Lines Co. Ltd. † | 133 | 3,602 | ||||||
KT&G Corp. | 824 | 79,343 | ||||||
LG Chem Ltd. | 286 | 82,079 | ||||||
LG Corp. | 621 | 37,204 | ||||||
LG Display Co. Ltd. | 261 | 6,042 | ||||||
LG Household & Health Care Ltd. | 75 | 62,014 | ||||||
LG Innotek Co. Ltd. | 60 | 4,161 | ||||||
Lotte Chemical Corp. | 125 | 37,384 | ||||||
Lotte Chilsung Beverage Co. Ltd. | 9 | 14,318 | ||||||
Lotte Confectionery Co. Ltd. | 9 | 20,211 | ||||||
NAVER Corp. | 10 | 5,573 | ||||||
NCSoft Corp. | 131 | 29,064 | ||||||
NH Investment & Securities Co. Ltd. | 534 | 4,641 | ||||||
Orion Corp. | 30 | 23,997 | ||||||
Ottogi Corp. | 31 | 24,618 | ||||||
S-1 Corp. | 243 | 18,799 | ||||||
Samsung C&T Corp. | 193 | 24,096 | ||||||
Samsung Electro-Mechanics Co. Ltd. | 280 | 14,400 | ||||||
Samsung Electronics Co. Ltd. | 46 | 52,790 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 165 | 42,614 | ||||||
Samsung Life Insurance Co. Ltd. | 602 | 61,931 | ||||||
Samsung Securities Co. Ltd. | 184 | 6,431 | ||||||
Shinhan Financial Group Co. Ltd. | 344 | 12,109 | ||||||
Shinsegae Co. Ltd. | 77 | 13,679 | ||||||
SK Holdings Co. Ltd. | 73 | 14,247 | ||||||
SK Innovation Co. Ltd. | 406 | 61,190 | ||||||
S-Oil Corp. | 436 | 37,386 | ||||||
Woori Bank | 376 | 3,109 | ||||||
Yuhan Corp. | 109 | 26,733 | ||||||
|
| |||||||
1,847,445 | ||||||||
|
| |||||||
Malaysia - 3.6% | ||||||||
Dialog Group Bhd. | 13,600 | 5,575 | ||||||
DiGi.Com Bhd. | 9,000 | 11,397 | ||||||
Genting Malaysia Bhd. | 15,900 | 18,498 | ||||||
Genting Plantations Bhd. | 1,700 | 4,883 | ||||||
HAP Seng Consolidated Bhd. | 14,900 | 28,760 | ||||||
Hartalega Holdings Bhd. | 16,200 | 20,149 | ||||||
IHH Healthcare Bhd. | 28,500 | 47,903 | ||||||
IJM Corp. Bhd. | 6,100 | 5,516 | ||||||
IOI Corp. Bhd. | 6,400 | 7,500 | ||||||
Kuala Lumpur Kepong Bhd. | 1,600 | 9,841 | ||||||
Malayan Banking Bhd. | 6,800 | 15,716 | ||||||
MISC Bhd. | 12,900 | 29,423 | ||||||
Petronas Chemicals Group Bhd. | 12,000 | 20,652 | ||||||
Petronas Dagangan Bhd. | 3,600 | 22,229 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
63
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Malaysia - 3.6% (continued) | ||||||||
PPB Group Bhd. | 4,100 | $ | 17,543 | |||||
Public Bank Bhd. | 11,900 | 57,257 | ||||||
Telekom Malaysia Bhd. | 9,000 | 15,219 | ||||||
Tenaga Nasional Bhd. | 1,700 | 6,073 | ||||||
Westports Holdings Bhd. | 28,900 | 30,570 | ||||||
YTL Corp. Bhd. | 7,200 | 3,027 | ||||||
|
| |||||||
377,731 | ||||||||
|
| |||||||
Malta - 0.4% | ||||||||
Brait SE † | 3,505 | 39,616 | ||||||
|
| |||||||
Mexico - 7.5% | ||||||||
Alfa SAB de CV, Class A (1) | 30,100 | 60,436 | ||||||
Arca Continental SAB de CV (1) | 4,600 | 31,798 | ||||||
Coca-Cola Femsa SAB de CV ADR (1) | 678 | 56,308 | ||||||
El Puerto de Liverpool SAB de CV (1) | 2,420 | 28,611 | ||||||
Gentera SAB de CV (1) | 10,500 | 20,639 | ||||||
Gruma SAB de CV, Class B (1) | 3,365 | 53,309 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | 4,400 | 39,255 | ||||||
Grupo Aeroportuario del Sureste SAB de CV ADR (1)(a) | 368 | 55,263 | ||||||
Grupo Bimbo SAB de CV, Series A (1)† | 32,600 | 96,363 | ||||||
Grupo Carso SAB de CV, Series A1 (1) | 700 | 3,264 | ||||||
Grupo Comercial Chedraui SA de CV (1) | 6,900 | 21,957 | ||||||
Grupo Financiero Banorte SAB de CV, Class O (1) | 16,900 | 95,303 | ||||||
Grupo Financiero Santander Mexico SAB de CV, Class B ADR (1) | 1,222 | 11,035 | ||||||
Grupo Lala SAB de CV (1) | 11,100 | 30,247 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A (1) | 20,700 | 49,806 | ||||||
Promotora y Operadora de Infraestructura SAB de CV (1) | 2,010 | 26,725 | ||||||
Wal-Mart de Mexico SAB de CV (1) | 44,700 | 106,077 | ||||||
|
| |||||||
786,396 | ||||||||
|
| |||||||
Poland - 1.3% | ||||||||
CCC SA | 303 | 12,958 | ||||||
Enea SA | 1,321 | 4,212 | ||||||
Eurocash SA | 1,100 | 15,710 | ||||||
Grupa Azoty SA † | 648 | 16,709 | ||||||
Grupa Lotos SA † | 1,795 | 13,389 | ||||||
Polski Koncern Naftowy Orlen SA | 2,311 | 45,715 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 17,303 | 24,632 | ||||||
Powszechny Zaklad Ubezpieczen SA | 344 | 3,274 | ||||||
|
| |||||||
136,599 | ||||||||
|
| |||||||
Romania - 0.3% | ||||||||
New Europe Property Investments plc | 2,529 | 32,186 | ||||||
|
| |||||||
Russia - 0.5% | ||||||||
MMC Norilsk Nickel PJSC ADR (1) | 265 | 3,435 | ||||||
Sistema JSFC GDR | 1,215 | 7,837 | ||||||
Tatneft PAO ADR (LSE) | 488 | 15,475 | ||||||
Tatneft PAO ADR (1) | 920 | 29,863 | ||||||
|
| |||||||
56,610 | ||||||||
|
|
SHARES | VALUE (Note 4) | |||||||
South Africa - 8.1% | ||||||||
AngloGold Ashanti Ltd. ADR (1)† | 2,865 | $ | 39,222 | |||||
Aspen Pharmacare Holdings Ltd. † | 163 | 3,529 | ||||||
Bidvest Group Ltd. (The) | 1,271 | 32,075 | ||||||
Capitec Bank Holdings Ltd. | 687 | 26,598 | ||||||
Discovery Ltd. | 3,617 | 29,734 | ||||||
Fortress Income Fund Ltd. | 5,775 | 14,020 | ||||||
Foschini Group Ltd. (The) | 597 | 5,711 | ||||||
Gold Fields Ltd. ADR (1) | 5,751 | 22,659 | ||||||
Hyprop Investments Ltd. REIT | 2,057 | 16,345 | ||||||
Investec Ltd. | 3,106 | 23,098 | ||||||
Life Healthcare Group Holdings Ltd. | 1,757 | 4,241 | ||||||
Mondi Ltd. | 1,250 | 24,054 | ||||||
Mr Price Group Ltd. | 473 | 5,678 | ||||||
Naspers Ltd., Class N | 2,482 | 345,990 | ||||||
Netcare Ltd. | 4,175 | 10,202 | ||||||
Pick n Pay Stores Ltd. | 5,644 | 26,820 | ||||||
Pioneer Foods Group Ltd. | 930 | 8,759 | ||||||
PSG Group Ltd. | 1,921 | 26,059 | ||||||
Redefine Properties Ltd. REIT | 9,527 | 7,705 | ||||||
Remgro Ltd. | 811 | 13,729 | ||||||
Resilient REIT Ltd. | 2,627 | 24,108 | ||||||
RMB Holdings Ltd. | 2,059 | 8,526 | ||||||
Sappi Ltd. † | 3,614 | 15,988 | ||||||
Sasol Ltd. | 437 | 12,968 | ||||||
Shoprite Holdings Ltd. | 381 | 4,472 | ||||||
Sibanye Gold Ltd. | 2,841 | 10,914 | ||||||
SPAR Group Ltd. (The) | 1,247 | 16,800 | ||||||
Standard Bank Group Ltd. | 1,904 | 17,037 | ||||||
Telkom SA SOC Ltd. | 1,747 | 6,803 | ||||||
Truworths International Ltd. | 3,390 | 22,519 | ||||||
Vodacom Group Ltd. | 1,208 | 13,121 | ||||||
Woolworths Holdings Ltd. | 2,052 | 12,447 | ||||||
|
| |||||||
851,931 | ||||||||
|
| |||||||
Taiwan - 14.6% | ||||||||
Advantech Co. Ltd. | 1,198 | 8,804 | ||||||
Asia Cement Corp. | 7,160 | 6,542 | ||||||
Asustek Computer, Inc. | 1,000 | 8,973 | ||||||
Casetek Holdings Ltd. | 1,000 | 5,432 | ||||||
Catcher Technology Co. Ltd. | 4,000 | 32,783 | ||||||
Cathay Financial Holding Co. Ltd. | 7,600 | 9,093 | ||||||
Chailease Holding Co. Ltd. † | 3,960 | 6,898 | ||||||
Chang Hwa Commercial Bank Ltd. | 29,467 | 15,107 | ||||||
China Airlines Ltd. † | 15,000 | 5,355 | ||||||
China Development Financial Holding Corp. | 40,000 | 10,687 | ||||||
China Life Insurance Co. Ltd. | 41,300 | 31,788 | ||||||
Chunghwa Telecom Co. Ltd. | 26,000 | 88,470 | ||||||
Compal Electronics, Inc. † | 7,000 | 4,392 | ||||||
CTBC Financial Holding Co. Ltd. | 14,660 | 7,741 | ||||||
Delta Electronics, Inc. | 1,000 | 4,408 | ||||||
E.Sun Financial Holding Co. Ltd. | 14,044 | 7,854 | ||||||
Eclat Textile Co. Ltd. | 2,040 | 26,878 | ||||||
Eva Airways Corp. † | 14,000 | 7,826 | ||||||
Far EasTone Telecommunications Co. Ltd. † | 5,000 | 11,198 | ||||||
Feng TAY Enterprise Co. Ltd. | 4,120 | 21,889 | ||||||
First Financial Holding Co. Ltd. | 25,070 | 12,382 | ||||||
Formosa Chemicals & Fibre Corp. | 14,000 | 34,879 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
64
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Taiwan - 14.6% (continued) | ||||||||
Formosa Petrochemical Corp. | 10,000 | $ | 28,733 | |||||
Formosa Plastics Corp. | 14,000 | 34,714 | ||||||
Foxconn Technology Co. Ltd. | 3,080 | 6,909 | ||||||
Fubon Financial Holding Co. Ltd. | 6,000 | 7,642 | ||||||
Highwealth Construction Corp. | 6,800 | 9,933 | ||||||
Hiwin Technologies Corp. | 1,060 | 4,690 | ||||||
Hon Hai Precision Industry Co. Ltd. | 64,038 | 168,565 | ||||||
Innolux Corp. | 13,000 | 4,539 | ||||||
OBI Pharma, Inc. † | 1,000 | 12,321 | ||||||
Pegatron Corp. | 8,000 | 18,624 | ||||||
Pou Chen Corp. | 15,000 | 19,104 | ||||||
Powertech Technology, Inc. † | 4,000 | 9,065 | ||||||
President Chain Store Corp. | 1,000 | 7,283 | ||||||
Standard Foods Corp. | 4,000 | 9,921 | ||||||
Taishin Financial Holding Co. Ltd. † | 27,880 | 9,825 | ||||||
Taiwan Cement Corp. | 9,000 | 8,806 | ||||||
Taiwan Mobile Co. Ltd. | 3,000 | 9,740 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (1) | 27,580 | 722,596 | ||||||
Teco Electric and Machinery Co. Ltd. | 10,000 | 8,152 | ||||||
Uni-President Enterprises Corp. | 28,000 | 49,170 | ||||||
WPG Holdings Ltd. | 6,000 | 6,392 | ||||||
Zhen Ding Technology Holding Ltd. | 3,000 | 6,712 | ||||||
|
| |||||||
1,532,815 | ||||||||
|
| |||||||
Thailand - 3.1% | ||||||||
Airports of Thailand PCL NVDR | 3,500 | 39,957 | ||||||
Bangkok Dusit Medical Services PCL NVDR | 71,400 | 47,435 | ||||||
Bangkok Expressway & Metro PCL NVDR † | 84,500 | 13,331 | ||||||
BTS Group Holdings PCL NVDR | 39,100 | 9,945 | ||||||
Bumrungrad Hospital PCL NVDR | 6,000 | 36,124 | ||||||
Central Pattana PCL NVDR | 16,100 | 23,522 | ||||||
CP ALL PCL NVDR | 27,200 | 35,329 | ||||||
Delta Electronics Thailand PCL NVDR | 8,900 | 21,990 | ||||||
Energy Absolute PCL NVDR | 7,000 | 4,432 | ||||||
IRPC PCL NVDR | 177,800 | 25,484 | ||||||
Minor International PCL NVDR | 20,560 | 21,584 | ||||||
PTT PCL NVDR | 500 | 3,969 | ||||||
Siam Cement PCL (The) NVDR | 1,450 | 19,183 | ||||||
Thai Oil PCL NVDR | 11,500 | 22,599 | ||||||
Thai Union Group PCL NVDR | 8,800 | 5,227 | ||||||
|
| |||||||
330,111 | ||||||||
|
| |||||||
Turkey - 1.2% | ||||||||
Arcelik A/S | 1,662 | 11,300 | ||||||
BIM Birlesik Magazalar A/S | 932 | 20,209 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT | 4,984 | 5,072 | ||||||
Ford Otomotiv Sanayi A/S | 251 | 3,309 | ||||||
Petkim Petrokimya Holding A/S † | 9,448 | 13,382 | ||||||
TAV Havalimanlari Holding A/S | 1,070 | 6,386 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 2,024 | 16,418 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S † | 1,582 | 44,558 | ||||||
|
| |||||||
120,634 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 10,063,735 | |||||||
|
|
PREFERRED STOCKS - 1.0% | SHARES | VALUE (Note 4) | ||||||
Brazil - 0.9% | ||||||||
Braskem SA, Class A (1) | 3,400 | $ | 21,976 | |||||
Centrais Eletricas Brasileiras SA, Class B (1) | 4,900 | 14,295 | ||||||
Lojas Americanas SA (1) | 7,440 | 34,638 | ||||||
Suzano Papel e Celulose SA, Series A (1) | 7,500 | 26,490 | ||||||
|
| |||||||
97,399 | ||||||||
|
| |||||||
Chile - 0.1% | ||||||||
Embotelladora Andina SA, Series B (1) | 3,172 | 10,414 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 107,813 | |||||||
|
| |||||||
EXCHANGE TRADED FUND - 1.8% | ||||||||
iShares MSCI Emerging Markets Fund (1)(a) | ||||||||
(cost $152,684) | 5,350 | 183,238 | ||||||
|
| |||||||
RIGHTS - 0.0% (d) | ||||||||
Taiwan - 0.0% (d) | ||||||||
Fubon Financial Holding Co. Ltd. (3)†(b) (cost $—) | 263 | — | ||||||
|
| |||||||
SHORT-TERM INVESTMENT - 1.5% | ||||||||
Investment Company - 1.5% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (e) | ||||||||
(cost $161,068) | 161,068 | 161,068 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 6.2% | ||||||||
Money Market Funds - 6.2% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
Dreyfus Treasury Cash Management, 0.180% (e)(f) | ||||||||
(cost $651,334) | 651,334 | 651,334 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 11,167,188 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.4%) | (674,617) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 10,492,571 | ||||||
|
|
† | Non-income producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $626,774; cash collateral of $651,334 was received with which the Fund purchased a money market fund. |
(b) | Security fair valued as of March 31, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $38,359 or 0.4% of total net assets. |
(c) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser 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. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
65
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING MOMENTUM STYLE FUND |
(e) | Represents annualized seven-day yield as of the close of the reporting period. |
(f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
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
LSE - London Stock Exchange
NVDR - Non-Voting Depositary Receipt
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 1,229,019 | 11.7 | % | ||||
Consumer Staples | 1,373,306 | 13.1 | ||||||
Energy | 625,234 | 6.0 | ||||||
Exchange Traded Fund | 183,238 | 1.8 | ||||||
Financials | 1,885,982 | 18.0 | ||||||
Health Care | 484,266 | 4.6 | ||||||
Industrials | 1,064,281 | 10.1 | ||||||
Information Technology | 2,252,497 | 21.5 | ||||||
Materials | 599,834 | 5.7 | ||||||
Telecommunication Services | 255,649 | 2.4 | ||||||
Utilities | 401,480 | 3.8 | ||||||
Short-Term Investment | 161,068 | 1.5 | ||||||
Securities Lending Collateral | 651,334 | 6.2 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 11,167,188 | 106.4 | ||||||
Liabilities in Excess of Other Assets | (674,617 | ) | (6.4 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 10,492,571 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
66
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
COMMON STOCKS - 97.3% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 17.5% | ||||||||
Advance Auto Parts, Inc. | 600 | $ | 96,204 | |||||
Amazon.com, Inc. † | 5,499 | 3,264,426 | ||||||
AutoZone, Inc. † | 579 | 461,283 | ||||||
Best Buy Co., Inc. | 2,009 | 65,172 | ||||||
Brunswick Corp. | 1,969 | 94,473 | ||||||
CarMax, Inc. † | 937 | 47,881 | ||||||
Carnival Corp. | 5,761 | 304,008 | ||||||
CBS Corp., Class B | 3,885 | 214,025 | ||||||
Charter Communications, Inc., Class A † | 1,741 | 352,431 | ||||||
Chipotle Mexican Grill, Inc. † | 306 | 144,117 | ||||||
Comcast Corp., Class A | 9,676 | 591,010 | ||||||
Delphi Automotive plc (United Kingdom) | 1,908 | 143,138 | ||||||
DISH Network Corp., Class A † | 5,252 | 242,957 | ||||||
Dollar General Corp. | 5,643 | 483,041 | ||||||
Dollar Tree, Inc. † | 6,199 | 511,170 | ||||||
Expedia, Inc. | 2,588 | 279,038 | ||||||
GNC Holdings, Inc., Class A | 2,197 | 69,755 | ||||||
Goodyear Tire & Rubber Co. (The) | 3,168 | 104,481 | ||||||
Hanesbrands, Inc. | 5,676 | 160,858 | ||||||
Harman International Industries, Inc. | 1,022 | 90,999 | ||||||
Home Depot, Inc. (The) | 18,035 | 2,406,410 | ||||||
Johnson Controls, Inc. | 4,435 | 172,832 | ||||||
L Brands, Inc. | 6,312 | 554,257 | ||||||
LKQ Corp. † | 2,515 | 80,304 | ||||||
Lowe’s Cos., Inc. | 12,447 | 942,860 | ||||||
Madison Square Garden Co. (The), Class A † | 316 | 52,570 | ||||||
McDonald’s Corp. | 11,163 | 1,402,966 | ||||||
Mohawk Industries, Inc. † | 1,586 | 302,767 | ||||||
Netflix, Inc. † | 5,453 | 557,460 | ||||||
NIKE, Inc., Class B | 24,344 | 1,496,426 | ||||||
Norwegian Cruise Line Holdings Ltd. † | 4,991 | 275,952 | ||||||
O’Reilly Automotive, Inc. † | 3,103 | 849,167 | ||||||
Polaris Industries, Inc. | 1,008 | 99,268 | ||||||
Priceline Group, Inc. (The) † | 519 | 668,970 | ||||||
Ross Stores, Inc. | 11,170 | 646,743 | ||||||
Royal Caribbean Cruises Ltd. | 796 | 65,391 | ||||||
ServiceMaster Global Holdings, Inc. † | 2,514 | 94,728 | ||||||
Signet Jewelers Ltd. | 800 | 99,224 | ||||||
Skechers U.S.A., Inc., Class A † | 5,580 | 169,911 | ||||||
Starbucks Corp. | 29,100 | 1,737,270 | ||||||
Target Corp. | 5,946 | 489,237 | ||||||
TEGNA, Inc. | 2,894 | 67,893 | ||||||
Time Warner, Inc. | 569 | 41,281 | ||||||
TJX Cos., Inc. (The) | 9,649 | 755,999 | ||||||
Tractor Supply Co. | 663 | 59,975 | ||||||
TripAdvisor, Inc. † | 1,309 | 87,048 | ||||||
Twenty-First Century Fox, Inc., Class A | 3,048 | 84,978 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. † | 1,847 | 357,838 | ||||||
Under Armour, Inc., Class A † | 6,273 | 532,139 | ||||||
VF Corp. | 5,956 | 385,711 | ||||||
Walt Disney Co. (The) | 12,737 | 1,264,911 | ||||||
Whirlpool Corp. | 1,142 | 205,948 | ||||||
Yum! Brands, Inc. | 1,045 | 85,533 | ||||||
|
| |||||||
24,814,434 | ||||||||
|
| |||||||
Consumer Staples - 14.2% | ||||||||
Altria Group, Inc. | 36,875 | 2,310,588 | ||||||
Archer-Daniels-Midland Co. | 2,109 | 76,578 | ||||||
Brown-Forman Corp., Class B | 1,534 | 151,053 |
SHARES | VALUE (Note 4) | |||||||
Consumer Staples - 14.2% (continued) | ||||||||
Campbell Soup Co. | 3,359 | $ | 214,271 | |||||
Clorox Co. (The) | 1,049 | 132,237 | ||||||
Coca-Cola Co. (The) | 40,548 | 1,881,022 | ||||||
ConAgra Foods, Inc. | 1,869 | 83,395 | ||||||
Constellation Brands, Inc., Class A | 4,163 | 628,988 | ||||||
Costco Wholesale Corp. | 8,656 | 1,364,013 | ||||||
Coty, Inc., Class A | 4,893 | 136,172 | ||||||
CVS Health Corp. | 5,740 | 595,410 | ||||||
Dr Pepper Snapple Group, Inc. | 5,698 | 509,515 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 3,003 | 283,213 | ||||||
General Mills, Inc. | 9,165 | 580,603 | ||||||
Hormel Foods Corp. | 12,214 | 528,133 | ||||||
JM Smucker Co. (The) | 1,402 | 182,036 | ||||||
Kellogg Co. | 1,167 | 89,334 | ||||||
Kimberly-Clark Corp. | 4,366 | 587,271 | ||||||
Kroger Co. (The) | 25,084 | 959,463 | ||||||
McCormick & Co., Inc. | 1,621 | 161,257 | ||||||
Molson Coors Brewing Co., Class B | 1,513 | 145,520 | ||||||
Mondelez International, Inc., Class A | 23,644 | 948,597 | ||||||
Monster Beverage Corp. † | 3,934 | 524,717 | ||||||
PepsiCo, Inc. | 17,230 | 1,765,730 | ||||||
Philip Morris International, Inc. | 13,686 | 1,342,733 | ||||||
Pilgrim’s Pride Corp. † | 3,191 | 81,051 | ||||||
Pinnacle Foods, Inc. | 931 | 41,597 | ||||||
Procter & Gamble Co. (The) | 6,974 | 574,030 | ||||||
Reynolds American, Inc. | 28,659 | 1,441,834 | ||||||
Tyson Foods, Inc., Class A | 6,540 | 435,956 | ||||||
Walgreens Boots Alliance, Inc. | 14,177 | 1,194,270 | ||||||
WhiteWave Foods Co. (The) † | 2,600 | 105,664 | ||||||
|
| |||||||
20,056,251 | ||||||||
|
| |||||||
Energy - 4.3% | ||||||||
Cheniere Energy, Inc. † | 1,721 | 58,222 | ||||||
Cimarex Energy Co. | 1,073 | 104,371 | ||||||
CVR Energy, Inc. | 6,399 | 167,014 | ||||||
Diamondback Energy, Inc. † | 9,982 | 770,411 | ||||||
EQT Corp. | 1,200 | 80,712 | ||||||
Exxon Mobil Corp. | 10,553 | 882,125 | ||||||
HollyFrontier Corp. | 10,291 | 363,478 | ||||||
Marathon Petroleum Corp. | 8,669 | 322,313 | ||||||
Newfield Exploration Co. † | 15,635 | 519,864 | ||||||
PBF Energy, Inc., Class A | 10,072 | 334,390 | ||||||
Phillips 66 | 14,128 | 1,223,344 | ||||||
Tesoro Corp. | 5,441 | 467,980 | ||||||
Valero Energy Corp. | 12,929 | 829,266 | ||||||
|
| |||||||
6,123,490 | ||||||||
|
| |||||||
Financials - 12.0% | ||||||||
American Financial Group, Inc. | 1,717 | 120,825 | ||||||
American International Group, Inc. | 10,128 | 547,418 | ||||||
American Tower Corp. REIT | 4,634 | 474,383 | ||||||
Ameriprise Financial, Inc. | 1,200 | 112,812 | ||||||
Arch Capital Group Ltd. † | 2,968 | 211,025 | ||||||
AvalonBay Communities, Inc. REIT | 4,737 | 900,977 | ||||||
Axis Capital Holdings Ltd. | 856 | 47,474 | ||||||
Bank of New York Mellon Corp. (The) | 9,280 | 341,782 | ||||||
Berkshire Hathaway, Inc., Class B † | 2,945 | 417,837 | ||||||
BlackRock, Inc. | 1,012 | 344,657 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
67
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 12.0% (continued) | ||||||||
Boston Properties, Inc. REIT | 5,439 | $ | 691,188 | |||||
Capital One Financial Corp. | 2,317 | 160,591 | ||||||
CBOE Holdings, Inc. | 1,623 | 106,031 | ||||||
Chubb Ltd. (Switzerland) | 3,477 | 414,284 | ||||||
Citizens Financial Group, Inc. | 4,147 | 86,880 | ||||||
CME Group, Inc. | 4,272 | 410,326 | ||||||
Comerica, Inc. | 1,500 | 56,805 | ||||||
Digital Realty Trust, Inc. REIT | 3,200 | 283,168 | ||||||
Discover Financial Services | 3,539 | 180,206 | ||||||
E*TRADE Financial Corp. † | 5,200 | 127,348 | ||||||
Equity Residential REIT | 11,412 | 856,242 | ||||||
Essex Property Trust, Inc. REIT | 2,600 | 608,036 | ||||||
Everest Re Group Ltd. | 999 | 197,233 | ||||||
Extra Space Storage, Inc. REIT | 1,500 | 140,190 | ||||||
Federal Realty Investment Trust REIT | 700 | 109,235 | ||||||
Fifth Third Bancorp | 6,600 | 110,154 | ||||||
First Republic Bank | 4,040 | 269,226 | ||||||
General Growth Properties, Inc. REIT | 11,239 | 334,135 | ||||||
Hartford Financial Services Group, Inc. (The) | 3,282 | 151,235 | ||||||
HCP, Inc. REIT | 5,000 | 162,900 | ||||||
Huntington Bancshares, Inc. | 10,400 | 99,216 | ||||||
Interactive Brokers Group, Inc., Class A | 2,788 | 109,624 | ||||||
Intercontinental Exchange, Inc. | 867 | 203,866 | ||||||
JPMorgan Chase & Co. | 24,352 | 1,442,125 | ||||||
KeyCorp | 8,100 | 89,424 | ||||||
Lincoln National Corp. | 2,367 | 92,786 | ||||||
Markel Corp. † | 231 | 205,953 | ||||||
McGraw Hill Financial, Inc. | 2,820 | 279,124 | ||||||
Moody’s Corp. | 2,313 | 223,343 | ||||||
Northern Trust Corp. | 2,636 | 171,788 | ||||||
OneMain Holdings, Inc. † | 2,508 | 68,794 | ||||||
PNC Financial Services Group, Inc. (The) | 3,882 | 328,301 | ||||||
Principal Financial Group, Inc. | 1,500 | 59,175 | ||||||
Progressive Corp. (The) | 5,576 | 195,941 | ||||||
Public Storage REIT | 3,894 | 1,074,082 | ||||||
Realty Income Corp. REIT | 1,500 | 93,765 | ||||||
RenaissanceRe Holdings Ltd. | 1,701 | 203,831 | ||||||
Retail Properties of America, Inc., Class A REIT | 5,600 | 88,760 | ||||||
Signature Bank † | 1,700 | 231,404 | ||||||
Simon Property Group, Inc. REIT | 2,114 | 439,057 | ||||||
State Street Corp. | 706 | 41,315 | ||||||
SunTrust Banks, Inc. | 3,600 | 129,888 | ||||||
SVB Financial Group † | 700 | 71,435 | ||||||
Synchrony Financial † | 9,330 | 267,398 | ||||||
Travelers Cos., Inc. (The) | 3,710 | 432,994 | ||||||
UDR, Inc. REIT | 2,100 | 80,913 | ||||||
Ventas, Inc. REIT | 5,620 | 353,835 | ||||||
Vornado Realty Trust REIT | 4,200 | 396,606 | ||||||
Welltower, Inc. REIT | 7,492 | 519,495 | ||||||
White Mountains Insurance Group Ltd. | 100 | 80,260 | ||||||
|
| |||||||
17,049,101 | ||||||||
|
| |||||||
Health Care - 11.3% | ||||||||
Abbott Laboratories | 9,849 | 411,984 | ||||||
AbbVie, Inc. | 724 | 41,355 | ||||||
Acadia Healthcare Co., Inc. † | 889 | 48,993 | ||||||
Aetna, Inc. | 7,757 | 871,499 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 11.3% (continued) | ||||||||
Alexion Pharmaceuticals, Inc. † | 1,180 | $ | 164,280 | |||||
Align Technology, Inc. † | 1,400 | 101,766 | ||||||
Alnylam Pharmaceuticals, Inc. † | 1,635 | 102,629 | ||||||
AmerisourceBergen Corp. | 4,065 | 351,826 | ||||||
Amgen, Inc. | 901 | 135,087 | ||||||
Anthem, Inc. | 4,685 | 651,168 | ||||||
athenahealth, Inc. † | 1,017 | 141,139 | ||||||
Becton Dickinson and Co. | 1,193 | 181,121 | ||||||
BioMarin Pharmaceutical, Inc. † | 2,532 | 208,839 | ||||||
Boston Scientific Corp. † | 15,571 | 292,890 | ||||||
Bristol-Myers Squibb Co. | 20,297 | 1,296,572 | ||||||
Cardinal Health, Inc. | 3,661 | 300,019 | ||||||
Centene Corp. † | 3,293 | 202,750 | ||||||
Cerner Corp. † | 2,661 | 140,927 | ||||||
DexCom, Inc. † | 2,200 | 149,402 | ||||||
Edwards Lifesciences Corp. † | 3,270 | 288,447 | ||||||
Eli Lilly & Co. | 19,000 | 1,368,190 | ||||||
Express Scripts Holding Co. † | 728 | 50,006 | ||||||
HCA Holdings, Inc. † | 2,901 | 226,423 | ||||||
Henry Schein, Inc. † | 648 | 111,864 | ||||||
Hologic, Inc. (2)† | 1,943 | 67,033 | ||||||
Illumina, Inc. † | 1,398 | 226,630 | ||||||
Incyte Corp. † | 3,647 | 264,298 | ||||||
Intercept Pharmaceuticals, Inc. † | 400 | 51,388 | ||||||
Intrexon Corp. † | 3,047 | 103,263 | ||||||
Intuitive Surgical, Inc. † | 200 | 120,210 | ||||||
Ionis Pharmaceuticals, Inc. † | 1,796 | 72,738 | ||||||
Johnson & Johnson | 16,179 | 1,750,568 | ||||||
McKesson Corp. | 1,282 | 201,594 | ||||||
Medivation, Inc. † | 2,631 | 120,973 | ||||||
Medtronic plc (Ireland) | 9,817 | 736,275 | ||||||
OPKO Health, Inc. † | 4,868 | 50,579 | ||||||
Pfizer, Inc. | 11,640 | 345,010 | ||||||
Quintiles Transnational Holdings, Inc. † | 1,288 | 83,849 | ||||||
Regeneron Pharmaceuticals, Inc. † | 1,683 | 606,621 | ||||||
St. Jude Medical, Inc. | 2,465 | 135,575 | ||||||
Stryker Corp. | 557 | 59,761 | ||||||
Thermo Fisher Scientific, Inc. | 5,346 | 756,940 | ||||||
United Therapeutics Corp. † | 512 | 57,052 | ||||||
UnitedHealth Group, Inc. | 14,744 | 1,900,502 | ||||||
Vertex Pharmaceuticals, Inc. † | 1,125 | 89,426 | ||||||
Zoetis, Inc. | 6,810 | 301,887 | ||||||
|
| |||||||
15,941,348 | ||||||||
|
| |||||||
Industrials - 10.0% | ||||||||
3M Co. | 5,664 | 943,792 | ||||||
A.O. Smith Corp. | 2,198 | 167,729 | ||||||
Acuity Brands, Inc. | 821 | 179,093 | ||||||
Alaska Air Group, Inc. | 2,312 | 189,630 | ||||||
American Airlines Group, Inc. | 1,170 | 47,982 | ||||||
B/E Aerospace, Inc. | 2,772 | 127,845 | ||||||
Boeing Co. (The) | 1,066 | 135,318 | ||||||
Cummins, Inc. | 842 | 92,569 | ||||||
Danaher Corp. | 5,772 | 547,532 | ||||||
Delta Air Lines, Inc. | 10,642 | 518,053 | ||||||
Dover Corp. | 2,493 | 160,375 | ||||||
Equifax, Inc. | 651 | 74,403 | ||||||
FedEx Corp. | 2,746 | 446,829 | ||||||
Fortune Brands Home & Security, Inc. | 3,256 | 182,466 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
68
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Industrials - 10.0% (continued) | ||||||||
General Dynamics Corp. | 5,500 | $ | 722,535 | |||||
General Electric Co. | 94,744 | 3,011,912 | ||||||
HD Supply Holdings, Inc. † | 2,092 | 69,182 | ||||||
Honeywell International, Inc. | 5,345 | 598,907 | ||||||
Huntington Ingalls Industries, Inc. | 1,500 | 205,410 | ||||||
Illinois Tool Works, Inc. | 871 | 89,225 | ||||||
JetBlue Airways Corp. † | 8,441 | 178,274 | ||||||
Lockheed Martin Corp. | 6,291 | 1,393,457 | ||||||
Macquarie Infrastructure Corp. | 800 | 53,952 | ||||||
Masco Corp. | 2,809 | 88,343 | ||||||
Middleby Corp. (The) † | 1,800 | 192,186 | ||||||
Northrop Grumman Corp. | 5,646 | 1,117,343 | ||||||
Old Dominion Freight Line, Inc. † | 1,956 | 136,177 | ||||||
Parker-Hannifin Corp. | 1,500 | 166,620 | ||||||
Raytheon Co. | 6,276 | 769,626 | ||||||
Rockwell Automation, Inc. | 2,600 | 295,750 | ||||||
Southwest Airlines Co. | 9,757 | 437,114 | ||||||
Spirit Airlines, Inc. † | 2,436 | 116,879 | ||||||
Textron, Inc. | 2,100 | 76,566 | ||||||
United Continental Holdings, Inc. † | 3,768 | 225,552 | ||||||
United Parcel Service, Inc., Class B | 869 | 91,653 | ||||||
Verisk Analytics, Inc. † | 906 | 72,408 | ||||||
WABCO Holdings, Inc. † | 800 | 85,536 | ||||||
Wabtec Corp. | 785 | 62,243 | ||||||
Waste Connections, Inc. | 913 | 58,971 | ||||||
Xylem, Inc. | 2,200 | 89,980 | ||||||
|
| |||||||
14,219,417 | ||||||||
|
| |||||||
Information Technology - 21.2% | ||||||||
Accenture plc, Class A (Ireland) | 8,221 | 948,703 | ||||||
Activision Blizzard, Inc. | 14,761 | 499,512 | ||||||
Adobe Systems, Inc. † | 8,721 | 818,030 | ||||||
Akamai Technologies, Inc. † | 1,700 | 94,469 | ||||||
Alliance Data Systems Corp. † | 903 | 198,660 | ||||||
Alphabet, Inc., Class A † | 8,098 | 6,177,964 | ||||||
Amdocs Ltd. | 1,750 | 105,735 | ||||||
Applied Materials, Inc. | 3,864 | 81,840 | ||||||
ARRIS International plc † | 2,800 | 64,176 | ||||||
Autodesk, Inc. † | 1,500 | 87,465 | ||||||
Automatic Data Processing, Inc. | 3,680 | 330,133 | ||||||
Brocade Communications Systems, Inc. | 7,800 | 82,524 | ||||||
CA, Inc. | 2,700 | 83,133 | ||||||
CDK Global, Inc. | 905 | 42,128 | ||||||
Cisco Systems, Inc. | 6,421 | 182,806 | ||||||
Cognizant Technology Solutions Corp., Class A † | 7,683 | 481,724 | ||||||
Corning, Inc. | 11,812 | 246,753 | ||||||
CoStar Group, Inc. † | 500 | 94,085 | ||||||
eBay, Inc. † | 13,570 | 323,780 | ||||||
Electronic Arts, Inc. † | 8,389 | 554,597 | ||||||
F5 Networks, Inc. † | 1,500 | 158,775 | ||||||
Facebook, Inc., Class A † | 32,007 | 3,651,999 | ||||||
Fiserv, Inc. † | 3,342 | 342,822 | ||||||
FleetCor Technologies, Inc. † | 1,727 | 256,891 | ||||||
Fortinet, Inc. † | 1,807 | 55,348 | ||||||
Hewlett Packard Enterprise Co. | 5,925 | 105,050 | ||||||
Intuit, Inc. | 2,897 | 301,317 | ||||||
Jack Henry & Associates, Inc. | 1,350 | 114,169 | ||||||
Juniper Networks, Inc. | 7,300 | 186,223 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 21.2% (continued) | ||||||||
Marvell Technology Group Ltd. | 6,200 | $ | 63,922 | |||||
MasterCard, Inc., Class A | 18,790 | 1,775,655 | ||||||
Microsoft Corp. | 92,298 | 5,097,619 | ||||||
NVIDIA Corp. | 8,300 | 295,729 | ||||||
Palo Alto Networks, Inc. † | 2,854 | 465,602 | ||||||
PayPal Holdings, Inc. † | 1,040 | 40,144 | ||||||
Qorvo, Inc. † | 1,344 | 67,751 | ||||||
Red Hat, Inc. † | 1,240 | 92,392 | ||||||
Sabre Corp. | 4,115 | 119,006 | ||||||
salesforce.com, Inc. † | 7,043 | 519,985 | ||||||
ServiceNow, Inc. † | 4,411 | 269,865 | ||||||
Skyworks Solutions, Inc. | 3,805 | 296,410 | ||||||
Splunk, Inc. † | 1,137 | 55,633 | ||||||
SS&C Technologies Holdings, Inc. | 1,261 | 79,973 | ||||||
SunPower Corp. † | 3,373 | 75,353 | ||||||
Tableau Software, Inc., Class A † | 1,222 | 56,053 | ||||||
Texas Instruments, Inc. | 9,515 | 546,351 | ||||||
Total System Services, Inc. | 2,043 | 97,206 | ||||||
Vantiv, Inc., Class A † | 2,419 | 130,336 | ||||||
VeriSign, Inc. † | 576 | 50,999 | ||||||
Visa, Inc., Class A | 35,851 | 2,741,884 | ||||||
VMware, Inc., Class A † | 835 | 43,679 | ||||||
Workday, Inc., Class A † | 807 | 62,010 | ||||||
Xerox Corp. | 11,832 | 132,045 | ||||||
Xilinx, Inc. | 2,840 | 134,701 | ||||||
Zillow Group, Inc., Class C † | 2,870 | 68,105 | ||||||
|
| |||||||
30,049,219 | ||||||||
|
| |||||||
Materials - 1.3% | ||||||||
Air Products & Chemicals, Inc. | 1,700 | 244,885 | ||||||
Ball Corp. | 1,400 | 99,806 | ||||||
Dow Chemical Co. (The) | 2,240 | 113,926 | ||||||
Ecolab, Inc. | 2,147 | 239,433 | ||||||
LyondellBasell Industries NV, Class A | 1,240 | 106,119 | ||||||
PPG Industries, Inc. | 3,826 | 426,561 | ||||||
Royal Gold, Inc. | 880 | 45,135 | ||||||
Sherwin-Williams Co. (The) | 961 | 273,568 | ||||||
Vulcan Materials Co. | 1,445 | 152,549 | ||||||
Westlake Chemical Corp. | 1,100 | 50,930 | ||||||
|
| |||||||
1,752,912 | ||||||||
|
| |||||||
Telecommunication Services - 2.8% | ||||||||
AT&T, Inc. | 58,023 | 2,272,761 | ||||||
Level 3 Communications, Inc. † | 3,900 | 206,115 | ||||||
T-Mobile US, Inc. † | 8,671 | 332,099 | ||||||
Verizon Communications, Inc. | 22,313 | 1,206,687 | ||||||
|
| |||||||
4,017,662 | ||||||||
|
| |||||||
Utilities - 2.7% | ||||||||
American Electric Power Co., Inc. | 6,005 | 398,732 | ||||||
CMS Energy Corp. | 2,100 | 89,124 | ||||||
Consolidated Edison, Inc. | 4,324 | 331,305 | ||||||
Dominion Resources, Inc. | 3,117 | 234,149 | ||||||
DTE Energy Co. | 3,287 | 297,999 | ||||||
Edison International | 5,703 | 409,989 | ||||||
Entergy Corp. | 1,400 | 110,992 | ||||||
NextEra Energy, Inc. | 3,754 | 444,248 | ||||||
PG&E Corp. | 4,123 | 246,226 | ||||||
PPL Corp. | 2,081 | 79,224 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
69
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Utilities - 2.7% (continued) | ||||||||
Public Service Enterprise Group, Inc. | 1,552 | $ | 73,161 | |||||
Sempra Energy | 3,095 | 322,035 | ||||||
Southern Co. (The) | 7,888 | 408,046 | ||||||
WEC Energy Group, Inc. | 1,156 | 69,441 | ||||||
Xcel Energy, Inc. | 7,612 | 318,334 | ||||||
|
| |||||||
3,833,005 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 137,856,839 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT - 2.2% | ||||||||
Investment Company - 2.2% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (2)(a) (cost $3,073,717) | 3,073,717 | 3,073,717 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.5% | 140,930,556 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% (b) | 755,623 | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 141,686,179 | |||||
|
|
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 March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
24 | Goldman Sachs | S&P 500 E-Mini Futures | 06/2016 | $ | 2,422,763 | $ | 2,461,800 | $ | 39,037 | |||||||||
|
|
|
|
|
|
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Goldman Sachs | ||||||||||||
Cash | $— | $70,508 | $70,508 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
70
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
COMMON STOCKS - 97.1% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 12.7% | ||||||||
1-800-Flowers.com, Inc., Class A † | 3,613 | $ | 28,470 | |||||
2U, Inc. †(a) | 2,833 | 64,026 | ||||||
AMC Entertainment Holdings, Inc., Class A | 1,870 | 52,341 | ||||||
American Eagle Outfitters, Inc. (a) | 3,224 | 53,744 | ||||||
Asbury Automotive Group, Inc. † | 174 | 10,412 | ||||||
Barnes & Noble, Inc. | 1,300 | 16,068 | ||||||
Bassett Furniture Industries, Inc. | 576 | 18,351 | ||||||
Big Lots, Inc. | 872 | 39,493 | ||||||
BJ’s Restaurants, Inc. † | 600 | 24,942 | ||||||
Boyd Gaming Corp. † | 617 | 12,747 | ||||||
Bright Horizons Family Solutions, Inc. † | 2,615 | 169,400 | ||||||
Buckle, Inc. (The) (a) | 400 | 13,548 | ||||||
Buffalo Wild Wings, Inc. † | 243 | 35,993 | ||||||
Build-A-Bear Workshop, Inc. † | 1,000 | 12,990 | ||||||
Burlington Stores, Inc. † | 537 | 30,201 | ||||||
Caleres, Inc. | 931 | 26,338 | ||||||
Capella Education Co. | 200 | 10,528 | ||||||
Carriage Services, Inc. (a) | 552 | 11,929 | ||||||
Carrols Restaurant Group, Inc. † | 742 | 10,715 | ||||||
Cato Corp. (The), Class A | 400 | 15,420 | ||||||
Chegg, Inc. †(a) | 2,968 | 13,237 | ||||||
Children’s Place, Inc. (The) | 306 | 25,542 | ||||||
Churchill Downs, Inc. | 372 | 55,011 | ||||||
Chuy’s Holdings, Inc. † | 577 | 17,927 | ||||||
Citi Trends, Inc. | 600 | 10,698 | ||||||
ClubCorp Holdings, Inc. | 1,646 | 23,110 | ||||||
Columbia Sportswear Co. | 1,156 | 69,464 | ||||||
Cooper Tire & Rubber Co. | 576 | 21,324 | ||||||
Cooper-Standard Holding, Inc. † | 483 | 34,699 | ||||||
Core-Mark Holding Co., Inc. | 1,000 | 81,560 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 949 | 144,884 | ||||||
Culp, Inc. | 327 | 8,574 | ||||||
Dave & Buster’s Entertainment, Inc. † | 1,182 | 45,838 | ||||||
Denny’s Corp. † | 2,000 | 20,720 | ||||||
DineEquity, Inc. | 299 | 27,936 | ||||||
Drew Industries, Inc. | 234 | 15,084 | ||||||
Eldorado Resorts, Inc. † | 2,151 | 24,607 | ||||||
Entravision Communications Corp., Class A | 2,467 | 18,354 | ||||||
EW Scripps Co. (The), Class A | 1,235 | 19,254 | ||||||
Express, Inc. † | 1,640 | 35,112 | ||||||
Fiesta Restaurant Group, Inc. † | 311 | 10,195 | ||||||
Finish Line, Inc. (The), Class A | 396 | 8,356 | ||||||
Five Below, Inc. † | 279 | 11,534 | ||||||
FTD Cos., Inc. † | 500 | 13,125 | ||||||
Gentherm, Inc. † | 1,057 | 43,961 | ||||||
G-III Apparel Group Ltd. † | 1,123 | 54,903 | ||||||
Global Eagle Entertainment, Inc. † | 1,196 | 10,190 | ||||||
Grand Canyon Education, Inc. † | 538 | 22,994 | ||||||
Gray Television, Inc. † | 2,135 | 25,022 | ||||||
Group 1 Automotive, Inc. | 200 | 11,738 | ||||||
Helen of Troy Ltd. † | 1,094 | 113,437 | ||||||
Hooker Furniture Corp. | 465 | 15,275 | ||||||
Houghton Mifflin Harcourt Co. † | 1,697 | 33,838 | ||||||
IMAX Corp. (Canada) † | 891 | 27,701 | ||||||
Installed Building Products, Inc. † | 1,315 | 34,992 | ||||||
Isle of Capri Casinos, Inc. † | 660 | 9,240 | ||||||
Jack in the Box, Inc. | 1,015 | 64,828 | ||||||
Kirkland’s, Inc. | 900 | 15,759 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 12.7% (continued) | ||||||||
Kona Grill, Inc. †(a) | 1,191 | $ | 15,423 | |||||
Krispy Kreme Doughnuts, Inc. † | 925 | 14,421 | ||||||
Lands’ End, Inc. †(a) | 436 | 11,122 | ||||||
La-Z-Boy, Inc. | 430 | 11,498 | ||||||
LGI Homes, Inc. †(a) | 1,127 | 27,285 | ||||||
Liberty TripAdvisor Holdings, Inc., Class A † | 526 | 11,656 | ||||||
Lithia Motors, Inc., Class A | 602 | 52,573 | ||||||
MarineMax, Inc. † | 669 | 13,025 | ||||||
Marriott Vacations Worldwide Corp. | 710 | 47,925 | ||||||
Mattress Firm Holding Corp. †(a) | 202 | 8,563 | ||||||
MDC Partners, Inc., Class A (a) | 944 | 22,278 | ||||||
Monro Muffler Brake, Inc. | 625 | 44,669 | ||||||
Motorcar Parts of America, Inc. † | 1,306 | 49,602 | ||||||
NACCO Industries, Inc., Class A | 210 | 12,056 | ||||||
Nautilus, Inc. † | 1,157 | 22,353 | ||||||
New Media Investment Group, Inc. | 1,547 | 25,742 | ||||||
Nexstar Broadcasting Group, Inc., Class A | 356 | 15,760 | ||||||
Nutrisystem, Inc. | 1,800 | 37,566 | ||||||
Overstock.com, Inc. † | 822 | 11,820 | ||||||
Oxford Industries, Inc. | 148 | 9,950 | ||||||
Papa John’s International, Inc. (a) | 932 | 50,505 | ||||||
Papa Murphy’s Holdings, Inc. †(a) | 974 | 11,639 | ||||||
Penn National Gaming, Inc. † | 999 | 16,673 | ||||||
Pool Corp. | 1,462 | 128,276 | ||||||
Popeyes Louisiana Kitchen, Inc. † | 873 | 45,448 | ||||||
Red Robin Gourmet Burgers, Inc. † | 219 | 14,119 | ||||||
Ruth’s Hospitality Group, Inc. | 972 | 17,895 | ||||||
Select Comfort Corp. † | 1,283 | 24,877 | ||||||
Sequential Brands Group, Inc. †(a) | 1,246 | 7,962 | ||||||
Sinclair Broadcast Group, Inc., Class A | 1,581 | 48,616 | ||||||
Smith & Wesson Holding Corp. † | 2,280 | 60,694 | ||||||
Sonic Corp. | 1,127 | 39,625 | ||||||
Sportsman’s Warehouse Holdings, Inc. † | 2,033 | 25,616 | ||||||
Standard Motor Products, Inc. | 641 | 22,211 | ||||||
Stein Mart, Inc. | 1,340 | 9,822 | ||||||
Steven Madden Ltd. † | 651 | 24,113 | ||||||
Sturm Ruger & Co., Inc. | 583 | 39,866 | ||||||
Texas Roadhouse, Inc. | 2,000 | 87,160 | ||||||
Tile Shop Holdings, Inc. † | 792 | 11,809 | ||||||
Tower International, Inc. | 753 | 20,482 | ||||||
Universal Electronics, Inc. † | 400 | 24,796 | ||||||
Vail Resorts, Inc. | 1,160 | 155,092 | ||||||
Wayfair, Inc., Class A †(a) | 2,936 | 126,894 | ||||||
World Wrestling Entertainment, Inc., Class A (a) | 1,183 | 20,892 | ||||||
ZAGG, Inc. † | 1,866 | 16,813 | ||||||
Zoe’s Kitchen, Inc. †(a) | 509 | 19,846 | ||||||
|
| |||||||
3,434,707 | ||||||||
|
| |||||||
Consumer Staples - 5.2% | ||||||||
B&G Foods, Inc. | 1,382 | 48,107 | ||||||
Boston Beer Co., Inc. (The), Class A † | 72 | 13,325 | ||||||
Calavo Growers, Inc. | 300 | 17,118 | ||||||
Cal-Maine Foods, Inc. (a) | 2,107 | 109,374 | ||||||
Casey’s General Stores, Inc. | 1,384 | 156,835 | ||||||
Central Garden & Pet Co., Class A † | 541 | 8,813 | ||||||
Coca-Cola Bottling Co. Consolidated | 400 | 63,904 | ||||||
Fresh Del Monte Produce, Inc. | 1,702 | 71,603 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
71
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Consumer Staples - 5.2% (continued) | ||||||||
Ingles Markets, Inc., Class A | 500 | $ | 18,750 | |||||
J&J Snack Foods Corp. | 693 | 75,038 | ||||||
John B. Sanfilippo & Son, Inc. | 726 | 50,159 | ||||||
Lancaster Colony Corp. | 1,210 | 133,790 | ||||||
National Beverage Corp. † | 1,172 | 49,599 | ||||||
Natural Health Trends Corp. | 1,142 | 37,857 | ||||||
Omega Protein Corp. † | 853 | 14,450 | ||||||
Post Holdings, Inc. † | 2,115 | 145,449 | ||||||
Revlon, Inc., Class A † | 830 | 30,220 | ||||||
Sanderson Farms, Inc. (a) | 700 | 63,126 | ||||||
Snyder’s-Lance, Inc. | 1,947 | 61,292 | ||||||
SpartanNash Co. | 755 | 22,884 | ||||||
Universal Corp. (a) | 323 | 18,350 | ||||||
USANA Health Sciences, Inc. † | 300 | 36,426 | ||||||
Vector Group Ltd. | 4,541 | 103,716 | ||||||
WD-40 Co. | 550 | 59,406 | ||||||
|
| |||||||
1,409,591 | ||||||||
|
| |||||||
Energy - 1.4% | ||||||||
Alon USA Energy, Inc. | 841 | 8,679 | ||||||
Ardmore Shipping Corp. (Ireland) | 1,316 | 11,120 | ||||||
Callon Petroleum Co. † | 2,586 | 22,886 | ||||||
Green Plains, Inc. | 616 | 9,831 | ||||||
Matador Resources Co. †(a) | 1,561 | 29,597 | ||||||
Matrix Service Co. † | 700 | 12,390 | ||||||
Nordic American Tankers Ltd. (Norway) (a) | 1,290 | 18,176 | ||||||
Pacific Ethanol, Inc. † | 900 | 4,212 | ||||||
Par Pacific Holdings, Inc. † | 908 | 17,034 | ||||||
Parsley Energy, Inc., Class A † | 5,293 | 119,622 | ||||||
PDC Energy, Inc. † | 1,438 | 85,489 | ||||||
REX American Resources Corp. † | 300 | 16,641 | ||||||
Ship Finance International Ltd. (Norway) (a) | 1,000 | 13,890 | ||||||
Synergy Resources Corp. †(a) | 1,416 | 11,002 | ||||||
Teekay Tankers Ltd., Class A | 2,395 | 8,790 | ||||||
|
| |||||||
389,359 | ||||||||
|
| |||||||
Financials - 26.7% | ||||||||
Acadia Realty Trust REIT | 1,244 | 43,702 | ||||||
American Assets Trust, Inc. REIT | 1,466 | 58,523 | ||||||
American Equity Investment Life Holding Co. | 641 | 10,769 | ||||||
Ameris Bancorp | 2,004 | 59,278 | ||||||
AMERISAFE, Inc. | 907 | 47,654 | ||||||
Argo Group International Holdings Ltd. | 1,264 | 72,541 | ||||||
Ashford Hospitality Trust, Inc. REIT | 1,500 | 9,570 | ||||||
Banc of California, Inc. | 1,710 | 29,925 | ||||||
Bank of the Ozarks, Inc. | 5,068 | 212,704 | ||||||
Banner Corp. | 455 | 19,128 | ||||||
Beneficial Bancorp, Inc. † | 1,856 | 25,409 | ||||||
BGC Partners, Inc., Class A | 6,967 | 63,051 | ||||||
Blue Hills Bancorp, Inc. (a) | 1,200 | 16,404 | ||||||
BNC Bancorp | 2,455 | 51,850 | ||||||
BofI Holding, Inc. †(a) | 4,680 | 99,871 | ||||||
Boston Private Financial Holdings, Inc. | 1,225 | 14,026 | ||||||
Capital Bank Financial Corp., Class A | 4,200 | 129,570 | ||||||
Capitol Federal Financial, Inc. | 4,102 | 54,392 | ||||||
Cash America International, Inc. | 1,125 | 43,470 | ||||||
Cathay General Bancorp | 2,965 | 83,998 |
SHARES | VALUE (Note 4) | |||||||
Financials - 26.7% (continued) | ||||||||
Cedar Realty Trust, Inc. REIT | 1,989 | $ | 14,380 | |||||
Central Pacific Financial Corp. | 835 | 18,178 | ||||||
Charter Financial Corp. | 894 | 12,069 | ||||||
Chatham Lodging Trust REIT | 1,226 | 26,273 | ||||||
Chemical Financial Corp. (a) | 462 | 16,489 | ||||||
CNO Financial Group, Inc. | 725 | 12,992 | ||||||
ConnectOne Bancorp, Inc. | 900 | 14,715 | ||||||
CoreSite Realty Corp. REIT | 1,632 | 114,256 | ||||||
Cowen Group, Inc., Class A †(a) | 3,463 | 13,194 | ||||||
CU Bancorp † | 519 | 10,987 | ||||||
CubeSmart REIT | 6,476 | 215,651 | ||||||
Customers Bancorp, Inc. † | 2,282 | 53,924 | ||||||
CVB Financial Corp. (a) | 1,182 | 20,626 | ||||||
CyrusOne, Inc. REIT | 3,785 | 172,785 | ||||||
DCT Industrial Trust, Inc. REIT | 572 | 22,577 | ||||||
DuPont Fabros Technology, Inc. REIT | 1,100 | 44,583 | ||||||
Eagle Bancorp, Inc. † | 2,446 | 117,408 | ||||||
EastGroup Properties, Inc. REIT | 329 | 19,862 | ||||||
Education Realty Trust, Inc. REIT | 1,567 | 65,187 | ||||||
Enstar Group Ltd. † | 478 | 77,713 | ||||||
Enterprise Financial Services Corp. | 957 | 25,877 | ||||||
EPR Properties REIT | 916 | 61,024 | ||||||
Equity One, Inc. REIT | 1,644 | 47,117 | ||||||
Essent Group Ltd. † | 1,630 | 33,904 | ||||||
FBL Financial Group, Inc., Class A | 241 | 14,826 | ||||||
FCB Financial Holdings, Inc., Class A † | 3,143 | 104,536 | ||||||
Federated National Holding Co. | 2,074 | 40,775 | ||||||
Fidelity Southern Corp. | 1,125 | 18,045 | ||||||
First American Financial Corp. | 3,965 | 151,106 | ||||||
First Defiance Financial Corp. | 725 | 27,847 | ||||||
First Interstate BancSystem, Inc., Class A | 3,408 | 95,867 | ||||||
First Merchants Corp. | 654 | 15,415 | ||||||
Fulton Financial Corp. | 3,338 | 44,662 | ||||||
GAIN Capital Holdings, Inc. | 1,922 | 12,608 | ||||||
GAMCO Investors, Inc., Class A | 344 | 12,749 | ||||||
GEO Group, Inc. (The) REIT | 1,257 | 43,580 | ||||||
Gladstone Commercial Corp. REIT | 800 | 13,104 | ||||||
Great Western Bancorp, Inc. | 3,836 | 104,608 | ||||||
Greenlight Capital Re Ltd., Class A † | 400 | 8,716 | ||||||
Hanmi Financial Corp. | 1,300 | 28,626 | ||||||
HCI Group, Inc. | 313 | 10,423 | ||||||
Healthcare Realty Trust, Inc. REIT | 560 | 17,298 | ||||||
Heritage Insurance Holdings, Inc. | 770 | 12,297 | ||||||
Hersha Hospitality Trust REIT | 1,090 | 23,261 | ||||||
HFF, Inc., Class A | 1,079 | 29,705 | ||||||
Highwoods Properties, Inc. REIT | 816 | 39,013 | ||||||
Hilltop Holdings, Inc. † | 800 | 15,104 | ||||||
Home BancShares, Inc. | 3,767 | 154,259 | ||||||
HomeStreet, Inc. † | 1,186 | 24,681 | ||||||
HomeTrust Bancshares, Inc. † | 1,428 | 26,175 | ||||||
Horizon Bancorp | 669 | 16,538 | ||||||
Hudson Pacific Properties, Inc. REIT | 2,666 | 77,101 | ||||||
Independent Bank Corp./MA | 741 | 34,057 | ||||||
Independent Bank Corp./MI | 1,815 | 26,408 | ||||||
Independent Bank Group, Inc. | 300 | 8,220 | ||||||
Investment Technology Group, Inc. | 682 | 15,072 | ||||||
Investors Bancorp, Inc. | 17,699 | 206,016 | ||||||
James River Group Holdings Ltd. | 1,877 | 60,552 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
72
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 26.7% (continued) | ||||||||
Janus Capital Group, Inc. | 800 | $ | 11,704 | |||||
KCG Holdings, Inc., Class A † | 843 | 10,074 | ||||||
Kearny Financial Corp. | 3,143 | 38,816 | ||||||
Kennedy-Wilson Holdings, Inc. | 1,600 | 35,040 | ||||||
Lakeland Financial Corp. | 1,189 | 54,432 | ||||||
LegacyTexas Financial Group, Inc. | 492 | 9,668 | ||||||
LendingTree, Inc. †(a) | 622 | 60,819 | ||||||
Maiden Holdings Ltd. | 1,054 | 13,639 | ||||||
Marcus & Millichap, Inc. † | 1,193 | 30,290 | ||||||
MarketAxess Holdings, Inc. | 1,743 | 217,579 | ||||||
MB Financial, Inc. | 627 | 20,346 | ||||||
Meridian Bancorp, Inc. | �� | 1,087 | 15,131 | |||||
Meta Financial Group, Inc. | 1,085 | 49,476 | ||||||
National Bank Holdings Corp., Class A | 1,191 | 24,284 | ||||||
National General Holdings Corp. | 1,148 | 24,785 | ||||||
Navigators Group, Inc. (The) † | 383 | 32,122 | ||||||
Nelnet, Inc., Class A | 400 | 15,748 | ||||||
Northwest Bancshares, Inc. (a) | 5,477 | 73,994 | ||||||
Opus Bank | 2,123 | 72,182 | ||||||
Oritani Financial Corp. | 2,501 | 42,442 | ||||||
Pacific Premier Bancorp, Inc. † | 583 | 12,459 | ||||||
PennyMac Financial Services, Inc., Class A † | 835 | 9,820 | ||||||
Physicians Realty Trust REIT | 3,036 | 56,409 | ||||||
Pinnacle Financial Partners, Inc. | 2,089 | 102,486 | ||||||
Preferred Bank | 366 | 11,071 | ||||||
Primerica, Inc. | 641 | 28,544 | ||||||
PrivateBancorp, Inc. | 2,427 | 93,682 | ||||||
PS Business Parks, Inc. REIT | 699 | 70,256 | ||||||
QTS Realty Trust, Inc., Class A REIT | 1,901 | 90,069 | ||||||
Ramco-Gershenson Properties Trust REIT | 1,967 | 35,465 | ||||||
RE/MAX Holdings, Inc., Class A | 657 | 22,535 | ||||||
Renasant Corp. | 1,210 | 39,821 | ||||||
Retail Opportunity Investments Corp. REIT | 3,083 | 62,030 | ||||||
Rexford Industrial Realty, Inc. REIT | 1,423 | 25,842 | ||||||
RLI Corp. | 2,703 | 180,723 | ||||||
Ryman Hospitality Properties, Inc. REIT | 1,068 | 54,981 | ||||||
Sabra Health Care REIT, Inc. | 554 | 11,130 | ||||||
Seacoast Banking Corp. of Florida † | 1,142 | 18,032 | ||||||
Selective Insurance Group, Inc. | 415 | 15,193 | ||||||
ServisFirst Bancshares, Inc. | 2,855 | 126,762 | ||||||
Simmons First National Corp., Class A | 600 | 27,042 | ||||||
South State Corp. | 674 | 43,291 | ||||||
Southside Bancshares, Inc. | 840 | 21,899 | ||||||
Sovran Self Storage, Inc. REIT | 1,644 | 193,910 | ||||||
State Bank Financial Corp. | 950 | 18,772 | ||||||
Stonegate Bank | 1,631 | 48,865 | ||||||
STORE Capital Corp. REIT | 2,963 | 76,682 | ||||||
Summit Hotel Properties, Inc. REIT | 2,178 | 26,071 | ||||||
Sun Communities, Inc. REIT | 2,184 | 156,396 | ||||||
Terreno Realty Corp. REIT | 915 | 21,457 | ||||||
Territorial Bancorp, Inc. | 15 | 391 | ||||||
Towne Bank (a) | 1,494 | 28,670 | ||||||
Triumph Bancorp, Inc. † | 858 | 13,582 | ||||||
United Bankshares, Inc. | 1,350 | 49,545 | ||||||
United Community Banks, Inc. | 3,125 | 57,719 | ||||||
United Fire Group, Inc. | 951 | 41,673 | ||||||
United Insurance Holdings Corp. | 2,600 | 49,946 | ||||||
Universal Health Realty Income Trust REIT | 283 | 15,919 |
SHARES | VALUE (Note 4) | |||||||
Financials - 26.7% (continued) | ||||||||
Universal Insurance Holdings, Inc. (a) | 1,100 | $ | 19,580 | |||||
Urban Edge Properties REIT | 1,106 | 28,579 | ||||||
Walker & Dunlop, Inc. † | 980 | 23,785 | ||||||
Washington Federal, Inc. | 2,194 | 49,694 | ||||||
Washington REIT | 1,600 | 46,736 | ||||||
Waterstone Financial, Inc. | 2,000 | 27,360 | ||||||
Webster Financial Corp. | 2,972 | 106,695 | ||||||
WesBanco, Inc. | 352 | 10,458 | ||||||
Western Alliance Bancorp † | 4,989 | 166,533 | ||||||
Wintrust Financial Corp. | 1,032 | 45,759 | ||||||
WisdomTree Investments, Inc. | 692 | 7,910 | ||||||
|
| |||||||
7,255,656 | ||||||||
|
| |||||||
Health Care - 17.0% | ||||||||
Abaxis, Inc. | 657 | 29,821 | ||||||
ABIOMED, Inc. † | 1,953 | 185,164 | ||||||
Accelerate Diagnostics, Inc. †(a) | 1,539 | 22,115 | ||||||
Acceleron Pharma, Inc. † | 337 | 8,893 | ||||||
Aceto Corp. | 1,044 | 24,597 | ||||||
Adamas Pharmaceuticals, Inc. † | 757 | 10,946 | ||||||
Addus HomeCare Corp. † | 1,246 | 21,419 | ||||||
Adeptus Health, Inc., Class A †(a) | 932 | 51,763 | ||||||
Advaxis, Inc. †(a) | 1,908 | 17,229 | ||||||
Aerie Pharmaceuticals, Inc. †(a) | 811 | 9,862 | ||||||
Agenus, Inc. †(a) | 3,037 | 12,634 | ||||||
Air Methods Corp. † | 300 | 10,866 | ||||||
Albany Molecular Research, Inc. †(a) | 622 | 9,510 | ||||||
Alder Biopharmaceuticals, Inc. † | 1,821 | 44,596 | ||||||
Amedisys, Inc. † | 745 | 36,013 | ||||||
Amicus Therapeutics, Inc. †(a) | 3,379 | 28,553 | ||||||
AMN Healthcare Services, Inc. † | 1,210 | 40,668 | ||||||
Amphastar Pharmaceuticals, Inc. †(a) | 1,011 | 12,132 | ||||||
Amsurg Corp. † | 1,479 | 110,333 | ||||||
Anacor Pharmaceuticals, Inc. † | 1,479 | 79,053 | ||||||
Analogic Corp. | 156 | 12,326 | ||||||
ANI Pharmaceuticals, Inc. †(a) | 400 | 13,464 | ||||||
Anika Therapeutics, Inc. † | 794 | 35,508 | ||||||
Anthera Pharmaceuticals, Inc. †(a) | 3,751 | 13,579 | ||||||
ARIAD Pharmaceuticals, Inc. † | 3,176 | 20,295 | ||||||
AtriCure, Inc. † | 800 | 13,464 | ||||||
BioSpecifics Technologies Corp. † | 296 | 10,307 | ||||||
BioTelemetry, Inc. † | 1,700 | 19,856 | ||||||
Cambrex Corp. † | 1,200 | 52,800 | ||||||
Cantel Medical Corp. | 1,202 | 85,775 | ||||||
Cara Therapeutics, Inc. † | 1,902 | 11,830 | ||||||
Catalent, Inc. † | 844 | 22,509 | ||||||
Catalyst Pharmaceuticals, Inc. †(a) | 9,282 | 10,860 | ||||||
Cellular Biomedicine Group, Inc. † | 975 | 18,184 | ||||||
Cempra, Inc. †(a) | 662 | 11,598 | ||||||
Cerus Corp. †(a) | 3,201 | 18,982 | ||||||
Chemed Corp. | 500 | 67,725 | ||||||
Civitas Solutions, Inc. † | 958 | 16,698 | ||||||
Coherus Biosciences, Inc. †(a) | 650 | 13,800 | ||||||
Concert Pharmaceuticals, Inc. † | 1,751 | 23,919 | ||||||
CONMED Corp. | 500 | 20,970 | ||||||
Corcept Therapeutics, Inc. †(a) | 2,685 | 12,566 | ||||||
CorVel Corp. † | 404 | 15,926 | ||||||
Cross Country Healthcare, Inc. † | 1,400 | 16,282 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
73
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Health Care - 17.0% (continued) | ||||||||
CTI BioPharma Corp. † | 3,700 | $ | 1,966 | |||||
Cynosure, Inc., Class A † | 663 | 29,252 | ||||||
Dermira, Inc. † | 1,221 | 25,250 | ||||||
Diplomat Pharmacy, Inc. † | 946 | 25,920 | ||||||
Dynavax Technologies Corp. † | 1,030 | 19,817 | ||||||
Eagle Pharmaceuticals, Inc. †(a) | 977 | 39,569 | ||||||
Emergent BioSolutions, Inc. † | 500 | 18,175 | ||||||
Ensign Group, Inc. (The) | 2,000 | 45,280 | ||||||
ExamWorks Group, Inc. † | 751 | 22,200 | ||||||
Exelixis, Inc. †(a) | 4,711 | 18,844 | ||||||
Five Prime Therapeutics, Inc. † | 1,269 | 51,559 | ||||||
GenMark Diagnostics, Inc. † | 1,549 | 8,163 | ||||||
Genomic Health, Inc. † | 455 | 11,270 | ||||||
Geron Corp. †(a) | 3,240 | 9,461 | ||||||
Globus Medical, Inc., Class A † | 1,783 | 42,346 | ||||||
Greatbatch, Inc. † | 400 | 14,256 | ||||||
Halozyme Therapeutics, Inc. †(a) | 1,476 | 13,978 | ||||||
HealthEquity, Inc. † | 1,812 | 44,702 | ||||||
HealthStream, Inc. † | 397 | 8,770 | ||||||
Healthways, Inc. † | 1,200 | 12,108 | ||||||
Heska Corp. † | 1,128 | 32,148 | ||||||
ICU Medical, Inc. † | 559 | 58,192 | ||||||
Ignyta, Inc. † | 2,127 | 14,400 | ||||||
ImmunoGen, Inc. †(a) | 1,324 | 11,280 | ||||||
Impax Laboratories, Inc. † | 1,600 | 51,232 | ||||||
INC Research Holdings, Inc., Class A † | 2,022 | 83,327 | ||||||
Inogen, Inc. † | 1,479 | 66,525 | ||||||
Insmed, Inc. †(a) | 1,900 | 24,073 | ||||||
Insys Therapeutics, Inc. †(a) | 836 | 13,368 | ||||||
Integra LifeSciences Holdings Corp. † | 853 | 57,458 | ||||||
Intersect ENT, Inc. † | 648 | 12,312 | ||||||
Intra-Cellular Therapies, Inc. † | 1,834 | 50,985 | ||||||
iRadimed Corp. † | 1,697 | 32,515 | ||||||
K2M Group Holdings, Inc. † | 1,170 | 17,351 | ||||||
Kite Pharma, Inc. †(a) | 201 | 9,228 | ||||||
LDR Holding Corp. † | 821 | 20,927 | ||||||
Lexicon Pharmaceuticals, Inc. †(a) | 1,198 | 14,316 | ||||||
LHC Group, Inc. † | 287 | 10,206 | ||||||
Ligand Pharmaceuticals, Inc. †(a) | 661 | 70,787 | ||||||
Lion Biotechnologies, Inc. † | 1,693 | 8,600 | ||||||
LivaNova plc (United Kingdom) † | 400 | 21,592 | ||||||
Loxo Oncology, Inc. † | 959 | 26,219 | ||||||
Masimo Corp. † | 819 | 34,267 | ||||||
Medicines Co. (The) †(a) | 1,499 | 47,623 | ||||||
Medidata Solutions, Inc. † | 471 | 18,232 | ||||||
Merit Medical Systems, Inc. † | 612 | 11,316 | ||||||
Merrimack Pharmaceuticals, Inc. †(a) | 1,284 | 10,747 | ||||||
MiMedx Group, Inc. †(a) | 2,791 | 24,393 | ||||||
Mirati Therapeutics, Inc. † | 836 | 17,890 | ||||||
Molina Healthcare, Inc. † | 800 | 51,592 | ||||||
Momenta Pharmaceuticals, Inc. † | 1,517 | 14,017 | ||||||
Myriad Genetics, Inc. † | 1,348 | 50,456 | ||||||
Nanosphere, Inc. † | 99 | 78 | ||||||
Natus Medical, Inc. † | 1,478 | 56,800 | ||||||
Nektar Therapeutics † | 909 | 12,499 | ||||||
Neogen Corp. † | 480 | 24,168 | ||||||
NeoGenomics, Inc. † | 1,733 | 11,680 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 17.0% (continued) | ||||||||
Neurocrine Biosciences, Inc. † | 2,272 | $ | 89,858 | |||||
Nevro Corp. †(a) | 1,397 | 78,595 | ||||||
NewLink Genetics Corp. † | 526 | 9,573 | ||||||
Novavax, Inc. †(a) | 3,002 | 15,490 | ||||||
NuVasive, Inc. † | 896 | 43,590 | ||||||
Nuvectra Corp. † | 133 | 721 | ||||||
NxStage Medical, Inc. † | 1,351 | 20,252 | ||||||
Omeros Corp. †(a) | 1,286 | 19,727 | ||||||
Omnicell, Inc. † | 1,035 | 28,845 | ||||||
Ophthotech Corp. † | 665 | 28,110 | ||||||
Organovo Holdings, Inc. †(a) | 2,400 | 5,208 | ||||||
Owens & Minor, Inc. | 530 | 21,423 | ||||||
Pacific Biosciences of California, Inc. † | 1,024 | 8,704 | ||||||
PAREXEL International Corp. † | 228 | 14,302 | ||||||
Peregrine Pharmaceuticals, Inc. † | 9,591 | 4,033 | ||||||
PharMerica Corp. † | 900 | 19,899 | ||||||
Phibro Animal Health Corp., Class A | 1,158 | 31,312 | ||||||
Portola Pharmaceuticals, Inc. † | 1,724 | 35,170 | ||||||
PRA Health Sciences, Inc. † | 2,013 | 86,076 | ||||||
Prestige Brands Holdings, Inc. † | 1,126 | 60,117 | ||||||
Progenics Pharmaceuticals, Inc. †(a) | 3,435 | 14,977 | ||||||
Prothena Corp. plc (Ireland) †(a) | 1,158 | 47,663 | ||||||
Providence Service Corp. (The) † | 400 | 20,428 | ||||||
Radius Health, Inc. † | 875 | 27,510 | ||||||
RadNet, Inc. † | 2,500 | 12,075 | ||||||
Repligen Corp. † | 1,200 | 32,184 | ||||||
Retrophin, Inc. † | 1,553 | 21,214 | ||||||
Revance Therapeutics, Inc. †(a) | 869 | 15,173 | ||||||
Rockwell Medical, Inc. †(a) | 1,724 | 12,947 | ||||||
RTI Surgical, Inc. † | 2,746 | 10,984 | ||||||
Sage Therapeutics, Inc. † | 445 | 14,267 | ||||||
Sarepta Therapeutics, Inc. †(a) | 1,214 | 23,697 | ||||||
Select Medical Holdings Corp. † | 2,344 | 27,683 | ||||||
Spectranetics Corp. (The) †(a) | 1,257 | 18,252 | ||||||
STERIS plc (United Kingdom) | 2,551 | 181,249 | ||||||
Sucampo Pharmaceuticals, Inc., Class A † | 1,836 | 20,067 | ||||||
Supernus Pharmaceuticals, Inc. † | 2,382 | 36,326 | ||||||
Surgical Care Affiliates, Inc. † | 1,009 | 46,697 | ||||||
Synergy Pharmaceuticals, Inc. † | 2,921 | 8,062 | ||||||
Teligent, Inc. †(a) | 3,732 | 18,287 | ||||||
TESARO, Inc. †(a) | 806 | 35,488 | ||||||
TherapeuticsMD, Inc. †(a) | 5,351 | 34,246 | ||||||
Trevena, Inc. † | 1,935 | 16,002 | ||||||
Ultragenyx Pharmaceutical, Inc. † | 1,252 | 79,264 | ||||||
US Physical Therapy, Inc. | 280 | 13,924 | ||||||
Vascular Solutions, Inc. † | 769 | 25,016 | ||||||
Vocera Communications, Inc. † | 901 | 11,488 | ||||||
WellCare Health Plans, Inc. † | 522 | 48,416 | ||||||
West Pharmaceutical Services, Inc. | 2,048 | 141,967 | ||||||
Xencor, Inc. † | 1,298 | 17,419 | ||||||
XenoPort, Inc. † | 1,877 | 8,465 | ||||||
Zeltiq Aesthetics, Inc. †(a) | 2,063 | 56,031 | ||||||
ZIOPHARM Oncology, Inc. †(a) | 1,896 | 14,068 | ||||||
|
| |||||||
4,613,616 | ||||||||
|
| |||||||
Industrials - 7.3% | ||||||||
AAON, Inc. | 1,050 | 29,400 | ||||||
AAR Corp. | 688 | 16,010 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
74
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Industrials - 7.3% (continued) | ||||||||
Advanced Drainage Systems, Inc. | 848 | $ | 18,062 | |||||
Aerojet Rocketdyne Holdings, Inc. † | 588 | 9,631 | ||||||
Air Transport Services Group, Inc. † | 1,277 | 19,640 | ||||||
Aircastle Ltd. | 1,474 | 32,782 | ||||||
Albany International Corp., Class A | 329 | 12,367 | ||||||
Allegiant Travel Co. | 705 | 125,532 | ||||||
Allied Motion Technologies, Inc. | 729 | 13,122 | ||||||
American Woodmark Corp. † | 564 | 42,069 | ||||||
Apogee Enterprises, Inc. | 791 | 34,717 | ||||||
ArcBest Corp. | 599 | 12,932 | ||||||
Argan, Inc. | 730 | 25,667 | ||||||
Astronics Corp. † | 515 | 19,647 | ||||||
Atlas Air Worldwide Holdings, Inc. † | 400 | 16,908 | ||||||
Beacon Roofing Supply, Inc. † | 1,573 | 64,509 | ||||||
Builders FirstSource, Inc. † | 1,831 | 20,635 | ||||||
CEB, Inc. | 456 | 29,517 | ||||||
Comfort Systems USA, Inc. | 727 | 23,097 | ||||||
Continental Building Products, Inc. † | 1,526 | 28,323 | ||||||
Covenant Transportation Group, Inc., Class A † | 1,000 | 24,190 | ||||||
Curtiss-Wright Corp. | 182 | 13,772 | ||||||
Deluxe Corp. | 267 | 16,685 | ||||||
Douglas Dynamics, Inc. | 715 | 16,381 | ||||||
Dycom Industries, Inc. †(a) | 1,337 | 86,464 | ||||||
Echo Global Logistics, Inc. † | 1,533 | 41,636 | ||||||
EnerSys | 213 | 11,868 | ||||||
EnPro Industries, Inc. | 400 | 23,072 | ||||||
Exponent, Inc. | 576 | 29,382 | ||||||
Federal Signal Corp. | 2,000 | 26,520 | ||||||
G&K Services, Inc., Class A | 400 | 29,300 | ||||||
Gibraltar Industries, Inc. † | 704 | 20,134 | ||||||
Global Brass & Copper Holdings, Inc. | 1,356 | 33,832 | ||||||
Hawaiian Holdings, Inc. † | 1,800 | 84,942 | ||||||
HC2 Holdings, Inc. †(a) | 962 | 3,675 | ||||||
Healthcare Services Group, Inc. | 518 | 19,068 | ||||||
Heartland Express, Inc. (a) | 2,500 | 46,375 | ||||||
HNI Corp. | 700 | 27,419 | ||||||
Hub Group, Inc., Class A † | 700 | 28,553 | ||||||
Huron Consulting Group, Inc. † | 402 | 23,392 | ||||||
Hyster-Yale Materials Handling, Inc. | 348 | 23,177 | ||||||
Insperity, Inc. | 534 | 27,624 | ||||||
Interface, Inc. | 687 | 12,737 | ||||||
John Bean Technologies Corp. | 400 | 22,564 | ||||||
Kforce, Inc. | 539 | 10,554 | ||||||
Kimball International, Inc., Class B | 1,371 | 15,561 | ||||||
Knight Transportation, Inc. | 1,521 | 39,774 | ||||||
Korn | 1,020 | 28,856 | ||||||
Lydall, Inc. † | 699 | 22,731 | ||||||
Marten Transport Ltd. | 800 | 14,976 | ||||||
Masonite International Corp. † | 988 | 64,714 | ||||||
Mobile Mini, Inc. | 427 | 14,100 | ||||||
Mueller Industries, Inc. | 332 | 9,767 | ||||||
Multi-Color Corp. | 444 | 23,687 | ||||||
NN, Inc. | 927 | 12,681 | ||||||
Nortek, Inc. † | 191 | 9,223 | ||||||
NV5 Global, Inc. †(a) | 842 | 22,591 | ||||||
On Assignment, Inc. † | 635 | 23,444 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 7.3% (continued) | ||||||||
Park-Ohio Holdings Corp. | 324 | $ | 13,874 | |||||
Patrick Industries, Inc. † | 1,776 | 80,613 | ||||||
PGT, Inc. † | 881 | 8,669 | ||||||
Plug Power, Inc. †(a) | 4,900 | 10,045 | ||||||
Ply Gem Holdings, Inc. † | 822 | 11,549 | ||||||
RBC Bearings, Inc. † | 181 | 13,260 | ||||||
Saia, Inc. † | 643 | 18,100 | ||||||
Standex International Corp. | 200 | 15,562 | ||||||
Steelcase, Inc., Class A | 1,047 | 15,621 | ||||||
TASER International, Inc. †(a) | 1,681 | 32,998 | ||||||
Tennant Co. | 497 | 25,586 | ||||||
Trex Co., Inc. † | 402 | 19,268 | ||||||
UniFirst Corp. | 100 | 10,912 | ||||||
US Ecology, Inc. | 349 | 15,412 | ||||||
WageWorks, Inc. † | 382 | 19,333 | ||||||
Werner Enterprises, Inc. | 1,200 | 32,592 | ||||||
West Corp. | 1,102 | 25,148 | ||||||
|
| |||||||
1,968,530 | ||||||||
|
| |||||||
Information Technology - 17.8% | ||||||||
ACI Worldwide, Inc. † | 1,294 | 26,902 | ||||||
Advanced Energy Industries, Inc. † | 716 | 24,910 | ||||||
Alliance Fiber Optic Products, Inc. † | 1,541 | 22,791 | ||||||
Ambarella, Inc. †(a) | 251 | 11,220 | ||||||
Applied Optoelectronics, Inc. † | 846 | 12,614 | ||||||
Aspen Technology, Inc. † | 1,283 | 46,355 | ||||||
Axcelis Technologies, Inc. † | 7,009 | 19,625 | ||||||
Benefitfocus, Inc. †(a) | 344 | 11,472 | ||||||
Blackbaud, Inc. | 923 | 58,047 | ||||||
Blackhawk Network Holdings, Inc. † | 2,603 | 89,283 | ||||||
BroadSoft, Inc. † | 998 | 40,269 | ||||||
Cabot Microelectronics Corp. | 300 | 12,273 | ||||||
CACI International, Inc., Class A † | 241 | 25,715 | ||||||
Callidus Software, Inc. † | 2,014 | 33,594 | ||||||
Cardtronics, Inc. † | 345 | 12,417 | ||||||
Cavium, Inc. † | 1,189 | 72,719 | ||||||
Ciena Corp. † | 1,152 | 21,911 | ||||||
Cimpress NV (Netherlands) † | 305 | 27,660 | ||||||
Cirrus Logic, Inc. † | 1,532 | 55,780 | ||||||
Coherent, Inc. † | 281 | 25,824 | ||||||
comScore, Inc. † | 658 | 19,766 | ||||||
Convergys Corp. | 644 | 17,884 | ||||||
Cray, Inc. † | 1,006 | 42,161 | ||||||
CSG Systems International, Inc. | 958 | 43,263 | ||||||
CTS Corp. | 722 | 11,364 | ||||||
Cvent, Inc. † | 383 | 8,196 | ||||||
Diebold, Inc. | 339 | 9,800 | ||||||
Diodes, Inc. † | 696 | 13,990 | ||||||
EarthLink Holdings Corp. | 3,871 | 21,949 | ||||||
Ebix, Inc. (a) | 1,032 | 42,095 | ||||||
Electronics For Imaging, Inc. † | 983 | 41,669 | ||||||
Ellie Mae, Inc. † | 1,709 | 154,904 | ||||||
Endurance International Group Holdings, Inc. †(a) | 1,281 | 13,489 | ||||||
Entegris, Inc. † | 1,000 | 13,620 | ||||||
EPAM Systems, Inc. † | 1,851 | 138,214 | ||||||
ePlus, Inc. † | 336 | 27,051 | ||||||
Euronet Worldwide, Inc. † | 1,869 | 138,512 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
75
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 17.8% (continued) | ||||||||
ExlService Holdings, Inc. † | 709 | $ | 36,726 | |||||
Fabrinet (Thailand) † | 1,664 | 53,830 | ||||||
Fair Isaac Corp. | 683 | 72,459 | ||||||
Five9, Inc. † | 1,814 | 16,126 | ||||||
Fleetmatics Group plc (Ireland) † | 1,808 | 73,604 | ||||||
Gigamon, Inc. † | 1,325 | 41,101 | ||||||
Glu Mobile, Inc. †(a) | 5,554 | 15,662 | ||||||
Gogo, Inc. †(a) | 1,149 | 12,650 | ||||||
GTT Communications, Inc. † | 1,035 | 17,119 | ||||||
Guidewire Software, Inc. † | 1,441 | 78,506 | ||||||
Hackett Group, Inc. (The) | 565 | 8,543 | ||||||
HubSpot, Inc. † | 891 | 38,865 | ||||||
Immersion Corp. † | 1,473 | 12,167 | ||||||
Imperva, Inc. † | 1,215 | 61,358 | ||||||
Infinera Corp. † | 3,609 | 57,961 | ||||||
Infoblox, Inc. † | 986 | 16,861 | ||||||
Inphi Corp. † | 1,646 | 54,878 | ||||||
Insight Enterprises, Inc. † | 700 | 20,048 | ||||||
Integrated Device Technology, Inc. † | 4,292 | 87,728 | ||||||
InterDigital, Inc. | 800 | 44,520 | ||||||
Intersil Corp., Class A | 2,200 | 29,414 | ||||||
Intralinks Holdings, Inc. † | 1,674 | 13,191 | ||||||
j2 Global, Inc. | 1,431 | 88,121 | ||||||
Littelfuse, Inc. | 300 | 36,933 | ||||||
LogMeIn, Inc. † | 1,245 | 62,823 | ||||||
Luxoft Holding, Inc. (Switzerland) † | 1,486 | 81,775 | ||||||
M/A-COM Technology Solutions Holdings, Inc. † | 1,968 | 86,179 | ||||||
Manhattan Associates, Inc. † | 2,703 | 153,720 | ||||||
MAXIMUS, Inc. | 1,347 | 70,906 | ||||||
MaxLinear, Inc., Class A † | 2,200 | 40,700 | ||||||
Mentor Graphics Corp. | 559 | 11,364 | ||||||
Mesa Laboratories, Inc. (a) | 230 | 22,161 | ||||||
Methode Electronics, Inc. | 887 | 25,936 | ||||||
Microsemi Corp. † | 1,605 | 61,488 | ||||||
MicroStrategy, Inc., Class A † | 200 | 35,944 | ||||||
MKS Instruments, Inc. | 500 | 18,825 | ||||||
Monolithic Power Systems, Inc. | 1,143 | 72,741 | ||||||
Monotype Imaging Holdings, Inc. | 488 | 11,673 | ||||||
NeoPhotonics Corp. † | 2,298 | 32,264 | ||||||
NIC, Inc. | 611 | 11,016 | ||||||
Oclaro, Inc. † | 1,863 | 10,060 | ||||||
OSI Systems, Inc. † | 393 | 25,738 | ||||||
Paycom Software, Inc. †(a) | 2,459 | 87,540 | ||||||
Paylocity Holding Corp. † | 1,415 | 46,327 | ||||||
Perficient, Inc. † | 546 | 11,859 | ||||||
PFSweb, Inc. † | 1,190 | 15,613 | ||||||
Photronics, Inc. † | 1,352 | 14,074 | ||||||
Plantronics, Inc. | 393 | 15,402 | ||||||
Plexus Corp. † | 600 | 23,712 | ||||||
Power Integrations, Inc. | 424 | 21,056 | ||||||
Proofpoint, Inc. †(a) | 1,447 | 77,820 | ||||||
Q2 Holdings, Inc. † | 1,367 | 32,863 | ||||||
QAD, Inc., Class A | 564 | 11,985 | ||||||
QLogic Corp. † | 1,610 | 21,638 | ||||||
Qualys, Inc. † | 1,065 | 26,955 | ||||||
Rambus, Inc. † | 3,205 | 44,069 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 17.8% (continued) | ||||||||
RingCentral, Inc., Class A † | 2,161 | $ | 34,036 | |||||
Rogers Corp. † | 300 | 17,961 | ||||||
Rubicon Project, Inc. (The) † | 1,493 | 27,292 | ||||||
Ruckus Wireless, Inc. † | 1,132 | 11,105 | ||||||
Sanmina Corp. † | 1,891 | 44,212 | ||||||
ServiceSource International, Inc. † | 2,114 | 9,006 | ||||||
Sigma Designs, Inc. † | 1,966 | 13,369 | ||||||
Silver Spring Networks, Inc. † | 604 | 8,909 | ||||||
SPS Commerce, Inc. † | 593 | 25,463 | ||||||
Stamps.com, Inc. † | 678 | 72,058 | ||||||
Super Micro Computer, Inc. † | 1,027 | 35,000 | ||||||
Sykes Enterprises, Inc. † | 541 | 16,327 | ||||||
Synaptics, Inc. † | 513 | 40,907 | ||||||
Synchronoss Technologies, Inc. † | 968 | 31,305 | ||||||
SYNNEX Corp. | 932 | 86,294 | ||||||
Take-Two Interactive Software, Inc. † | 2,243 | 84,494 | ||||||
Tech Data Corp. † | 740 | 56,810 | ||||||
Telenav, Inc. † | 1,979 | 11,676 | ||||||
Tessera Technologies, Inc. | 1,800 | 55,800 | ||||||
Textura Corp. †(a) | 640 | 11,923 | ||||||
TTM Technologies, Inc. † | 1,385 | 9,210 | ||||||
TubeMogul, Inc. † | 807 | 10,443 | ||||||
Tyler Technologies, Inc. † | 1,250 | 160,763 | ||||||
Ubiquiti Networks, Inc. †(a) | 1,364 | 45,380 | ||||||
Universal Display Corp. † | 1,554 | 84,071 | ||||||
VASCO Data Security International, Inc. † | 1,100 | 16,940 | ||||||
Verint Systems, Inc. † | 900 | 30,042 | ||||||
VirnetX Holding Corp. †(a) | 80 | 367 | ||||||
Virtusa Corp. † | 479 | 17,943 | ||||||
WebMD Health Corp. † | 763 | 47,787 | ||||||
Xcerra Corp. † | 1,800 | 11,736 | ||||||
Zendesk, Inc. †(a) | 1,501 | 31,416 | ||||||
|
| |||||||
4,843,950 | ||||||||
|
| |||||||
Materials - 2.2% | ||||||||
A Schulman, Inc. | 500 | 13,610 | ||||||
Berry Plastics Group, Inc. † | 3,471 | 125,477 | ||||||
Calgon Carbon Corp. | 582 | 8,160 | ||||||
Chemtura Corp. † | 734 | 19,378 | ||||||
Clearwater Paper Corp. † | 200 | 9,702 | ||||||
Ferro Corp. † | 2,400 | 28,488 | ||||||
FutureFuel Corp. | 1,187 | 13,995 | ||||||
Headwaters, Inc. † | 2,139 | 42,438 | ||||||
Innophos Holdings, Inc. | 300 | 9,273 | ||||||
Innospec, Inc. | 332 | 14,395 | ||||||
Kaiser Aluminum Corp. | 591 | 49,963 | ||||||
Minerals Technologies, Inc. | 500 | 28,425 | ||||||
PH Glatfelter Co. | 528 | 10,945 | ||||||
Sensient Technologies Corp. | 1,100 | 69,806 | ||||||
Trinseo SA † | 1,721 | 63,350 | ||||||
US Concrete, Inc. † | 1,392 | 82,935 | ||||||
|
| |||||||
590,340 | ||||||||
|
| |||||||
Telecommunication Services - 0.9% | ||||||||
8x8, Inc. † | 2,174 | 21,870 | ||||||
Atlantic Tele-Network, Inc. | 181 | 13,725 | ||||||
Boingo Wireless, Inc. † | 1,931 | 14,907 | ||||||
Cogent Communications Holdings, Inc. | 519 | 20,257 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
76
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Telecommunication Services - 0.9% (continued) | ||||||||
Consolidated Communications Holdings, Inc. | 1,600 | $ | 41,216 | |||||
Globalstar, Inc. †(a) | 6,697 | 9,845 | ||||||
IDT Corp., Class B | 755 | 11,770 | ||||||
Inteliquent, Inc. | 1,436 | 23,048 | ||||||
Iridium Communications, Inc. †(a) | 2,656 | 20,903 | ||||||
Lumos Networks Corp. † | 1,202 | 15,434 | ||||||
Shenandoah Telecommunications Co. | 412 | 11,021 | ||||||
Straight Path Communications, Inc., Class B †(a) | 1,332 | 41,332 | ||||||
Vonage Holdings Corp. † | 2,700 | 12,339 | ||||||
|
| |||||||
257,667 | ||||||||
|
| |||||||
Utilities - 5.9% | ||||||||
American States Water Co. | 700 | 27,552 | ||||||
Avista Corp. | 2,659 | 108,434 | ||||||
Black Hills Corp. | 531 | 31,929 | ||||||
Chesapeake Utilities Corp. | 933 | 58,751 | ||||||
Cleco Corp. | 663 | 36,604 | ||||||
El Paso Electric Co. | 1,222 | 56,065 | ||||||
IDACORP, Inc. | 1,623 | 121,060 | ||||||
Laclede Group, Inc. (The) | 2,096 | 142,004 | ||||||
MGE Energy, Inc. | 852 | 44,517 | ||||||
New Jersey Resources Corp. | 1,565 | 57,013 | ||||||
Northwest Natural Gas Co. | 500 | 26,925 | ||||||
NorthWestern Corp. | 1,790 | 110,533 | ||||||
ONE Gas, Inc. | 4,873 | 297,740 | ||||||
PNM Resources, Inc. | 3,264 | 110,062 | ||||||
Portland General Electric Co. | 2,116 | 83,561 | ||||||
Southwest Gas Corp. | 791 | 52,087 | ||||||
Spark Energy, Inc., Class A | 1,392 | 25,056 | ||||||
Unitil Corp. | 432 | 18,356 | ||||||
WGL Holdings, Inc. | 2,606 | 188,596 | ||||||
|
| |||||||
1,596,845 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 26,360,261 | |||||||
|
| |||||||
EXCHANGE TRADED FUND - 1.6% | ||||||||
iShares Russell 2000 Fund (a) | ||||||||
(cost $411,913) | 4,130 | 456,860 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 11.6% | ||||||||
Money Market Funds - 11.6% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
Dreyfus Treasury Cash Management, 0.180% (2)(b)(c) | ||||||||
(cost $3,135,733) | 3,135,733 | 3,135,733 | ||||||
|
|
SHORT-TERM INVESTMENT - 1.3% | SHARES | VALUE (Note 4) | ||||||
Investment Company - 1.3% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (2)(b) (cost $348,488) | 348,488 | $ | 348,488 | |||||
|
| |||||||
TOTAL INVESTMENTS IN | 30,301,342 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (11.6%) | (3,152,834) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 27,148,508 | ||||||
|
|
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 $3,091,751; cash collateral of $3,135,733 was received with which the Fund purchased a money market fund. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
(c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
77
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
COMMON STOCKS - 97.3% | SHARES | VALUE (Note 4) | ||||||
Australia - 4.4% | ||||||||
AGL Energy Ltd. | 13,172 | $ | 185,452 | |||||
Amcor Ltd. | 28,362 | 311,445 | ||||||
Australia & New Zealand Banking Group Ltd. | 2,199 | 39,420 | ||||||
Brambles Ltd. | 11,872 | 109,985 | ||||||
Caltex Australia Ltd. | 5,724 | 149,289 | ||||||
Commonwealth Bank of Australia | 2,893 | 165,853 | ||||||
Crown Resorts Ltd. | 11,649 | 111,141 | ||||||
CSL Ltd. | 7,546 | 586,410 | ||||||
GPT Group (The) REIT | 21,966 | 84,092 | ||||||
Insurance Australia Group Ltd. | 28,183 | 120,367 | ||||||
Medibank Pvt Ltd. | 19,030 | 42,681 | ||||||
Newcrest Mining Ltd. † | 4,852 | 62,790 | ||||||
Qantas Airways Ltd. † | 35,049 | 109,400 | ||||||
Ramsay Health Care Ltd. | 11,496 | 539,766 | ||||||
Scentre Group REIT | 149,591 | 509,209 | ||||||
Suncorp Group Ltd. | 11,005 | 100,405 | ||||||
Telstra Corp. Ltd. | 92,756 | 378,535 | ||||||
Treasury Wine Estates Ltd. | 27,882 | 205,880 | ||||||
|
| |||||||
3,812,120 | ||||||||
|
| |||||||
Austria - 0.4% | ||||||||
ANDRITZ AG † | 2,003 | 109,732 | ||||||
OMV AG | 6,031 | 169,340 | ||||||
voestalpine AG | 1,869 | 62,338 | ||||||
|
| |||||||
341,410 | ||||||||
|
| |||||||
Belgium - 3.3% | ||||||||
Ageas | 9,048 | 358,087 | ||||||
Anheuser-Busch InBev SA/NV | 12,109 | 1,504,384 | ||||||
Colruyt SA | 2,357 | 137,070 | ||||||
KBC Groep NV | 7,720 | 397,562 | ||||||
Proximus | 5,258 | 179,426 | ||||||
UCB SA | 4,323 | 329,997 | ||||||
|
| |||||||
2,906,526 | ||||||||
|
| |||||||
Canada - 7.3% | ||||||||
Agnico Eagle Mines Ltd. (1) | 2,662 | 96,314 | ||||||
Alimentation Couche-Tard, Inc., Class B (1) | 18,478 | 822,351 | ||||||
Bank of Montreal (1) | 1,900 | 115,382 | ||||||
Barrick Gold Corp. (1) | 4,982 | 67,667 | ||||||
BCE, Inc. (1) | 18,489 | 842,629 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 6,648 | 231,215 | ||||||
Canadian Imperial Bank of Commerce (1) | 1,328 | 99,205 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 1,212 | 126,160 | ||||||
CCL Industries, Inc., Class B (1) | 935 | 177,461 | ||||||
CGI Group, Inc., Class A (1)† | 3,779 | 180,606 | ||||||
CI Financial Corp. (1) | 9,647 | 213,181 | ||||||
Constellation Software, Inc. (1) | 829 | 339,445 | ||||||
Dollarama, Inc. (1) | 6,491 | 456,757 | ||||||
Fortis, Inc. (1) | 2,788 | 87,391 | ||||||
Franco-Nevada Corp. (1) | 3,856 | 236,808 | ||||||
Gildan Activewear, Inc. (1) | 7,380 | 225,023 | ||||||
Imperial Oil Ltd. (1) | 5,384 | 179,874 | ||||||
Jean Coutu Group PJC, Inc. (The), Class A (1) | 3,300 | 55,951 | ||||||
Keyera Corp. (1) | 5,174 | 157,043 | ||||||
Loblaw Cos. Ltd. (1) | 4,881 | 273,298 | ||||||
Metro, Inc. (1) | 8,833 | 306,460 |
SHARES | VALUE (Note 4) | |||||||
Canada - 7.3% (continued) | ||||||||
Onex Corp. (1) | 1,692 | $ | 103,129 | |||||
Open Text Corp. (1) | 854 | 44,240 | ||||||
Restaurant Brands International, Inc. (1) | 720 | 27,963 | ||||||
Rogers Communications, Inc., Class B (1) | 11,480 | 459,642 | ||||||
Saputo, Inc. (1) | 2,068 | 66,303 | ||||||
Sun Life Financial, Inc. (1) | 5,333 | 172,052 | ||||||
Suncor Energy, Inc. (1) | 6,615 | 184,227 | ||||||
|
| |||||||
6,347,777 | ||||||||
|
| |||||||
Denmark - 3.9% | ||||||||
Chr Hansen Holding A/S | 1,811 | 121,448 | ||||||
Coloplast A/S, Class B | 5,113 | 386,916 | ||||||
Danske Bank A/S | 8,208 | 231,634 | ||||||
ISS A/S | 1,764 | 70,748 | ||||||
Novo Nordisk A/S, Class B | 27,389 | 1,483,213 | ||||||
Pandora A/S | 3,495 | 456,929 | ||||||
Tryg A/S | 11,965 | 231,723 | ||||||
Vestas Wind Systems A/S | 5,029 | 354,342 | ||||||
William Demant Holding A/S † | 793 | 79,649 | ||||||
|
| |||||||
3,416,602 | ||||||||
|
| |||||||
Finland - 1.1% | ||||||||
Kone OYJ, Class B | 885 | 42,596 | ||||||
Neste OYJ | 9,546 | 313,702 | ||||||
Nokia OYJ | 32,155 | 190,751 | ||||||
Sampo OYJ, Class A | 8,956 | 424,196 | ||||||
|
| |||||||
971,245 | ||||||||
|
| |||||||
France - 6.1% | ||||||||
Accor SA | 917 | 38,790 | ||||||
Airbus Group SE | 10,257 | 679,603 | ||||||
AXA SA | 15,660 | 367,207 | ||||||
Cap Gemini SA | 1,863 | 174,758 | ||||||
Credit Agricole SA | 3,215 | 34,767 | ||||||
Dassault Systemes | 2,145 | 169,952 | ||||||
Essilor International SA | 726 | 89,455 | ||||||
Hermes International | 304 | 106,893 | ||||||
Iliad SA | 718 | 184,472 | ||||||
JCDecaux SA | 894 | 39,128 | ||||||
L’Oreal SA | 1,023 | 183,001 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 1,666 | 284,680 | ||||||
Numericable-SFR SA | 3,839 | 161,228 | ||||||
Orange SA | 18,570 | 324,286 | ||||||
Peugeot SA † | 19,662 | 336,378 | ||||||
Renault SA | 3,068 | 304,890 | ||||||
Safran SA | 2,841 | 198,302 | ||||||
Sanofi | 811 | 65,201 | ||||||
TOTAL SA | 10,152 | 461,930 | ||||||
Unibail-Rodamco SE REIT | 2,987 | 819,200 | ||||||
Valeo SA | 1,866 | 290,160 | ||||||
|
| |||||||
5,314,281 | ||||||||
|
| |||||||
Germany - 8.2% | ||||||||
adidas AG | 4,640 | 541,770 | ||||||
Allianz SE | 5,884 | 955,592 | ||||||
Beiersdorf AG | 2,178 | 196,181 | ||||||
Brenntag AG | 1,417 | 80,745 | ||||||
Continental AG | 1,279 | 290,090 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
78
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Germany - 8.2% (continued) | ||||||||
Deutsche Boerse AG | 4,625 | $ | 393,791 | |||||
Deutsche Telekom AG | 46,030 | 825,241 | ||||||
Fresenius Medical Care AG & Co. KGaA | 4,229 | 373,108 | ||||||
GEA Group AG | 2,774 | 135,346 | ||||||
Hannover Rueck SE | 3,192 | 370,982 | ||||||
Infineon Technologies AG | 14,899 | 211,243 | ||||||
MAN SE | 932 | 100,793 | ||||||
Merck KGaA | 2,173 | 180,758 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 264 | 53,577 | ||||||
OSRAM Licht AG | 1,230 | 63,229 | ||||||
ProSiebenSat.1 Media SE | 4,809 | 246,869 | ||||||
SAP SE | 18,381 | 1,479,090 | ||||||
Symrise AG | 928 | 62,131 | ||||||
Telefonica Deutschland Holding AG | 8,887 | 48,041 | ||||||
United Internet AG | 3,833 | 192,045 | ||||||
Vonovia SE | 7,223 | 259,312 | ||||||
Zalando SE 144A †(a) | 3,246 | 106,421 | ||||||
|
| |||||||
7,166,355 | ||||||||
|
| |||||||
Hong Kong - 1.5% | ||||||||
AIA Group Ltd. | 26,200 | 148,921 | ||||||
BOC Hong Kong Holdings Ltd. | 89,500 | 267,358 | ||||||
Cathay Pacific Airways Ltd. | 44,000 | 76,208 | ||||||
Cheung Kong Property Holdings Ltd. | 7,000 | 45,110 | ||||||
CK Hutchison Holdings Ltd. | 7,000 | 90,944 | ||||||
CLP Holdings Ltd. | 8,000 | 72,411 | ||||||
Henderson Land Development Co. Ltd. | 16,500 | 101,462 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 3,200 | 77,108 | ||||||
Link REIT | 10,500 | 62,377 | ||||||
MTR Corp. Ltd. | 19,500 | 96,644 | ||||||
PCCW Ltd. | 75,000 | 48,578 | ||||||
Sun Hung Kai Properties Ltd. | 4,000 | 48,946 | ||||||
Wharf Holdings Ltd. (The) | 16,000 | 87,640 | ||||||
Wheelock & Co. Ltd. | 9,000 | 40,216 | ||||||
|
| |||||||
1,263,923 | ||||||||
|
| |||||||
Ireland - 0.4% | ||||||||
Experian plc | 1,929 | 34,432 | ||||||
Shire plc | 6,046 | 344,832 | ||||||
|
| |||||||
379,264 | ||||||||
|
| |||||||
Italy - 2.5% | ||||||||
Atlantia SpA | 3,173 | 87,915 | ||||||
Enel SpA | 9,323 | 41,331 | ||||||
Eni SpA | 36,371 | 549,300 | ||||||
Finmeccanica SpA † | 22,460 | 284,400 | ||||||
Intesa Sanpaolo SpA | 166,426 | 460,171 | ||||||
Luxottica Group SpA | 5,789 | 318,904 | ||||||
Mediobanca SpA | 10,729 | 77,158 | ||||||
Prysmian SpA | 2,292 | 51,857 | ||||||
Snam SpA | 36,381 | 227,673 | ||||||
Telecom Italia SpA † | 83,073 | 89,538 | ||||||
|
| |||||||
2,188,247 | ||||||||
|
| |||||||
Japan - 31.7% | ||||||||
Acom Co. Ltd. † | 32,200 | 162,130 | ||||||
Aeon Co. Ltd. | 16,300 | 235,470 |
SHARES | VALUE (Note 4) | |||||||
Japan - 31.7% (continued) | ||||||||
AEON Financial Service Co. Ltd. | 2,300 | $ | 54,147 | |||||
Aisin Seiki Co. Ltd. | 2,500 | 94,100 | ||||||
Ajinomoto Co., Inc. | 13,000 | 293,110 | ||||||
Alfresa Holdings Corp. | 3,400 | 65,253 | ||||||
Alps Electric Co. Ltd. | 1,700 | 29,663 | ||||||
ANA Holdings, Inc. | 42,000 | 118,299 | ||||||
Asics Corp. | 2,100 | 37,450 | ||||||
Astellas Pharma, Inc. | 10,400 | 138,211 | ||||||
Bank of Kyoto Ltd. (The) | 14,000 | 91,274 | ||||||
Bank of Yokohama Ltd. (The) | 19,000 | 85,486 | ||||||
Bridgestone Corp. | 2,800 | 104,504 | ||||||
Calbee, Inc. | 3,700 | 146,804 | ||||||
Casio Computer Co. Ltd. | 2,500 | 50,420 | ||||||
Central Japan Railway Co. | 3,700 | 654,350 | ||||||
Chubu Electric Power Co., Inc. | 15,300 | 213,517 | ||||||
Chugai Pharmaceutical Co. Ltd. | 4,700 | 145,434 | ||||||
Daicel Corp. | 3,400 | 46,347 | ||||||
Daiichi Sankyo Co. Ltd. | 11,500 | 255,244 | ||||||
Daikin Industries Ltd. | 1,500 | 112,027 | ||||||
Daito Trust Construction Co. Ltd. | 1,100 | 156,020 | ||||||
Daiwa House Industry Co. Ltd. | 12,900 | 362,597 | ||||||
Denso Corp. | 800 | 32,112 | ||||||
Dentsu, Inc. | 5,500 | 275,916 | ||||||
Don Quijote Holdings Co. Ltd. | 900 | 31,258 | ||||||
East Japan Railway Co. | 7,100 | 612,443 | ||||||
Eisai Co. Ltd. | 6,800 | 408,828 | ||||||
Electric Power Development Co. Ltd. | 1,300 | 40,555 | ||||||
FamilyMart Co. Ltd. | 800 | 41,548 | ||||||
FANUC Corp. | 200 | 30,974 | ||||||
Fast Retailing Co. Ltd. | 400 | 127,810 | ||||||
Fuji Heavy Industries Ltd. | 7,000 | 247,193 | ||||||
FUJIFILM Holdings Corp. | 6,400 | 252,975 | ||||||
Fujitsu Ltd. | 12,000 | 44,373 | ||||||
Fukuoka Financial Group, Inc. | 15,000 | 48,862 | ||||||
Hachijuni Bank Ltd. (The) | 18,000 | 77,545 | ||||||
Hino Motors Ltd. | 11,000 | 118,862 | ||||||
Hiroshima Bank Ltd. (The) | 17,000 | 62,029 | ||||||
Hokuhoku Financial Group, Inc. | 64,000 | 84,095 | ||||||
Hoshizaki Electric Co. Ltd. | 1,200 | 100,093 | ||||||
Hoya Corp. | 9,000 | 342,096 | ||||||
Idemitsu Kosan Co. Ltd. | 10,100 | 180,217 | ||||||
Iida Group Holdings Co. Ltd. | 6,600 | 128,540 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 6,500 | 75,885 | ||||||
J Front Retailing Co. Ltd. | 3,400 | 45,115 | ||||||
Japan Airlines Co. Ltd. | 11,900 | 436,254 | ||||||
Japan Airport Terminal Co. Ltd. | 3,700 | 131,318 | ||||||
Japan Prime Realty Investment Corp. REIT | 9 | 36,654 | ||||||
Japan Real Estate Investment Corp. REIT | 19 | 109,685 | ||||||
Japan Retail Fund Investment Corp. REIT | 35 | 84,033 | ||||||
Japan Tobacco, Inc. | 19,100 | 794,993 | ||||||
JTEKT Corp. | 11,400 | 147,931 | ||||||
JX Holdings, Inc. | 194,100 | 747,355 | ||||||
Kajima Corp. | 13,000 | 81,435 | ||||||
Kakaku.com, Inc. | 1,500 | 27,812 | ||||||
Kaneka Corp. | 4,000 | 34,251 | ||||||
Kansai Electric Power Co., Inc. (The) † | 8,300 | 73,437 | ||||||
Kao Corp. | 8,600 | 458,569 | ||||||
KDDI Corp. | 32,100 | 856,453 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
79
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 31.7% (continued) | ||||||||
Keihan Holdings Co. Ltd. | 13,000 | $ | 91,582 | |||||
Keisei Electric Railway Co. Ltd. | 8,000 | 112,549 | ||||||
Keyence Corp. | 700 | 381,760 | ||||||
Kikkoman Corp. | 4,000 | 131,306 | ||||||
Kintetsu Group Holdings Co. Ltd. | 9,000 | 36,474 | ||||||
Koito Manufacturing Co. Ltd. | 5,000 | 226,404 | ||||||
Konami Holdings Corp. | 2,600 | 76,841 | ||||||
Konica Minolta, Inc. | 5,700 | 48,345 | ||||||
Kose Corp. | 2,100 | 204,156 | ||||||
Kubota Corp. | 13,000 | 177,447 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 5,000 | 79,784 | ||||||
Kyushu Electric Power Co., Inc. † | 2,800 | 26,607 | ||||||
Lawson, Inc. | 2,000 | 167,421 | ||||||
M3, Inc. | 5,800 | 145,863 | ||||||
Mabuchi Motor Co. Ltd. | 3,400 | 158,183 | ||||||
Marui Group Co. Ltd. | 9,800 | 140,419 | ||||||
Medipal Holdings Corp. | 1,600 | 25,308 | ||||||
MEIJI Holdings Co. Ltd. | 4,400 | 353,578 | ||||||
Mitsubishi Chemical Holdings Corp. | 18,900 | 98,679 | ||||||
Mitsubishi Electric Corp. | 7,000 | 73,345 | ||||||
Mitsubishi Tanabe Pharma Corp. | 1,900 | 33,014 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 25,400 | 117,694 | ||||||
Mitsui Chemicals, Inc. | 10,000 | 33,286 | ||||||
Mixi, Inc. | 1,700 | 63,049 | ||||||
Mizuho Financial Group, Inc. | 207,400 | 309,085 | ||||||
MS&AD Insurance Group Holdings, Inc. | 10,400 | 289,861 | ||||||
Murata Manufacturing Co. Ltd. | 3,500 | 422,334 | ||||||
Nexon Co. Ltd. | 12,300 | 209,769 | ||||||
NGK Insulators Ltd. | 2,000 | 36,907 | ||||||
Nidec Corp. | 4,100 | 280,532 | ||||||
Nintendo Co. Ltd. | 2,200 | 312,726 | ||||||
Nippon Building Fund, Inc. REIT | 14 | 82,878 | ||||||
Nippon Paint Holdings Co. Ltd. | 2,900 | 64,145 | ||||||
Nippon Telegraph & Telephone Corp. | 24,100 | 1,041,060 | ||||||
Nissan Motor Co. Ltd. | 21,900 | 202,471 | ||||||
Nisshin Seifun Group, Inc. | 7,000 | 111,168 | ||||||
Nitori Holdings Co. Ltd. | 2,700 | 247,050 | ||||||
Nitto Denko Corp. | 2,900 | 161,598 | ||||||
Nomura Real Estate Master Fund, Inc. REIT | 54 | 80,385 | ||||||
Nomura Research Institute Ltd. | 2,400 | 80,825 | ||||||
NSK Ltd. | 5,900 | 54,002 | ||||||
NTT Data Corp. | 3,200 | 160,475 | ||||||
NTT DOCOMO, Inc. | 29,300 | 666,031 | ||||||
Obayashi Corp. | 18,300 | 180,377 | ||||||
Obic Co. Ltd. | 1,600 | 84,582 | ||||||
Olympus Corp. | 900 | 34,942 | ||||||
Omron Corp. | 900 | 26,768 | ||||||
Ono Pharmaceutical Co. Ltd. | 11,500 | 486,481 | ||||||
Oriental Land Co. Ltd. | 3,800 | 269,039 | ||||||
ORIX Corp. | 6,400 | 91,157 | ||||||
Otsuka Corp. | 2,200 | 116,053 | ||||||
Otsuka Holdings Co. Ltd. | 5,500 | 199,769 | ||||||
Park24 Co. Ltd. | 4,600 | 128,701 | ||||||
Rakuten, Inc. | 11,400 | 110,044 | ||||||
Rinnai Corp. | 800 | 70,671 | ||||||
Ryohin Keikaku Co. Ltd. | 1,100 | 232,398 | ||||||
Santen Pharmaceutical Co. Ltd. | 9,800 | 147,299 | ||||||
Secom Co. Ltd. | 3,700 | 274,551 |
SHARES | VALUE (Note 4) | |||||||
Japan - 31.7% (continued) | ||||||||
Seibu Holdings, Inc. | 5,100 | $ | 107,844 | |||||
Seiko Epson Corp. | 3,400 | 54,682 | ||||||
Sekisui House Ltd. | 9,200 | 155,218 | ||||||
Seven & i Holdings Co. Ltd. | 13,000 | 553,900 | ||||||
Shimadzu Corp. | 5,000 | 78,442 | ||||||
Shimamura Co. Ltd. | 300 | 37,449 | ||||||
Shimano, Inc. | 1,300 | 203,875 | ||||||
Shimizu Corp. | 12,000 | 101,633 | ||||||
Shin-Etsu Chemical Co. Ltd. | 1,000 | 51,648 | ||||||
Shionogi & Co. Ltd. | 7,500 | 352,509 | ||||||
Shiseido Co. Ltd. | 3,600 | 80,201 | ||||||
SMC Corp. | 300 | 69,518 | ||||||
Sohgo Security Services Co. Ltd. | 3,800 | 205,745 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 9,700 | 274,912 | ||||||
Sony Corp. | 2,700 | 69,420 | ||||||
Sumitomo Chemical Co. Ltd. | 33,000 | 149,371 | ||||||
Sumitomo Heavy Industries Ltd. | 7,000 | 28,893 | ||||||
Suntory Beverage & Food Ltd. | 2,600 | 116,966 | ||||||
Suruga Bank Ltd. | 11,000 | 193,034 | ||||||
Suzuken Co. Ltd. | 1,200 | 40,729 | ||||||
Suzuki Motor Corp. | 4,800 | 128,346 | ||||||
Sysmex Corp. | 4,300 | 268,818 | ||||||
Taisei Corp. | 11,000 | 72,640 | ||||||
Taiyo Nippon Sanso Corp. | 11,700 | 111,172 | ||||||
Takeda Pharmaceutical Co. Ltd. | 7,800 | 355,606 | ||||||
TDK Corp. | 1,300 | 72,132 | ||||||
Teijin Ltd. | 9,000 | 31,341 | ||||||
Terumo Corp. | 5,600 | 200,407 | ||||||
Toho Gas Co. Ltd. | 12,000 | 85,175 | ||||||
Tohoku Electric Power Co., Inc. | 13,100 | 168,826 | ||||||
Tokio Marine Holdings, Inc. | 11,200 | 378,425 | ||||||
Tokyo Electric Power Co., Inc. † | 39,300 | 215,900 | ||||||
Tokyu Corp. | 4,000 | 33,502 | ||||||
Toray Industries, Inc. | 5,000 | 42,671 | ||||||
TOTO Ltd. | 3,500 | 108,944 | ||||||
Toyo Seikan Group Holdings Ltd. | 3,000 | 56,138 | ||||||
Trend Micro, Inc. | 4,000 | 146,400 | ||||||
Unicharm Corp. | 3,700 | 80,532 | ||||||
USS Co. Ltd. | 4,900 | 78,190 | ||||||
West Japan Railway Co. | 5,800 | 358,134 | ||||||
Yamaguchi Financial Group, Inc. | 3,000 | 27,237 | ||||||
Yamaha Corp. | 6,000 | 180,491 | ||||||
Yamato Holdings Co. Ltd. | 2,100 | 41,868 | ||||||
Yamazaki Baking Co. Ltd. | 2,000 | 42,097 | ||||||
|
| |||||||
27,561,570 | ||||||||
|
| |||||||
Netherlands - 2.3% | ||||||||
ASML Holding NV | 635 | 63,903 | ||||||
Heineken NV | 7,348 | 664,829 | ||||||
Koninklijke Ahold NV | 17,039 | 382,718 | ||||||
Koninklijke KPN NV | 81,283 | 340,378 | ||||||
NN Group NV | 6,811 | 222,343 | ||||||
Randstad Holding NV | 1,696 | 93,809 | ||||||
Wolters Kluwer NV | 5,675 | 226,191 | ||||||
|
| |||||||
1,994,171 | ||||||||
|
| |||||||
Norway - 0.0% (b) | ||||||||
Golar LNG Ltd. (3)(c) | 70 | 1,269 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
80
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Portugal - 0.3% | ||||||||
EDP - Energias de Portugal SA | 18,666 | $ | 66,273 | |||||
Galp Energia SGPS SA | 14,388 | 180,668 | ||||||
|
| |||||||
246,941 | ||||||||
|
| |||||||
Singapore - 0.1% | ||||||||
ComfortDelGro Corp. Ltd. | 16,200 | 35,111 | ||||||
DBS Group Holdings Ltd. | 2,900 | 33,037 | ||||||
Super Group Ltd. | 2,900 | 2,128 | ||||||
|
| |||||||
70,276 | ||||||||
|
| |||||||
Spain - 2.9% | ||||||||
Abertis Infraestructuras SA | 2,615 | 42,937 | ||||||
Aena SA 144A †(a) | 337 | 43,452 | ||||||
Amadeus IT Holding SA, Class A | 9,319 | 398,517 | ||||||
Ferrovial SA | 17,060 | 366,124 | ||||||
Gas Natural SDG SA | 4,011 | 80,977 | ||||||
Grifols SA | 3,053 | 67,830 | ||||||
Iberdrola SA | 69,882 | 465,201 | ||||||
Industria de Diseno Textil SA | 29,780 | 998,214 | ||||||
Red Electrica Corp. SA | 906 | 78,483 | ||||||
|
| |||||||
2,541,735 | ||||||||
|
| |||||||
Sweden - 1.8% | ||||||||
Assa Abloy AB, Class B | 13,497 | 265,722 | ||||||
Electrolux AB, Class B † | 2,915 | 76,547 | ||||||
Hennes & Mauritz AB, Class B | 3,205 | 106,676 | ||||||
ICA Gruppen AB | 3,756 | 124,142 | ||||||
Investment AB Kinnevik, Class B | 2,239 | 63,422 | ||||||
Lundin Petroleum AB † | 10,480 | 177,147 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 2,670 | 25,462 | ||||||
Skanska AB, Class B | 15,522 | 354,072 | ||||||
Svenska Cellulosa AB SCA, Class B | 7,131 | 222,421 | ||||||
Svenska Handelsbanken AB, Class A | 9,726 | 123,385 | ||||||
|
| |||||||
1,538,996 | ||||||||
|
| |||||||
Switzerland - 6.2% | ||||||||
Actelion Ltd. † | 2,690 | 401,455 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 55 | 340,782 | ||||||
EMS-Chemie Holding AG | 460 | 238,199 | ||||||
Galenica AG | 183 | 274,625 | ||||||
Geberit AG | 167 | 62,399 | ||||||
Givaudan SA | 360 | 705,528 | ||||||
Kuehne + Nagel International AG | 815 | 115,825 | ||||||
Lonza Group AG † | 808 | 136,585 | ||||||
Nestle SA | 19,235 | 1,435,330 | ||||||
Novartis AG | 2,855 | 206,565 | ||||||
Partners Group Holding AG | 1,371 | 550,798 | ||||||
Swiss Re AG | 7,851 | 724,959 | ||||||
Swisscom AG | 346 | 187,795 | ||||||
|
| |||||||
5,380,845 | ||||||||
|
| |||||||
United Kingdom - 12.6% | ||||||||
3i Group plc | 5,219 | 34,126 | ||||||
ARM Holdings plc | 11,962 | 174,182 | ||||||
Ashtead Group plc | 4,765 | 59,005 | ||||||
Associated British Foods plc | 8,836 | 423,931 | ||||||
AstraZeneca plc | 5,411 | 302,106 | ||||||
Barclays plc | 24,559 | 52,718 | ||||||
Barratt Developments plc | 28,853 | 231,632 |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 12.6% (continued) | ||||||||
British American Tobacco plc | 17,057 | $ | 997,425 | |||||
BT Group plc | 73,144 | 461,843 | ||||||
Bunzl plc | 3,162 | 91,719 | ||||||
Capita plc | 4,384 | 65,451 | ||||||
Compass Group plc | 4,990 | 87,966 | ||||||
Diageo plc | 1,887 | 50,881 | ||||||
Direct Line Insurance Group plc | 42,210 | 223,890 | ||||||
Dixons Carphone plc | 18,897 | 115,487 | ||||||
HSBC Holdings plc | 10,509 | 65,355 | ||||||
Imperial Brands plc | 9,784 | 541,713 | ||||||
Inmarsat plc | 6,370 | 89,855 | ||||||
International Consolidated Airlines Group SA | 54,072 | 430,246 | ||||||
ITV plc | 79,090 | 273,297 | ||||||
Kingfisher plc | 13,199 | 71,190 | ||||||
Legal & General Group plc | 45,149 | 152,128 | ||||||
Marks & Spencer Group plc | 12,540 | 73,075 | ||||||
National Grid plc | 39,004 | 551,882 | ||||||
Next plc | 1,489 | 115,311 | ||||||
Pearson plc | 4,138 | 51,860 | ||||||
Persimmon plc | 4,571 | 136,587 | ||||||
Prudential plc | 20,491 | 381,306 | ||||||
Reckitt Benckiser Group plc | 5,885 | 567,648 | ||||||
RELX NV | 51,973 | 906,125 | ||||||
Sage Group plc (The) | 8,974 | 80,913 | ||||||
Smith & Nephew plc | 3,009 | 49,506 | ||||||
Sports Direct International plc † | 6,364 | 34,520 | ||||||
SSE plc | 1,950 | 41,731 | ||||||
Taylor Wimpey plc | 76,759 | 209,197 | ||||||
Travis Perkins plc | 1,058 | 27,715 | ||||||
Unilever NV CVA | 48,792 | 2,193,627 | ||||||
United Utilities Group plc | 6,524 | 86,359 | ||||||
Vodafone Group plc | 112,703 | 358,132 | ||||||
Whitbread plc | 1,309 | 74,307 | ||||||
|
| |||||||
10,935,947 | ||||||||
|
| |||||||
United States - 0.3% | ||||||||
Thomson Reuters Corp. (1) | 6,570 | 266,189 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 84,645,689 | |||||||
|
| |||||||
EXCHANGE TRADED FUND - 1.4% | ||||||||
iShares MSCI EAFE Fund (1) | 21,825 | 1,246,863 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT - 0.4% | ||||||||
Investment Company - 0.4% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (2)(d) | ||||||||
(cost $332,567) | 332,567 | 332,567 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 86,225,119 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9% | 822,413 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 87,047,532 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
81
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR TM INTERNATIONAL MOMENTUM 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 Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(b) | Represents less than 0.05% of net assets. |
(c) | Security fair valued as of March 31, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $1,269 or 0.0% of total net assets. |
(d) | 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
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 12,126,333 | 13.9 | % | ||||
Consumer Staples | 15,510,273 | 17.9 | ||||||
Energy | 3,451,361 | 4.0 | ||||||
Exchange Traded Fund | 1,246,863 | 1.4 | ||||||
Financials | 14,222,441 | 16.3 | ||||||
Health Care | 9,623,573 | 11.1 | ||||||
Industrials | 10,108,167 | 11.6 | ||||||
Information Technology | 6,389,651 | 7.3 | ||||||
Materials | 3,022,776 | 3.5 | ||||||
Telecommunication Services | 7,381,934 | 8.5 | ||||||
Utilities | 2,809,180 | 3.2 | ||||||
Short-Term Investment | 332,567 | 0.4 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 86,225,119 | 99.1 | ||||||
Other Assets in Excess of Liabilities | 822,413 | 0.9 | ||||||
|
|
|
| |||||
Net Assets | $ | 87,047,532 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
82
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP DEFENSIVE STYLE FUND |
COMMON STOCKS - 96.0% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 10.8% | ||||||||
Amazon.com, Inc. † | 3,930 | $ | 2,333,005 | |||||
AutoZone, Inc. † | 1,660 | 1,322,505 | ||||||
Bed Bath & Beyond, Inc. † | 26,933 | 1,336,954 | ||||||
Carnival Corp. | 2,407 | 127,017 | ||||||
Chipotle Mexican Grill, Inc. † | 1,775 | 835,972 | ||||||
Comcast Corp., Class A | 23,790 | 1,453,093 | ||||||
Darden Restaurants, Inc. | 13,359 | 885,702 | ||||||
Dick’s Sporting Goods, Inc. | 11,887 | 555,717 | ||||||
Dollar General Corp. | 2,882 | 246,699 | ||||||
Dollar Tree, Inc. † | 10,712 | 883,312 | ||||||
Domino’s Pizza, Inc. | 7,900 | 1,041,694 | ||||||
Gap, Inc. (The) | 8,809 | 258,985 | ||||||
Genuine Parts Co. | 13,787 | 1,369,876 | ||||||
GoPro, Inc., Class A † | 37,715 | 451,071 | ||||||
H&R Block, Inc. | 61,840 | 1,633,813 | ||||||
Hasbro, Inc. | 8,956 | 717,376 | ||||||
Home Depot, Inc. (The) | 26,519 | 3,538,430 | ||||||
L Brands, Inc. | 1,913 | 167,981 | ||||||
Lowe’s Cos., Inc. | 46,724 | 3,539,343 | ||||||
McDonald’s Corp. | 49,734 | 6,250,569 | ||||||
NIKE, Inc., Class B | 28,194 | 1,733,085 | ||||||
Nordstrom, Inc. | 15,800 | 903,918 | ||||||
O’Reilly Automotive, Inc. † | 6,129 | 1,677,262 | ||||||
Panera Bread Co., Class A † | 5,935 | 1,215,666 | ||||||
Priceline Group, Inc. (The) † | 454 | 585,188 | ||||||
Ralph Lauren Corp. | 1,522 | 146,508 | ||||||
Starbucks Corp. | 53,777 | 3,210,487 | ||||||
Target Corp. | 55,886 | 4,598,300 | ||||||
Thomson Reuters Corp. | 8,739 | 353,755 | ||||||
Tiffany & Co. | 3,319 | 243,548 | ||||||
Time Warner, Inc. | 9,866 | 715,778 | ||||||
TJX Cos., Inc. (The) | 47,331 | 3,708,384 | ||||||
Tractor Supply Co. | 17,803 | 1,610,459 | ||||||
TripAdvisor, Inc. † | 22,072 | 1,467,788 | ||||||
Tupperware Brands Corp. | 2,344 | 135,905 | ||||||
Viacom, Inc., Class B | 5,525 | 228,072 | ||||||
Walt Disney Co. (The) | 24,779 | 2,460,803 | ||||||
Williams-Sonoma, Inc. | 22,552 | 1,234,496 | ||||||
Yum! Brands, Inc. | 59,621 | 4,879,979 | ||||||
|
| |||||||
60,058,495 | ||||||||
|
| |||||||
Consumer Staples - 18.8% | ||||||||
Altria Group, Inc. | 128,094 | 8,026,370 | ||||||
Brown-Forman Corp., Class B | 5,402 | 531,935 | ||||||
Campbell Soup Co. | 17,045 | 1,087,301 | ||||||
Church & Dwight Co., Inc. | 28,149 | 2,594,775 | ||||||
Clorox Co. (The) | 10,796 | 1,360,944 | ||||||
Coca-Cola Co. (The) | 156,858 | 7,276,643 | ||||||
Colgate-Palmolive Co. | 78,617 | 5,554,291 | ||||||
Costco Wholesale Corp. | 27,417 | 4,320,371 | ||||||
CVS Health Corp. | 30,312 | 3,144,264 | ||||||
Dr Pepper Snapple Group, Inc. | 13,529 | 1,209,763 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 45,477 | 4,288,936 | ||||||
Flowers Foods, Inc. | 16,899 | 311,956 | ||||||
General Mills, Inc. | 65,239 | 4,132,891 | ||||||
Hershey Co. (The) | 27,615 | 2,543,065 | ||||||
Hormel Foods Corp. | 30,124 | 1,302,562 |
SHARES | VALUE (Note 4) | |||||||
Consumer Staples - 18.8% (continued) | ||||||||
Kellogg Co. | 11,287 | $ | 864,020 | |||||
Kimberly-Clark Corp. | 27,568 | 3,708,172 | ||||||
Kroger Co. (The) | 29,402 | 1,124,626 | ||||||
McCormick & Co., Inc. | 23,782 | 2,365,833 | ||||||
Mead Johnson Nutrition Co. | 56,797 | 4,826,041 | ||||||
Mondelez International, Inc., Class A | 10,896 | 437,147 | ||||||
Monster Beverage Corp. † | 8,803 | 1,174,144 | ||||||
Nu Skin Enterprises, Inc., Class A | 10,222 | 390,991 | ||||||
PepsiCo, Inc. | 77,747 | 7,967,513 | ||||||
Philip Morris International, Inc. | 80,465 | 7,894,421 | ||||||
Procter & Gamble Co. (The) | 94,907 | 7,811,795 | ||||||
Reynolds American, Inc. | 116,621 | 5,867,202 | ||||||
Sysco Corp. | 80,507 | 3,762,092 | ||||||
Walgreens Boots Alliance, Inc. | 14,776 | 1,244,730 | ||||||
Wal-Mart Stores, Inc. | 104,910 | 7,185,286 | ||||||
|
| |||||||
104,310,080 | ||||||||
|
| |||||||
Energy - 0.7% | ||||||||
Chevron Corp. | 7,315 | 697,851 | ||||||
Exxon Mobil Corp. | 35,141 | 2,937,436 | ||||||
|
| |||||||
3,635,287 | ||||||||
|
| |||||||
Financials - 20.4% | ||||||||
Alleghany Corp. † | 5,977 | 2,965,787 | ||||||
Allied World Assurance Co. Holdings AG (Switzerland) | 3,826 | 133,680 | ||||||
Allstate Corp. (The) | 74,223 | 5,000,404 | ||||||
American Express Co. | 33,931 | 2,083,363 | ||||||
American Financial Group, Inc. | 32,629 | 2,296,103 | ||||||
American National Insurance Co. | 930 | 107,415 | ||||||
AmTrust Financial Services, Inc. | 6,465 | 167,314 | ||||||
Aon plc (United Kingdom) | 30,383 | 3,173,504 | ||||||
Arch Capital Group Ltd. † | 33,346 | 2,370,901 | ||||||
Arthur J Gallagher & Co. | 2,692 | 119,740 | ||||||
Aspen Insurance Holdings Ltd. | 7,554 | 360,326 | ||||||
Assurant, Inc. | 10,450 | 806,218 | ||||||
Assured Guaranty Ltd. | 45,590 | 1,153,427 | ||||||
Axis Capital Holdings Ltd. | 34,907 | 1,935,942 | ||||||
Bank of Hawaii Corp. | 28,279 | 1,930,890 | ||||||
Bank of New York Mellon Corp. (The) | 19,575 | 720,947 | ||||||
BB&T Corp. | 37,331 | 1,242,002 | ||||||
BOK Financial Corp. | 31,607 | 1,726,374 | ||||||
Capital One Financial Corp. | 48,217 | 3,341,920 | ||||||
CBOE Holdings, Inc. | 1,737 | 113,478 | ||||||
Chubb Ltd. (Switzerland) | 40,293 | 4,800,911 | ||||||
Cincinnati Financial Corp. | 2,810 | 183,662 | ||||||
Citigroup, Inc. | 24,286 | 1,013,941 | ||||||
CNA Financial Corp. | 21,313 | 685,852 | ||||||
Comerica, Inc. | 60,408 | 2,287,651 | ||||||
Commerce Bancshares, Inc. | 25,837 | 1,161,373 | ||||||
Cullen/Frost Bankers, Inc. | 18,496 | 1,019,315 | ||||||
Discover Financial Services | 35,735 | 1,819,626 | ||||||
Endurance Specialty Holdings Ltd. | 4,132 | 269,985 | ||||||
Erie Indemnity Co., Class A | 5,892 | 547,897 | ||||||
Everest Re Group Ltd. | 27,792 | 5,486,975 | ||||||
FactSet Research Systems, Inc. | 7,520 | 1,139,506 | ||||||
First Republic Bank | 2,157 | 143,742 | ||||||
Franklin Resources, Inc. | 55,066 | 2,150,327 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
83
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 20.4% (continued) | ||||||||
JPMorgan Chase & Co. | 28,647 | $ | 1,696,475 | |||||
M&T Bank Corp. | 50,886 | 5,648,346 | ||||||
Markel Corp. † | 2,100 | 1,872,297 | ||||||
Marsh & McLennan Cos., Inc. | 42,674 | 2,594,152 | ||||||
Mercury General Corp. | 17,467 | 969,419 | ||||||
New York Community Bancorp, Inc. | 191,734 | 3,048,571 | ||||||
Northern Trust Corp. | 30,959 | 2,017,598 | ||||||
PacWest Bancorp | 26,130 | 970,730 | ||||||
People’s United Financial, Inc. | 160,155 | 2,551,269 | ||||||
PNC Financial Services Group, Inc. (The) | 39,608 | 3,349,649 | ||||||
ProAssurance Corp. | 24,337 | 1,231,452 | ||||||
Progressive Corp. (The) | 132,725 | 4,663,957 | ||||||
RenaissanceRe Holdings Ltd. | 16,504 | 1,977,674 | ||||||
Signature Bank † | 4,728 | 643,575 | ||||||
SLM Corp. † | 119,220 | 758,239 | ||||||
SunTrust Banks, Inc. | 15,300 | 552,024 | ||||||
T Rowe Price Group, Inc. | 9,808 | 720,496 | ||||||
TCF Financial Corp. | 19,085 | 233,982 | ||||||
TFS Financial Corp. | 33,777 | 586,707 | ||||||
Travelers Cos., Inc. (The) | 66,376 | 7,746,743 | ||||||
US Bancorp | 135,024 | 5,480,624 | ||||||
Waddell & Reed Financial, Inc., Class A | 44,805 | 1,054,710 | ||||||
Wells Fargo & Co. | 122,100 | 5,904,756 | ||||||
White Mountains Insurance Group Ltd. | 1,688 | 1,354,789 | ||||||
WR Berkley Corp. | 15,262 | 857,724 | ||||||
|
| |||||||
112,946,456 | ||||||||
|
| |||||||
Health Care - 10.3% | ||||||||
Abbott Laboratories | 24,500 | 1,024,835 | ||||||
AbbVie, Inc. | 1,863 | 106,415 | ||||||
Aetna, Inc. | 24,573 | 2,760,777 | ||||||
Align Technology, Inc. † | 6,228 | 452,713 | ||||||
AmerisourceBergen Corp. | 10,001 | 865,587 | ||||||
Anthem, Inc. | 21,045 | 2,925,045 | ||||||
athenahealth, Inc. † | 1,051 | 145,858 | ||||||
Baxter International, Inc. | 4,311 | 177,096 | ||||||
Becton Dickinson and Co. | 5,202 | 789,768 | ||||||
Biogen, Inc. † | 233 | 60,655 | ||||||
Bristol-Myers Squibb Co. | 31,052 | 1,983,602 | ||||||
Bruker Corp. | 30,389 | 850,892 | ||||||
Cardinal Health, Inc. | 11,883 | 973,812 | ||||||
Centene Corp. † | 15,584 | 959,507 | ||||||
Cerner Corp. † | 1,797 | 95,169 | ||||||
CR Bard, Inc. | 10,749 | 2,178,500 | ||||||
DENTSPLY SIRONA, Inc. | 1,908 | 117,590 | ||||||
DexCom, Inc. † | 12,105 | 822,051 | ||||||
Edwards Lifesciences Corp. † | 10,938 | 964,841 | ||||||
Eli Lilly & Co. | 47,111 | 3,392,463 | ||||||
Express Scripts Holding Co. † | 1,500 | 103,035 | ||||||
Henry Schein, Inc. † | 13,063 | 2,255,066 | ||||||
IDEXX Laboratories, Inc. † | 3,584 | 280,699 | ||||||
Intuitive Surgical, Inc. † | 3,561 | 2,140,339 | ||||||
Jazz Pharmaceuticals plc (Ireland) † | 784 | 102,351 | ||||||
Johnson & Johnson | 73,972 | 8,003,770 | ||||||
Laboratory Corp. of America Holdings † | 3,373 | 395,079 | ||||||
McKesson Corp. | 5,902 | 928,089 | ||||||
Medtronic plc (Ireland) | 41,707 | 3,128,025 | ||||||
Merck & Co., Inc. | 54,857 | 2,902,484 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 10.3% (continued) | ||||||||
Mettler-Toledo International, Inc. † | 1,915 | $ | 660,215 | |||||
Pfizer, Inc. | 87,005 | 2,578,828 | ||||||
Quintiles Transnational Holdings, Inc. † | 2,262 | 147,256 | ||||||
ResMed, Inc. | 22,025 | 1,273,485 | ||||||
Stryker Corp. | 27,506 | 2,951,119 | ||||||
Thermo Fisher Scientific, Inc. | 2,016 | 285,445 | ||||||
United Therapeutics Corp. † | 11,964 | 1,333,148 | ||||||
UnitedHealth Group, Inc. | 40,521 | 5,223,157 | ||||||
Varian Medical Systems, Inc. † | 5,940 | 475,319 | ||||||
Waters Corp. † | 497 | 65,564 | ||||||
Zimmer Biomet Holdings, Inc. | 1,077 | 114,840 | ||||||
Zoetis, Inc. | 2,245 | 99,521 | ||||||
|
| |||||||
57,094,010 | ||||||||
|
| |||||||
Industrials - 10.1% | ||||||||
3M Co. | 36,834 | 6,137,649 | ||||||
Acuity Brands, Inc. | 1,756 | 383,054 | ||||||
Alaska Air Group, Inc. | 21,234 | 1,741,613 | ||||||
Boeing Co. (The) | 27,508 | 3,491,866 | ||||||
CH Robinson Worldwide, Inc. | 1,921 | 142,596 | ||||||
Cintas Corp. | 4,682 | 420,490 | ||||||
Clean Harbors, Inc. † | 12,491 | 616,306 | ||||||
Danaher Corp. | 19,595 | 1,858,782 | ||||||
Emerson Electric Co. | 8,792 | 478,109 | ||||||
Equifax, Inc. | 3,815 | 436,016 | ||||||
Expeditors International of Washington, Inc. | 35,646 | 1,739,881 | ||||||
Fastenal Co. | 32,532 | 1,594,068 | ||||||
FedEx Corp. | 4,513 | 734,355 | ||||||
General Dynamics Corp. | 14,752 | 1,937,970 | ||||||
General Electric Co. | 35,342 | 1,123,522 | ||||||
Honeywell International, Inc. | 25,521 | 2,859,628 | ||||||
Huntington Ingalls Industries, Inc. | 774 | 105,992 | ||||||
Jacobs Engineering Group, Inc. † | 1,480 | 64,454 | ||||||
Landstar System, Inc. | 18,032 | 1,165,048 | ||||||
Lockheed Martin Corp. | 11,701 | 2,591,771 | ||||||
MSC Industrial Direct Co., Inc., Class A | 11,264 | 859,556 | ||||||
Northrop Grumman Corp. | 8,278 | 1,638,216 | ||||||
Quanta Services, Inc. † | 51,002 | 1,150,605 | ||||||
Raytheon Co. | 11,977 | 1,468,740 | ||||||
Republic Services, Inc. | 50,295 | 2,396,557 | ||||||
Robert Half International, Inc. | 22,526 | 1,049,261 | ||||||
Rockwell Automation, Inc. | 3,958 | 450,222 | ||||||
Rockwell Collins, Inc. | 3,469 | 319,876 | ||||||
Rollins, Inc. | 18,364 | 498,032 | ||||||
Southwest Airlines Co. | 34,385 | 1,540,448 | ||||||
Stericycle, Inc. † | 20,838 | 2,629,547 | ||||||
Union Pacific Corp. | 5,081 | 404,194 | ||||||
United Parcel Service, Inc., Class B | 33,093 | 3,490,319 | ||||||
United Technologies Corp. | 24,858 | 2,488,286 | ||||||
Waste Connections, Inc. | 4,300 | 277,737 | ||||||
Waste Management, Inc. | 71,137 | 4,197,083 | ||||||
WW Grainger, Inc. | 5,226 | 1,219,905 | ||||||
|
| |||||||
55,701,754 | ||||||||
|
| |||||||
Information Technology - 9.8% | ||||||||
Accenture plc, Class A (Ireland) | 35,204 | 4,062,542 | ||||||
Adobe Systems, Inc. † | 9,253 | 867,931 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
84
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 9.8% (continued) | ||||||||
Alphabet, Inc., Class A † | 4,580 | $ | 3,494,082 | |||||
Amdocs Ltd. | 11,077 | 669,272 | ||||||
ANSYS, Inc. † | 1,639 | 146,625 | ||||||
Apple, Inc. | 27,726 | 3,021,857 | ||||||
Automatic Data Processing, Inc. | 32,542 | 2,919,343 | ||||||
Cisco Systems, Inc. | 88,682 | 2,524,777 | ||||||
Cognizant Technology Solutions Corp., Class A † | 16,166 | 1,013,608 | ||||||
F5 Networks, Inc. † | 12,290 | 1,300,896 | ||||||
Facebook, Inc., Class A † | 6,518 | 743,704 | ||||||
Gartner, Inc. † | 10,705 | 956,492 | ||||||
Intel Corp. | 43,138 | 1,395,514 | ||||||
International Business Machines Corp. | 26,738 | 4,049,470 | ||||||
Intuit, Inc. | 29,877 | 3,107,507 | ||||||
Jack Henry & Associates, Inc. | 4,953 | 418,875 | ||||||
Linear Technology Corp. | 45,589 | 2,031,446 | ||||||
Marvell Technology Group Ltd. | 39,206 | 404,214 | ||||||
MasterCard, Inc., Class A | 27,621 | 2,610,184 | ||||||
Maxim Integrated Products, Inc. | 10,409 | 382,843 | ||||||
Microsoft Corp. | 82,337 | 4,547,473 | ||||||
National Instruments Corp. | 20,491 | 616,984 | ||||||
NetApp, Inc. | 66,612 | 1,817,841 | ||||||
NVIDIA Corp. | 26,080 | 929,230 | ||||||
Oracle Corp. | 45,207 | 1,849,418 | ||||||
Palo Alto Networks, Inc. † | 2,061 | 336,232 | ||||||
Paychex, Inc. | 30,150 | 1,628,402 | ||||||
QUALCOMM, Inc. | 16,138 | 825,297 | ||||||
Tableau Software, Inc., Class A † | 6,968 | 319,622 | ||||||
Teradata Corp. † | 29,169 | 765,395 | ||||||
Texas Instruments, Inc. | 25,183 | 1,446,008 | ||||||
Visa, Inc., Class A | 41,412 | 3,167,190 | ||||||
|
| |||||||
54,370,274 | ||||||||
|
| |||||||
Materials - 1.5% | ||||||||
Avery Dennison Corp. | 2,810 | 202,629 | ||||||
International Flavors & Fragrances, Inc. | 1,127 | 128,219 | ||||||
Monsanto Co. | 9,557 | 838,531 | ||||||
NewMarket Corp. | 798 | 316,215 | ||||||
PPG Industries, Inc. | 21,173 | 2,360,578 | ||||||
Praxair, Inc. | 2,635 | 301,576 | ||||||
Sherwin-Williams Co. (The) | 15,042 | 4,282,006 | ||||||
|
| |||||||
8,429,754 | ||||||||
|
| |||||||
Telecommunication Services - 2.5% | ||||||||
AT&T, Inc. | 162,682 | 6,372,254 | ||||||
Verizon Communications, Inc. | 141,075 | 7,629,336 | ||||||
|
| |||||||
14,001,590 | ||||||||
|
| |||||||
Utilities - 11.1% | ||||||||
Ameren Corp. | 30,722 | 1,539,172 | ||||||
American Electric Power Co., Inc. | 87,167 | 5,787,889 | ||||||
American Water Works Co., Inc. | 59,619 | 4,109,538 | ||||||
Aqua America, Inc. | 73,386 | 2,335,143 | ||||||
Atmos Energy Corp. | 28,981 | 2,152,129 | ||||||
Consolidated Edison, Inc. | 43,379 | 3,323,699 | ||||||
Dominion Resources, Inc. | 34,025 | 2,555,958 | ||||||
DTE Energy Co. | 17,646 | 1,599,786 | ||||||
Duke Energy Corp. | 43,638 | 3,520,714 |
SHARES | VALUE (Note 4) | |||||||
Utilities - 11.1% (continued) | ||||||||
Edison International | 8,525 | $ | 612,862 | |||||
Entergy Corp. | 14,372 | 1,139,412 | ||||||
Eversource Energy | 1,841 | 107,404 | ||||||
Exelon Corp. | 32,296 | 1,158,135 | ||||||
NextEra Energy, Inc. | 26,774 | 3,168,435 | ||||||
OGE Energy Corp. | 71,404 | 2,044,297 | ||||||
PG&E Corp. | 29,832 | 1,781,567 | ||||||
Pinnacle West Capital Corp. | 44,275 | 3,323,724 | ||||||
PPL Corp. | 34,422 | 1,310,446 | ||||||
Public Service Enterprise Group, Inc. | 166,457 | 7,846,783 | ||||||
Sempra Energy | 12,921 | 1,344,430 | ||||||
Southern Co. (The) | 64,403 | 3,331,567 | ||||||
UGI Corp. | 68,784 | 2,771,307 | ||||||
Vectren Corp. | 39,979 | 2,021,338 | ||||||
Xcel Energy, Inc. | 66,011 | 2,760,580 | ||||||
|
| |||||||
61,646,315 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 532,194,015 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT - 4.8% | ||||||||
Investment Company - 4.8% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (2)(a) | ||||||||
(cost $26,771,749) | 26,771,749 | 26,771,749 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 558,965,764 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.8%) (b) | (4,677,216) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 554,288,548 | ||||||
|
|
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 accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
85
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR LARGE CAP DEFENSIVE STYLE FUND |
Open futures contracts outstanding at March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
221 | Goldman Sachs | S&P 500 E-Mini Futures | 06/2016 | $22,456,778 | $22,669,075 | $212,297 | ||||||||||||
|
|
|
|
|
|
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Goldman Sachs | ||||||||||||
Cash | $— | $547,206 | $547,206 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
86
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
COMMON STOCKS - 96.5% | SHARES | VALUE (Note 4) | ||||||
Australia - 9.4% | ||||||||
AGL Energy Ltd. | 36,709 | $ | 516,836 | |||||
Aurizon Holdings Ltd. | 32,955 | 100,141 | ||||||
Australia & New Zealand Banking Group Ltd. | 25,901 | 464,313 | ||||||
Bendigo & Adelaide Bank Ltd. | 33,608 | 228,082 | ||||||
BHP Billiton plc | 4,167 | 46,664 | ||||||
Brambles Ltd. | 1,569 | 14,535 | ||||||
Caltex Australia Ltd. | 15,223 | 397,034 | ||||||
Coca - Cola Amatil Ltd. | 22,814 | 154,483 | ||||||
Cochlear Ltd. | 4,561 | 356,750 | ||||||
Commonwealth Bank of Australia | 1,057 | 60,597 | ||||||
CSL Ltd. | 105 | 8,160 | ||||||
Flight Centre Travel Group Ltd. | 10,443 | 345,881 | ||||||
Iluka Resources Ltd. | 4,402 | 22,071 | ||||||
Medibank Pvt Ltd. | 66,134 | 148,327 | ||||||
National Australia Bank Ltd. | 9,435 | 189,445 | ||||||
Newcrest Mining Ltd. † | 17,823 | 230,647 | ||||||
Orica Ltd. | 2,174 | 25,571 | ||||||
REA Group Ltd. | 4,518 | 187,003 | ||||||
Sonic Healthcare Ltd. | 1,427 | 20,466 | ||||||
Tabcorp Holdings Ltd. | 12,047 | 39,504 | ||||||
Tatts Group Ltd. | 15,257 | 44,204 | ||||||
Telstra Corp. Ltd. | 246,485 | 1,005,899 | ||||||
TPG Telecom Ltd. | 18,391 | 159,812 | ||||||
Wesfarmers Ltd. | 19,823 | 629,197 | ||||||
Westpac Banking Corp. | 3,815 | 88,611 | ||||||
Woodside Petroleum Ltd. | 1,358 | 27,165 | ||||||
Woolworths Ltd. | 50,569 | 855,870 | ||||||
|
| |||||||
6,367,268 | ||||||||
|
| |||||||
Austria - 0.1% | ||||||||
OMV AG | 1,409 | 39,562 | ||||||
|
| |||||||
Belgium - 1.3% | ||||||||
Anheuser - Busch InBev SA/NV | 834 | 103,613 | ||||||
Colruyt SA | 10,021 | 582,764 | ||||||
Proximus | 6,096 | 208,023 | ||||||
|
| |||||||
894,400 | ||||||||
|
| |||||||
Canada - 11.2% | ||||||||
Agnico Eagle Mines Ltd. (1) | 8,905 | 322,191 | ||||||
Alimentation Couche - Tard, Inc., Class B (1) | 1,973 | 87,807 | ||||||
ARC Resources Ltd. (1) | 2,133 | 31,024 | ||||||
Bank of Montreal (1) | 5,207 | 316,209 | ||||||
Bank of Nova Scotia (The) (1) | 7,852 | 383,728 | ||||||
Barrick Gold Corp. (1) | 17,681 | 240,148 | ||||||
BCE, Inc. (1) | 18,927 | 862,590 | ||||||
Cameco Corp. (1) | 13,075 | 167,823 | ||||||
Canadian Imperial Bank of Commerce (1) | 4,033 | 301,276 | ||||||
Canadian National Railway Co. (1) | 2,602 | 162,601 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 425 | 44,239 | ||||||
CI Financial Corp. (1) | 6,596 | 145,760 | ||||||
Eldorado Gold Corp. (1) | 24,188 | 75,986 | ||||||
Empire Co. Ltd., Class A (1) | 23,866 | 413,463 | ||||||
Fairfax Financial Holdings Ltd. (1) | 304 | 170,186 | ||||||
Fortis, Inc. (1) | 700 | 21,942 | ||||||
Franco - Nevada Corp. (1) | 4,728 | 290,360 | ||||||
George Weston Ltd. (1) | 1,525 | 136,537 | ||||||
Goldcorp, Inc. (1) | 12,162 | 197,308 | ||||||
Imperial Oil Ltd. (1) | 5,990 | 200,120 |
SHARES | VALUE (Note 4) | |||||||
Canada - 11.2% (continued) | ||||||||
Intact Financial Corp. (1) | 7,033 | $ | 492,405 | |||||
Keyera Corp. (1) | 874 | 26,528 | ||||||
Kinross Gold Corp. (1)† | 108,699 | 370,769 | ||||||
Loblaw Cos. Ltd. (1) | 4,944 | 276,826 | ||||||
Metro, Inc. (1) | 813 | 28,207 | ||||||
National Bank of Canada (1) | 235 | 7,688 | ||||||
Peyto Exploration & Development Corp. (1) | 2,843 | 63,241 | ||||||
Power Financial Corp. (1) | 5,416 | 135,405 | ||||||
Rogers Communications, Inc., Class B (1) | 4,353 | 174,288 | ||||||
Royal Bank of Canada (1) | 6,502 | 374,625 | ||||||
Saputo, Inc. (1) | 4,459 | 142,963 | ||||||
Shaw Communications, Inc., Class B (1) | 10,219 | 197,417 | ||||||
Silver Wheaton Corp. (1) | 20,209 | 335,325 | ||||||
Toronto - Dominion Bank (The) (1) | 8,420 | 363,446 | ||||||
Yamana Gold, Inc. (1) | 18,727 | 56,812 | ||||||
|
| |||||||
7,617,243 | ||||||||
|
| |||||||
China - 0.2% | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 178,400 | 129,571 | ||||||
|
| |||||||
Denmark - 1.9% | ||||||||
AP Moeller - Maersk A/S, Class B † | 42 | 55,063 | ||||||
Coloplast A/S, Class B | 8,201 | 620,595 | ||||||
DSV A/S | 2,449 | 101,864 | ||||||
Novo Nordisk A/S, Class B | 9,671 | 523,720 | ||||||
|
| |||||||
1,301,242 | ||||||||
|
| |||||||
Finland - 0.7% | ||||||||
Kone OYJ, Class B | 2,249 | 108,246 | ||||||
Metso OYJ | 300 | 7,150 | ||||||
Orion OYJ, Class B | 10,351 | 341,680 | ||||||
Sampo OYJ, Class A | 796 | 37,702 | ||||||
|
| |||||||
494,778 | ||||||||
|
| |||||||
France - 6.0% | ||||||||
Aeroports de Paris | 1,902 | 234,892 | ||||||
Air Liquide SA | 116 | 13,014 | ||||||
Atos SE | 474 | 38,498 | ||||||
BNP Paribas SA | 2,928 | 147,105 | ||||||
Bouygues SA | 1,651 | 67,112 | ||||||
Cie Generale des Etablissements Michelin | 2,031 | 207,505 | ||||||
CNP Assurances | 8,940 | 139,219 | ||||||
Danone SA | 5,841 | 414,432 | ||||||
Dassault Systemes | 2,643 | 209,409 | ||||||
Electricite de France SA | 10,927 | 122,335 | ||||||
Engie | 11,716 | 181,523 | ||||||
Essilor International SA | 289 | 35,609 | ||||||
Hermes International | 576 | 202,534 | ||||||
Iliad SA | 455 | 116,901 | ||||||
Imerys SA | 376 | 26,187 | ||||||
L’Oreal SA | 2,332 | 417,163 | ||||||
Pernod Ricard SA | 898 | 99,995 | ||||||
Sanofi | 3,386 | 272,220 | ||||||
SCOR SE | 2,005 | 70,688 | ||||||
Societe BIC SA | 2,570 | 386,156 | ||||||
Societe Generale SA | 443 | 16,370 | ||||||
Sodexo SA | 910 | 97,938 | ||||||
Thales SA | 778 | 67,985 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
87
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
France - 6.0% (continued) | ||||||||
TOTAL SA | 7,411 | $ | 337,211 | |||||
Vinci SA | 1,650 | 122,470 | ||||||
|
| |||||||
4,044,471 | ||||||||
|
| |||||||
Germany - 3.3% | ||||||||
adidas AG | 610 | 71,224 | ||||||
Allianz SE | 404 | 65,612 | ||||||
Bayer AG | 1,846 | 216,315 | ||||||
Beiersdorf AG | 3,518 | 316,881 | ||||||
Deutsche Lufthansa AG † | 2,713 | 43,786 | ||||||
Deutsche Post AG | 1,190 | 33,027 | ||||||
Fresenius Medical Care AG & Co. KGaA | 589 | 51,965 | ||||||
Hannover Rueck SE | 529 | 61,482 | ||||||
HUGO BOSS AG | 3,359 | 219,592 | ||||||
MAN SE | 7,354 | 795,311 | ||||||
Merck KGaA | 458 | 38,098 | ||||||
METRO AG | 2,300 | 71,147 | ||||||
Muenchener Rueckversicherungs - Gesellschaft AG in Muenchen | 417 | 84,628 | ||||||
SAP SE | 1,098 | 88,354 | ||||||
Siemens AG | 125 | 13,220 | ||||||
TUI AG | 2,660 | 41,147 | ||||||
|
| |||||||
2,211,789 | ||||||||
|
| |||||||
Hong Kong - 4.5% | ||||||||
BOC Hong Kong Holdings Ltd. | 120,500 | 359,962 | ||||||
CK Hutchison Holdings Ltd. | 18,000 | 233,857 | ||||||
CLP Holdings Ltd. | 44,500 | 402,788 | ||||||
Hang Seng Bank Ltd. | 14,700 | 260,102 | ||||||
HK Electric Investments & HK Electric Investments Ltd. 144A (a) | 219,500 | 193,341 | ||||||
HKT Trust & HKT Ltd. | 78,000 | 107,407 | ||||||
Hong Kong & China Gas Co. Ltd. | 183,459 | 342,951 | ||||||
MGM China Holdings Ltd. | 6,400 | 9,803 | ||||||
MTR Corp. Ltd. | 77,000 | 381,620 | ||||||
Noble Group Ltd. † | 81,100 | 26,427 | ||||||
Power Assets Holdings Ltd. | 34,000 | 347,977 | ||||||
SJM Holdings Ltd. | 445,000 | 318,363 | ||||||
WH Group Ltd. 144A †(a) | 78,500 | 56,772 | ||||||
Yue Yuen Industrial Holdings Ltd. | 7,000 | 24,066 | ||||||
|
| |||||||
3,065,436 | ||||||||
|
| |||||||
Ireland - 0.1% | ||||||||
Experian plc | 561 | 10,014 | ||||||
Shire plc | 1,638 | 93,423 | ||||||
|
| |||||||
103,437 | ||||||||
|
| |||||||
Italy - 0.7% | ||||||||
Assicurazioni Generali SpA | 2,527 | 37,407 | ||||||
Enel SpA | 42,733 | 189,445 | ||||||
Eni SpA | 3,488 | 52,678 | ||||||
Luxottica Group SpA | 1,301 | 71,669 | ||||||
Snam SpA | 17,411 | 108,959 | ||||||
|
| |||||||
460,158 | ||||||||
|
| |||||||
Japan - 27.4% | ||||||||
ABC-Mart, Inc. | 2,900 | 185,599 | ||||||
Ajinomoto Co., Inc. | 2,000 | 45,094 | ||||||
Amada Holdings Co. Ltd. | 2,000 | 19,487 |
SHARES | VALUE (Note 4) | |||||||
Japan - 27.4% (continued) | ||||||||
Asahi Glass Co. Ltd. | 8,000 | $ | 43,775 | |||||
Asahi Group Holdings Ltd. | 3,700 | 115,161 | ||||||
Asahi Kasei Corp. | 2,000 | 13,507 | ||||||
Astellas Pharma, Inc. | 45,900 | 609,988 | ||||||
Bandai Namco Holdings, Inc. | 19,700 | 429,429 | ||||||
Benesse Holdings, Inc. | 5,400 | 155,477 | ||||||
Bridgestone Corp. | 7,300 | 272,457 | ||||||
Brother Industries Ltd. | 2,800 | 32,159 | ||||||
Calbee, Inc. | 6,700 | 265,834 | ||||||
Canon, Inc. | 22,600 | 673,999 | ||||||
Central Japan Railway Co. | 100 | 17,685 | ||||||
Chugai Pharmaceutical Co. Ltd. | 8,400 | 259,924 | ||||||
Dai Nippon Printing Co. Ltd. | 1,000 | 8,874 | ||||||
Dai - ichi Life Insurance Co. Ltd. (The) | 4,600 | 55,750 | ||||||
Eisai Co. Ltd. | 1,600 | 96,195 | ||||||
FamilyMart Co. Ltd. | 3,300 | 171,387 | ||||||
FANUC Corp. | 1,200 | 185,842 | ||||||
Fast Retailing Co. Ltd. | 600 | 191,715 | ||||||
Fuji Heavy Industries Ltd. | 6,700 | 236,599 | ||||||
GungHo Online Entertainment, Inc. | 181,800 | 511,429 | ||||||
Hakuhodo DY Holdings, Inc. | 20,600 | 233,228 | ||||||
Hino Motors Ltd. | 2,900 | 31,336 | ||||||
Hirose Electric Co. Ltd. | 500 | 55,105 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 7,500 | 335,179 | ||||||
Hitachi Chemical Co. Ltd. | 10,000 | 179,698 | ||||||
Hitachi High - Technologies Corp. | 1,000 | 28,151 | ||||||
Hitachi Metals Ltd. | 25,500 | 262,964 | ||||||
Hoshizaki Electric Co. Ltd. | 2,100 | 175,162 | ||||||
Hoya Corp. | 4,100 | 155,844 | ||||||
Inpex Corp. | 1,000 | 7,573 | ||||||
ITOCHU Corp. | 5,900 | 72,504 | ||||||
Itochu Techno - Solutions Corp. | 1,600 | 30,190 | ||||||
Japan Airlines Co. Ltd. | 11,600 | 425,256 | ||||||
Japan Airport Terminal Co. Ltd. | 2,000 | 70,983 | ||||||
Japan Tobacco, Inc. | 5,600 | 233,087 | ||||||
JGC Corp. | 2,000 | 29,912 | ||||||
Kajima Corp. | 8,000 | 50,114 | ||||||
Kakaku.com, Inc. | 900 | 16,687 | ||||||
Kamigumi Co. Ltd. | 28,000 | 263,404 | ||||||
Kao Corp. | 4,300 | 229,284 | ||||||
KDDI Corp. | 10,400 | 277,480 | ||||||
Kirin Holdings Co. Ltd. | 1,700 | 23,815 | ||||||
Komatsu Ltd. | 7,000 | 119,007 | ||||||
Konica Minolta, Inc. | 18,100 | 153,517 | ||||||
Kose Corp. | 1,100 | 106,939 | ||||||
Kubota Corp. | 1,000 | 13,650 | ||||||
Kuraray Co. Ltd. | 1,300 | 15,887 | ||||||
Kurita Water Industries Ltd. | 2,100 | 47,833 | ||||||
Lawson, Inc. | 2,500 | 209,277 | ||||||
Makita Corp. | 1,600 | 99,176 | ||||||
Marubeni Corp. | 16,200 | 81,962 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 3,300 | 78,184 | ||||||
Mitsubishi Corp. | 5,100 | 86,299 | ||||||
Mitsubishi Electric Corp. | 14,000 | 146,691 | ||||||
Mitsubishi Heavy Industries Ltd. | 3,000 | 11,145 | ||||||
Mitsubishi Motors Corp. | 41,600 | 310,541 | ||||||
Mitsubishi Tanabe Pharma Corp. | 11,200 | 194,607 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
88
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 27.4% (continued) | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 24,400 | $ | 113,060 | |||||
Mitsui & Co. Ltd. | 9,900 | 113,835 | ||||||
Mixi, Inc. | 800 | 29,670 | ||||||
Mizuho Financial Group, Inc. | 69,500 | 103,575 | ||||||
Nabtesco Corp. | 3,200 | 71,777 | ||||||
Nexon Co. Ltd. | 6,300 | 107,443 | ||||||
NH Foods Ltd. | 2,000 | 44,022 | ||||||
Nidec Corp. | 600 | 41,053 | ||||||
Nikon Corp. | 1,800 | 27,524 | ||||||
Nippon Express Co. Ltd. | 25,000 | 113,662 | ||||||
Nippon Telegraph & Telephone Corp. | 8,200 | 354,220 | ||||||
Nippon Yusen KK | 5,000 | 9,642 | ||||||
Nisshin Seifun Group, Inc. | 800 | 12,705 | ||||||
Nissin Foods Holdings Co. Ltd. | 6,900 | 324,087 | ||||||
Nitori Holdings Co. Ltd. | 1,800 | 164,700 | ||||||
Nitto Denko Corp. | 5,100 | 284,190 | ||||||
Nomura Research Institute Ltd. | 1,870 | 62,976 | ||||||
Obayashi Corp. | 7,000 | 68,996 | ||||||
Omron Corp. | 10,600 | 315,272 | ||||||
Oracle Corp. Japan | 4,000 | 224,330 | ||||||
Oriental Land Co. Ltd. | 1,000 | 70,800 | ||||||
Osaka Gas Co. Ltd. | 195,000 | 748,517 | ||||||
Otsuka Corp. | 2,800 | 147,703 | ||||||
Otsuka Holdings Co. Ltd. | 8,300 | 301,470 | ||||||
Recruit Holdings Co. Ltd. | 28,100 | 856,788 | ||||||
Sankyo Co. Ltd. | 1,900 | 70,750 | ||||||
Sanrio Co. Ltd. | 4,200 | 82,099 | ||||||
Santen Pharmaceutical Co. Ltd. | 5,800 | 87,177 | ||||||
Secom Co. Ltd. | 600 | 44,522 | ||||||
Seven & i Holdings Co. Ltd. | 2,400 | 102,258 | ||||||
Shimamura Co. Ltd. | 2,700 | 337,045 | ||||||
Shimizu Corp. | 1,000 | 8,469 | ||||||
Shin - Etsu Chemical Co. Ltd. | 800 | 41,318 | ||||||
Shiseido Co. Ltd. | 600 | 13,367 | ||||||
SMC Corp. | 200 | 46,346 | ||||||
Sumitomo Corp. | 6,100 | 60,530 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 13,500 | 155,303 | ||||||
Sumitomo Heavy Industries Ltd. | 5,000 | 20,638 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 2,900 | 88,037 | ||||||
Sumitomo Rubber Industries Ltd. | 1,800 | 27,812 | ||||||
Suntory Beverage & Food Ltd. | 3,400 | 152,956 | ||||||
Suzuki Motor Corp. | 1,800 | 48,130 | ||||||
Sysmex Corp. | 2,500 | 156,290 | ||||||
T&D Holdings, Inc. | 14,400 | 134,511 | ||||||
Taisei Corp. | 10,000 | 66,037 | ||||||
Takeda Pharmaceutical Co. Ltd. | 1,700 | 77,504 | ||||||
THK Co. Ltd. | 700 | 12,886 | ||||||
Toho Gas Co. Ltd. | 93,000 | 660,105 | ||||||
Tokyo Electron Ltd. | 1,000 | 65,129 | ||||||
Tokyo Gas Co. Ltd. | 172,000 | 801,769 | ||||||
TOTO Ltd. | 800 | 24,901 | ||||||
Toyo Suisan Kaisha Ltd. | 13,400 | 481,010 | ||||||
Toyota Motor Corp. | 300 | 15,911 | ||||||
Trend Micro, Inc. | 3,200 | 117,120 | ||||||
Unicharm Corp. | 1,200 | 26,118 | ||||||
USS Co. Ltd. | 1,600 | 25,531 | ||||||
West Japan Railway Co. | 700 | 43,223 |
SHARES | VALUE (Note 4) | |||||||
Japan - 27.4% (continued) | ||||||||
Yamato Holdings Co. Ltd. | 7,200 | $ | 143,547 | |||||
Yamazaki Baking Co. Ltd. | 9,000 | 189,436 | ||||||
|
| |||||||
18,598,839 | ||||||||
|
| |||||||
Luxembourg - 0.3% | ||||||||
Millicom International Cellular SA SDR | 3,021 | 164,794 | ||||||
SES SA FDR | 361 | 10,561 | ||||||
|
| |||||||
175,355 | ||||||||
|
| |||||||
Netherlands - 1.4% | ||||||||
Koninklijke Ahold NV | 22,310 | 501,112 | ||||||
NN Group NV | 640 | 20,893 | ||||||
Randstad Holding NV | 1,989 | 110,015 | ||||||
Royal Dutch Shell plc, Class B | 8,717 | 212,126 | ||||||
Wolters Kluwer NV | 1,924 | 76,686 | ||||||
|
| |||||||
920,832 | ||||||||
|
| |||||||
Norway - 1.1% | ||||||||
Norsk Hydro ASA | 9,149 | 37,589 | ||||||
Orkla ASA | 31,744 | 287,118 | ||||||
Schibsted ASA, Class A | 1,022 | 29,817 | ||||||
Statoil ASA | 1,904 | 29,737 | ||||||
Telenor ASA | 22,825 | 369,059 | ||||||
Yara International ASA | 330 | 12,388 | ||||||
|
| |||||||
765,708 | ||||||||
|
| |||||||
Portugal - 0.1% | ||||||||
EDP - Energias de Portugal SA | 17,906 | 63,574 | ||||||
|
| |||||||
Singapore - 3.7% | ||||||||
ComfortDelGro Corp. Ltd. | 48,500 | 105,118 | ||||||
DBS Group Holdings Ltd. | 22,800 | 259,737 | ||||||
Genting Singapore plc | 28,700 | 17,768 | ||||||
Keppel Corp. Ltd. | 17,500 | 75,662 | ||||||
Oversea - Chinese Banking Corp. Ltd. | 33,500 | 219,548 | ||||||
Singapore Airlines Ltd. | 55,700 | 471,958 | ||||||
Singapore Telecommunications Ltd. | 189,200 | 535,560 | ||||||
StarHub Ltd. | 184,800 | 459,486 | ||||||
United Overseas Bank Ltd. | 13,900 | 194,433 | ||||||
Wilmar International Ltd. | 75,100 | 187,273 | ||||||
|
| |||||||
2,526,543 | ||||||||
|
| |||||||
South Africa - 0.4% | ||||||||
Mondi plc | 14,680 | 280,729 | ||||||
|
| |||||||
Spain - 1.9% | ||||||||
Banco Santander SA | 9,364 | 41,126 | ||||||
Enagas SA | 1,116 | 33,496 | ||||||
Endesa SA | 19,706 | 377,632 | ||||||
Gas Natural SDG SA | 5,248 | 105,950 | ||||||
Iberdrola SA | 55,697 | 370,773 | ||||||
Industria de Diseno Textil SA | 4,730 | 158,548 | ||||||
Mapfre SA | 10,430 | 22,447 | ||||||
Red Electrica Corp. SA | 1,415 | 122,575 | ||||||
Telefonica SA | 3,067 | 34,279 | ||||||
|
| |||||||
1,266,826 | ||||||||
|
| |||||||
Sweden - 3.2% | ||||||||
Atlas Copco AB, Class A | 2,473 | 62,066 | ||||||
Boliden AB | 2,475 | 39,480 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
89
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Sweden - 3.2% (continued) | ||||||||
Hennes & Mauritz AB, Class B | 18,065 | $ | 601,278 | |||||
ICA Gruppen AB | 3,757 | 124,175 | ||||||
Nordea Bank AB | 12,760 | 122,393 | ||||||
Skanska AB, Class B | 3,297 | 75,208 | ||||||
Svenska Cellulosa AB SCA, Class B | 3,372 | 105,175 | ||||||
Swedish Match AB | 16,642 | 564,132 | ||||||
Tele2 AB, Class B | 24,362 | 225,487 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 3,188 | 31,920 | ||||||
TeliaSonera AB | 46,084 | 238,788 | ||||||
Volvo AB, Class B | 1,214 | 13,297 | ||||||
|
| |||||||
2,203,399 | ||||||||
|
| |||||||
Switzerland - 5.3% | ||||||||
ABB Ltd. † | 4,734 | 92,225 | ||||||
Coca - Cola HBC AG † | 17,888 | 379,339 | ||||||
Kuehne + Nagel International AG | 3,258 | 463,015 | ||||||
Nestle SA | 9,035 | 674,199 | ||||||
Novartis AG | 3,246 | 234,854 | ||||||
Pargesa Holding SA | 1,238 | 78,902 | ||||||
Roche Holding AG | 2,140 | 525,456 | ||||||
Schindler Holding AG | 749 | 137,987 | ||||||
SGS SA | 71 | 149,922 | ||||||
Sika AG | 11 | 43,545 | ||||||
Sonova Holding AG | 1,847 | 235,723 | ||||||
Swatch Group AG (The) | 106 | 36,571 | ||||||
Swiss Life Holding AG † | 81 | 21,495 | ||||||
Swiss Re AG | 2,641 | 243,869 | ||||||
Swisscom AG | 229 | 124,292 | ||||||
Wolseley plc | 1,007 | 56,844 | ||||||
Zurich Insurance Group AG † | 426 | 98,794 | ||||||
|
| |||||||
3,597,032 | ||||||||
|
| |||||||
United Kingdom - 12.2% | ||||||||
Admiral Group plc | 6,597 | 187,428 | ||||||
Aggreko plc | 12,097 | 186,810 | ||||||
Associated British Foods plc | 9,925 | 476,178 | ||||||
AstraZeneca plc | 5,251 | 293,173 | ||||||
BAE Systems plc | 19,698 | 143,683 | ||||||
BP plc | 15,556 | 77,832 | ||||||
British American Tobacco plc | 7,028 | 410,969 | ||||||
BT Group plc | 69,394 | 438,165 | ||||||
Bunzl plc | 1,978 | 57,375 | ||||||
Burberry Group plc | 11,992 | 234,442 | ||||||
Centrica plc | 71,021 | 232,016 | ||||||
Compass Group plc | 11,100 | 195,675 | ||||||
Diageo plc | 13,181 | 355,413 | ||||||
easyJet plc | 4,283 | 93,219 | ||||||
GKN plc | 10,759 | 44,546 | ||||||
GlaxoSmithKline plc | 11,822 | 239,316 | ||||||
HSBC Holdings plc | 89,959 | 559,452 | ||||||
Imperial Brands plc | 2,257 | 124,964 | ||||||
International Consolidated Airlines Group SA | 1,651 | 13,137 | ||||||
J Sainsbury plc | 42,531 | 168,537 | ||||||
Kingfisher plc | 53,326 | 287,619 | ||||||
Marks & Spencer Group plc | 8,530 | 49,707 | ||||||
National Grid plc | 41,381 | 585,515 | ||||||
Next plc | 481 | 37,249 |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 12.2% (continued) | ||||||||
Pearson plc | 795 | $ | 9,963 | |||||
Reckitt Benckiser Group plc | 3,433 | 331,136 | ||||||
Royal Mail plc | 86,801 | 598,544 | ||||||
Sage Group plc (The) | 3,363 | 30,322 | ||||||
Sky plc | 13,247 | 194,659 | ||||||
Smith & Nephew plc | 27,263 | 448,552 | ||||||
SSE plc | 22,337 | 478,018 | ||||||
Standard Chartered plc | 3,780 | 25,564 | ||||||
Tate & Lyle plc | 5,428 | 44,988 | ||||||
Travis Perkins plc | 2,417 | 63,315 | ||||||
Unilever NV CVA | 3,728 | 167,606 | ||||||
United Utilities Group plc | 2,762 | 36,561 | ||||||
Whitbread plc | 1,298 | 73,683 | ||||||
Wm Morrison Supermarkets plc | 19,883 | 56,624 | ||||||
WPP plc | 10,025 | 233,337 | ||||||
|
| |||||||
8,285,292 | ||||||||
|
| |||||||
United States - 0.1% | ||||||||
Thomson Reuters Corp. (1) | 1,526 | 61,827 | ||||||
|
| |||||||
TOTAL COMMON STOCKS (cost $64,250,871) | 65,475,311 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.2% | ||||||||
Germany - 0.2% | ||||||||
Henkel AG & Co. KGaA | ||||||||
(cost $133,153) | 1,444 | 158,851 | ||||||
|
| |||||||
EXCHANGE TRADED FUND - 2.9% iShares MSCI EAFE Fund (1) | ||||||||
(cost $1,846,745) | 34,053 | 1,945,448 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT - 26.3% | ||||||||
Investment Company - 26.3% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (b) | ||||||||
(cost $17,864,157) | 17,864,157 | 17,864,157 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 85,443,767 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (25.9%) | (17,558,696) | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 67,885,071 | |||||
|
|
† | Non-income producing security. |
(a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser 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. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
90
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE 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:
144A - Restricted Security
CVA - Dutch Certificate of Shares
FDR - Fiduciary Depositary Receipt
SDR - Swedish Depository Receipt
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 7,439,555 | 11.0 | % | ||||
Consumer Staples | 12,651,746 | 18.5 | ||||||
Energy | 1,669,655 | 2.5 | ||||||
Exchange Traded Fund | 1,945,448 | 2.9 | ||||||
Financials | 7,741,392 | 11.4 | ||||||
Health Care | 6,985,555 | 10.3 | ||||||
Industrials | 9,811,399 | 14.5 | ||||||
Information Technology | 2,969,383 | 4.4 | ||||||
Materials | 3,464,351 | 5.1 | ||||||
Telecommunication Services | 5,856,528 | 8.6 | ||||||
Utilities | 7,044,598 | 10.4 | ||||||
Short-Term Investment | 17,864,157 | 26.3 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 85,443,767 | 125.9 | ||||||
Liabilities in Excess of Other Assets | (17,558,696 | ) | (25.9 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 67,885,071 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
91
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING DEFENSIVE STYLE FUND |
COMMON STOCKS - 91.5% | SHARES | VALUE (Note 4) | ||||||
Brazil - 5.9% | ||||||||
Ambev SA ADR (1) | 91,200 | $ | 472,416 | |||||
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros (1) | 9,900 | 42,126 | ||||||
BRF SA (1) | 9,400 | 134,295 | ||||||
Cia Energetic a de Minas Gerais ADR (1) | 25,021 | 56,548 | ||||||
Cia Paranaense de Energia ADR (1) | 2,663 | 21,091 | ||||||
Equatorial Energia SA (1) | 3,700 | 42,066 | ||||||
Localiza Rent a Car SA (1) | 28,810 | 237,890 | ||||||
Lojas Renner SA (1) | 3,000 | 17,404 | ||||||
Natura Cosmeticos SA (1) | 17,100 | 127,121 | ||||||
Odontoprev SA (1) | 170,900 | 542,789 | ||||||
Qualicorp SA (1)† | 13,400 | 55,528 | ||||||
Telefonica Brasil SA ADR (1) | 3,051 | 38,107 | ||||||
Tim Participacoes SA ADR (1) | 16,505 | 182,545 | ||||||
TOTVS SA (1) | 8,100 | 60,328 | ||||||
Tractebel Energia SA (1) | 31,200 | 317,584 | ||||||
Ultrapar Participacoes SA (1) | 6,000 | 116,174 | ||||||
WEG SA (1) | 34,580 | 133,775 | ||||||
|
| |||||||
2,597,787 | ||||||||
|
| |||||||
Chile - 4.2% | ||||||||
Banco de Chile (1) | 5,079,374 | 546,228 | ||||||
Banco Santander Chile ADR (1) | 3,091 | 59,811 | ||||||
Cia Cervecerias Unidas SA ADR (1) | 5,599 | 125,697 | ||||||
Empresa Nacional de Electricidad SA ADR (1)(a) | 7,636 | 317,734 | ||||||
Empresas COPEC SA (1) | 19,020 | 182,083 | ||||||
Enersis Americas SA ADR (1) | 25,630 | 356,257 | ||||||
SACI Falabella (1) | 33,111 | 231,243 | ||||||
|
| |||||||
1,819,053 | ||||||||
|
| |||||||
China - 8.2% | ||||||||
Agricultural Bank of China Ltd., Class H | 427,000 | 153,617 | ||||||
Anhui Conch Cement Co. Ltd., Class H | 10,000 | 26,834 | ||||||
ANTA Sports Products Ltd. | 151,000 | 332,418 | ||||||
Bank of China Ltd., Class H | 106,000 | 44,008 | ||||||
Bank of Communications Co. Ltd., Class H | 158,000 | 103,959 | ||||||
Beijing Capital International Airport Co. Ltd., Class H | 70,000 | 74,761 | ||||||
Belle International Holdings Ltd. | 393,000 | 227,816 | ||||||
China Communications Services Corp. Ltd., Class H | 1,018,000 | 464,839 | ||||||
China Construction Bank Corp., Class H | 391,000 | 250,300 | ||||||
China Galaxy Securities Co. Ltd., Class H | 77,000 | 74,994 | ||||||
China Life Insurance Co. Ltd., Class H | 34,000 | 83,546 | ||||||
China Petroleum & Chemical Corp., Class H | 22,000 | 14,291 | ||||||
China Telecom Corp. Ltd., Class H | 314,000 | 166,239 | ||||||
Chongqing Rural Commercial Bank Co. Ltd., Class H | 23,000 | 12,176 | ||||||
CSPC Pharmaceutical Group Ltd. | 160,000 | 144,825 | ||||||
Dongfeng Motor Group Co. Ltd., Class H | 58,000 | 72,534 | ||||||
ENN Energy Holdings Ltd. | 36,000 | 197,862 | ||||||
Hengan International Group Co. Ltd. | 14,500 | 126,293 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 301,000 | 168,612 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 148,000 | 199,309 | ||||||
Luye Pharma Group Ltd. † | 127,500 | 98,623 | ||||||
Shenzhou International Group Holdings Ltd. | 9,000 | 49,028 |
SHARES | VALUE (Note 4) | |||||||
China - 8.2% (continued) | ||||||||
Sinopec Engineering Group Co. Ltd., Class H | 162,500 | $ | 131,504 | |||||
Tsingtao Brewery Co. Ltd., Class H | 34,000 | 129,412 | ||||||
Want Want China Holdings Ltd. (a) | 110,000 | 81,566 | ||||||
Weichai Power Co. Ltd., Class H | 70,000 | 78,418 | ||||||
Zhejiang Expressway Co. Ltd., Class H | 36,000 | 38,632 | ||||||
ZHuzhou CRRC Times Electric Co. Ltd., Class H | 4,500 | 26,300 | ||||||
|
| |||||||
3,572,716 | ||||||||
|
| |||||||
Hong Kong - 4.7% | ||||||||
China Gas Holdings Ltd. | 30,000 | 44,279 | ||||||
China Mobile Ltd. | 50,500 | 559,286 | ||||||
China Resources Gas Group Ltd. | 80,000 | 228,483 | ||||||
China Resources Power Holdings Co. Ltd. | 30,000 | 56,083 | ||||||
CITIC Ltd. | 29,000 | 44,123 | ||||||
Guangdong Investment Ltd. | 438,000 | 553,836 | ||||||
Haier Electronics Group Co. Ltd. | 60,000 | 104,606 | ||||||
Sino Biopharmaceutical Ltd. | 360,000 | 270,091 | ||||||
Sun Art Retail Group Ltd. | 255,500 | 181,170 | ||||||
|
| |||||||
2,041,957 | ||||||||
|
| |||||||
India - 9.3% | ||||||||
Dr. Reddy’s Laboratories Ltd. ADR (1) | 12,142 | 548,697 | ||||||
ICICI Bank Ltd. ADR (1) | 97,508 | 698,157 | ||||||
Infosys Ltd. ADR (1) | 32,879 | 625,359 | ||||||
Larsen & Toubro Ltd. GDR | 11,574 | 212,288 | ||||||
Reliance Industries Ltd. GDR 144A (b) | 18,452 | 565,146 | ||||||
State Bank of India GDR | 14,671 | 430,389 | ||||||
Tata Motors Ltd. ADR (1) † | 13,174 | 382,705 | ||||||
Wipro Ltd. ADR (1)(a) | 47,381 | 596,053 | ||||||
|
| |||||||
4,058,794 | ||||||||
|
| |||||||
Indonesia - 2.5% | ||||||||
Bank Central Asia Tbk. PT | 119,600 | 119,908 | ||||||
Kalbe Farma Tbk. PT | 2,844,500 | 309,734 | ||||||
Semen Indonesia Persero Tbk. PT | 43,000 | 32,958 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 1,345,200 | 339,077 | ||||||
Unilever Indonesia Tbk. PT | 85,000 | 274,995 | ||||||
United Tractors Tbk. PT | 11,100 | 12,804 | ||||||
|
| |||||||
1,089,476 | ||||||||
|
| |||||||
Korea, Republic of - 14.3% | ||||||||
Amorepacific Corp. | 384 | 129,858 | ||||||
BGF retail Co. Ltd. | 1,307 | 187,441 | ||||||
Cheil Worldwide, Inc. | 9,723 | 144,667 | ||||||
Coway Co. Ltd. | 2,741 | 230,866 | ||||||
Dongbu Insurance Co. Ltd. | 7,524 | 500,408 | ||||||
Hanmi Science Co. Ltd. | 897 | 116,725 | ||||||
Hanon Systems | 25,184 | 202,893 | ||||||
Hanssem Co. Ltd. | 228 | 44,539 | ||||||
Hanwha Life Insurance Co. Ltd. | 51,780 | 303,485 | ||||||
Hyundai Glovis Co. Ltd. | 583 | 96,212 | ||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 20,328 | 590,458 | ||||||
Kangwon Land, Inc. | 7,350 | 262,749 | ||||||
KB Financial Group, Inc. | 1,404 | 38,985 | ||||||
KEPCO Plant Service & Engineering Co. Ltd. | 1,770 | 99,201 | ||||||
Kia Motors Corp. | 10,074 | 425,536 | ||||||
Korea Electric Power Corp. | 3,124 | 163,652 | ||||||
Korea Zinc Co. Ltd. | 41 | 17,279 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
92
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Korea, Republic of - 14.3% (continued) | ||||||||
KT Corp. | 1,517 | $ | 39,410 | |||||
KT&G Corp. | 2,251 | 216,749 | ||||||
LG Chem Ltd. | 395 | 113,362 | ||||||
LG Display Co. Ltd. | 1,880 | 43,524 | ||||||
LG Household & Health Care Ltd. | 112 | 92,608 | ||||||
LG Uplus Corp. | 26,249 | 253,680 | ||||||
NAVER Corp. | 305 | 169,967 | ||||||
NCSoft Corp. | 838 | 185,923 | ||||||
Ottogi Corp. | 11 | 8,735 | ||||||
S-1 Corp. | 5,137 | 397,401 | ||||||
Samsung Electronics Co. Ltd. | 295 | 338,544 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 1,018 | 262,915 | ||||||
Samsung Life Insurance Co. Ltd. | 2,063 | 212,233 | ||||||
Samsung SDS Co. Ltd. | 520 | 79,607 | ||||||
SK Hynix, Inc. | 601 | 14,795 | ||||||
SK Telecom Co. Ltd. | 960 | 173,961 | ||||||
Yuhan Corp. | 336 | 82,405 | ||||||
|
| |||||||
6,240,773 | ||||||||
|
| |||||||
Malaysia - 8.3% | ||||||||
Axiata Group Bhd. | 48,700 | 73,506 | ||||||
British American Tobacco Malaysia Bhd. | 16,200 | 224,319 | ||||||
DiGi.Com Bhd. | 207,100 | 262,256 | ||||||
Genting Malaysia Bhd. | 32,900 | 38,276 | ||||||
Hartalega Holdings Bhd. | 48,800 | 60,697 | ||||||
Hong Leong Bank Bhd. | 29,100 | 100,763 | ||||||
IHH Healthcare Bhd. | 180,400 | 303,219 | ||||||
IOI Corp. Bhd. | 13,300 | 15,585 | ||||||
Malayan Banking Bhd. | 103,800 | 239,905 | ||||||
Maxis Bhd. | 140,000 | 227,801 | ||||||
MISC Bhd. | 61,600 | 140,500 | ||||||
Petronas Dagangan Bhd. | 38,900 | 240,199 | ||||||
Petronas Gas Bhd. | 92,900 | 523,721 | ||||||
Public Bank Bhd. | 52,900 | 254,529 | ||||||
Telekom Malaysia Bhd. | 254,600 | 430,533 | ||||||
Tenaga Nasional Bhd. | 41,000 | 146,476 | ||||||
Westports Holdings Bhd. | 316,300 | 334,576 | ||||||
|
| |||||||
3,616,861 | ||||||||
|
| |||||||
Malta - 0.0% (c) | ||||||||
Brait SE † | 1,548 | 17,497 | ||||||
|
| |||||||
Mexico - 6.2% | ||||||||
America Movil SAB de CV, Class L ADR (1) | 1,212 | 18,822 | ||||||
Arca Continental SAB de CV (1) | 72,700 | 502,546 | ||||||
Coca-Cola Femsa SAB de CV ADR (1) | 1,215 | 100,906 | ||||||
El Puerto de Liverpool SAB de CV (1) | 13,755 | 162,619 | ||||||
Gentera SAB de CV (1) | 16,700 | 32,826 | ||||||
Gruma SAB de CV, Class B (1) | 19,100 | 302,588 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV ADR (1) | 2,853 | 253,090 | ||||||
Grupo Aeroportuario del Sureste SAB de CV ADR (1)(a) | 769 | 115,481 | ||||||
Grupo Bimbo SAB de CV, Series A (1)† | 27,400 | 80,992 | ||||||
Grupo Financiero Inbursa SAB de CV, Class O (1)(a) | 16,900 | 33,737 | ||||||
Grupo Lala SAB de CV (1) | 146,000 | 397,848 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A (1) | 38,300 | 92,152 |
SHARES | VALUE (Note 4) | |||||||
Mexico - 6.2% (continued) | ||||||||
Promotora y Operadora de Infraestructura SAB de CV (1) | 5,000 | $ | 66,481 | |||||
Wal-Mart de Mexico SAB de CV (1) | 233,000 | 552,927 | ||||||
|
| |||||||
2,713,015 | ||||||||
|
| |||||||
Poland - 3.7% | ||||||||
Bank Pekao SA | 9,562 | 421,572 | ||||||
Bank Zachodni WBK SA † | 492 | 40,396 | ||||||
Energa SA | 50,013 | 175,431 | ||||||
Eurocash SA | 2,410 | 34,420 | ||||||
LPP SA | 18 | 26,497 | ||||||
Orange Polska SA | 60,177 | 108,562 | ||||||
PGE Polska Grupa Energetyczna SA | 100,796 | 376,886 | ||||||
Polski Koncern Naftowy Orlen SA | 6,848 | 135,462 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 30,228 | 43,031 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA † | 5,747 | 42,747 | ||||||
Powszechny Zaklad Ubezpieczen SA | 21,850 | 207,941 | ||||||
|
| |||||||
1,612,945 | ||||||||
|
| |||||||
South Africa - 7.8% | ||||||||
Barclays Africa Group Ltd. (a) | 1,394 | 14,081 | ||||||
Bidvest Group Ltd. (The) | 16,896 | 426,389 | ||||||
Mr Price Group Ltd. | 15,404 | 184,921 | ||||||
Nedbank Group Ltd. | 5,788 | 75,952 | ||||||
Netcare Ltd. | 80,072 | 195,661 | ||||||
Pick n Pay Stores Ltd. | 131,263 | 623,751 | ||||||
RMB Holdings Ltd. | 69,000 | 285,719 | ||||||
Sasol Ltd. | 849 | 25,194 | ||||||
Shoprite Holdings Ltd. | 26,846 | 315,117 | ||||||
SPAR Group Ltd. (The) | 20,243 | 272,723 | ||||||
Tiger Brands Ltd. | 8,525 | 187,516 | ||||||
Truworths International Ltd. | 60,093 | 399,178 | ||||||
Vodacom Group Ltd. | 37,260 | 404,722 | ||||||
|
| |||||||
3,410,924 | ||||||||
|
| |||||||
Taiwan - 11.6% | ||||||||
Advantech Co. Ltd. | 27,000 | 198,410 | ||||||
Asia Cement Corp. | 32,000 | 29,238 | ||||||
Asustek Computer, Inc. | 32,000 | 287,148 | ||||||
Chang Hwa Commercial Bank Ltd. | 152,000 | 77,927 | ||||||
Cheng Shin Rubber Industry Co. Ltd. | 16,000 | 32,160 | ||||||
Chicony Electronics Co. Ltd. | 7,000 | 18,010 | ||||||
Chunghwa Telecom Co. Ltd. | 169,600 | 577,095 | ||||||
E.Sun Financial Holding Co. Ltd. | 135,000 | 75,494 | ||||||
Far EasTone Telecommunications Co. Ltd. † | 256,000 | 573,356 | ||||||
Feng TAY Enterprise Co. Ltd. | 15,000 | 79,693 | ||||||
First Financial Holding Co. Ltd. | 407,975 | 201,503 | ||||||
Formosa Petrochemical Corp. | 6,000 | 17,240 | ||||||
Fubon Financial Holding Co. Ltd. | 71,000 | 90,432 | ||||||
Hon Hai Precision Industry Co. Ltd. | 40,530 | 106,685 | ||||||
HTC Corp. | 29,000 | 82,935 | ||||||
Hua Nan Financial Holdings Co. Ltd. | 399,000 | 198,334 | ||||||
Lite-On Technology Corp. | 30,869 | 37,657 | ||||||
MediaTek, Inc. | 5,000 | 38,354 | ||||||
Mega Financial Holding Co. Ltd. | 518,000 | 368,430 | ||||||
Novatek Microelectronics Corp. | 11,000 | 44,280 | ||||||
President Chain Store Corp. | 81,000 | 589,903 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
93
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Taiwan - 11.6% (continued) | ||||||||
Realtek Semiconductor Corp. | 62,442 | $ | 171,648 | |||||
Standard Foods Corp. | 8,000 | 19,841 | ||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 288,000 | 128,890 | ||||||
Taiwan Mobile Co. Ltd. | 177,000 | 574,643 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (1) | 5,425 | 142,135 | ||||||
Teco Electric and Machinery Co. Ltd. | 21,000 | 17,120 | ||||||
Uni-President Enterprises Corp. | 176,172 | 309,369 | ||||||
|
| |||||||
5,087,930 | ||||||||
|
| |||||||
Thailand - 2.9% | ||||||||
Advanced Info Service PCL NVDR | 55,700 | 288,037 | ||||||
Airports of Thailand PCL NVDR | 3,800 | 43,382 | ||||||
Bangkok Bank PCL NVDR | 17,300 | 88,437 | ||||||
Bangkok Dusit Medical Services PCL NVDR | 62,300 | 41,389 | ||||||
BTS Group Holdings PCL NVDR | 975,800 | 248,200 | ||||||
Bumrungrad Hospital PCL NVDR | 35,200 | 211,926 | ||||||
Delta Electronics Thailand PCL NVDR | 42,300 | 104,515 | ||||||
Home Product Center PCL NVDR | 442,300 | 103,669 | ||||||
Siam Cement PCL (The) NVDR | 7,700 | 101,869 | ||||||
Siam Commercial Bank PCL (The) NVDR | 4,300 | 17,209 | ||||||
|
| |||||||
1,248,633 | ||||||||
|
| |||||||
Turkey - 1.9% | ||||||||
BIM Birlesik Magazalar A/S | 21,734 | 471,256 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 15,749 | 23,709 | ||||||
Turk Telekomunikasyon A/S | 118,691 | 281,372 | ||||||
Turkcell Iletisim Hizmetleri A/S | 15,348 | 64,490 | ||||||
|
| |||||||
840,827 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 39,969,188 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.1% | ||||||||
Brazil - 0.1% | ||||||||
Cia Energetica de Sao Paulo, Series B (1) | ||||||||
(cost $151,410) | 15,800 | 69,604 | ||||||
|
| |||||||
RIGHTS - 0.0% (c) | ||||||||
Taiwan - 0.0% (c) | ||||||||
Fubon Financial Holding Co. Ltd. (3)†(d) | ||||||||
(cost $—) | 3,122 | — | ||||||
|
| |||||||
SHORT-TERM INVESTMENT - 7.2% | ||||||||
Investment Company - 7.2% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (e) | ||||||||
(cost $3,143,051) | 3,143,051 | 3,143,051 | ||||||
|
|
SECURITIES LENDING COLLATERAL - 2.5% | SHARES | VALUE (Note 4) | ||||||
Money Market Funds - 2.5% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
Dreyfus Treasury Cash Management, 0.180% (e)(f) | ||||||||
(cost $1,100,322) | 1,100,322 | $ | 1,100,322 | |||||
|
| |||||||
TOTAL INVESTMENTS IN | 44,282,165 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.3%) (g) | (589,407) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 43,692,758 | ||||||
|
|
† | Non-income producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $1,068,454; cash collateral of $1,100,322 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 Adviser 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) | Security fair valued as of March 31, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets. |
(e) | Represents annualized seven-day yield as of the close of the reporting period. |
(f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(g) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 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
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
94
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR EMERGING DEFENSIVE STYLE FUND |
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 3,756,018 | 8.6 | % | ||||
Consumer Staples | 7,382,116 | 16.9 | ||||||
Energy | 1,338,819 | 3.1 | ||||||
Financials | 7,710,636 | 17.6 | ||||||
Health Care | 2,982,310 | 6.8 | ||||||
Industrials | 3,427,835 | 7.8 | ||||||
Information Technology | 3,345,876 | 7.7 | ||||||
Materials | 345,248 | 0.8 | ||||||
Telecommunication Services | 6,102,341 | 14.0 | ||||||
Utilities | 3,647,593 | 8.3 | ||||||
Short-Term Investment | 3,143,051 | 7.2 | ||||||
Securities Lending Collateral | 1,100,322 | 2.5 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 44,282,165 | 101.3 | ||||||
Liabilities in Excess of Other Assets (g) | (589,407 | ) | (1.3 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 43,692,758 | 100.0 | % | ||||
|
|
|
|
Open futures contracts outstanding at March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
71 | J.P. Morgan | E-Mini MSCI Emerging Markets Index Futures | 06/2016 | $ | 2,842,750 | $ | 2,960,345 | $ | 117,595 | |||||||||
|
|
|
|
|
|
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
J.P. Morgan | ||||||||||||
Cash | $— | $(6,083 | ) | $(6,083 | ) | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
95
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR GLOBAL EQUITY FUND |
COMMON STOCKS - 86.5% | SHARES | VALUE (Note 4) | ||||||
Australia - 1.8% | ||||||||
AMP Ltd. | 23,185 | $ | 102,769 | |||||
ASX Ltd. | 1,555 | 49,327 | ||||||
BGP Holdings plc (3)†(a) | 96,388 | 5,471 | ||||||
BHP Billiton Ltd. | 25,910 | 334,804 | ||||||
BHP Billiton plc | 15,499 | 173,564 | ||||||
CIMIC Group Ltd. | 24,131 | 642,022 | ||||||
Computershare Ltd. | 3,819 | 28,584 | ||||||
Flight Centre Travel Group Ltd. | 7,703 | 255,130 | ||||||
Goodman Group REIT | 14,552 | 74,423 | ||||||
GPT Group (The) REIT | 26,059 | 99,761 | ||||||
Harvey Norman Holdings Ltd. | 34,102 | 122,678 | ||||||
LendLease Group | 5,111 | 54,259 | ||||||
Macquarie Group Ltd. | 11,924 | 603,523 | ||||||
Mirvac Group REIT | 58,782 | 87,097 | ||||||
National Australia Bank Ltd. | 6,139 | 123,265 | ||||||
Newcrest Mining Ltd. † | 6,113 | 79,108 | ||||||
Qantas Airways Ltd. † | 100,031 | 312,232 | ||||||
QBE Insurance Group Ltd. | 36,546 | 305,404 | ||||||
Santos Ltd. | 36,256 | 112,339 | ||||||
Scentre Group REIT | 45,297 | 154,191 | ||||||
Stockland REIT | 30,661 | 100,311 | ||||||
Telstra Corp. Ltd. | 35,604 | 145,299 | ||||||
Vicinity Centres REIT | 25,986 | 63,511 | ||||||
Westfield Corp. REIT | 15,829 | 121,198 | ||||||
|
| |||||||
4,150,270 | ||||||||
|
| |||||||
Belgium - 0.7% | ||||||||
Ageas | 18,040 | 713,957 | ||||||
Delhaize Group | 963 | 100,365 | ||||||
KBC Groep NV | 8,368 | 430,933 | ||||||
Proximus | 12,373 | 422,222 | ||||||
|
| |||||||
1,667,477 | ||||||||
|
| |||||||
Canada - 2.1% | ||||||||
Alimentation Couche-Tard, Inc., Class B (1) | 1,751 | 77,927 | ||||||
Barrick Gold Corp. (1) | 5,747 | 78,057 | ||||||
BlackBerry Ltd. (1) † | 10,102 | 81,983 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 7,203 | 250,517 | ||||||
Cameco Corp. (1) | 70,616 | 906,386 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 1,100 | 114,502 | ||||||
CGI Group, Inc., Class A (1) † | 8,973 | 428,839 | ||||||
Constellation Software, Inc. (1) | 1,254 | 513,466 | ||||||
Crescent Point Energy Corp. (1) | 3,000 | 41,532 | ||||||
Dollarama, Inc. (1) | 8,200 | 577,015 | ||||||
Great-West Lifeco, Inc. (1) | 2,245 | 61,780 | ||||||
Husky Energy, Inc. (1) | 8,390 | 104,459 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. (1) | 8,697 | 262,500 | ||||||
Magna International, Inc. (1) | 11,914 | 512,153 | ||||||
Power Corp. of Canada (1) | 2,746 | 63,346 | ||||||
RioCan REIT (1) | 4,073 | 83,420 | ||||||
SNC-Lavalin Group, Inc. (1) | 4,468 | 163,239 | ||||||
Suncor Energy, Inc. (1) | 24,644 | 686,332 | ||||||
|
| |||||||
5,007,453 | ||||||||
|
| |||||||
China - 0.1% | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 158,300 | 114,972 | ||||||
|
|
SHARES | VALUE (Note 4) | |||||||
Denmark - 0.8% | ||||||||
Danske Bank A/S | 2,579 | $ | 72,780 | |||||
DSV A/S | 6,183 | 257,177 | ||||||
ISS A/S | 12,344 | 495,078 | ||||||
Novo Nordisk A/S, Class B | 3,469 | 187,859 | ||||||
Pandora A/S | 1,608 | 210,226 | ||||||
TDC A/S | 67,073 | 327,823 | ||||||
Vestas Wind Systems A/S | 4,052 | 285,503 | ||||||
|
| |||||||
1,836,446 | ||||||||
|
| |||||||
Finland - 0.4% | ||||||||
Nokia OYJ | 31,442 | 186,521 | ||||||
Nokian Renkaat OYJ | 4,820 | 170,052 | ||||||
Orion OYJ, Class B | 20,763 | 685,374 | ||||||
|
| |||||||
1,041,947 | ||||||||
|
| |||||||
France - 3.9% | ||||||||
Airbus Group SE | 989 | 65,529 | ||||||
Atos SE | 9,837 | 798,948 | ||||||
AXA SA | 3,903 | 91,520 | ||||||
Cap Gemini SA | 11,987 | 1,124,434 | ||||||
CNP Assurances | 5,586 | 86,989 | ||||||
Klepierre REIT | 1,740 | 83,116 | ||||||
Lagardere SCA | 2,860 | 75,860 | ||||||
Numericable-SFR SA | 4,619 | 193,986 | ||||||
Orange SA | 71,507 | 1,248,721 | ||||||
Peugeot SA † | 51,532 | 881,611 | ||||||
Sanofi | 13,275 | 1,067,254 | ||||||
SCOR SE | 17,040 | 600,761 | ||||||
Societe BIC SA | 1,377 | 206,901 | ||||||
Societe Generale SA | 25,651 | 947,856 | ||||||
Thales SA | 4,673 | 408,349 | ||||||
TOTAL SA | 2,895 | 131,726 | ||||||
Unibail-Rodamco SE REIT | 1,072 | 294,002 | ||||||
Valeo SA | 1,605 | 249,575 | ||||||
Vinci SA | 8,362 | 620,662 | ||||||
|
| |||||||
9,177,800 | ||||||||
|
| |||||||
Germany - 2.8% | ||||||||
Allianz SE | 2,889 | 469,188 | ||||||
Commerzbank AG † | 21,503 | 186,572 | ||||||
Deutsche Boerse AG | 1,565 | 133,250 | ||||||
Deutsche Lufthansa AG † | 42,845 | 691,493 | ||||||
Evonik Industries AG | 17,976 | 537,614 | ||||||
Fresenius SE & Co. KGaA | 2,383 | 173,703 | ||||||
Hannover Rueck SE | 6,568 | 763,348 | ||||||
Infineon Technologies AG | 9,616 | 136,339 | ||||||
METRO AG | 14,938 | 462,083 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 3,761 | 763,274 | ||||||
OSRAM Licht AG | 29,266 | 1,504,442 | ||||||
ProSiebenSat.1 Media SE | 1,899 | 97,485 | ||||||
SAP SE | 6,389 | 514,113 | ||||||
Siemens AG | 1,576 | 166,679 | ||||||
|
| |||||||
6,599,583 | ||||||||
|
| |||||||
Hong Kong - 1.2% | ||||||||
AIA Group Ltd. | 28,800 | 163,700 | ||||||
ASM Pacific Technology Ltd. | 1,882 | 14,816 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 4,749 | 46,442 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
96
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
Hong Kong - 1.2% (continued) | ||||||||
Cheung Kong Property Holdings Ltd. | 30,201 | $ | 194,624 | |||||
Hong Kong Exchanges and Clearing Ltd. | 9,069 | 218,528 | ||||||
Kerry Properties Ltd. | 107,500 | 295,153 | ||||||
Li & Fung Ltd. | 162,000 | 95,977 | ||||||
Link REIT | 18,829 | 111,856 | ||||||
New World Development Co. Ltd. | 292,000 | 278,693 | ||||||
NWS Holdings Ltd. | 12,500 | 19,934 | ||||||
PCCW Ltd. | 32,406 | 20,990 | ||||||
Sino Land Co. Ltd. | 210,000 | 333,572 | ||||||
SJM Holdings Ltd. | 92,000 | 65,819 | ||||||
Techtronic Industries Co. Ltd. | 52,500 | 207,978 | ||||||
WH Group Ltd. 144A †(b) | 376,500 | 272,289 | ||||||
Wheelock & Co. Ltd. | 24,000 | 107,243 | ||||||
Yue Yuen Industrial Holdings Ltd. | 81,123 | 278,903 | ||||||
|
| |||||||
2,726,517 | ||||||||
|
| |||||||
Ireland - 0.4% | ||||||||
Accenture plc, Class A (1) | 1,527 | 176,216 | ||||||
Alkermes plc (1) † | 6,991 | 239,022 | ||||||
Shire plc | 3,320 | 189,355 | ||||||
XL Group plc (1) | 11,936 | 439,245 | ||||||
|
| |||||||
1,043,838 | ||||||||
|
| |||||||
Italy - 1.0% | ||||||||
Banco Popolare SC † | 14,108 | 96,876 | ||||||
Enel SpA | 99,254 | 440,015 | ||||||
Eni SpA | 25,793 | 389,544 | ||||||
Ferrari NV † | 1,083 | 44,981 | ||||||
Finmeccanica SpA † | 10,682 | 135,261 | ||||||
Mediobanca SpA | 50,589 | 363,814 | ||||||
Prysmian SpA | 33,189 | 750,913 | ||||||
UniCredit SpA | 64,595 | 232,865 | ||||||
|
| |||||||
2,454,269 | ||||||||
|
| |||||||
Japan - 7.9% | ||||||||
Aeon Mall Co. Ltd. | 1,100 | 16,275 | ||||||
Alps Electric Co. Ltd. | 12,700 | 221,604 | ||||||
Astellas Pharma, Inc. | 31,400 | 417,291 | ||||||
Bandai Namco Holdings, Inc. | 17,700 | 385,832 | ||||||
Chubu Electric Power Co., Inc. | 15,000 | 209,330 | ||||||
Daiichi Sankyo Co. Ltd. | 7,700 | 170,903 | ||||||
Daito Trust Construction Co. Ltd. | 686 | 97,300 | ||||||
Daiwa House Industry Co. Ltd. | 4,151 | 116,678 | ||||||
East Japan Railway Co. | 712 | 61,417 | ||||||
Fuji Heavy Industries Ltd. | 13,833 | 488,488 | ||||||
FUJIFILM Holdings Corp. | 9,744 | 385,154 | ||||||
Fujitsu Ltd. | 17,115 | 63,287 | ||||||
Hachijuni Bank Ltd. (The) | 20,000 | 86,162 | ||||||
Hakuhodo DY Holdings, Inc. | 11,200 | 126,804 | ||||||
Hitachi Chemical Co. Ltd. | 6,100 | 109,616 | ||||||
Hitachi High-Technologies Corp. | 6,758 | 190,244 | ||||||
Hokuhoku Financial Group, Inc. | 48,000 | 63,071 | ||||||
Hoya Corp. | 4,606 | 175,077 | ||||||
Hulic Co. Ltd. | 2,600 | 24,791 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 6,500 | 75,885 | ||||||
Japan Airlines Co. Ltd. | 10,800 | 395,928 | ||||||
Japan Real Estate Investment Corp. REIT | 17 | 98,139 | ||||||
Japan Retail Fund Investment Corp. REIT | 37 | 88,835 | ||||||
Japan Tobacco, Inc. | 9,300 | 387,091 |
SHARES | VALUE (Note 4) | |||||||
Japan - 7.9% (continued) | ||||||||
JTEKT Corp. | 7,688 | $ | 99,763 | |||||
Kamigumi Co. Ltd. | 8,000 | 75,258 | ||||||
Kaneka Corp. | 21,000 | 179,819 | ||||||
Kao Corp. | 1,600 | 85,315 | ||||||
Konami Holdings Corp. | 12,700 | 375,338 | ||||||
Konica Minolta, Inc. | 41,300 | 350,290 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 15,400 | 245,736 | ||||||
Mazda Motor Corp. | 17,600 | 273,184 | ||||||
Medipal Holdings Corp. | 5,700 | 90,161 | ||||||
MEIJI Holdings Co. Ltd. | 7,600 | 610,727 | ||||||
Mitsubishi Electric Corp. | 27,000 | 282,904 | ||||||
Mitsubishi Estate Co. Ltd. | 9,764 | 181,220 | ||||||
Mitsubishi Motors Corp. | 57,900 | 432,219 | ||||||
Mitsubishi Tanabe Pharma Corp. | 9,900 | 172,019 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 61,649 | 285,657 | ||||||
Mitsui Chemicals, Inc. | 129,000 | 429,394 | ||||||
Mitsui Fudosan Co. Ltd. | 7,598 | 189,248 | ||||||
Mixi, Inc. | 12,400 | 459,885 | ||||||
Mizuho Financial Group, Inc. | 115,400 | 171,979 | ||||||
MS&AD Insurance Group Holdings, Inc. | 21,100 | 588,084 | ||||||
Nexon Co. Ltd. | 42,300 | 721,401 | ||||||
NHK Spring Co. Ltd. | 51,800 | 495,350 | ||||||
Nintendo Co. Ltd. | 1,400 | 199,008 | ||||||
Nippon Building Fund, Inc. REIT | 12 | 71,038 | ||||||
Nippon Express Co. Ltd. | 81,000 | 368,265 | ||||||
Nippon Telegraph & Telephone Corp. | 9,996 | 431,802 | ||||||
Nippon Yusen KK | 101,000 | 194,760 | ||||||
Nitto Denko Corp. | 1,500 | 83,585 | ||||||
Nomura Holdings, Inc. | 12,800 | 57,169 | ||||||
Nomura Real Estate Holdings, Inc. | 1,700 | 31,382 | ||||||
NTT DOCOMO, Inc. | 9,200 | 209,129 | ||||||
Obayashi Corp. | 10,600 | 104,480 | ||||||
ORIX Corp. | 22,090 | 314,633 | ||||||
Otsuka Corp. | 2,800 | 147,703 | ||||||
Panasonic Corp. | 42,200 | 382,196 | ||||||
Resona Holdings, Inc. | 106,100 | 378,303 | ||||||
Santen Pharmaceutical Co. Ltd. | 15,200 | 228,463 | ||||||
Sekisui House Ltd. | 5,000 | 84,358 | ||||||
Shimadzu Corp. | 11,000 | 172,573 | ||||||
Shimamura Co. Ltd. | 600 | 74,899 | ||||||
Shionogi & Co. Ltd. | 12,700 | 596,915 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 5,400 | 153,044 | ||||||
Sony Corp. | 21,000 | 539,934 | ||||||
Sumitomo Chemical Co. Ltd. | 76,000 | 344,007 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 8,349 | 253,456 | ||||||
Sumitomo Realty & Development Co. Ltd. | 3,624 | 105,934 | ||||||
Suzuken Co. Ltd. | 7,700 | 261,347 | ||||||
Teijin Ltd. | 96,000 | 334,300 | ||||||
Tokyo Electric Power Co., Inc. † | 72,170 | 396,476 | ||||||
Tokyo Tatemono Co. Ltd. | 2,000 | 24,878 | ||||||
Tokyu Fudosan Holdings Corp. | 5,000 | 33,937 | ||||||
Toyoda Gosei Co. Ltd. | 4,700 | 90,642 | ||||||
Toyota Motor Corp. | 5,300 | 281,088 | ||||||
West Japan Railway Co. | 2,000 | 123,494 | ||||||
Yamazaki Baking Co. Ltd. | 10,000 | 210,484 | ||||||
|
| |||||||
18,533,835 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
97
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
Netherlands - 2.0% | ||||||||
ASML Holding NV | 2,938 | $ | 295,664 | |||||
Boskalis Westminster | 3,012 | 118,049 | ||||||
ING Groep NV CVA | 34,347 | 411,025 | ||||||
Koninklijke Ahold NV | 48,937 | 1,099,189 | ||||||
NN Group NV | 23,944 | 781,645 | ||||||
Randstad Holding NV | 4,894 | 270,695 | ||||||
Royal Dutch Shell plc, Class A | 10,872 | 262,515 | ||||||
Royal Dutch Shell plc, Class B | 33,092 | 805,287 | ||||||
Wolters Kluwer NV | 18,711 | 745,774 | ||||||
|
| |||||||
4,789,843 | ||||||||
|
| |||||||
Singapore - 0.0% (c) | ||||||||
Sembcorp Industries Ltd. | 7,777 | 17,406 | ||||||
Singapore Exchange Ltd. | 6,967 | 41,055 | ||||||
Singapore Technologies Engineering Ltd. | 12,103 | 28,983 | ||||||
|
| |||||||
87,444 | ||||||||
|
| |||||||
South Africa - 0.2% | ||||||||
Investec plc | 16,447 | 120,647 | ||||||
Mondi plc | 17,535 | 335,326 | ||||||
|
| |||||||
455,973 | ||||||||
|
| |||||||
Spain - 1.2% | ||||||||
ACS Actividades de Construccion y Servicios SA | 25,456 | 757,067 | ||||||
Banco Santander SA | 51,351 | 225,528 | ||||||
Bankia SA | 232,227 | 218,617 | ||||||
Endesa SA | 76,379 | 1,463,674 | ||||||
Industria de Diseno Textil SA | 7,787 | 261,017 | ||||||
|
| |||||||
2,925,903 | ||||||||
|
| |||||||
Sweden - 1.4% | ||||||||
Electrolux AB, Series B † | 33,466 | 878,811 | ||||||
Husqvarna AB, Class B | 18,885 | 137,905 | ||||||
Investment AB Kinnevik, Class B | 2,409 | 68,238 | ||||||
Investor AB, Class B | 3,849 | 136,059 | ||||||
Svenska Cellulosa AB SCA, Class B | 17,470 | 544,903 | ||||||
Swedish Match AB | 33,802 | 1,145,823 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 34,123 | 341,664 | ||||||
|
| |||||||
3,253,403 | ||||||||
|
| |||||||
Switzerland - 2.6% | ||||||||
Actelion Ltd. † | 835 | 124,615 | ||||||
Adecco SA † | 6,265 | 407,546 | ||||||
Coca-Cola HBC AG † | 9,768 | 207,144 | ||||||
Glencore plc † | 44,171 | 99,317 | ||||||
Lonza Group AG † | 4,146 | 700,845 | ||||||
Nestle SA | 25,651 | 1,914,097 | ||||||
Novartis AG | 8,444 | 610,940 | ||||||
Roche Holding AG | 3,496 | 858,409 | ||||||
Swiss Life Holding AG † | 2,206 | 585,401 | ||||||
Swiss Re AG | 4,429 | 408,972 | ||||||
Syngenta AG | 587 | 243,427 | ||||||
|
| |||||||
6,160,713 | ||||||||
|
| |||||||
United Kingdom - 5.5% | ||||||||
3i Group plc | 16,669 | 108,994 | ||||||
Barclays plc | 395,025 | 847,961 | ||||||
Barratt Developments plc | 25,501 | 204,722 |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 5.5% (continued) | ||||||||
BP plc | 28,187 | $ | 141,030 | |||||
British American Tobacco plc | 1,798 | 105,140 | ||||||
British Land Co. plc (The) REIT | 13,261 | 133,113 | ||||||
BT Group plc | 137,012 | 865,115 | ||||||
Direct Line Insurance Group plc | 65,525 | 347,558 | ||||||
Fiat Chrysler Automobiles NV | 49,785 | 401,755 | ||||||
GlaxoSmithKline plc | 16,470 | 333,406 | ||||||
Hammerson plc REIT | 10,329 | 85,687 | ||||||
HSBC Holdings plc | 67,310 | 418,599 | ||||||
ICAP plc | 29,582 | 201,202 | ||||||
Imperial Brands plc | 14,437 | 799,337 | ||||||
International Consolidated Airlines Group SA | 86,774 | 690,453 | ||||||
Johnson Matthey plc | 1,683 | 66,160 | ||||||
Kingfisher plc | 173,407 | 935,287 | ||||||
Land Securities Group plc REIT | 8,648 | 136,358 | ||||||
Lloyds Banking Group plc | 156,323 | 152,258 | ||||||
Michael Kors Holdings Ltd. (1) † | 11,305 | 643,933 | ||||||
Persimmon plc | 26,835 | 801,863 | ||||||
Randgold Resources Ltd. | 1,514 | 137,748 | ||||||
Reckitt Benckiser Group plc | 1,874 | 180,760 | ||||||
Royal Mail plc | 76,073 | 524,568 | ||||||
SABMiller plc | 6,173 | 377,034 | ||||||
Sports Direct International plc † | 57,449 | 311,621 | ||||||
Taylor Wimpey plc | 420,538 | 1,146,121 | ||||||
Unilever plc | 10,377 | 467,928 | ||||||
William Hill plc | 125,949 | 589,276 | ||||||
WPP plc | 38,472 | 895,456 | ||||||
|
| |||||||
13,050,443 | ||||||||
|
| |||||||
United States - 50.5% | ||||||||
Abbott Laboratories (1) | 3,524 | 147,409 | ||||||
AbbVie, Inc. (1) | 5,251 | 299,937 | ||||||
Activision Blizzard, Inc. (1) | 3,468 | 117,357 | ||||||
Aetna, Inc. (1) | 9,717 | 1,091,705 | ||||||
Agilent Technologies, Inc. (1) | 11,488 | 457,797 | ||||||
Akamai Technologies, Inc. (1) † | 2,979 | 165,543 | ||||||
Allergan plc (1) † | 2,437 | 653,189 | ||||||
Allstate Corp. (The) (1) | 22,319 | 1,503,631 | ||||||
Alphabet, Inc., Class A (1) † | 2,094 | 1,597,513 | ||||||
Alphabet, Inc., Class C (1) † | 1,970 | 1,467,551 | ||||||
Altria Group, Inc. (1) | 21,019 | 1,317,051 | ||||||
Amazon.com, Inc. (1)† | 2,815 | 1,671,097 | ||||||
American Electric Power Co., Inc. (1) | 16,027 | 1,064,193 | ||||||
American International Group, Inc. (1) | 18,596 | 1,005,114 | ||||||
American Tower Corp. REIT (1) | 4,100 | 419,717 | ||||||
AmerisourceBergen Corp. (1) | 9,137 | 790,807 | ||||||
Amgen, Inc. (1) | 6,085 | 912,324 | ||||||
Anthem, Inc. (1) | 8,429 | 1,171,547 | ||||||
Apple, Inc. (1) | 37,701 | 4,109,032 | ||||||
Archer-Daniels-Midland Co. (1) | 14,847 | 539,095 | ||||||
Arrow Electronics, Inc. (1) † | 8,413 | 541,881 | ||||||
Assurant, Inc. (1) | 12,101 | 933,592 | ||||||
AvalonBay Communities, Inc. REIT (1) | 1,311 | 249,352 | ||||||
Avery Dennison Corp. (1) | 2,729 | 196,788 | ||||||
Avnet, Inc. (1) | 15,113 | 669,506 | ||||||
Axis Capital Holdings Ltd. (1) | 15,828 | 877,821 | ||||||
Baker Hughes, Inc. (1) | 3,446 | 151,038 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
98
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
United States - 50.5% (continued) | ||||||||
Baxalta, Inc. (1) | 3,490 | $ | 140,996 | |||||
Baxter International, Inc. (1) | 1,621 | 66,591 | ||||||
Berkshire Hathaway, Inc., Class B (1) † | 7,437 | 1,055,162 | ||||||
Best Buy Co., Inc. (1) | 18,737 | 607,828 | ||||||
Biogen, Inc. (1) † | 922 | 240,015 | ||||||
Boeing Co. (The) (1) | 5,453 | 692,204 | ||||||
Boston Properties, Inc. REIT (1) | 1,109 | 140,932 | ||||||
Bunge Ltd. (1) | 6,677 | 378,386 | ||||||
Capital One Financial Corp. (1) | 3,024 | 209,593 | ||||||
Cardinal Health, Inc. (1) | 5,591 | 458,182 | ||||||
Carnival Corp. (1) | 25,434 | 1,342,152 | ||||||
Cigna Corp. (1) | 2,386 | 327,455 | ||||||
Cintas Corp. (1) | 1,066 | 95,737 | ||||||
Cisco Systems, Inc. (1) | 41,232 | 1,173,875 | ||||||
Citigroup, Inc. (1) | 22,150 | 924,762 | ||||||
Citizens Financial Group, Inc. (1) | 17,253 | 361,450 | ||||||
Citrix Systems, Inc. (1) † | 8,589 | 674,924 | ||||||
Coca-Cola Co. (The) (1) | 1,808 | 83,873 | ||||||
Cognizant Technology Solutions Corp., Class A (1) † | 8,942 | 560,663 | ||||||
Comcast Corp., Class A (1) | 13,500 | 824,580 | ||||||
Comerica, Inc. (1) | 2,993 | 113,345 | ||||||
ConAgra Foods, Inc. (1) | 18,995 | 847,557 | ||||||
Crown Castle International Corp. REIT (1) | 2,397 | 207,340 | ||||||
CSX Corp. (1) | 4,178 | 107,583 | ||||||
CVS Health Corp. (1) | 5,542 | 574,872 | ||||||
Darden Restaurants, Inc. (1) | 18,547 | 1,229,666 | ||||||
Delta Air Lines, Inc. (1) | 41,166 | 2,003,961 | ||||||
Dick’s Sporting Goods, Inc. (1) | 1,321 | 61,757 | ||||||
Discover Financial Services (1) | 5,266 | 268,145 | ||||||
Dow Chemical Co. (The) (1) | 4,417 | 224,649 | ||||||
DR Horton, Inc. (1) | 13,878 | 419,532 | ||||||
Dr Pepper Snapple Group, Inc. (1) | 1,505 | 134,577 | ||||||
eBay, Inc. (1) † | 33,265 | 793,703 | ||||||
Edwards Lifesciences Corp. (1) † | 3,182 | 280,684 | ||||||
EI du Pont de Nemours & Co. (1) | 5,682 | 359,784 | ||||||
Electronic Arts, Inc. (1) † | 4,684 | 309,659 | ||||||
Eli Lilly & Co. (1) | 2,461 | 177,217 | ||||||
EMC Corp. (1) | 18,738 | 499,368 | ||||||
Equifax, Inc. (1) | 6,109 | 698,198 | ||||||
Equinix, Inc. REIT (1) | 645 | 213,308 | ||||||
Equity Residential REIT (1) | 3,548 | 266,206 | ||||||
Essex Property Trust, Inc. REIT (1) | 722 | 168,847 | ||||||
Exelon Corp. (1) | 16,379 | 587,351 | ||||||
Express Scripts Holding Co. (1) † | 11,412 | 783,890 | ||||||
Exxon Mobil Corp. (1) | 4,842 | 404,743 | ||||||
F5 Networks, Inc. (1) † | 3,390 | 358,831 | ||||||
Facebook, Inc., Class A (1) † | 12,213 | 1,393,503 | ||||||
FirstEnergy Corp. (1) | 18,378 | 661,057 | ||||||
Flextronics International Ltd. (1) † | 18,873 | 227,608 | ||||||
Foot Locker, Inc. (1) | 6,117 | 394,546 | ||||||
Fortinet, Inc. (1) † | 2,177 | 66,681 | ||||||
General Dynamics Corp. (1) | 5,908 | 776,134 | ||||||
General Electric Co. (1) | 8,196 | 260,551 | ||||||
General Growth Properties, Inc. REIT (1) | 6,409 | 190,540 | ||||||
General Mills, Inc. (1) | 5,025 | 318,334 | ||||||
General Motors Co. (1) | 19,664 | 618,039 | ||||||
Gilead Sciences, Inc. (1) | 10,842 | 995,946 |
SHARES | VALUE (Note 4) | |||||||
United States - 50.5% (continued) | ||||||||
Goodyear Tire & Rubber Co. (The) (1) | 13,895 | $ | 458,257 | |||||
Hartford Financial Services Group, Inc. (The) (1) | 15,983 | 736,497 | ||||||
Hasbro, Inc. (1) | 4,010 | 321,201 | ||||||
HCA Holdings, Inc. (1) † | 8,939 | 697,689 | ||||||
HCP, Inc. REIT (1) | 4,772 | 155,472 | ||||||
Hewlett Packard Enterprise Co. (1) | 11,790 | 209,037 | ||||||
Hilton Worldwide Holdings, Inc. (1) | 25,000 | 563,000 | ||||||
HollyFrontier Corp. (1) | 28,603 | 1,010,258 | ||||||
Hologic, Inc. † | 3,965 | 136,792 | ||||||
Home Depot, Inc. (The) (1) | 7,748 | 1,033,816 | ||||||
Host Hotels & Resorts, Inc. REIT (1) | 9,300 | 155,310 | ||||||
HP, Inc. (1) | 63,939 | 787,728 | ||||||
Humana, Inc. (1) | 427 | 78,120 | ||||||
Intel Corp. (1) | 18,818 | 608,762 | ||||||
International Business Machines Corp. (1) | 3,437 | 520,534 | ||||||
International Paper Co. (1) | 6,164 | 252,971 | ||||||
Interpublic Group of Cos., Inc. (The) (1) | 19,831 | 455,121 | ||||||
Invesco Ltd. (1) | 2,119 | 65,202 | ||||||
Johnson & Johnson (1) | 12,167 | 1,316,469 | ||||||
JPMorgan Chase & Co. (1) | 8,072 | 478,024 | ||||||
KeyCorp (1) | 5,425 | 59,892 | ||||||
Kimberly-Clark Corp. (1) | 4,457 | 599,511 | ||||||
Kimco Realty Corp. REIT (1) | 6,500 | 187,070 | ||||||
Kinder Morgan, Inc. (1) | 24,195 | 432,123 | ||||||
Kraft Heinz Co. (The) (1) | 5,051 | 396,807 | ||||||
Kroger Co. (The) (1) | 9,950 | 380,587 | ||||||
L-3 Communications Holdings, Inc. (1) | 1,793 | 212,470 | ||||||
Las Vegas Sands Corp. (1) | 3,252 | 168,063 | ||||||
Lear Corp. (1) | 686 | 76,263 | ||||||
Lincoln National Corp. (1) | 2,543 | 99,686 | ||||||
LinkedIn Corp., Class A (1) † | 4,178 | 477,754 | ||||||
Lowe’s Cos., Inc. (1) | 17,751 | 1,344,638 | ||||||
LyondellBasell Industries NV, Class A (1) | 10,303 | 881,731 | ||||||
Macy’s, Inc. (1) | 5,205 | 229,488 | ||||||
Mallinckrodt plc (1) † | 12,302 | 753,867 | ||||||
ManpowerGroup, Inc. (1) | 7,365 | 599,658 | ||||||
Marathon Petroleum Corp. (1) | 27,065 | 1,006,277 | ||||||
Marvell Technology Group Ltd. (1) | 68,675 | 708,039 | ||||||
Masco Corp. (1) | 22,416 | 704,983 | ||||||
Maxim Integrated Products, Inc. (1) | 13,356 | 491,234 | ||||||
McKesson Corp. (1) | 6,577 | 1,034,233 | ||||||
Mead Johnson Nutrition Co. (1) | 5,174 | 439,635 | ||||||
Medivation, Inc. (1) † | 9,103 | 418,556 | ||||||
Merck & Co., Inc. (1) | 17,820 | 942,856 | ||||||
MGM Resorts International (1) † | 7,346 | 157,498 | ||||||
Micron Technology, Inc. (1) † | 16,173 | 169,331 | ||||||
Microsoft Corp. (1) | 48,758 | 2,692,904 | ||||||
Mondelez International, Inc., Class A (1) | 16,200 | 649,944 | ||||||
Morgan Stanley (1) | 6,174 | 154,412 | ||||||
News Corp., Class A (1) | 5,226 | 66,736 | ||||||
NIKE, Inc., Class B (1) | 20,754 | 1,275,748 | ||||||
Northrop Grumman Corp. (1) | 6,752 | 1,336,221 | ||||||
Nuance Communications, Inc. (1) † | 5,510 | 102,982 | ||||||
NVIDIA Corp. (1) | 12,697 | 452,394 | ||||||
OGE Energy Corp. (1) | 2,194 | 62,814 | ||||||
Oracle Corp. (1) | 10,317 | 422,068 | ||||||
PepsiCo, Inc. (1) | 13,820 | 1,416,274 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
99
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
United States - 50.5% (continued) | ||||||||
Pfizer, Inc. (1) | 30,262 | $ | 896,966 | |||||
Philip Morris International, Inc. (1) | 1,876 | 184,054 | ||||||
Phillips 66 (1) | 5,219 | 451,913 | ||||||
Pinnacle West Capital Corp. (1) | 3,172 | 238,122 | ||||||
PNC Financial Services Group, Inc. (The) (1) | 19,824 | 1,676,516 | ||||||
Priceline Group, Inc. (The) (1) † | 184 | 237,169 | ||||||
Procter & Gamble Co. (The) (1) | 20,192 | 1,662,004 | ||||||
Prologis, Inc. REIT (1) | 5,080 | 224,434 | ||||||
Public Service Enterprise Group, Inc. (1) | 21,222 | 1,000,405 | ||||||
Public Storage REIT (1) | 1,054 | 290,725 | ||||||
PVH Corp. (1) | 7,439 | 736,907 | ||||||
QUALCOMM, Inc. (1) | 5,649 | 288,890 | ||||||
Quest Diagnostics, Inc. (1) | 13,849 | 989,511 | ||||||
Quintiles Transnational Holdings, Inc. (1) † | 16,088 | 1,047,329 | ||||||
Ralph Lauren Corp. (1) | 3,656 | 351,927 | ||||||
Raytheon Co. (1) | 6,933 | 850,194 | ||||||
Rite Aid Corp. (1) † | 6,358 | 51,818 | ||||||
Robert Half International, Inc. (1) | 9,791 | 456,065 | ||||||
Ross Stores, Inc. (1) | 1,414 | 81,871 | ||||||
Simon Property Group, Inc. REIT (1) | 2,252 | 467,718 | ||||||
Southwest Airlines Co. (1) | 17,134 | 767,603 | ||||||
St. Jude Medical, Inc. (1) | 4,259 | 234,245 | ||||||
Staples, Inc. (1) | 17,509 | 193,124 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. (1) | 1,056 | 88,102 | ||||||
SunTrust Banks, Inc. (1) | 26,128 | 942,698 | ||||||
Synchrony Financial (1) † | 11,480 | 329,017 | ||||||
Tableau Software, Inc., Class A (1) † | 9,962 | 456,957 | ||||||
Teradata Corp. (1) † | 3,970 | 104,173 | ||||||
Tesoro Corp. (1) | 12,824 | 1,102,992 | ||||||
Texas Instruments, Inc. (1) | 7,281 | 418,075 | ||||||
Textron, Inc. (1) | 2,544 | 92,754 | ||||||
Time Warner Cable, Inc. (1) | 2,363 | 483,517 | ||||||
Time Warner, Inc. (1) | 6,181 | 448,432 | ||||||
TJX Cos., Inc. (The) (1) | 3,079 | 241,240 | ||||||
T-Mobile US, Inc. (1) † | 4,125 | 157,987 | ||||||
Total System Services, Inc. (1) | 5,012 | 238,471 | ||||||
Travelers Cos., Inc. (The) (1) | 9,300 | 1,085,403 | ||||||
Tyson Foods, Inc., Class A (1) | 20,361 | 1,357,264 | ||||||
United Continental Holdings, Inc. (1) † | 30,232 | 1,809,688 | ||||||
United Therapeutics Corp. (1) † | 5,234 | 583,225 | ||||||
UnitedHealth Group, Inc. (1) | 15,668 | 2,019,605 | ||||||
Universal Health Services, Inc., Class B (1) | 2,087 | 260,291 | ||||||
Unum Group (1) | 9,219 | 285,051 | ||||||
Valeant Pharmaceuticals International, Inc. (1) † | 2,574 | 67,484 | ||||||
Valero Energy Corp. (1) | 16,369 | 1,049,908 | ||||||
Vantiv, Inc., Class A (1) † | 2,382 | 128,342 | ||||||
Ventas, Inc. REIT (1) | 4,800 | 302,208 | ||||||
Verizon Communications, Inc. (1) | 16,778 | 907,354 | ||||||
Viacom, Inc., Class B (1) | 15,370 | 634,474 | ||||||
Vornado Realty Trust REIT (1) | 1,229 | 116,054 | ||||||
Wal-Mart Stores, Inc. (1) | 22,832 | 1,563,764 | ||||||
Walt Disney Co. (The) (1) | 2,000 | 198,620 | ||||||
Wells Fargo & Co. (1) | 27,843 | 1,346,487 | ||||||
Welltower, Inc. REIT (1) | 3,000 | 208,020 |
SHARES | VALUE (Note 4) | |||||||
United States - 50.5% (continued) | ||||||||
Westlake Chemical Corp. (1) | 18,999 | $ | 879,654 | |||||
Weyerhaeuser Co. REIT (1) | 5,685 | 176,121 | ||||||
Williams Cos., Inc. (The) (1) | 6,258 | 100,566 | ||||||
Xerox Corp. (1) | 34,024 | 379,708 | ||||||
Xilinx, Inc. (1) | 3,128 | 148,361 | ||||||
Yum! Brands, Inc. (1) | 13,342 | 1,092,043 | ||||||
|
| |||||||
119,307,286 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 204,385,415 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.0% (c) | ||||||||
Germany - 0.0% (c) | ||||||||
Porsche Automobil Holding SE | ||||||||
(cost $121,940) | 1,510 | 78,044 | ||||||
|
| |||||||
WARRANTS - 0.0% (c) | ||||||||
Hong Kong - 0.0% (c) | ||||||||
Sun Hung Kai Properties Ltd. † | ||||||||
(cost $—) | 20 | 1 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 11.1% | ||||||||
Investment Companies - 11.1% | ||||||||
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.420% (d) | 411 | 411 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (d)(e) | 26,143,089 | 26,143,089 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 26,143,500 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN | 230,606,960 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.4% (f) | 5,712,128 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 236,319,088 | ||||||
|
|
† | Non-income producing security. |
(a) | Security fair valued as of March 31, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $5,471 or 0.0% of total net assets. |
(b) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser 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) | A portion of the security is pledged as collateral to the brokers for forward foreign currency contracts. |
(f) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
100
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR GLOBAL EQUITY FUND |
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
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 34,022,849 | 14.4 | % | ||||
Consumer Staples | 21,943,039 | 9.3 | ||||||
Energy | 9,290,967 | 3.9 | ||||||
Financials | 38,650,793 | 16.4 | ||||||
Health Care | 28,001,623 | 11.8 | ||||||
Industrials | 22,825,428 | 9.7 | ||||||
Information Technology | 32,461,018 | 13.7 | ||||||
Materials | 6,361,422 | 2.7 | ||||||
Telecommunication Services | 4,736,442 | 2.0 | ||||||
Utilities | 6,169,879 | 2.6 | ||||||
Short-Term Investments | 26,143,500 | 11.1 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 230,606,960 | 97.6 | ||||||
Other Assets in Excess of Liabilities (f) | 5,712,128 | 2.4 | ||||||
|
|
|
| |||||
Net Assets | $ | 236,319,088 | 100.0 | % | ||||
|
|
|
|
Total return swap contracts outstanding as of March 31, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Goldman Sachs | Hang Seng Index April Futures | 04/2016 | HKD | 24,505,291 | $59,740 | |||||||||
Goldman Sachs | Swiss Market Index June Futures | 06/2016 | CHF | 3,977,663 | (67,174 | ) | ||||||||
|
| |||||||||||||
$(7,434 | ) | |||||||||||||
|
|
Open futures contracts outstanding at March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
110 | Barclays Capital | CAC40 Index Futures | 04/2016 | $5,515,323 | $5,486,782 | $(28,541 | ) | |||||||||||||
24 | Barclays Capital | DAX Index Futures | 06/2016 | 6,805,433 | 6,827,400 | 21,967 | ||||||||||||||
58 | Barclays Capital | Hang Seng Index Futures | 04/2016 | 7,601,983 | 7,778,469 | 176,486 | ||||||||||||||
8 | Barclays Capital | IBEX 35 Index Futures | 04/2016 | 813,693 | 791,059 | (22,634 | ) | |||||||||||||
42 | Barclays Capital | MSCI Singapore Index Futures | 04/2016 | 991,031 | 993,716 | 2,685 | ||||||||||||||
135 | Barclays Capital | S&P 500 E-Mini Futures | 06/2016 | 13,614,113 | 13,847,625 | 233,512 | ||||||||||||||
92 | Barclays Capital | TOPIX Index Futures | 06/2016 | 11,011,421 | 11,015,149 | 3,728 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$46,352,997 | $46,740,200 | $387,203 | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
101
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR GLOBAL EQUITY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: | ||||||||||||||||||||
21 | Barclays Capital | Amsterdam Index Futures | 04/2016 | $(2,107,864 | ) | $(2,101,405 | ) | $6,459 | ||||||||||||
52 | Barclays Capital | FTSE 100 Index Futures | 06/2016 | (4,549,411 | ) | (4,565,494 | ) | (16,083 | ) | |||||||||||
17 | Barclays Capital | FTSE/MIB Index Futures | 06/2016 | (1,769,841 | ) | (1,711,584 | ) | 58,257 | ||||||||||||
50 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 06/2016 | (6,061,286 | ) | (6,059,673 | ) | 1,613 | ||||||||||||
106 | Barclays Capital | SPI 200 Index Futures | 06/2016 | (10,382,459 | ) | (10,290,857 | ) | 91,602 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
(24,870,861 | ) | (24,729,013 | ) | 141,848 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$21,482,136 | $22,011,187 | $529,051 | ||||||||||||||||||
|
|
|
|
|
|
Forward foreign currency exchange contracts outstanding as of March 31, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 06/15/16 | CitiBank | AUD | 13,164,000 | $9,727,245 | $10,056,531 | $329,286 | ||||||||||||||
Canadian Dollar, Expiring 06/15/16 | CitiBank | CAD | 12,028,000 | 9,039,341 | 9,261,775 | 222,434 | ||||||||||||||
Swiss Franc, Expiring 06/15/16 | CitiBank | CHF | 1,969,000 | 2,032,160 | 2,054,505 | 22,345 | ||||||||||||||
Danish Krone, Expiring 06/15/16 | CitiBank | DKK | 1,882,000 | 280,802 | 288,066 | 7,264 | ||||||||||||||
Euro, Expiring 06/15/16 | CitiBank | EUR | 16,752,000 | 18,348,290 | 19,105,538 | 757,248 | ||||||||||||||
British Pound, Expiring 06/15/16 | CitiBank | GBP | 3,333,000 | 4,767,618 | 4,788,151 | 20,533 | ||||||||||||||
Hong Kong Dollar, Expiring 06/15/16 | CitiBank | HKD | 4,344,000 | 559,181 | 560,222 | 1,041 | ||||||||||||||
Israeli Shekel, Expiring 06/15/16 | CitiBank | ILS | 2,487,999 | 641,816 | 663,510 | 21,694 | ||||||||||||||
Japanese Yen, Expiring 06/15/16 | CitiBank | JPY | 4,256,336,000 | 37,699,244 | 37,899,914 | 200,670 | ||||||||||||||
Norwegian Krone, Expiring 06/15/16 | CitiBank | NOK | 9,422,000 | 1,131,164 | 1,138,222 | 7,058 | ||||||||||||||
New Zealand Dollar, Expiring 06/15/16 | CitiBank | NZD | 5,529,001 | 3,624,157 | 3,807,004 | 182,847 | ||||||||||||||
Swedish Krona, Expiring 06/15/16 | CitiBank | SEK | 29,800,999 | 3,544,670 | 3,680,761 | 136,091 | ||||||||||||||
Singapore Dollar, Expiring 06/15/16 | CitiBank | SGD | 1,427,000 | 1,016,332 | 1,058,257 | 41,925 | ||||||||||||||
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$92,412,020 | $94,362,456 | $1,950,436 | ||||||||||||||||||
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| �� |
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The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
102
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 06/15/16 | CitiBank | AUD | (3,268,000 | ) | $(2,331,774 | ) | $(2,496,562 | ) | $(164,788 | ) | ||||||||||
Canadian Dollar, Expiring 06/15/16 | CitiBank | CAD | (5,532,002 | ) | (4,094,730 | ) | (4,259,740 | ) | (165,010 | ) | ||||||||||
Swiss Franc, Expiring 06/15/16 | CitiBank | CHF | (8,087,000 | ) | (8,142,922 | ) | (8,438,184 | ) | (295,262 | ) | ||||||||||
Danish Krone, Expiring 06/15/16 | CitiBank | DKK | (2,428,000 | ) | (356,401 | ) | (371,638 | ) | (15,237 | ) | ||||||||||
Euro, Expiring 06/15/16 | CitiBank | EUR | (6,226,000 | ) | (6,883,818 | ) | (7,100,709 | ) | (216,891 | ) | ||||||||||
British Pound, Expiring 06/15/16 | CitiBank | GBP | (15,947,003 | ) | (22,469,037 | ) | (22,909,288 | ) | (440,251 | ) | ||||||||||
Hong Kong Dollar, Expiring 06/15/16 | CitiBank | HKD | (2,879,000 | ) | (371,130 | ) | (371,289 | ) | (159 | ) | ||||||||||
Israeli Shekel, Expiring 06/15/16 | CitiBank | ILS | (98,000 | ) | (25,507 | ) | (26,135 | ) | (628 | ) | ||||||||||
Japanese Yen, Expiring 06/15/16 | CitiBank | JPY | (758,542,000 | ) | (6,763,295 | ) | (6,754,326 | ) | 8,969 | |||||||||||
Norwegian Krone, Expiring 06/15/16 | CitiBank | NOK | (77,461,999 | ) | (9,004,340 | ) | (9,357,776 | ) | (353,436 | ) | ||||||||||
New Zealand Dollar, Expiring 06/15/16 | CitiBank | NZD | (12,774,000 | ) | (8,550,527 | ) | (8,795,562 | ) | (245,035 | ) | ||||||||||
Swedish Krona, Expiring 06/15/16 | CitiBank | SEK | (2,446,000 | ) | (295,298 | ) | (302,109 | ) | (6,811 | ) | ||||||||||
Singapore Dollar, Expiring 06/15/16 | CitiBank | SGD | (86,000 | ) | (62,285 | ) | (63,777 | ) | (1,492 | ) | ||||||||||
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|
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(69,351,064 | ) | (71,247,095 | ) | (1,896,031 | ) | |||||||||||||||
|
|
|
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|
| |||||||||||||||
$23,060,956 | $23,115,361 | $54,405 | ||||||||||||||||||
|
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|
|
|
|
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Barclays Capital | ||||||||||||
Cash | $— | $3,577,072 | $3,577,072 | |||||||||
| ||||||||||||
CitiBank | ||||||||||||
Investment Company | 20,009 | — | 20,009 | |||||||||
| ||||||||||||
Goldman Sachs | ||||||||||||
Cash | (190,000 | ) | — | (190,000 | ) | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
103
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
COMMON STOCKS - 89.1% | SHARES | VALUE (Note 4) | ||||||
Australia - 6.3% | ||||||||
AGL Energy Ltd. | 37,591 | $ | 529,254 | |||||
AMP Ltd. | 94,579 | 419,228 | ||||||
Aristocrat Leisure Ltd. | 42,588 | 335,956 | ||||||
Asciano Ltd. | 84,298 | 579,254 | ||||||
ASX Ltd. | 10,285 | 326,256 | ||||||
Australia & New Zealand Banking Group Ltd. | 299,741 | 5,373,294 | ||||||
Bendigo & Adelaide Bank Ltd. | 264,541 | 1,795,322 | ||||||
BGP Holdings plc (3)†(a) | 143,427 | 8,141 | ||||||
BHP Billiton Ltd. | 190,282 | 2,458,788 | ||||||
BHP Billiton plc | 34,173 | 382,682 | ||||||
Boral Ltd. | 140,612 | 665,104 | ||||||
Caltex Australia Ltd. | 28,415 | 741,097 | ||||||
CIMIC Group Ltd. | 150,575 | 4,006,152 | ||||||
Computershare Ltd. | 15,439 | 115,554 | ||||||
Dexus Property Group REIT | 47,299 | 287,229 | ||||||
Flight Centre Travel Group Ltd. | 57,637 | 1,908,987 | ||||||
Fortescue Metals Group Ltd. | 474,862 | 923,783 | ||||||
Goodman Group REIT | 110,663 | 565,960 | ||||||
GPT Group (The) REIT | 113,631 | 435,011 | ||||||
Harvey Norman Holdings Ltd. | 337,642 | 1,214,628 | ||||||
LendLease Group | 50,337 | 534,383 | ||||||
Macquarie Group Ltd. | 75,794 | 3,836,249 | ||||||
Mirvac Group REIT | 214,560 | 317,912 | ||||||
National Australia Bank Ltd. | 241,312 | 4,845,295 | ||||||
Newcrest Mining Ltd. † | 41,734 | 540,078 | ||||||
Origin Energy Ltd. | 161,471 | 628,877 | ||||||
Qantas Airways Ltd. † | 2,044,931 | 6,382,961 | ||||||
QBE Insurance Group Ltd. | 349,366 | 2,919,552 | ||||||
Santos Ltd. | 539,990 | 1,673,151 | ||||||
Scentre Group REIT | 302,378 | 1,029,298 | ||||||
Stockland REIT | 127,919 | 418,500 | ||||||
Telstra Corp. Ltd. | 238,366 | 972,766 | ||||||
Vicinity Centres REIT | 193,958 | 474,041 | ||||||
Westfield Corp. REIT | 118,519 | 907,465 | ||||||
|
| |||||||
48,552,208 | ||||||||
|
| |||||||
Belgium - 1.7% | ||||||||
Ageas | 147,033 | 5,819,029 | ||||||
Delhaize Group | 8,535 | 889,525 | ||||||
Groupe Bruxelles Lambert SA | 2,641 | 217,595 | ||||||
KBC Groep NV | 26,169 | 1,347,644 | ||||||
Proximus | 151,964 | 5,185,689 | ||||||
|
| |||||||
13,459,482 | ||||||||
|
| |||||||
China - 0.1% | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 559,100 | 406,071 | ||||||
|
| |||||||
Denmark - 2.5% | ||||||||
DSV A/S | 39,958 | 1,662,023 | ||||||
ISS A/S | 13,167 | 528,086 | ||||||
Novo Nordisk A/S, Class B | 135,883 | 7,358,552 | ||||||
Pandora A/S | 20,340 | 2,659,209 | ||||||
TDC A/S | 160,942 | 786,612 | ||||||
Vestas Wind Systems A/S | 88,913 | 6,264,787 | ||||||
|
| |||||||
19,259,269 | ||||||||
|
| |||||||
Finland - 1.6% | ||||||||
Elisa OYJ † | 15,289 | 593,690 | ||||||
Neste OYJ | 40,806 | 1,340,971 |
SHARES | VALUE (Note 4) | |||||||
Finland - 1.6% (continued) | ||||||||
Nokia OYJ | 316,970 | $ | 1,880,340 | |||||
Nokian Renkaat OYJ | 48,521 | 1,711,848 | ||||||
Orion OYJ, Class B | 94,988 | 3,135,494 | ||||||
Stora Enso OYJ, Class R | 112,719 | 1,007,102 | ||||||
UPM-Kymmene OYJ | 136,661 | 2,470,776 | ||||||
|
| |||||||
12,140,221 | ||||||||
|
| |||||||
France - 9.6% | ||||||||
Airbus Group SE | 35,199 | 2,332,196 | ||||||
Atos SE | 18,784 | 1,525,612 | ||||||
AXA SA | 118,388 | 2,776,046 | ||||||
BNP Paribas SA | 5,975 | 300,188 | ||||||
Cap Gemini SA | 72,036 | 6,757,295 | ||||||
Cie de Saint-Gobain | 4,920 | 216,107 | ||||||
CNP Assurances | 16,252 | 253,086 | ||||||
Klepierre REIT | 6,764 | 323,102 | ||||||
Lagardere SCA | 81,314 | 2,156,810 | ||||||
Numericable-SFR SA | 13,795 | 579,355 | ||||||
Orange SA | 465,929 | 8,136,479 | ||||||
Peugeot SA † | 545,526 | 9,332,874 | ||||||
Renault SA | 17,358 | 1,724,996 | ||||||
Safran SA | 16,958 | 1,183,668 | ||||||
Sanofi | 85,775 | 6,895,951 | ||||||
SCOR SE | 78,358 | 2,762,585 | ||||||
Societe BIC SA | 16,117 | 2,421,663 | ||||||
Societe Generale SA | 192,398 | 7,109,491 | ||||||
Thales SA | 52,059 | 4,549,164 | ||||||
TOTAL SA | 35,848 | 1,631,132 | ||||||
Unibail-Rodamco SE REIT | 7,665 | 2,102,167 | ||||||
Valeo SA | 23,168 | 3,602,590 | ||||||
Veolia Environnement SA | 88,364 | 2,126,818 | ||||||
Vinci SA | 40,870 | 3,033,538 | ||||||
|
| |||||||
73,832,913 | ||||||||
|
| |||||||
Germany - 8.2% | ||||||||
Allianz SE | 51,611 | 8,381,889 | ||||||
BASF SE | 10,507 | 790,080 | ||||||
Bayer AG | 3,782 | 443,176 | ||||||
Commerzbank AG † | 75,005 | 650,785 | ||||||
Daimler AG | 4,295 | 328,708 | ||||||
Deutsche Boerse AG | 12,335 | 1,050,251 | ||||||
Deutsche Lufthansa AG † | 457,058 | 7,376,650 | ||||||
Deutsche Telekom AG | 146,467 | 2,625,908 | ||||||
Evonik Industries AG | 56,024 | 1,675,526 | ||||||
Fresenius Medical Care AG & Co. KGaA | 7,468 | 658,871 | ||||||
Fresenius SE & Co. KGaA | 21,127 | 1,540,001 | ||||||
Hannover Rueck SE | 49,557 | 5,759,629 | ||||||
Infineon Technologies AG | 63,427 | 899,289 | ||||||
LANXESS AG | 14,983 | 718,084 | ||||||
Merck KGaA | 62,382 | 5,189,167 | ||||||
METRO AG | 88,053 | 2,723,780 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 27,458 | 5,572,444 | ||||||
OSRAM Licht AG | 194,559 | 10,001,459 | ||||||
ProSiebenSat.1 Media SE | 18,189 | 933,730 | ||||||
SAP SE | 35,409 | 2,849,306 | ||||||
Siemens AG | 14,212 | 1,503,072 | ||||||
United Internet AG | 18,957 | 949,802 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
104
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
Germany - 8.2% (continued) | ||||||||
Vonovia SE | 14,469 | $ | 519,449 | |||||
|
| |||||||
63,141,056 | ||||||||
|
| |||||||
Hong Kong - 2.6% | ||||||||
AIA Group Ltd. | 302,800 | 1,721,122 | ||||||
ASM Pacific Technology Ltd. | 14,204 | 111,825 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 37,827 | 369,920 | ||||||
Cheung Kong Property Holdings Ltd. | 217,462 | 1,401,385 | ||||||
CLP Holdings Ltd. | 108,000 | 977,552 | ||||||
Galaxy Entertainment Group Ltd. | 282,000 | 1,058,683 | ||||||
Hong Kong & China Gas Co. Ltd. | 399,000 | 745,876 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 66,154 | 1,594,058 | ||||||
Hysan Development Co. Ltd. | 76,000 | 323,888 | ||||||
Kerry Properties Ltd. | 515,500 | 1,415,362 | ||||||
Li & Fung Ltd. | 1,150,000 | 681,316 | ||||||
Link REIT | 139,382 | 828,020 | ||||||
New World Development Co. Ltd. | 1,501,896 | 1,433,451 | ||||||
NWS Holdings Ltd. | 86,000 | 137,147 | ||||||
PCCW Ltd. | 131,000 | 84,850 | ||||||
Power Assets Holdings Ltd. | 80,000 | 818,769 | ||||||
Sino Land Co. Ltd. | 1,192,000 | 1,893,419 | ||||||
Techtronic Industries Co. Ltd. | 302,000 | 1,196,370 | ||||||
WH Group Ltd. 144A †(b) | 1,297,500 | 938,367 | ||||||
Wheelock & Co. Ltd. | 93,000 | 415,565 | ||||||
Yue Yuen Industrial Holdings Ltd. | 545,109 | 1,874,100 | ||||||
|
| |||||||
20,021,045 | ||||||||
|
| |||||||
Ireland - 0.6% | ||||||||
Shire plc | 84,033 | 4,792,804 | ||||||
|
| |||||||
Italy - 2.0% | ||||||||
Banco Popolare SC † | 111,483 | 765,527 | ||||||
Eni SpA | 142,275 | 2,148,736 | ||||||
Ferrari NV † | 15,215 | 631,930 | ||||||
Finmeccanica SpA † | 196,275 | 2,485,339 | ||||||
Mediobanca SpA | 261,844 | 1,883,070 | ||||||
Prysmian SpA | 257,766 | 5,832,050 | ||||||
UniCredit SpA | 471,388 | 1,699,351 | ||||||
|
| |||||||
15,446,003 | ||||||||
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| |||||||
Japan - 20.3% | ||||||||
Ajinomoto Co., Inc. | 12,000 | 270,563 | ||||||
Alfresa Holdings Corp. | 99,200 | 1,903,840 | ||||||
Alps Electric Co. Ltd. | 176,400 | 3,078,026 | ||||||
Amada Holdings Co. Ltd. | 36,900 | 359,545 | ||||||
Astellas Pharma, Inc. | 283,800 | 3,771,563 | ||||||
Bandai Namco Holdings, Inc. | 107,600 | 2,345,509 | ||||||
Chubu Electric Power Co., Inc. | 53,300 | 743,820 | ||||||
Dai-ichi Life Insurance Co. Ltd. (The) | 152,400 | 1,847,009 | ||||||
Daiichi Sankyo Co. Ltd. | 166,500 | 3,695,491 | ||||||
Daito Trust Construction Co. Ltd. | 5,187 | 735,705 | ||||||
Daiwa House Industry Co. Ltd. | 17,295 | 486,133 | ||||||
Dentsu, Inc. | 6,700 | 336,116 | ||||||
Fuji Heavy Industries Ltd. | 106,121 | 3,747,476 | ||||||
FUJIFILM Holdings Corp. | 41,043 | 1,622,319 | ||||||
Fujitsu Ltd. | 75,000 | 277,333 | ||||||
GungHo Online Entertainment, Inc. | 309,300 | 870,105 | ||||||
Hitachi Chemical Co. Ltd. | 11,600 | 208,449 |
SHARES | VALUE (Note 4) | |||||||
Japan - 20.3% (continued) | ||||||||
Hitachi High-Technologies Corp. | 29,900 | $ | 841,712 | |||||
Hokuhoku Financial Group, Inc. | 212,000 | 278,565 | ||||||
Hoya Corp. | 65,600 | 2,493,498 | ||||||
Hulic Co. Ltd. | 16,200 | 154,467 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 85,600 | 999,352 | ||||||
Isuzu Motors Ltd. | 33,000 | 340,394 | ||||||
J Front Retailing Co. Ltd. | 32,200 | 427,270 | ||||||
Japan Airlines Co. Ltd. | 88,900 | 3,259,072 | ||||||
Japan Real Estate Investment Corp. REIT | 84 | 484,923 | ||||||
Japan Retail Fund Investment Corp. REIT | 149 | 357,742 | ||||||
Japan Tobacco, Inc. | 94,200 | 3,920,854 | ||||||
JTEKT Corp. | 80,370 | 1,042,913 | ||||||
Kajima Corp. | 235,000 | 1,472,096 | ||||||
Kaneka Corp. | 49,000 | 419,579 | ||||||
Kao Corp. | 22,300 | 1,189,080 | ||||||
Konami Holdings Corp. | 86,700 | 2,562,346 | ||||||
Konica Minolta, Inc. | 340,900 | 2,891,379 | ||||||
Kose Corp. | 4,400 | 427,756 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 113,700 | 1,814,300 | ||||||
Mazda Motor Corp. | 153,800 | 2,387,258 | ||||||
Medipal Holdings Corp. | 142,400 | 2,252,433 | ||||||
MEIJI Holdings Co. Ltd. | 56,500 | 4,540,270 | ||||||
Mitsubishi Chemical Holdings Corp. | 72,300 | 377,485 | ||||||
Mitsubishi Electric Corp. | 180,000 | 1,886,027 | ||||||
Mitsubishi Estate Co. Ltd. | 77,020 | 1,429,489 | ||||||
Mitsubishi Motors Corp. | 321,200 | 2,397,733 | ||||||
Mitsubishi Tanabe Pharma Corp. | 49,600 | 861,832 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 848,991 | 3,933,890 | ||||||
Mitsui Chemicals, Inc. | 883,000 | 2,939,189 | ||||||
Mitsui Fudosan Co. Ltd. | 59,205 | 1,474,658 | ||||||
Mixi, Inc. | 101,800 | 3,775,504 | ||||||
Mizuho Financial Group, Inc. | 1,681,700 | 2,506,209 | ||||||
MS&AD Insurance Group Holdings, Inc. | 167,500 | 4,668,437 | ||||||
Murata Manufacturing Co. Ltd. | 11,300 | 1,363,535 | ||||||
Nexon Co. Ltd. | 315,300 | 5,377,255 | ||||||
NHK Spring Co. Ltd. | 155,400 | 1,486,050 | ||||||
Nintendo Co. Ltd. | 18,200 | 2,587,099 | ||||||
Nippon Building Fund, Inc. REIT | 84 | 497,269 | ||||||
Nippon Express Co. Ltd. | 520,000 | 2,364,172 | ||||||
Nippon Telegraph & Telephone Corp. | 62,838 | 2,714,445 | ||||||
Nippon Yusen KK | 709,000 | 1,367,174 | ||||||
Nitto Denko Corp. | 24,600 | 1,370,798 | ||||||
NOK Corp. | 52,200 | 890,557 | ||||||
Nomura Holdings, Inc. | 395,700 | 1,767,335 | ||||||
Nomura Real Estate Holdings, Inc. | 8,000 | 147,680 | ||||||
NSK Ltd. | 39,600 | 362,456 | ||||||
NTT DOCOMO, Inc. | 80,900 | 1,838,972 | ||||||
Obayashi Corp. | 110,000 | 1,084,231 | ||||||
Ono Pharmaceutical Co. Ltd. | 11,000 | 465,329 | ||||||
ORIX Corp. | 116,800 | 1,663,607 | ||||||
Panasonic Corp. | 127,600 | 1,155,644 | ||||||
Resona Holdings, Inc. | 141,900 | 505,949 | ||||||
Santen Pharmaceutical Co. Ltd. | 52,900 | 795,112 | ||||||
Sekisui House Ltd. | 32,000 | 539,891 | ||||||
Shimadzu Corp. | 118,000 | 1,851,233 | ||||||
Shimamura Co. Ltd. | 6,000 | 748,988 | ||||||
Shimizu Corp. | 42,000 | 355,714 | ||||||
Shionogi & Co. Ltd. | 120,500 | 5,663,646 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
105
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 20.3% (continued) | ||||||||
SoftBank Group Corp. | 5,600 | $ | 267,848 | |||||
Sompo Japan Nipponkoa Holdings, Inc. | 40,500 | 1,147,830 | ||||||
Sony Corp. | 189,100 | 4,861,977 | ||||||
Sumitomo Chemical Co. Ltd. | 747,000 | 3,381,225 | ||||||
Sumitomo Heavy Industries Ltd. | 85,000 | 350,848 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 90,836 | 2,757,570 | ||||||
Sumitomo Realty & Development Co. Ltd. | 24,261 | 709,179 | ||||||
Suzuken Co. Ltd. | 61,240 | 2,078,558 | ||||||
TDK Corp. | 8,600 | 477,179 | ||||||
Teijin Ltd. | 887,000 | 3,088,792 | ||||||
Terumo Corp. | 6,400 | 229,037 | ||||||
Tokyo Electric Power Co., Inc. † | 791,900 | 4,350,418 | ||||||
Tokyu Fudosan Holdings Corp. | 26,483 | 179,752 | ||||||
Toyota Motor Corp. | 33,878 | 1,796,733 | ||||||
West Japan Railway Co. | 25,700 | 1,586,903 | ||||||
Yamaha Corp. | 61,100 | 1,837,996 | ||||||
Yamazaki Baking Co. Ltd. | 66,000 | 1,389,197 | ||||||
|
| |||||||
156,561,897 | ||||||||
|
| |||||||
Netherlands - 4.6% | ||||||||
ASML Holding NV | 19,567 | 1,969,114 | ||||||
Boskalis Westminster | 5,094 | 199,649 | ||||||
Heineken NV | 15,576 | 1,409,279 | ||||||
ING Groep NV CVA | 247,726 | 2,964,493 | ||||||
Koninklijke Ahold NV | 348,862 | 7,835,898 | ||||||
NN Group NV | 120,147 | 3,922,162 | ||||||
Randstad Holding NV | 51,778 | 2,863,928 | ||||||
Royal Dutch Shell plc, Class A | 187,647 | 4,530,920 | ||||||
Royal Dutch Shell plc, Class B | 231,785 | 5,640,437 | ||||||
Wolters Kluwer NV | 108,619 | 4,329,286 | ||||||
|
| |||||||
35,665,166 | ||||||||
|
| |||||||
Singapore - 0.3% | ||||||||
Ascendas REIT | 123,637 | 219,281 | ||||||
CapitaLand Commercial Trust Ltd. REIT | 248,400 | 271,114 | ||||||
CapitaLand Mall Trust REIT | 145,994 | 226,254 | ||||||
ComfortDelGro Corp. Ltd. | 207,800 | 450,381 | ||||||
Sembcorp Industries Ltd. | 60,017 | 134,326 | ||||||
Singapore Airlines Ltd. | 43,800 | 371,127 | ||||||
Singapore Exchange Ltd. | 52,472 | 309,202 | ||||||
Singapore Technologies Engineering Ltd. | 93,265 | 223,344 | ||||||
|
| |||||||
2,205,029 | ||||||||
|
| |||||||
South Africa - 0.6% | ||||||||
Investec plc | 306,588 | 2,248,964 | ||||||
Mondi plc | 124,466 | 2,380,195 | ||||||
|
| |||||||
4,629,159 | ||||||||
|
| |||||||
Spain - 1.8% | ||||||||
ACS Actividades de Construccion y Servicios SA | 114,394 | 3,402,101 | ||||||
Banco Santander SA | 314,411 | 1,380,856 | ||||||
Endesa SA | 269,564 | 5,165,737 | ||||||
Iberdrola SA | 291,202 | 1,938,520 | ||||||
Industria de Diseno Textil SA | 62,329 | 2,089,244 | ||||||
Repsol SA | 23,848 | 268,146 | ||||||
|
| |||||||
14,244,604 | ||||||||
|
|
SHARES | VALUE (Note 4) | |||||||
Sweden - 3.2% | ||||||||
Electrolux AB, Series B † | 226,045 | $ | 5,935,903 | |||||
Husqvarna AB, Class B | 178,639 | 1,304,491 | ||||||
Investor AB, Class B | 19,364 | 684,502 | ||||||
Skanska AB, Class B | 54,943 | 1,253,303 | ||||||
Svenska Cellulosa AB SCA, Class B | 260,611 | 8,128,659 | ||||||
Swedish Match AB | 172,112 | 5,834,267 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 170,974 | 1,711,912 | ||||||
|
| |||||||
24,853,037 | ||||||||
|
| |||||||
Switzerland - 8.1% | ||||||||
Actelion Ltd. † | 5,886 | 878,425 | ||||||
Adecco SA † | 62,595 | 4,071,878 | ||||||
Coca-Cola HBC AG † | 73,245 | 1,553,258 | ||||||
Galenica AG | 132 | 198,090 | ||||||
Glencore plc † | 579,678 | 1,303,384 | ||||||
Lonza Group AG † | 48,338 | 8,171,122 | ||||||
Nestle SA | 211,602 | 15,789,904 | ||||||
Novartis AG | 120,694 | 8,732,445 | ||||||
Roche Holding AG | 40,093 | 9,844,446 | ||||||
Sika AG | 72 | 285,022 | ||||||
Swiss Life Holding AG † | 18,222 | 4,835,533 | ||||||
Swiss Re AG | 48,536 | 4,481,798 | ||||||
Syngenta AG | 5,191 | 2,152,691 | ||||||
Wolseley plc | 6,822 | 385,096 | ||||||
|
| |||||||
62,683,092 | ||||||||
|
| |||||||
United Kingdom - 15.0% | ||||||||
3i Group plc | 59,955 | 392,031 | ||||||
Amec Foster Wheeler plc | 5,937 | 38,307 | ||||||
ARM Holdings plc | 78,966 | 1,149,848 | ||||||
AstraZeneca plc | 33,268 | 1,857,413 | ||||||
Barclays plc | 4,101,312 | 8,803,879 | ||||||
Barratt Developments plc | 41,056 | 329,598 | ||||||
BP plc | 696,535 | 3,485,019 | ||||||
British American Tobacco plc | 75,376 | 4,407,684 | ||||||
British Land Co. plc (The) REIT | 57,695 | 579,138 | ||||||
BT Group plc | 1,269,160 | 8,013,676 | ||||||
CYBG plc CDI † | 66,808 | 201,774 | ||||||
Direct Line Insurance Group plc | 468,636 | 2,485,741 | ||||||
easyJet plc | 9,250 | 201,325 | ||||||
Fiat Chrysler Automobiles NV | 370,788 | 2,992,188 | ||||||
GlaxoSmithKline plc | 149,954 | 3,035,558 | ||||||
Hammerson plc REIT | 28,872 | 239,517 | ||||||
HSBC Holdings plc | 962,623 | 5,986,519 | ||||||
ICAP plc | 278,629 | 1,895,093 | ||||||
Imperial Brands plc | 185,881 | 10,291,724 | ||||||
International Consolidated Airlines Group SA | 750,929 | 5,975,075 | ||||||
Johnson Matthey plc | 8,605 | 338,267 | ||||||
Kingfisher plc | 617,663 | 3,331,423 | ||||||
Land Securities Group plc REIT | 47,078 | 742,305 | ||||||
Lloyds Banking Group plc | 1,209,484 | 1,178,036 | ||||||
London Stock Exchange Group plc | 17,923 | 724,004 | ||||||
Marks & Spencer Group plc | 91,774 | 534,799 | ||||||
Pearson plc | 71,570 | 896,955 | ||||||
Persimmon plc | 289,889 | 8,662,247 | ||||||
Prudential plc | 12,261 | 228,158 | ||||||
Randgold Resources Ltd. | 3,761 | 342,187 | ||||||
Reckitt Benckiser Group plc | 38,287 | 3,693,036 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
106
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 15.0% (continued) | ||||||||
RELX plc | 63,746 | $ | 1,182,557 | |||||
Rio Tinto Ltd. | 25,795 | 839,920 | ||||||
Royal Bank of Scotland Group plc † | 317,676 | 1,012,976 | ||||||
Royal Mail plc | 367,919 | 2,537,018 | ||||||
SABMiller plc | 54,502 | 3,328,866 | ||||||
Sage Group plc (The) | 156,415 | 1,410,301 | ||||||
Schroders plc | 9,866 | 379,295 | ||||||
Sky plc | 22,651 | 332,846 | ||||||
Sports Direct International plc † | 88,606 | 480,625 | ||||||
Taylor Wimpey plc | 2,092,641 | 5,703,216 | ||||||
Travis Perkins plc | 49,950 | 1,308,483 | ||||||
Unilever plc | 76,998 | 3,472,052 | ||||||
Vodafone Group plc | 1,230,481 | 3,910,048 | ||||||
Weir Group plc (The) | 15,399 | 244,675 | ||||||
William Hill plc | 554,139 | 2,592,645 | ||||||
WPP plc | 168,685 | 3,926,232 | ||||||
|
| |||||||
115,694,279 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 687,587,335 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.1% | ||||||||
Germany - 0.1% | ||||||||
Porsche Automobil Holding SE | ||||||||
(cost $724,104) | 9,553 | 493,744 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 7.5% | ||||||||
Investment Companies - 7.5% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.198% (c)(d) | 57,528,526 | 57,528,526 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.149% (c)(d) | 440,305 | 440,305 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 57,968,831 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN | 746,049,910 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.3% (e) | 25,183,860 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 771,233,770 | ||||||
|
|
† | Non-income producing security. |
(a) | Security fair valued as of March 31, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $8,141 or 0.0% of total net assets. |
(b) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(c) | Represents annualized seven-day yield as of the close of the reporting period. |
(d) | A portion of the security is pledged as collateral to the brokers for forward foreign currency 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:
144A - Restricted Security
CDI - CHESS Depository Interest
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 103,349,035 | 13.4 | % | ||||
Consumer Staples | 82,034,019 | 10.6 | ||||||
Energy | 22,126,794 | 2.9 | ||||||
Financials | 158,938,759 | 20.6 | ||||||
Health Care | 88,756,154 | 11.5 | ||||||
Industrials | 100,014,245 | 13.0 | ||||||
Information Technology | 48,905,223 | 6.3 | ||||||
Materials | 31,059,186 | 4.0 | ||||||
Telecommunication Services | 35,130,982 | 4.6 | ||||||
Utilities | 17,766,682 | 2.3 | ||||||
Short-Term Investments | 57,968,831 | 7.5 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 746,049,910 | 96.7 | ||||||
Other Assets in Excess of Liabilities (e) | 25,183,860 | 3.3 | ||||||
|
|
|
| |||||
Net Assets | $ | 771,233,770 | 100.0 | % | ||||
|
|
|
|
Total return swap contracts outstanding as of March 31, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Goldman Sachs | Hang Seng Index April Futures | 04/2016 | HKD | 29,611,364 | $72,082 | |||||||||
Goldman Sachs | Swiss Market Index June Futures | 06/2016 | CHF | (1,145,374 | ) | (5,449 | ) | |||||||
|
| |||||||||||||
$66,633 | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
107
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
Open futures contracts outstanding at March 31, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
606 | Barclays Capital | CAC40 Index Futures | 04/2016 | $30,436,476 | $30,227,186 | $(209,290 | ) | |||||||||||||
107 | Barclays Capital | DAX Index Futures | 06/2016 | 30,339,496 | 30,438,825 | 99,329 | ||||||||||||||
236 | Barclays Capital | Hang Seng Index Futures | 04/2016 | 30,914,822 | 31,650,318 | 735,496 | ||||||||||||||
92 | Barclays Capital | IBEX 35 Index Futures | 04/2016 | 9,357,473 | 9,097,178 | (260,295 | ) | |||||||||||||
330 | Barclays Capital | MSCI Singapore Index Futures | 04/2016 | 7,783,950 | 7,807,767 | 23,817 | ||||||||||||||
561 | Barclays Capital | TOPIX Index Futures | 06/2016 | 67,148,536 | 67,168,466 | 19,930 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
175,980,753 | 176,389,740 | 408,987 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
106 | Barclays Capital | Amsterdam Index Futures | 04/2016 | $(10,639,261 | ) | $(10,607,094 | ) | $32,167 | ||||||||||||
605 | Barclays Capital | FTSE 100 Index Futures | 06/2016 | (52,840,749 | ) | (53,117,767 | ) | (277,018 | ) | |||||||||||
49 | Barclays Capital | FTSE/MIB Index Futures | 06/2016 | (5,104,443 | ) | (4,933,388 | ) | 171,055 | ||||||||||||
97 | Barclays Capital | OMXS30 Index Futures | 04/2016 | (1,633,943 | ) | (1,606,460 | ) | 27,483 | ||||||||||||
450 | Barclays Capital | SPI 200 Index Futures | 06/2016 | (44,029,197 | ) | (43,687,599 | ) | 341,598 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
(114,247,593 | ) | (113,952,308 | ) | 295,285 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$61,733,160 | $62,437,432 | $704,272 | ||||||||||||||||||
|
|
|
|
|
|
Forward foreign currency exchange contracts outstanding as of March 31, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 06/15/16 | CitiBank | AUD | 41,689,000 | $31,031,431 | $31,847,976 | $816,545 | ||||||||||||||
Swiss Franc, Expiring 06/15/16 | CitiBank | CHF | 1,755,000 | 1,791,785 | 1,831,212 | 39,427 | ||||||||||||||
Danish Krone, Expiring 06/15/16 | CitiBank | DKK | 10,636,000 | 1,584,588 | 1,627,985 | 43,397 | ||||||||||||||
Euro, Expiring 06/15/16 | CitiBank | EUR | 84,605,400 | 92,553,581 | 96,491,865 | 3,938,284 | ||||||||||||||
British Pound, Expiring 06/15/16 | CitiBank | GBP | 22,973,000 | 32,638,935 | 33,002,758 | 363,823 | ||||||||||||||
Hong Kong Dollar, Expiring 06/15/16 | CitiBank | HKD | 49,311,000 | 6,344,645 | 6,359,369 | 14,724 | ||||||||||||||
Israeli Shekel, Expiring 06/15/16 | CitiBank | ILS | 22,043,000 | 5,682,756 | 5,878,519 | 195,763 | ||||||||||||||
Japanese Yen, Expiring 06/15/16 | CitiBank | JPY | 19,239,716,800 | 170,259,963 | 171,317,211 | 1,057,248 | ||||||||||||||
New Zealand Dollar, Expiring 06/15/16 | CitiBank | NZD | 7,665,000 | 5,032,361 | 5,277,751 | 245,390 | ||||||||||||||
Swedish Krona, Expiring 06/15/16 | CitiBank | SEK | 105,776,000 | 12,399,979 | 13,064,531 | 664,552 | ||||||||||||||
Singapore Dollar, Expiring 06/15/16 | CitiBank | SGD | 11,510,300 | 8,185,799 | 8,535,982 | 350,183 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$367,505,823 | $375,235,159 | $7,729,336 | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
108
Schedule of Investments | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 06/15/16 | CitiBank | AUD | (21,023,900 | ) | $(15,199,326 | ) | $(16,061,039 | ) | $(861,713 | ) | ||||||||||
Swiss Franc, Expiring 06/15/16 | CitiBank | CHF | (55,281,800 | ) | (55,653,115 | ) | (57,682,454 | ) | (2,029,339 | ) | ||||||||||
Danish Krone, Expiring 06/15/16 | CitiBank | DKK | (37,390,000 | ) | (5,477,606 | ) | (5,723,054 | ) | (245,448 | ) | ||||||||||
Euro, Expiring 06/15/16 | CitiBank | EUR | (37,827,000 | ) | (41,691,675 | ) | (43,141,428 | ) | (1,449,753 | ) | ||||||||||
British Pound, Expiring 06/15/16 | CitiBank | GBP | (99,232,700 | ) | (139,316,193 | ) | (142,556,601 | ) | (3,240,408 | ) | ||||||||||
Hong Kong Dollar, Expiring 06/15/16 | CitiBank | HKD | (8,455,000 | ) | (1,089,033 | ) | (1,090,395 | ) | (1,362 | ) | ||||||||||
Israeli Shekel, Expiring 06/15/16 | CitiBank | ILS | (1,140,000 | ) | (295,786 | ) | (304,020 | ) | (8,234 | ) | ||||||||||
Japanese Yen, Expiring 06/15/16 | CitiBank | JPY | (2,541,465,000 | ) | (22,732,396 | ) | (22,630,098 | ) | 102,298 | |||||||||||
New Zealand Dollar, Expiring 06/15/16 | CitiBank | NZD | (7,665,000 | ) | (5,074,646 | ) | (5,277,750 | ) | (203,104 | ) | ||||||||||
Swedish Krona, Expiring 06/15/16 | CitiBank | SEK | (53,286,000 | ) | (6,489,035 | ) | (6,581,422 | ) | (92,387 | ) | ||||||||||
Singapore Dollar, Expiring 06/15/16 | CitiBank | SGD | (933,000 | ) | (673,769 | ) | (691,908 | ) | (18,139 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(293,692,580 | ) | (301,740,169 | ) | (8,047,589 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$73,813,243 | $73,494,990 | $(318,253 | ) | |||||||||||||||||
|
|
|
|
|
|
AUD - Australian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
Collateral pledged to, or (received from), each counterparty at March 31, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
Barclays Capital | ||||||||||||
Cash | $— | $16,912,720 | $16,912,720 | |||||||||
| ||||||||||||
CitiBank | ||||||||||||
Investment Company | 920,026 | — | 920,026 | |||||||||
| ||||||||||||
Goldman Sachs | ||||||||||||
Investment Company | 440,000 | — | 440,000 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
109
Statements of Assets and Liabilities | March 31, 2016 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND | AQR SMALL CAP MULTI-STYLE FUND | AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 1,330,268,225 | $ | 671,173,150 | $ | 345,404,492 | $ | 212,878,668 | ||||||||
Investments in securities, at value* | $ | 1,358,974,222 | $ | 706,989,605 | $ | 331,329,892 | $ | 209,903,278 | ||||||||
Cash | — | — | 1,429 | — | ||||||||||||
Foreign currency, at value‡ | — | — | 889,149 | 1,144,572 | ||||||||||||
Deposits with brokers for exchange-traded and centrally cleared derivatives | 1,899,120 | 766,686 | — | 350,989 | ||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | — | 295,790 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | — | 78,584,813 | 214,583 | 55,554,086 | ||||||||||||
Foreign tax reclaim | 8,179 | — | 171,964 | — | ||||||||||||
Dividends | 926,293 | 599,995 | 1,676,161 | 649,168 | ||||||||||||
Capital shares sold | 1,922,447 | 583,810 | 514,790 | 178,387 | ||||||||||||
Prepaid expenses | 74,323 | 70,056 | 32,990 | 32,311 | ||||||||||||
Total Assets | 1,363,804,584 | 787,890,755 | 334,830,958 | 267,812,791 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | 73,655 | — | — | 177,669 | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | — | 88,474,776 | 2,138,912 | 52,184,828 | ||||||||||||
Collateral received on securities loaned | — | 51,797,286 | — | 2,221,189 | ||||||||||||
Accrued investment advisory fees | 331,734 | 270,727 | 114,039 | 77,868 | ||||||||||||
Accrued distribution fees—Class N | 15,007 | 1,798 | 1,508 | 1,156 | ||||||||||||
Accrued Trustee fees | — | 138 | — | — | ||||||||||||
Capital shares redeemed | 1,012,592 | 319,355 | 84,603 | 70,662 | ||||||||||||
Other accrued expenses and liabilities | 338,856 | 78,700 | 158,961 | 136,909 | ||||||||||||
Total Liabilities | 1,771,844 | 140,942,780 | 2,498,023 | 54,870,281 | ||||||||||||
Net Assets | $ | 1,362,032,740 | $ | 646,947,975 | $ | 332,332,935 | $ | 212,942,510 | ||||||||
�� | ||||||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 1,378,386,970 | $ | 616,410,456 | $ | 369,916,935 | $ | 254,391,893 | ||||||||
Undistributed accumulated net investment income (loss) | 5,115,549 | 1,329,563 | 1,654,281 | (410,286 | ) | |||||||||||
Undistributed accumulated net realized gain (loss) | (51,008,721 | ) | (7,033,201 | ) | (25,194,397 | ) | (38,269,465 | ) | ||||||||
Net unrealized appreciation (depreciation) | 29,538,942 | 36,241,157 | (14,043,884 | ) | (2,769,632 | ) | ||||||||||
Net Assets | $ | 1,362,032,740 | $ | 646,947,975 | $ | 332,332,935 | $ | 212,942,510 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 536,075,094 | $ | 26,281,671 | $ | 61,276,615 | $ | 56,720,246 | ||||||||
Class N | 71,741,848 | 8,634,511 | 7,094,724 | 5,863,664 | ||||||||||||
Class R6 | 754,215,798 | 612,031,793 | 263,961,596 | 150,358,600 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 39,491,770 | 2,082,111 | 6,122,397 | 6,954,808 | ||||||||||||
Class N | 5,302,215 | 686,242 | 709,875 | 719,624 | ||||||||||||
Class R6 | 55,579,443 | 48,446,655 | 26,413,378 | 18,421,361 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 13.57 | $ | 12.62 | $ | 10.01 | $ | 8.16 | ||||||||
Class N | $ | 13.53 | $ | 12.58 | $ | 9.99 | $ | 8.15 | ||||||||
Class R6 | $ | 13.57 | $ | 12.63 | $ | 9.99 | $ | 8.16 | ||||||||
* Includes market value of securities out on loan | $ | — | $ | 50,655,402 | $ | — | $ | 2,071,995 | ||||||||
‡ Foreign currency at cost | $ | — | $ | — | $ | 870,164 | $ | 1,124,648 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
110
Statements of Assets and Liabilities | March 31, 2016 (Unaudited) |
AQR TM LARGE CAP MULTI-STYLE FUND | AQR TM SMALL CAP MULTI-STYLE FUND | AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 104,362,056 | $ | 12,808,576 | $ | 99,350,229 | $ | 239,530,715 | ||||||||
Investments in securities, at value* | $ | 105,139,772 | $ | 13,525,413 | $ | 97,383,044 | $ | 244,031,919 | ||||||||
Cash | — | — | 577 | — | ||||||||||||
Foreign currency, at value‡ | — | — | — | 756,967 | ||||||||||||
Deposits with brokers for exchange-traded and centrally cleared derivatives | — | — | — | 606,618 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | — | 1,702,587 | 388,667 | 59,288,479 | ||||||||||||
Foreign tax reclaim | 998 | — | 23,675 | — | ||||||||||||
Dividends | 86,748 | 10,671 | 471,567 | 627,619 | ||||||||||||
Capital shares sold | 253,942 | 145,950 | 101,389 | 89,145 | ||||||||||||
Due from Investment Adviser | — | 7,135 | — | — | ||||||||||||
Prepaid expenses | 32,576 | 27,671 | 30,766 | 79,497 | ||||||||||||
Total Assets | 105,514,036 | 15,419,427 | 98,399,685 | 305,480,244 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Foreign currency due to custodian, at value | — | — | 130,977 | — | ||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | — | — | — | 99,624 | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 1,414,700 | 1,619,026 | 611,242 | 60,602,051 | ||||||||||||
Collateral received on securities loaned | — | 1,139,174 | — | 1,153,057 | ||||||||||||
Accrued investment advisory fees | 15,014 | — | 26,647 | 94,357 | ||||||||||||
Accrued distribution fees—Class N | 351 | 405 | 113 | 262 | ||||||||||||
Capital shares redeemed | 177,609 | — | 17,131 | 21,939 | ||||||||||||
Other accrued expenses and liabilities | 56,754 | 41,208 | 87,534 | 90,728 | ||||||||||||
Total Liabilities | 1,664,428 | 2,799,813 | 873,644 | 62,062,018 | ||||||||||||
Net Assets | $ | 103,849,608 | $ | 12,619,614 | $ | 97,526,041 | $ | 243,418,226 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 102,818,604 | $ | 12,096,587 | $ | 101,433,502 | $ | 247,742,826 | ||||||||
Undistributed accumulated net investment income (loss) | 386,694 | 32,059 | 472,551 | (25,520 | ) | |||||||||||
Undistributed accumulated net realized gain (loss) | (133,406 | ) | (225,869 | ) | (2,409,407 | ) | (9,384,285 | ) | ||||||||
Net unrealized appreciation (depreciation) | 777,716 | 716,837 | (1,970,605 | ) | 5,085,205 | |||||||||||
Net Assets | $ | 103,849,608 | $ | 12,619,614 | $ | 97,526,041 | $ | 243,418,226 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 22,044,365 | $ | 8,929,661 | $ | 15,841,111 | $ | 9,472,869 | ||||||||
Class N | 1,720,150 | 1,987,401 | 541,926 | 1,282,186 | ||||||||||||
Class R6 | 80,085,093 | 1,702,552 | 81,143,004 | 232,663,171 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 2,268,622 | 951,193 | 1,721,658 | 1,124,489 | ||||||||||||
Class N | 177,266 | 212,097 | 58,959 | 151,970 | ||||||||||||
Class R6 | 8,239,817 | 181,127 | 8,809,098 | 27,610,822 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 9.72 | $ | 9.39 | $ | 9.20 | $ | 8.42 | ||||||||
Class N | $ | 9.70 | $ | 9.37 | $ | 9.19 | $ | 8.44 | ||||||||
Class R6 | $ | 9.72 | $ | 9.40 | $ | 9.21 | $ | 8.43 | ||||||||
* Includes market value of securities out on loan | $ | — | $ | 1,116,770 | $ | — | $ | 1,047,485 | ||||||||
‡ Foreign currency at cost | $ | — | $ | — | $ | (124,189 | ) | $ | 750,778 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
111
Statements of Assets and Liabilities | March 31, 2016 (Unaudited) |
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 | $ | 858,133,948 | $ | 316,582,342 | $ | 313,217,603 | $ | 10,500,448 | ||||||||
Investments in securities, at value* | $ | 994,089,380 | $ | 349,609,261 | $ | 339,480,117 | $ | 11,167,188 | ||||||||
Foreign currency, at value‡ | 403 | — | 688,471 | 20,866 | ||||||||||||
Deposits with brokers for exchange-traded and centrally cleared derivatives | 1,509,738 | 11,163 | 252,319 | — | ||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | — | 1,013 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 87,559,931 | 17,997,765 | 55,950,144 | 1,045,093 | ||||||||||||
Foreign tax reclaim | 2,109 | — | 635,322 | — | ||||||||||||
Dividends | 1,091,312 | 296,024 | 1,315,587 | 17,962 | ||||||||||||
Capital shares sold | 1,743,712 | 305,746 | 603,301 | 22 | ||||||||||||
Due from Investment Adviser | — | — | — | 10,227 | ||||||||||||
Prepaid expenses | 59,391 | 42,631 | 39,991 | 22,029 | ||||||||||||
Total Assets | 1,086,055,976 | 368,263,603 | 398,965,252 | 12,283,387 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | 58,770 | — | 60,451 | — | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 87,074,299 | 19,212,248 | 59,631,973 | 1,047,104 | ||||||||||||
Collateral received on securities loaned | — | 33,769,149 | — | 651,334 | ||||||||||||
Accrued investment advisory fees | 185,081 | 96,873 | 94,305 | — | ||||||||||||
Accrued distribution fees—Class N | 12,632 | 1,831 | 6,980 | 330 | ||||||||||||
Capital shares redeemed | 1,436,473 | 795,411 | 431,541 | — | ||||||||||||
Other accrued expenses and liabilities | 383,594 | 197,151 | 178,943 | 92,048 | ||||||||||||
Total Liabilities | 89,150,849 | 54,072,663 | 60,404,193 | 1,790,816 | ||||||||||||
Net Assets | $ | 996,905,127 | $ | 314,190,940 | $ | 338,561,059 | $ | 10,492,571 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 839,000,710 | $ | 295,762,853 | $ | 350,158,229 | $ | 12,408,650 | ||||||||
Undistributed accumulated net investment income (loss) | 3,509,477 | 415,240 | 1,491,592 | (32,681 | ) | |||||||||||
Undistributed accumulated net realized gain (loss) | 17,912,287 | (15,020,568 | ) | (39,397,170 | ) | (2,551,555 | ) | |||||||||
Net unrealized appreciation (depreciation) | 136,482,653 | 33,033,415 | 26,308,408 | 668,157 | ||||||||||||
Net Assets | $ | 996,905,127 | $ | 314,190,940 | $ | 338,561,059 | $ | 10,492,571 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 865,908,469 | $ | 299,365,178 | $ | 271,840,155 | $ | 8,250,920 | ||||||||
Class N | 60,542,816 | 8,858,347 | 33,274,549 | 1,621,467 | ||||||||||||
Class R6 | 70,453,842 | 5,967,415 | 33,446,355 | 620,184 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 44,588,555 | 16,132,741 | 20,412,118 | 1,014,524 | ||||||||||||
Class N | 3,117,488 | 479,436 | 2,503,036 | 199,408 | ||||||||||||
Class R6 | 3,635,211 | 322,165 | 2,514,876 | 76,193 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 19.42 | $ | 18.56 | $ | 13.32 | $ | 8.13 | ||||||||
Class N | $ | 19.42 | $ | 18.48 | $ | 13.29 | $ | 8.13 | ||||||||
Class R6 | $ | 19.38 | $ | 18.52 | $ | 13.30 | $ | 8.14 | ||||||||
* Includes market value of securities out on loan | $ | — | $ | 33,187,084 | $ | — | $ | 626,774 | ||||||||
‡ Foreign currency at cost | $ | 430 | $ | — | $ | 682,655 | $ | 20,018 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
112
Statements of Assets and Liabilities | March 31, 2016 (Unaudited) |
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 | $ | 124,719,552 | $ | 28,815,007 | $ | 83,240,086 | $ | 498,718,081 | ||||||||
Investments in securities, at value* | $ | 140,930,556 | $ | 30,301,342 | $ | 86,225,119 | $ | 558,965,764 | ||||||||
Cash | — | — | 735 | — | ||||||||||||
Foreign currency, at value‡ | — | — | 286,430 | — | ||||||||||||
Deposits with brokers for exchange-traded and centrally cleared derivatives | 113,856 | — | — | 1,048,762 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 8,695,489 | 1,857,424 | 12,469,046 | — | ||||||||||||
Foreign tax reclaim | 466 | — | 115,575 | 5,399 | ||||||||||||
Dividends | 163,412 | 25,648 | 309,878 | 717,959 | ||||||||||||
Capital shares sold | 137,629 | 53,072 | 152,229 | 4,120,518 | ||||||||||||
Prepaid expenses | 40,642 | 32,997 | 34,188 | 50,200 | ||||||||||||
Total Assets | 150,082,050 | 32,270,483 | 99,593,200 | 564,908,602 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | 4,311 | — | — | 289,259 | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 8,044,578 | 1,840,284 | 12,436,896 | — | ||||||||||||
Collateral received on securities loaned | — | 3,135,733 | — | — | ||||||||||||
Accrued investment advisory fees | 20,514 | 334 | 16,858 | 109,568 | ||||||||||||
Accrued distribution fees—Class N | 35 | 29 | 27 | 23,386 | ||||||||||||
Capital shares redeemed | 248,026 | 92,777 | 6,116 | 10,067,576 | ||||||||||||
Other accrued expenses and liabilities | 78,407 | 52,818 | 85,771 | 130,265 | ||||||||||||
Total Liabilities | 8,395,871 | 5,121,975 | 12,545,668 | 10,620,054 | ||||||||||||
Net Assets | $ | 141,686,179 | $ | 27,148,508 | $ | 87,047,532 | $ | 554,288,548 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 128,547,500 | $ | 27,000,663 | $ | 94,935,662 | $ | 490,439,507 | ||||||||
Undistributed accumulated net investment income (loss) | 578,155 | 55,281 | 414,722 | 2,323,902 | ||||||||||||
Undistributed accumulated net realized gain (loss) | (3,689,517 | ) | (1,393,771 | ) | (11,285,250 | ) | 1,065,159 | |||||||||
Net unrealized appreciation (depreciation) | 16,250,041 | 1,486,335 | 2,982,398 | 60,459,980 | ||||||||||||
Net Assets | $ | 141,686,179 | $ | 27,148,508 | $ | 87,047,532 | $ | 554,288,548 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 62,488,787 | $ | 26,857,523 | $ | 27,984,678 | $ | 317,909,581 | ||||||||
Class N | 167,026 | 141,971 | 120,277 | 124,335,870 | ||||||||||||
Class R6 | 79,030,366 | 149,014 | 58,942,577 | 112,043,097 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 3,844,209 | 1,882,339 | 2,365,741 | 20,970,795 | ||||||||||||
Class N | 10,299 | 9,988 | 10,203 | 8,210,272 | ||||||||||||
Class R6 | 4,869,965 | 10,452 | 4,995,471 | 7,405,434 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 16.26 | $ | 14.27 | $ | 11.83 | $ | 15.16 | ||||||||
Class N | $ | 16.22 | $ | 14.21 | $ | 11.79 | $ | 15.14 | ||||||||
Class R6 | $ | 16.23 | $ | 14.26 | $ | 11.80 | $ | 15.13 | ||||||||
* Includes market value of securities out on loan | $ | — | $ | 3,091,751 | $ | — | $ | — | ||||||||
‡ Foreign currency at cost | $ | — | $ | — | $ | 279,612 | $ | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
113
Statements of Assets and Liabilities | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND | AQR EMERGING DEFENSIVE STYLE FUND | AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 84,094,926 | $ | 44,998,431 | $ | 204,943,571 | $ | 708,215,080 | ||||||||
Investments in securities, at value* | $ | 85,443,767 | $ | 44,282,165 | $ | 230,606,960 | $ | 746,049,910 | ||||||||
Cash | — | — | 1,878 | 5,468 | ||||||||||||
Foreign currency, at value‡ | 212,219 | 139,178 | 673,421 | 1,949,858 | ||||||||||||
Due from brokers | — | — | 113,090 | 133,637 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | 1,959,405 | 7,831,634 | ||||||||||||
OTC swaps, at value | — | — | 59,740 | 72,082 | ||||||||||||
Deposits with brokers for exchange-traded and centrally cleared derivatives | — | 127,805 | 4,476,609 | 19,407,320 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 26,989,652 | — | — | 199,916 | ||||||||||||
Foreign tax reclaim | 42,162 | 5,195 | 640,977 | 2,727,364 | ||||||||||||
Dividends | 214,238 | 89,480 | 476,174 | 3,203,894 | ||||||||||||
Capital shares sold | 54,676 | 257,903 | 4,255 | 1,103,724 | ||||||||||||
Prepaid expenses | 16,437 | 16,945 | 46,050 | 72,462 | ||||||||||||
Total Assets | 112,973,151 | 44,918,671 | 239,058,559 | 782,757,269 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Due to custodian | — | 640 | — | — | ||||||||||||
Due to brokers | — | — | 170,287 | 37,411 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | 1,905,000 | 8,149,887 | ||||||||||||
OTC swaps, at value | — | — | 67,174 | 5,449 | ||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | — | 16,293 | 370,486 | 1,790,328 | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 44,978,439 | — | — | 199,850 | ||||||||||||
Collateral received on securities loaned | — | 1,100,322 | — | — | ||||||||||||
Accrued investment advisory fees | 5,227 | 7,363 | 72,778 | 288,526 | ||||||||||||
Accrued shareholder servicing fees | — | — | 24,064 | 98,986 | ||||||||||||
Accrued distribution fees—Class N | 290 | 20 | 292 | 7,619 | ||||||||||||
Capital shares redeemed | 34,841 | 8,279 | — | 661,559 | ||||||||||||
Other accrued expenses and liabilities | 69,283 | 92,996 | 129,390 | 283,884 | ||||||||||||
Total Liabilities | 45,088,080 | 1,225,913 | 2,739,471 | 11,523,499 | ||||||||||||
Net Assets | $ | 67,885,071 | $ | 43,692,758 | $ | 236,319,088 | $ | 771,233,770 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 67,310,714 | $ | 54,807,711 | $ | 205,293,684 | $ | 736,042,423 | ||||||||
Undistributed accumulated net investment income (loss) | 217,103 | 9,197 | 537,951 | 1,759,189 | ||||||||||||
Undistributed accumulated net realized gain (loss) | (973,109 | ) | (10,531,772 | ) | 4,089,108 | (4,760,388 | ) | |||||||||
Net unrealized appreciation (depreciation) | 1,330,363 | (592,378 | ) | 26,398,345 | 38,192,546 | |||||||||||
Net Assets | $ | 67,885,071 | $ | 43,692,758 | $ | 236,319,088 | $ | 771,233,770 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 48,903,232 | $ | 43,332,641 | $ | 33,753,372 | $ | 335,169,438 | ||||||||
Class N | 1,673,219 | 134,425 | 1,477,432 | 37,169,691 | ||||||||||||
Class R6 | 17,308,620 | 225,692 | 100,233,661 | 36,767,758 | ||||||||||||
Class Y | — | — | 100,854,623 | 362,126,883 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 4,273,223 | 5,153,495 | 4,420,301 | 34,809,591 | ||||||||||||
Class N | 142,508 | 15,609 | 194,318 | 3,789,062 | ||||||||||||
Class R6 | 1,514,406 | 26,930 | 13,034,888 | 3,604,601 | ||||||||||||
Class Y | — | — | 13,122,337 | 35,503,948 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 11.44 | $ | 8.41 | $ | 7.64 | $ | 9.63 | ||||||||
Class N | $ | 11.74 | $ | 8.61 | $ | 7.60 | $ | 9.81 | ||||||||
Class R6 | $ | 11.43 | $ | 8.38 | $ | 7.69 | $ | 10.20 | ||||||||
Class Y | — | — | $ | 7.69 | $ | 10.20 | ||||||||||
* Includes market value of securities out on loan | $ | — | $ | 1,068,454 | $ | — | $ | — | ||||||||
‡ Foreign currency at cost | $ | 210,609 | $ | 135,463 | $ | 666,613 | $ | 1,950,984 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
114
Statements of Operations | March 31, 2016 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND | AQR SMALL CAP MULTI-STYLE FUND | AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | |||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $11,989,935 | $1,929,233 | $3,202,973 | $1,125,565 | ||||||||||||
Securities lending income, net | — | 365,480 | — | 29,244 | ||||||||||||
Total Income | 11,989,935 | 2,294,713 | 3,202,973 | 1,154,809 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 1,927,766 | 614,786 | 698,900 | 590,627 | ||||||||||||
Custody fees | 30,833 | 17,836 | 38,800 | 87,779 | ||||||||||||
Administration & accounting fees | 151,208 | 19,593 | 36,824 | 23,424 | ||||||||||||
Legal fees | 14,187 | 590 | 3,111 | 4,277 | ||||||||||||
Audit & tax fees | 19,207 | 19,194 | 25,369 | 28,297 | ||||||||||||
Shareholder reporting fees | 94,529 | 11,076 | 22,668 | 14,107 | ||||||||||||
Transfer agent fees | 233,557 | 22,278 | 30,617 | 18,803 | ||||||||||||
Trustee fees | 21,576 | 2,318 | 5,445 | 3,495 | ||||||||||||
Distribution fees—Class N | 84,656 | 10,533 | 7,503 | 6,358 | ||||||||||||
Registration fees | 44,785 | 22,229 | 23,980 | 19,985 | ||||||||||||
Pricing fee | 245 | 1,109 | 9,908 | 10,025 | ||||||||||||
Other expenses | 24,790 | 7,536 | 6,045 | 3,817 | ||||||||||||
Total Expenses | 2,647,339 | 749,078 | 909,170 | 810,994 | ||||||||||||
Less fee waivers and/or reimbursements | (83,200 | ) | (46,642 | ) | (101,978 | ) | (153,873 | ) | ||||||||
Net Expenses | 2,564,139 | 702,436 | 807,192 | 657,121 | ||||||||||||
Net Investment Income (Loss) | 9,425,796 | 1,592,277 | 2,395,781 | 497,688 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | (39,039,099 | ) | (7,132,104 | ) | (14,371,902 | ) | (27,651,867 | ) | ||||||||
Foreign currency and foreign currency transactions | — | — | (53,929 | ) | (51,788 | ) | ||||||||||
Futures contracts | 6,197,805 | 1,033,774 | — | 25,261 | ||||||||||||
Net realized gain (loss) | (32,841,294 | ) | (6,098,330 | ) | (14,425,831 | ) | (27,678,394 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 63,577,135 | 37,715,902 | 10,454,578 | 31,657,539 | ||||||||||||
Foreign currency and foreign currency translations | — | — | 64,028 | 36,857 | ||||||||||||
Futures contracts | 1,113,517 | 424,702 | — | 175,059 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 64,690,652 | 38,140,604 | 10,518,606 | 31,869,455 | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 31,849,358 | 32,042,274 | (3,907,225 | ) | 4,191,061 | |||||||||||
Net increase (decrease) in net assets resulting from operations | $41,275,154 | $33,634,551 | $(1,511,444 | ) | $4,688,749 | |||||||||||
† Net of foreign taxes withheld of | $9,733 | $41 | $243,520 | $139,376 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
115
Statements of Operations | March 31, 2016 (Unaudited) |
AQR TM LARGE CAP MULTI-STYLE FUND | AQR TM SMALL CAP MULTI-STYLE FUND | AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $620,686 | $54,585 | $799,921 | $1,048,612 | ||||||||||||
Securities lending income, net | — | 10,713 | — | 19,831 | ||||||||||||
Total Income | 620,686 | 65,298 | 799,921 | 1,068,443 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 90,625 | 17,751 | 150,251 | 525,884 | ||||||||||||
Custody fees | 16,084 | 10,695 | 20,537 | 53,193 | ||||||||||||
Administration & accounting fees | 5,298 | 629 | 7,018 | 17,573 | ||||||||||||
Legal fees | 335 | 233 | 671 | 184 | ||||||||||||
Audit & tax fees | 19,072 | 19,072 | 23,100 | 26,855 | ||||||||||||
Shareholder reporting fees | 3,190 | 400 | 4,176 | 11,729 | ||||||||||||
Transfer agent fees | 9,068 | 8,834 | 10,569 | 9,965 | ||||||||||||
Trustee fees | 891 | 311 | 1,137 | 2,175 | ||||||||||||
Offering costs | 5,702 | 5,664 | 5,690 | 8,583 | ||||||||||||
Distribution fees—Class N | 882 | 1,018 | 486 | 918 | ||||||||||||
Registration fees | 27,689 | 27,278 | 27,647 | 27,849 | ||||||||||||
Pricing fee | 752 | 1,209 | 5,365 | 5,390 | ||||||||||||
Other expenses | 1,244 | 566 | 1,441 | 7,248 | ||||||||||||
Total Expenses | 180,832 | 93,660 | 258,088 | 697,546 | ||||||||||||
Less fee waivers and/or reimbursements | (72,781 | ) | (72,094 | ) | (87,792 | ) | (124,636 | ) | ||||||||
Net Expenses | 108,051 | 21,566 | 170,296 | 572,910 | ||||||||||||
Net Investment Income (Loss) | 512,635 | 43,732 | 629,625 | 495,533 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | 37,085 | (217,693 | ) | (1,591,005 | ) | (8,674,234 | ) | |||||||||
Foreign currency and foreign currency transactions | — | — | 27,255 | (265,385 | ) | |||||||||||
Futures contracts | — | — | — | 141,575 | ||||||||||||
Net realized gain (loss) | 37,085 | (217,693 | ) | (1,563,750 | ) | (8,798,044 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 2,616,039 | 937,014 | 1,671,856 | 6,922,049 | ||||||||||||
Foreign currency and foreign currency translations | — | — | (1,085 | ) | 5,242 | |||||||||||
Futures contracts | — | — | — | 579,419 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 2,616,039 | 937,014 | 1,670,771 | 7,506,710 | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 2,653,124 | 719,321 | 107,021 | (1,291,334 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | $3,165,759 | $763,053 | $736,646 | $(795,801 | ) | |||||||||||
† Net of foreign taxes withheld of | $893 | $— | $56,485 | $130,116 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
116
Statements of Operations | March 31, 2016 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR EMERGING MOMENTUM STYLE FUND | |||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $8,050,076 | $1,669,435 | $2,826,112 | $45,526 | ||||||||||||
Securities lending income, net | — | 518,386 | — | 2,605 | ||||||||||||
Total Income | 8,050,076 | 2,187,821 | 2,826,112 | 48,131 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 1,255,728 | 774,067 | 662,751 | 23,765 | ||||||||||||
Custody fees | 30,450 | 44,059 | 42,459 | 25,614 | ||||||||||||
Administration & accounting fees | 122,008 | 44,347 | 39,800 | 1,015 | ||||||||||||
Legal fees | 40,117 | 12,947 | 13,081 | 2,184 | ||||||||||||
Audit & tax fees | 19,788 | 19,757 | 26,682 | 26,723 | ||||||||||||
Shareholder reporting fees | 77,026 | 26,720 | 24,722 | 610 | ||||||||||||
Transfer agent fees | 456,062 | 149,871 | 151,447 | 10,457 | ||||||||||||
Trustee fees | 18,182 | 6,766 | 5,990 | 387 | ||||||||||||
Distribution fees—Class N | 83,099 | 10,620 | 42,929 | 1,613 | ||||||||||||
Registration fees | 31,941 | 33,518 | 25,810 | 16,813 | ||||||||||||
Pricing fee | 451 | 1,968 | 9,910 | 10,081 | ||||||||||||
Other expenses | 23,741 | 8,691 | 7,955 | 814 | ||||||||||||
Total Expenses | 2,158,593 | 1,133,331 | 1,053,536 | 120,076 | ||||||||||||
Less fee waivers and/or reimbursements | (117,063 | ) | (120,139 | ) | (120,477 | ) | (90,003 | ) | ||||||||
Net Expenses | 2,041,530 | 1,013,192 | 933,059 | 30,073 | ||||||||||||
Net Investment Income (Loss) | 6,008,546 | 1,174,629 | 1,893,053 | 18,058 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | 29,026,090 | (15,842,839 | ) | (18,719,811 | ) | (1,297,830 | ) | |||||||||
Foreign currency and foreign currency transactions | — | — | (60,313 | ) | (6,545 | ) | ||||||||||
Futures contracts | 5,905 | 403,887 | (115,955 | ) | — | |||||||||||
Net realized gain (loss) | 29,031,995 | (15,438,952 | ) | (18,896,079 | ) | (1,304,375 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 16,790,200 | 14,652,727 | 24,230,231 | 1,577,213 | ||||||||||||
Foreign currency and foreign currency translations | 7 | — | 35,010 | 1,561 | ||||||||||||
Futures contracts | 929,826 | 384,880 | 260,695 | — | ||||||||||||
Net change in unrealized appreciation (depreciation) | 17,720,033 | 15,037,607 | 24,525,936 | 1,578,774 | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 46,752,028 | (401,345 | ) | 5,629,857 | 274,399 | |||||||||||
Net increase (decrease) in net assets resulting from operations | $52,760,574 | $773,284 | $7,522,910 | $292,457 | ||||||||||||
† Net of foreign taxes withheld of | $3,257 | $248 | $268,251 | $4,174 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
117
Statements of Operations | March 31, 2016 (Unaudited) |
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 SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $1,145,324 | $131,935 | $691,875 | $4,241,487 | ||||||||||||
Securities lending income, net | — | 39,337 | — | — | ||||||||||||
Total Income | 1,145,324 | 171,272 | 691,875 | 4,241,487 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 168,996 | 53,228 | 159,439 | 466,318 | ||||||||||||
Custody fees | 9,237 | 11,262 | 17,965 | 5,113 | ||||||||||||
Administration & accounting fees | 15,935 | 2,727 | 9,253 | 36,392 | ||||||||||||
Legal fees | 4,240 | 741 | 2,800 | 6,605 | ||||||||||||
Audit & tax fees | 19,741 | 19,729 | 24,162 | 19,265 | ||||||||||||
Shareholder reporting fees | 9,946 | 1,752 | 5,696 | 22,858 | ||||||||||||
Transfer agent fees | 33,459 | 19,149 | 16,956 | 104,781 | ||||||||||||
Trustee fees | 2,545 | 632 | 1,549 | 5,026 | ||||||||||||
Distribution fees—Class N | 194 | 177 | 164 | 85,637 | ||||||||||||
Registration fees | 19,724 | 18,423 | 18,684 | 26,308 | ||||||||||||
Pricing fee | 259 | 1,573 | 9,899 | 108 | ||||||||||||
Other expenses | 3,334 | 1,071 | 2,240 | 8,108 | ||||||||||||
Total Expenses | 287,610 | 130,464 | 268,807 | 786,519 | ||||||||||||
Less fee waivers and/or reimbursements | (58,389 | ) | (59,966 | ) | (79,898 | ) | (42,978 | ) | ||||||||
Net Expenses | 229,221 | 70,498 | 188,909 | 743,541 | ||||||||||||
Net Investment Income (Loss) | 916,103 | 100,774 | 502,966 | 3,497,946 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | (1,934,974 | ) | (1,082,004 | ) | (3,595,766 | ) | 135,748 | |||||||||
Foreign currency and foreign currency transactions | — | — | (10,678 | ) | — | |||||||||||
Futures contracts | (39,020 | ) | — | — | 2,001,922 | |||||||||||
Net realized gain (loss) | (1,973,994 | ) | (1,082,004 | ) | (3,606,444 | ) | 2,137,670 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 8,245,241 | 674,470 | 4,914,697 | 33,811,078 | ||||||||||||
Foreign currency and foreign currency translations | — | — | 7,860 | — | ||||||||||||
Futures contracts | 88,286 | — | — | 411,080 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 8,333,527 | 674,470 | 4,922,557 | 34,222,158 | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 6,359,533 | (407,534 | ) | 1,316,113 | 36,359,828 | |||||||||||
Net increase (decrease) in net assets resulting from operations | $7,275,636 | $(306,760 | ) | $1,819,079 | $39,857,774 | |||||||||||
† Net of foreign taxes withheld of | $349 | $59 | $72,956 | $5,016 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
118
Statements of Operations | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND | AQR EMERGING DEFENSIVE STYLE FUND | AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $478,737 | $274,090 | $2,206,823 | $7,779,207 | ||||||||||||
Securities lending income, net | — | 1,772 | — | — | ||||||||||||
Total Income | 478,737 | 275,862 | 2,206,823 | 7,779,207 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 81,656 | 94,715 | 514,643 | 1,695,996 | ||||||||||||
Shareholder servicing fees | — | — | 140,161 | 580,235 | ||||||||||||
Custody fees | 8,166 | 23,692 | 26,958 | 60,562 | ||||||||||||
Administration & accounting fees | 4,638 | 4,120 | 35,244 | 90,713 | ||||||||||||
Legal fees | 1,013 | 2,563 | 8,564 | 33,520 | ||||||||||||
Audit & tax fees | 23,554 | 25,673 | 26,164 | 31,237 | ||||||||||||
Shareholder reporting fees | 2,819 | 2,742 | 19,148 | 55,256 | ||||||||||||
Transfer agent fees | 26,781 | 20,162 | 17,842 | 186,744 | ||||||||||||
Trustee fees | 876 | 893 | 5,074 | 13,371 | ||||||||||||
Distribution fees—Class N | 500 | 104 | 1,269 | 45,661 | ||||||||||||
Registration fees | 23,755 | 23,478 | 16,960 | 18,373 | ||||||||||||
Pricing fee | 9,911 | 8,010 | 10,017 | 9,892 | ||||||||||||
Other expenses | 1,579 | 1,785 | 7,862 | 17,913 | ||||||||||||
Total Expenses | 185,248 | 207,937 | 829,906 | 2,839,473 | ||||||||||||
Less fee waivers and/or reimbursements | (73,813 | ) | (92,131 | ) | (18,708 | ) | — | |||||||||
Net Expenses | 111,435 | 115,806 | 811,198 | 2,839,473 | ||||||||||||
Net Investment Income (Loss) | 367,302 | 160,056 | 1,395,625 | 4,939,734 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | (416,492 | ) | (1,616,394 | ) | 6,682,711 | (15,273,155 | ) | |||||||||
Foreign currency and foreign currency transactions | 5,629 | 26,176 | (233,720 | ) | (338,149 | ) | ||||||||||
Forward foreign currency exchange contracts | — | — | 3,708,926 | 19,741,254 | ||||||||||||
Futures contracts | — | 145,827 | 1,846,611 | 826,577 | ||||||||||||
Swap contracts | — | — | (524,974 | ) | 737,010 | |||||||||||
Net realized gain (loss) | (410,863 | ) | (1,444,391 | ) | 11,479,554 | 5,693,537 | ||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 2,862,831 | 3,582,950 | 4,164,445 | 15,953,895 | ||||||||||||
Foreign currency and foreign currency translations | (14,194 | ) | 11,473 | 55,346 | 192,534 | |||||||||||
Forward foreign currency exchange contracts | — | — | (1,314,622 | ) | (2,237,339 | ) | ||||||||||
Futures contracts | — | 115,567 | 1,223,613 | 3,175,818 | ||||||||||||
Swap contracts | — | — | 160,579 | (322,566 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) | 2,848,637 | 3,709,990 | 4,289,361 | 16,762,342 | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 2,437,774 | 2,265,599 | 15,768,915 | 22,455,879 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $2,805,076 | $2,425,655 | $17,164,540 | $27,395,613 | ||||||||||||
† Net of foreign taxes withheld of | $41,576 | $29,486 | $80,268 | $511,106 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
119
Statements of Changes in Net Assets | March 31, 2016 |
AQR LARGE CAP MULTI -STYLE FUND | AQR SMALL CAP MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 9,425,796 | $ | 8,821,418 | $ | 1,592,277 | $ | 244,272 | ||||||||
Net realized gain (loss) | (32,841,294 | ) | (17,539,841 | ) | (6,098,330 | ) | (858,740 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 64,690,652 | (42,928,966 | ) | 38,140,604 | (2,230,520 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 41,275,154 | (51,647,389 | ) | 33,634,551 | (2,844,988 | ) | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (5,061,842 | ) | (1,256,118 | ) | (70,814 | ) | (32,992 | ) | ||||||||
Class N | (461,951 | ) | (147,772 | ) | (3,819 | ) | (293 | ) | ||||||||
Class R6 | (6,699,234 | ) | (289,685 | ) | (401,079 | ) | (274 | ) | ||||||||
Total | (12,223,027 | ) | (1,693,575 | ) | (475,712 | ) | (33,559 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class I | (495 | ) | (1,427,011 | ) | (49 | ) | (159,558 | ) | ||||||||
Class N | (61 | ) | (190,661 | ) | (15 | ) | (25,739 | ) | ||||||||
Class R6 | (595 | ) | (294,996 | ) | (209 | ) | (1,122 | ) | ||||||||
Total | (1,151 | ) | (1,912,668 | ) | (273 | ) | (186,419 | ) | ||||||||
Total distributions | (12,224,178 | ) | (3,606,243 | ) | (475,985 | ) | (219,978 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Proceeds from shares sold | 225,613,010 | 453,462,208 | 13,661,126 | 26,053,038 | ||||||||||||
Reinvestment of distributions | 4,979,196 | 2,314,801 | 70,815 | 192,314 | ||||||||||||
Cost of shares redeemed | (195,247,964 | ) | (113,786,483 | ) | (14,089,183 | ) | (6,229,549 | ) | ||||||||
Net increase (decrease) from capital transactions | 35,344,242 | 341,990,526 | (357,242 | ) | 20,015,803 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 20,743,445 | 62,739,741 | 7,723,233 | 12,604,768 | ||||||||||||
Reinvestment of distributions | 461,243 | 337,887 | 3,805 | 25,695 | ||||||||||||
Cost of shares redeemed | (10,953,816 | ) | (11,001,877 | ) | (4,747,545 | ) | (7,706,384 | ) | ||||||||
Net increase (decrease) from capital transactions | 10,250,872 | 52,075,751 | 2,979,493 | 4,924,079 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 245,170,804 | 604,806,891 | 582,494,417 | 10,426,076 | ||||||||||||
Reinvestment of distributions | 6,698,589 | 584,681 | 353,862 | 1,396 | ||||||||||||
Cost of shares redeemed | (78,710,066 | ) | (48,619,870 | ) | (13,489,985 | ) | (105,385 | ) | ||||||||
Net increase (decrease) from capital transactions | 173,159,327 | 556,771,702 | 569,358,294 | 10,322,087 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 218,754,441 | 950,837,979 | 571,980,545 | 35,261,969 | ||||||||||||
Total increase (decrease) in net assets | 247,805,417 | 895,584,347 | 605,139,111 | 32,197,003 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,114,227,323 | 218,642,976 | 41,808,864 | 9,611,861 | ||||||||||||
End of period | $ | 1,362,032,740 | $ | 1,114,227,323 | $ | 646,947,975 | $ | 41,808,864 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 5,115,549 | $ | 7,912,780 | $ | 1,329,563 | $ | 212,998 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 121) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
120
Statements of Changes in Net Assets | March 31, 2016 |
AQR LARGE CAP MULTI -STYLE FUND | AQR SMALL CAP MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Shares outstanding, beginning of period | 37,047,708 | 12,425,605 | 2,165,764 | 667,089 | ||||||||||||
Shares sold | 16,847,192 | 32,729,614 | 1,092,220 | 1,971,201 | ||||||||||||
Shares issued on reinvestment of distributions | 364,509 | 165,579 | 5,656 | 14,805 | ||||||||||||
Shares redeemed | (14,767,639 | ) | (8,273,090 | ) | (1,181,529 | ) | (487,331 | ) | ||||||||
Shares outstanding, end of period | 39,491,770 | 37,047,708 | 2,082,111 | 2,165,764 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 4,528,366 | 774,591 | 463,666 | 104,362 | ||||||||||||
Shares sold | 1,565,252 | 4,524,196 | 619,205 | 958,712 | ||||||||||||
Shares issued on reinvestment of distributions | 33,865 | 24,221 | 305 | 1,981 | ||||||||||||
Shares redeemed | (825,268 | ) | (794,642 | ) | (396,934 | ) | (601,389 | ) | ||||||||
Shares outstanding, end of period | 5,302,215 | 4,528,366 | 686,242 | 463,666 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 42,554,777 | 3,162,925 | 771,282 | 7,722 | ||||||||||||
Shares sold | 18,449,831 | 42,819,832 | 48,748,743 | 771,282 | ||||||||||||
Shares issued on reinvestment of distributions | 490,739 | 41,823 | 28,241 | 107 | ||||||||||||
Shares redeemed | (5,915,904 | ) | (3,469,803 | ) | (1,101,611 | ) | (7,829 | ) | ||||||||
Shares outstanding, end of period | 55,579,443 | 42,554,777 | 48,446,655 | 771,282 |
(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 | Semi-Annual Report | March 2016 | ||||||||||||||
121
Statements of Changes in Net Assets | March 31, 2016 |
AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 2,395,781 | $ | 4,484,141 | $ | 497,688 | $ | 3,809,337 | ||||||||
Net realized gain (loss) | (14,425,831 | ) | (10,741,439 | ) | (27,678,394 | ) | (10,325,813 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 10,518,606 | (24,826,176 | ) | 31,869,455 | (34,013,618 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | (1,511,444 | ) | (31,083,474 | ) | 4,688,749 | (40,530,094 | ) | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (606,011 | ) | (403,490 | ) | (1,291,346 | ) | (141,008 | ) | ||||||||
Class N | (76,115 | ) | (26,584 | ) | (112,201 | ) | (22,750 | ) | ||||||||
Class R6 | (3,911,376 | ) | (577,980 | ) | (3,422,346 | ) | (690 | ) | ||||||||
Total | (4,593,502 | ) | (1,008,054 | ) | (4,825,893 | ) | (164,448 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (166,855 | ) | — | — | |||||||||||
Class N | — | (13,559 | ) | — | — | |||||||||||
Class R6 | — | (214,047 | ) | — | — | |||||||||||
Total | — | (394,461 | ) | — | — | |||||||||||
Total distributions | (4,593,502 | ) | (1,402,515 | ) | (4,825,893 | ) | (164,448 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Proceeds from shares sold | 40,772,643 | 28,507,436 | 19,651,474 | 51,143,674 | ||||||||||||
Reinvestment of distributions | 603,182 | 569,269 | 1,285,557 | 141,008 | ||||||||||||
Cost of shares redeemed | (19,918,810 | ) | (11,623,854 | ) | (12,973,981 | ) | (10,102,839 | ) | ||||||||
Net increase (decrease) from capital transactions | 21,457,015 | 17,452,851 | 7,963,050 | 41,181,843 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 5,370,336 | 5,611,389 | 3,749,894 | 6,496,864 | ||||||||||||
Reinvestment of distributions | 75,447 | 39,182 | 112,201 | 22,750 | ||||||||||||
Cost of shares redeemed | (2,194,352 | ) | (3,746,127 | ) | (2,459,817 | ) | (3,479,794 | ) | ||||||||
Net increase (decrease) from capital transactions | 3,251,431 | 1,904,444 | 1,402,278 | 3,039,820 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 51,110,130 | 268,169,384 | 23,873,433 | 182,921,207 | ||||||||||||
Reinvestment of distributions | 3,910,599 | 792,027 | 3,421,616 | 690 | ||||||||||||
Cost of shares redeemed | (27,259,363 | ) | (25,761,136 | ) | (12,570,063 | ) | (11,514,345 | ) | ||||||||
Net increase (decrease) from capital transactions | 27,761,366 | 243,200,275 | 14,724,986 | 171,407,552 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 52,469,812 | 262,557,570 | 24,090,314 | 215,629,215 | ||||||||||||
Total increase (decrease) in net assets | 46,364,866 | 230,071,581 | 23,953,170 | 174,934,673 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 285,968,069 | 55,896,488 | 188,989,340 | 14,054,667 | ||||||||||||
End of period | $ | 332,332,935 | $ | 285,968,069 | $ | 212,942,510 | $ | 188,989,340 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 1,654,281 | $ | 3,852,002 | $ | (410,286 | ) | $ | 3,917,919 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 123) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
122
Statements of Changes in Net Assets | March 31, 2016 |
AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Shares outstanding, beginning of period | 3,920,915 | 2,331,110 | 5,981,726 | 1,161,585 | ||||||||||||
Shares sold | 4,108,626 | 2,593,860 | 2,384,921 | 5,827,607 | ||||||||||||
Shares issued on reinvestment of distributions | 57,666 | 52,661 | 159,696 | 14,582 | ||||||||||||
Shares redeemed | (1,964,810 | ) | (1,056,716 | ) | (1,571,535 | ) | (1,022,048 | ) | ||||||||
Shares outstanding, end of period | 6,122,397 | 3,920,915 | 6,954,808 | 5,981,726 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 406,162 | 240,807 | 549,846 | 239,916 | ||||||||||||
Shares sold | 507,403 | 501,312 | 466,408 | 667,815 | ||||||||||||
Shares issued on reinvestment of distributions | 7,220 | 3,621 | 13,938 | 2,355 | ||||||||||||
Shares redeemed | (210,910 | ) | (339,578 | ) | (310,568 | ) | (360,240 | ) | ||||||||
Shares outstanding, end of period | 709,875 | 406,162 | 719,624 | 549,846 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 23,695,163 | 2,303,191 | 16,527,847 | 9,551 | ||||||||||||
Shares sold | 5,056,112 | 23,663,755 | 3,061,290 | 17,730,277 | ||||||||||||
Shares issued on reinvestment of distributions | 374,578 | 73,404 | 425,046 | 71 | ||||||||||||
Shares redeemed | (2,712,475 | ) | (2,345,187 | ) | (1,592,822 | ) | (1,212,052 | ) | ||||||||
Shares outstanding, end of period | 26,413,378 | 23,695,163 | 18,421,361 | 16,527,847 |
(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 | Semi-Annual Report | March 2016 | ||||||||||||||
123
Statements of Changes in Net Assets | March 31, 2016 |
AQR TM LARGE CAP MULTI-STYLE FUND | AQR TM SMALL CAP MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE PERIOD 9/30/15 | FOR THE SIX (Unaudited) | FOR THE PERIOD 2/11/15*- 9/30/15 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 512,635 | $ | 125,314 | $ | 43,732 | $ | 14,039 | ||||||||
Net realized gain (loss) | 37,085 | (105,465 | ) | (217,693 | ) | (8,431 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 2,616,039 | (1,838,323 | ) | 937,014 | (220,177 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 3,165,759 | (1,818,474 | ) | 763,053 | (214,569 | ) | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (29,888 | ) | — | (19,379 | ) | — | ||||||||||
Class N | (419 | ) | — | (1,994 | ) | — | ||||||||||
Class R6 | (227,299 | ) | — | (10,514 | ) | — | ||||||||||
Total | (257,606 | ) | — | (31,887 | ) | — | ||||||||||
Net realized gain: | ||||||||||||||||
Class I | (7,959 | ) | — | — | — | |||||||||||
Class N | (210 | ) | — | — | — | |||||||||||
Class R6 | (56,997 | ) | — | — | — | |||||||||||
Total | (65,166 | ) | — | — | — | |||||||||||
Total distributions | (322,772 | ) | — | (31,887 | ) | — | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Proceeds from shares sold | 25,924,235 | 2,399,875 | 7,896,635 | 1,942,079 | ||||||||||||
Reinvestment of distributions | 36,936 | — | 19,379 | — | ||||||||||||
Cost of shares redeemed | (6,577,908 | ) | (187,312 | ) | (1,231,790 | ) | (177,223 | ) | ||||||||
Net increase (decrease) from capital transactions | 19,383,263 | 2,212,563 | 6,684,224 | 1,764,856 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 1,629,224 | 246,921 | 1,742,866 | 240,900 | ||||||||||||
Reinvestment of distributions | 629 | — | 1,994 | — | ||||||||||||
Cost of shares redeemed | (129,228 | ) | (102,252 | ) | (41,637 | ) | (100,700 | ) | ||||||||
Net increase (decrease) from capital transactions | 1,500,625 | 144,669 | 1,703,223 | 140,200 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 58,511,183 | 31,455,583 | — | 3,612,600 | ||||||||||||
Reinvestment of distributions | 284,187 | — | 10,514 | — | ||||||||||||
Cost of shares redeemed | (7,597,830 | ) | (3,069,148 | ) | — | (1,812,600 | ) | |||||||||
Net increase (decrease) from capital transactions | 51,197,540 | 28,386,435 | 10,514 | 1,800,000 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 72,081,428 | 30,743,667 | 8,397,961 | 3,705,056 | ||||||||||||
Total increase (decrease) in net assets | 74,924,415 | 28,925,193 | 9,129,127 | 3,490,487 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 28,925,193 | — | 3,490,487 | — | ||||||||||||
End of period | $ | 103,849,608 | $ | 28,925,193 | $ | 12,619,614 | $ | 3,490,487 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 386,694 | $ | 131,665 | $ | 32,059 | $ | 20,214 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
124
Statements of Changes in Net Assets | March 31, 2016 |
AQR TM LARGE CAP MULTI-STYLE FUND | AQR TM SMALL CAP MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE PERIOD 9/30/15 | FOR THE SIX (Unaudited) | FOR THE PERIOD 2/11/15*- 9/30/15 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Shares outstanding, beginning of period | 221,606 | — | 184,697 | — | ||||||||||||
Shares sold | 2,756,143 | 240,148 | 905,945 | 202,916 | ||||||||||||
Shares issued on reinvestment of distributions | 3,777 | — | 2,079 | — | ||||||||||||
Shares redeemed | (712,904 | ) | (18,542 | ) | (141,528 | ) | (18,219 | ) | ||||||||
Shares outstanding, end of period | 2,268,622 | 221,606 | 951,193 | 184,697 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 14,363 | — | 13,941 | — | ||||||||||||
Shares sold | 176,579 | 24,461 | 202,545 | 23,941 | ||||||||||||
Shares issued on reinvestment of distributions | 64 | — | 214 | — | ||||||||||||
Shares redeemed | (13,740 | ) | (10,098 | ) | (4,603 | ) | (10,000 | ) | ||||||||
Shares outstanding, end of period | 177,266 | 14,363 | 212,097 | 13,941 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 2,833,532 | — | 180,000 | — | ||||||||||||
Shares sold | 6,182,966 | 3,139,230 | — | 360,000 | ||||||||||||
Shares issued on reinvestment of distributions | 29,028 | — | 1,127 | — | ||||||||||||
Shares redeemed | (805,709 | ) | (305,698 | ) | — | (180,000 | ) | |||||||||
Shares outstanding, end of period | 8,239,817 | 2,833,532 | 181,127 | 180,000 |
* | 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 | Semi-Annual Report | March 2016 | ||||||||||||||
125
Statements of Changes in Net Assets | March 31, 2016 |
AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE PERIOD 2/11/15*- 9/30/15 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE PERIOD 2/11/15*- 9/30/15 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 629,625 | $ | 575,004 | $ | 495,533 | $ | 259,957 | ||||||||
Net realized gain (loss) | (1,563,750 | ) | (846,771 | ) | (8,798,044 | ) | (594,460 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 1,670,771 | (3,641,376 | ) | 7,506,710 | (2,421,505 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 736,646 | (3,913,143 | ) | (795,801 | ) | (2,756,008 | ) | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (140,652 | ) | — | (32,378 | ) | — | ||||||||||
Class N | (3,650 | ) | — | — | — | |||||||||||
Class R6 | (593,342 | ) | — | (749,383 | ) | — | ||||||||||
Total | (737,644 | ) | — | (781,761 | ) | — | ||||||||||
Total distributions | (737,644 | ) | — | (781,761 | ) | — | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Proceeds from shares sold | 17,960,596 | 3,758,322 | 9,994,274 | 3,658,322 | ||||||||||||
Reinvestment of distributions | 138,694 | — | 32,123 | — | ||||||||||||
Cost of shares redeemed | (5,143,818 | ) | (322,336 | ) | (3,340,066 | ) | (262,727 | ) | ||||||||
Net increase (decrease) from capital transactions | 12,955,472 | 3,435,986 | 6,686,331 | 3,395,595 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 551,288 | 262,560 | 1,240,389 | 1,206,418 | ||||||||||||
Reinvestment of distributions | 3,650 | — | — | — | ||||||||||||
Cost of shares redeemed | (137,786 | ) | (107,281 | ) | (964,934 | ) | (122,033 | ) | ||||||||
Net increase (decrease) from capital transactions | 417,152 | 155,279 | 275,455 | 1,084,385 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 44,656,757 | 49,173,048 | 225,777,356 | 18,938,392 | ||||||||||||
Reinvestment of distributions | 593,184 | — | 749,355 | — | ||||||||||||
Cost of shares redeemed | (5,824,133 | ) | (4,122,563 | ) | (7,741,084 | ) | (1,413,989 | ) | ||||||||
Net increase (decrease) from capital transactions | 39,425,808 | 45,050,485 | 218,785,627 | 17,524,403 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 52,798,432 | 48,641,750 | 225,747,413 | 22,004,383 | ||||||||||||
Total increase (decrease) in net assets | 52,797,434 | 44,728,607 | 224,169,851 | 19,248,375 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 44,728,607 | — | 19,248,375 | — | ||||||||||||
End of period | $ | 97,526,041 | $ | 44,728,607 | $ | 243,418,226 | $ | 19,248,375 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 472,551 | $ | 580,570 | $ | (25,520 | ) | $ | 260,708 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 127) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
126
Statements of Changes in Net Assets | March 31, 2016 |
AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE PERIOD 2/11/15*- 9/30/15 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE PERIOD 2/11/15*- 9/30/15 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Shares outstanding, beginning of period | 341,610 | — | 359,225 | — | ||||||||||||
Shares sold | 1,926,851 | 372,890 | 1,170,073 | 389,114 | ||||||||||||
Shares issued on reinvestment of distributions | 14,447 | — | 3,870 | — | ||||||||||||
Shares redeemed | (561,250 | ) | (31,280 | ) | (408,679 | ) | (29,889 | ) | ||||||||
Shares outstanding, end of period | 1,721,658 | 341,610 | 1,124,489 | 359,225 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 15,231 | — | 106,116 | — | ||||||||||||
Shares sold | 57,456 | 25,323 | 155,639 | 120,009 | ||||||||||||
Shares issued on reinvestment of distributions | 381 | — | — | — | ||||||||||||
Shares redeemed | (14,109 | ) | (10,092 | ) | (109,785 | ) | (13,893 | ) | ||||||||
Shares outstanding, end of period | 58,959 | 15,231 | 151,970 | 106,116 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 4,395,156 | — | 1,849,302 | — | ||||||||||||
Shares sold | 4,966,170 | 4,790,830 | 26,583,153 | 1,985,791 | ||||||||||||
Shares issued on reinvestment of distributions | 61,726 | — | 90,284 | — | ||||||||||||
Shares redeemed | (613,954 | ) | (395,674 | ) | (911,917 | ) | (136,489 | ) | ||||||||
Shares outstanding, end of period | 8,809,098 | 4,395,156 | 27,610,822 | 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 | Semi-Annual Report | March 2016 | ||||||||||||||
127
Statements of Changes in Net Assets | March 31, 2016 |
AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 6,008,546 | $ | 11,260,175 | $ | 1,174,629 | $ | 2,676,710 | ||||||||
Net realized gain (loss) | 29,031,995 | 60,159,968 | (15,438,952 | ) | 2,010,388 | |||||||||||
Net change in unrealized appreciation (depreciation) | 17,720,033 | (66,301,497 | ) | 15,037,607 | (10,193,167 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 52,760,574 | 5,118,646 | 773,284 | (5,506,069 | ) | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (8,820,091 | ) | (5,966,543 | ) | (2,497,115 | ) | (520,487 | ) | ||||||||
Class N | (462,621 | ) | (274,098 | ) | (45,047 | ) | — | |||||||||
Class R6 | (760,601 | ) | (3,434 | ) | (108,602 | ) | (776 | ) | ||||||||
Total | (10,043,313 | ) | (6,244,075 | ) | (2,650,764 | ) | (521,263 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class I | (62,191,159 | ) | (84,910,757 | ) | (1,362,253 | ) | (34,089,287 | ) | ||||||||
Class N | (4,768,963 | ) | (7,008,345 | ) | (36,403 | ) | (840,081 | ) | ||||||||
Class R6 | (4,758,117 | ) | (37,242 | ) | (49,898 | ) | (24,737 | ) | ||||||||
Total | (71,718,239 | ) | (91,956,344 | ) | (1,448,554 | ) | (34,954,105 | ) | ||||||||
Total distributions | (81,761,552 | ) | (98,200,419 | ) | (4,099,318 | ) | (35,475,368 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Proceeds from shares sold | 106,641,975 | 211,226,314 | 39,974,129 | 161,169,039 | ||||||||||||
Reinvestment of distributions | 70,902,935 | 90,741,389 | 3,846,424 | 34,230,950 | ||||||||||||
Cost of shares redeemed | (161,390,611 | ) | (298,024,764 | ) | (52,414,063 | ) | (149,534,654 | ) | ||||||||
Net increase (decrease) from capital transactions | 16,154,299 | 3,942,939 | (8,593,510 | ) | 45,865,335 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 10,864,905 | 16,481,731 | 1,656,012 | 2,574,174 | ||||||||||||
Reinvestment of distributions | 5,231,584 | 7,275,650 | 81,450 | 840,081 | ||||||||||||
Cost of shares redeemed | (21,732,116 | ) | (28,023,112 | ) | (893,409 | ) | (1,567,273 | ) | ||||||||
Net increase (decrease) from capital transactions | (5,635,627 | ) | (4,265,731 | ) | 844,053 | 1,846,982 | ||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 18,098,290 | 73,727,793 | 7,271,216 | 90,053,626 | ||||||||||||
Reinvestment of distributions | 5,501,528 | 40,676 | 157,097 | 25,513 | ||||||||||||
Cost of shares redeemed | (13,835,133 | ) | (7,379,515 | ) | (84,005,256 | ) | (3,424,682 | ) | ||||||||
Net increase (decrease) from capital transactions | 9,764,685 | 66,388,954 | (76,576,943 | ) | 86,654,457 | |||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 20,283,357 | 66,066,162 | (84,326,400 | ) | 134,366,774 | |||||||||||
Total increase (decrease) in net assets | (8,717,621 | ) | (27,015,611 | ) | (87,652,434 | ) | 93,385,337 | |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,005,622,748 | 1,032,638,359 | 401,843,374 | 308,458,037 | ||||||||||||
End of period | $ | 996,905,127 | $ | 1,005,622,748 | $ | 314,190,940 | $ | 401,843,374 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 3,509,477 | $ | 7,544,244 | $ | 415,240 | $ | 1,891,375 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 129) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
128
Statements of Changes in Net Assets | March 31, 2016 |
AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Shares outstanding, beginning of period | 43,794,416 | 43,544,682 | 16,557,893 | 14,280,666 | ||||||||||||
Shares sold | 5,498,877 | 9,913,694 | 2,158,553 | 7,627,885 | ||||||||||||
Shares issued on reinvestment of distributions | 3,643,522 | 4,352,105 | 197,151 | 1,676,344 | ||||||||||||
Shares redeemed | (8,348,260 | ) | (14,016,065 | ) | (2,780,856 | ) | (7,027,002 | ) | ||||||||
Shares outstanding, end of period | 44,588,555 | 43,794,416 | 16,132,741 | 16,557,893 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 3,440,002 | 3,628,327 | 431,529 | 342,381 | ||||||||||||
Shares sold | 566,373 | 775,166 | 90,570 | 122,447 | ||||||||||||
Shares issued on reinvestment of distributions | 268,699 | 348,952 | 4,190 | 41,282 | ||||||||||||
Shares redeemed | (1,157,586 | ) | (1,312,443 | ) | (46,853 | ) | (74,581 | ) | ||||||||
Shares outstanding, end of period | 3,117,488 | 3,440,002 | 479,436 | 431,529 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 3,158,235 | 5,987 | 4,056,213 | 4,529 | ||||||||||||
Shares sold | 905,995 | 3,496,747 | 376,768 | 4,213,475 | ||||||||||||
Shares issued on reinvestment of distributions | 283,438 | 1,954 | 8,069 | 1,251 | ||||||||||||
Shares redeemed | (712,457 | ) | (346,453 | ) | (4,118,885 | ) | (163,042 | ) | ||||||||
Shares outstanding, end of period | 3,635,211 | 3,158,235 | 322,165 | 4,056,213 |
(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 | Semi-Annual Report | March 2016 | ||||||||||||||
129
Statements of Changes in Net Assets | March 31, 2016 |
AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR EMERGING MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,893,053 | $ | 6,496,457 | $ | 18,058 | $ | 181,332 | ||||||||
Net realized gain (loss) | (18,896,079 | ) | (20,031,827 | ) | (1,304,375 | ) | (1,222,390 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 24,525,936 | (15,530,299 | ) | 1,578,774 | (762,821 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 7,522,910 | (29,065,669 | ) | 292,457 | (1,803,879 | ) | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (4,299,494 | ) | (5,801,763 | ) | (182,437 | ) | (65,400 | ) | ||||||||
Class N | (446,579 | ) | (766,472 | ) | (25,974 | ) | (8,023 | ) | ||||||||
Class R6 | (549,818 | ) | (2,173 | ) | (7,466 | ) | (894 | ) | ||||||||
Total | (5,295,891 | ) | (6,570,408 | ) | (215,877 | ) | (74,317 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (3,099,138 | ) | — | — | |||||||||||
Class N | — | (466,349 | ) | — | — | |||||||||||
Class R6 | — | (1,071 | ) | — | — | |||||||||||
Total | — | (3,566,558 | ) | — | — | |||||||||||
Total distributions | (5,295,891 | ) | (10,136,966 | ) | (215,877 | ) | (74,317 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Proceeds from shares sold | 35,085,841 | 97,248,698 | 2,313,519 | 4,293,630 | ||||||||||||
Reinvestment of distributions | 4,297,414 | 8,899,111 | 182,437 | 65,400 | ||||||||||||
Cost of shares redeemed | (26,605,402 | ) | (96,079,086 | ) | (902,192 | ) | (2,372,015 | ) | ||||||||
Net increase (decrease) from capital transactions | 12,777,853 | 10,068,723 | 1,593,764 | 1,987,015 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 4,189,918 | 7,066,299 | 579,943 | 378,938 | ||||||||||||
Reinvestment of distributions | 446,579 | 1,232,821 | 25,974 | 8,023 | ||||||||||||
Cost of shares redeemed | (7,020,750 | ) | (8,527,367 | ) | (132,669 | ) | (63,400 | ) | ||||||||
Net increase (decrease) from capital transactions | (2,384,253 | ) | (228,247 | ) | 473,248 | 323,561 | ||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 9,167,972 | 35,571,124 | 678,434 | 1,370 | ||||||||||||
Reinvestment of distributions | 549,818 | 3,244 | 7,466 | 894 | ||||||||||||
Cost of shares redeemed | (7,477,301 | ) | (2,500,800 | ) | (160,285 | ) | — | |||||||||
Net increase (decrease) from capital transactions | 2,240,489 | 33,073,568 | 525,615 | 2,264 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 12,634,089 | 42,914,044 | 2,592,627 | 2,312,840 | ||||||||||||
Total increase (decrease) in net assets | 14,861,108 | 3,711,409 | 2,669,207 | 434,644 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 323,699,951 | 319,988,542 | 7,823,364 | 7,388,720 | ||||||||||||
End of period | $ | 33,8561,059 | $ | 323,699,951 | $ | 10,492,571 | $ | 7,823,364 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 1,491,592 | $ | 4,894,430 | $ | (32,681 | ) | $ | 165,138 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 131) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
130
Statements of Changes in Net Assets | March 31, 2016 |
AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR EMERGING MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Shares outstanding, beginning of period | 19,429,009 | 18,723,227 | 797,764 | 625,023 | ||||||||||||
Shares sold | 2,652,473 | 6,823,888 | 308,276 | 424,961 | ||||||||||||
Shares issued on reinvestment of distributions | 318,799 | 637,472 | 22,607 | 6,877 | ||||||||||||
Shares redeemed | (1,988,163 | ) | (6,755,578 | ) | (114,123 | ) | (259,097 | ) | ||||||||
Shares outstanding, end of period | 20,412,118 | 19,429,009 | 1,014,524 | 797,764 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 2,678,581 | 2,690,049 | 136,798 | 103,336 | ||||||||||||
Shares sold | 319,477 | 497,298 | 74,832 | 39,542 | ||||||||||||
Shares issued on reinvestment of distributions | 33,178 | 88,501 | 3,214 | 844 | ||||||||||||
Shares redeemed | (528,200 | ) | (597,267 | ) | (15,436 | ) | (6,924 | ) | ||||||||
Shares outstanding, end of period | 2,503,036 | 2,678,581 | 199,408 | 136,798 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 2,346,761 | 6,435 | 9,662 | 9,407 | ||||||||||||
Shares sold | 689,799 | 2,511,328 | 88,154 | 161 | ||||||||||||
Shares issued on reinvestment of distributions | 40,849 | 233 | 925 | 94 | ||||||||||||
Shares redeemed | (562,533 | ) | (171,235 | ) | (22,548 | ) | — | |||||||||
Shares outstanding, end of period | 2,514,876 | 2,346,761 | 76,193 | 9,662 |
(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 | Semi-Annual Report | March 2016 | ||||||||||||||
131
Statements of Changes in Net Assets | March 31, 2016 |
AQR TM LARGE CAP MOMENTUM STYLE FUND | AQR TM SMALL CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 916,103 | $ | 1,390,660 | $ | 100,774 | $ | 131,332 | ||||||||
Net realized gain (loss) | (1,973,994 | ) | (1,325,195 | ) | (1,082,004 | ) | (175,799 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 8,333,527 | (783,566 | ) | 674,470 | 26,802 | |||||||||||
Net increase (decrease) in net assets resulting from operations | 7,275,636 | (718,101 | ) | (306,760 | ) | (17,665 | ) | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (560,699 | ) | (570,768 | ) | (152,199 | ) | (14,503 | ) | ||||||||
Class N | (1,335 | ) | (366 | ) | (815 | ) | — | |||||||||
Class R6 | (853,432 | ) | (587 | ) | (1,020 | ) | (257 | ) | ||||||||
Total | (1,415,466 | ) | (571,721 | ) | (154,034 | ) | (14,760 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (1,895,534 | ) | — | (537,085 | ) | ||||||||||
Class N | — | (2,336 | ) | — | (4,583 | ) | ||||||||||
Class R6 | — | (1,710 | ) | — | (3,495 | ) | ||||||||||
Total | — | (1,899,580 | ) | — | (545,163 | ) | ||||||||||
Total distributions | (1,415,466 | ) | (2,471,301 | ) | (154,034 | ) | (559,923 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Proceeds from shares sold | 12,300,800 | 46,249,904 | 13,450,766 | 13,596,226 | ||||||||||||
Reinvestment of distributions | 559,771 | 2,465,957 | 152,199 | 551,580 | ||||||||||||
Cost of shares redeemed | (9,161,956 | ) | (94,078,583 | ) | (6,281,482 | ) | (8,271,400 | ) | ||||||||
Net increase (decrease) from capital transactions | 3,698,615 | (45,362,722 | ) | 7,321,483 | 5,876,406 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 11,765 | 59,000 | 17,000 | — | ||||||||||||
Reinvestment of distributions | 1,335 | 2,702 | 815 | 4,583 | ||||||||||||
Cost of shares redeemed | — | (48,058 | ) | — | — | |||||||||||
Net increase (decrease) from capital transactions | 13,100 | 13,644 | 17,815 | 4,583 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 16,077,385 | 86,282,195 | 61,870 | — | ||||||||||||
Reinvestment of distributions | 853,432 | 2,297 | 1,020 | 3,752 | ||||||||||||
Cost of shares redeemed | (11,301,194 | ) | (12,835,621 | ) | (9,574 | ) | — | |||||||||
Net increase (decrease) from capital transactions | 5,629,623 | 73,448,871 | 53,316 | 3,752 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 9,341,338 | 28,099,793 | 7,392,614 | 5,884,741 | ||||||||||||
Total increase (decrease) in net assets | 15,201,508 | 24,910,391 | 6,931,820 | 5,307,153 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 126,484,671 | 101,574,280 | 20,216,688 | 14,909,535 | ||||||||||||
End of period | $ | 141,686,179 | $ | 126,484,671 | $ | 27,148,508 | $ | 20,216,688 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 578,155 | $ | 1,077,518 | $ | 55,281 | $ | 108,541 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 133) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
132
Statements of Changes in Net Assets | March 31, 2016 |
AQR TM LARGE CAP MOMENTUM STYLE FUND | AQR TM SMALL CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Shares outstanding, beginning of period | 3,613,144 | 6,375,044 | 1,377,919 | 998,131 | ||||||||||||
Shares sold | 777,639 | 2,855,438 | 938,980 | 875,065 | ||||||||||||
Shares issued on reinvestment of distributions | 34,321 | 151,565 | 10,174 | 35,910 | ||||||||||||
Shares redeemed | (580,895 | ) | (5,768,903 | ) | (444,734 | ) | (531,187 | ) | ||||||||
Shares outstanding, end of period | 3,844,209 | 3,613,144 | 1,882,339 | 1,377,919 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 9,457 | 8,660 | 8,788 | 8,489 | ||||||||||||
Shares sold | 760 | 3,546 | 1,146 | — | ||||||||||||
Shares issued on reinvestment of distributions | 82 | 166 | 54 | 299 | ||||||||||||
Shares redeemed | — | (2,915 | ) | — | — | |||||||||||
Shares outstanding, end of period | 10,299 | 9,457 | 9,988 | 8,788 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 4,517,716 | 6,337 | 6,717 | 6,472 | ||||||||||||
Shares sold | 1,020,375 | 5,283,178 | 4,295 | — | ||||||||||||
Shares issued on reinvestment of distributions | 52,422 | 141 | 68 | 245 | ||||||||||||
Shares redeemed | (720,548 | ) | (771,940 | ) | (628 | ) | — | |||||||||
Shares outstanding, end of period | 4,869,965 | 4,517,716 | 10,452 | 6,717 |
(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 | Semi-Annual Report | March 2016 | ||||||||||||||
133
Statements of Changes in Net Assets | March 31, 2016 |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND | AQR LARGE CAP DEFENSIVE STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 502,966 | $ | 1,282,003 | $ | 3,497,946 | $ | 3,034,473 | ||||||||
Net realized gain (loss) | (3,606,444 | ) | (6,843,718 | ) | 2,137,670 | 17,594,621 | ||||||||||
Net change in unrealized appreciation (depreciation) | 4,922,557 | (1,536,690 | ) | 34,222,158 | 267,210 | |||||||||||
Net increase (decrease) in net assets resulting from operations | 1,819,079 | (7,098,405 | ) | 39,857,774 | 20,896,304 | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (284,457 | ) | (1,175,400 | ) | (2,142,472 | ) | (3,243,005 | ) | ||||||||
Class N | (1,787 | ) | (1,938 | ) | (528,218 | ) | (320,128 | ) | ||||||||
Class R6 | (826,613 | ) | (1,973 | ) | (591,390 | ) | (2,267 | ) | ||||||||
Total | (1,112,857 | ) | (1,179,311 | ) | (3,262,080 | ) | (3,565,400 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (271,071 | ) | (11,772,261 | ) | (4,763,948 | ) | |||||||||
Class N | — | (502 | ) | (3,153,506 | ) | (581,240 | ) | |||||||||
Class R6 | — | (428 | ) | (2,966,065 | ) | (2,984 | ) | |||||||||
Total | — | (272,001 | ) | (17,891,832 | ) | (5,348,172 | ) | |||||||||
Total distributions | (1,112,857 | ) | (1,451,312 | ) | (21,153,912 | ) | (8,913,572 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Proceeds from shares sold | 10,795,226 | 34,627,692 | 198,756,075 | 86,200,229 | ||||||||||||
Reinvestment of distributions | 284,457 | 1,446,199 | 13,906,906 | 8,002,469 | ||||||||||||
Cost of shares redeemed | (7,113,668 | ) | (88,358,791 | ) | (62,050,467 | ) | (171,466,612 | ) | ||||||||
Net increase (decrease) from capital transactions | 3,966,015 | (52,284,900 | ) | 150,612,514 | (77,263,914 | ) | ||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 29,921 | — | 101,214,105 | 26,517,517 | ||||||||||||
Reinvestment of distributions | 1,787 | 2,440 | 3,681,724 | 901,368 | ||||||||||||
Cost of shares redeemed | (14,300 | ) | — | (15,228,919 | ) | (26,705,671 | ) | |||||||||
Net increase (decrease) from capital transactions | 17,408 | 2,440 | 89,666,910 | 713,214 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 21,159,316 | 58,393,918 | 119,147,097 | — | ||||||||||||
Reinvestment of distributions | 826,613 | 2,401 | 3,557,455 | 5,251 | ||||||||||||
Cost of shares redeemed | (11,432,806 | ) | (7,591,717 | ) | (16,605,600 | ) | — | |||||||||
Net increase (decrease) from capital transactions | 10,553,123 | 50,804,602 | 106,098,952 | 5,251 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 14,536,546 | (1,477,858 | ) | 346,378,376 | (76,545,449 | ) | ||||||||||
Total increase (decrease) in net assets | 15,242,768 | (10,027,575 | ) | 365,082,238 | (64,562,717 | ) | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 71,804,764 | 81,832,339 | 189,206,310 | 253,769,027 | ||||||||||||
End of period | $ | 87,047,532 | $ | 71,804,764 | $ | 554,288,548 | $ | 189,206,310 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 414,722 | $ | 1,024,613 | $ | 2,323,902 | $ | 2,088,036 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 135) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
134
Statements of Changes in Net Assets | March 31, 2016 |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND | AQR LARGE CAP DEFENSIVE STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I (a) | ||||||||||||||||
Shares outstanding, beginning of period | 2,026,170 | 6,235,784 | 10,821,982 | 15,984,434 | ||||||||||||
Shares sold | 926,318 | 2,765,327 | 13,477,102 | 5,842,476 | ||||||||||||
Shares issued on reinvestment of distributions | 23,724 | 117,101 | 967,774 | 551,514 | ||||||||||||
Shares redeemed | (610,471 | ) | (7,092,042 | ) | (4,296,063 | ) | (11,556,442 | ) | ||||||||
Shares outstanding, end of period | 2,365,741 | 2,026,170 | 20,970,795 | 10,821,982 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 8,782 | 8,584 | 2,092,861 | 2,054,040 | ||||||||||||
Shares sold | 2,489 | — | 6,909,616 | 1,775,969 | ||||||||||||
Shares issued on reinvestment of distributions | 150 | 198 | 256,209 | 62,035 | ||||||||||||
Shares redeemed | (1,218 | ) | — | (1,048,414 | ) | (1,799,183 | ) | |||||||||
Shares outstanding, end of period | 10,203 | 8,782 | 8,210,272 | 2,092,861 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 4,102,795 | 7,321 | 7,440 | 7,077 | ||||||||||||
Shares sold | 1,801,750 | 4,688,648 | 8,283,239 | — | ||||||||||||
Shares issued on reinvestment of distributions | 69,173 | 194 | 248,079 | 363 | ||||||||||||
Shares redeemed | (978,247 | ) | (593,368 | ) | (1,133,324 | ) | — | |||||||||
Shares outstanding, end of period | 4,995,471 | 4,102,795 | 7,405,434 | 7,440 |
(a) | Effective April 1, 2015, Class L Shares were renamed Class I Shares for AQR TM International Momentum Style Fund. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
135
Statements of Changes in Net Assets | March 31, 2016 |
AQR INTERNATIONAL DEFENSIVE STYLE FUND | AQR EMERGING DEFENSIVE STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 367,302 | $ | 761,962 | $ | 160,056 | $ | 1,342,996 | ||||||||
Net realized gain (loss) | (410,863 | ) | (542,246 | ) | (1,444,391 | ) | (8,718,405 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 2,848,637 | (2,713,287 | ) | 3,709,990 | (4,655,925 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 2,805,076 | (2,493,571 | ) | 2,425,655 | (12,031,334 | ) | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (763,796 | ) | (709,481 | ) | (1,068,331 | ) | (1,397,556 | ) | ||||||||
Class N | (2,117 | ) | — | (1,572 | ) | — | ||||||||||
Class R6 | (1,972 | ) | (2,619 | ) | (2,585 | ) | (1,702 | ) | ||||||||
Total | (767,885 | ) | (712,100 | ) | (1,072,488 | ) | (1,399,258 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (631,276 | ) | — | — | |||||||||||
Class N | — | (3,943 | ) | — | — | |||||||||||
Class R6 | — | (2,162 | ) | — | — | |||||||||||
Total | — | (637,381 | ) | — | — | |||||||||||
Total distributions | (767,885 | ) | (1,349,481 | ) | (1,072,488 | ) | (1,399,258 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 16,034,855 | 17,136,089 | 18,628,118 | 52,553,380 | ||||||||||||
Reinvestment of distributions | 763,231 | 1,337,505 | 1,060,287 | 1,392,152 | ||||||||||||
Cost of shares redeemed | (4,136,303 | ) | (7,791,797 | ) | (4,917,470 | ) | (83,482,698 | ) | ||||||||
Net increase (decrease) from capital transactions | 12,661,783 | 10,681,797 | 14,770,935 | (29,537,166 | ) | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 1,500,565 | 40,193 | 554,643 | 17,599 | ||||||||||||
Reinvestment of distributions | 2,117 | 3,943 | 1,572 | — | ||||||||||||
Cost of shares redeemed | (50,860 | ) | (339,848 | ) | (472,898 | ) | (882,569 | ) | ||||||||
Net increase (decrease) from capital transactions | 1,451,822 | (295,712 | ) | 83,317 | (864,970 | ) | ||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 17,311,703 | — | 133,181 | — | ||||||||||||
Reinvestment of distributions | 1,972 | 4,781 | 2,585 | 1,702 | ||||||||||||
Net increase (decrease) from capital transactions | 17,313,675 | 4,781 | 135,766 | 1,702 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 31,427,280 | 10,390,866 | 14,990,018 | (30,400,434 | ) | |||||||||||
Total increase (decrease) in net assets | 33,464,471 | 6,547,814 | 16,343,185 | (43,831,026 | ) | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 34,420,600 | 27,872,786 | 27,349,573 | 71,180,599 | ||||||||||||
End of period | $ | 67,885,071 | $ | 34,420,600 | $ | 43,692,758 | $ | 27,349,573 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 217,103 | $ | 617,686 | $ | 9,197 | $ | 921,629 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 137) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
136
Statements of Changes in Net Assets | March 31, 2016 |
AQR INTERNATIONAL DEFENSIVE STYLE FUND | AQR EMERGING DEFENSIVE STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 3,121,519 | 2,208,372 | 3,314,071 | 6,698,530 | ||||||||||||
Shares sold | 1,452,349 | 1,458,582 | 2,320,061 | 5,361,095 | ||||||||||||
Shares issued on reinvestment of distributions | 69,133 | 115,902 | 134,896 | 144,865 | ||||||||||||
Shares redeemed | (369,778 | ) | (661,337 | ) | (615,533 | ) | (8,890,419 | ) | ||||||||
Shares outstanding, end of period | 4,273,223 | 3,121,519 | 5,153,495 | 3,314,071 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 12,556 | 37,419 | 6,419 | 97,323 | ||||||||||||
Shares sold | 134,168 | 3,258 | 64,484 | 1,781 | ||||||||||||
Shares issued on reinvestment of distributions | 187 | 333 | 195 | — | ||||||||||||
Shares redeemed | (4,403 | ) | (28,454 | ) | (55,489 | ) | (92,685 | ) | ||||||||
Shares outstanding, end of period | 142,508 | 12,556 | 15,609 | 6,419 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 8,096 | 7,680 | 9,146 | 8,969 | ||||||||||||
Shares sold | 1,506,131 | — | 17,454 | — | ||||||||||||
Shares issued on reinvestment of distributions | 179 | 416 | 330 | 177 | ||||||||||||
Shares outstanding, end of period | 1,514,406 | 8,096 | 26,930 | 9,146 |
The accompanying notes are an integral part of these financial statements. |
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137
Statements of Changes in Net Assets | March 31, 2016 |
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,395,625 | $ | 5,680,257 | $ | 4,939,734 | $ | 16,785,802 | ||||||||
Net realized gain (loss) | 11,479,554 | 14,179,971 | 5,693,537 | (2,276,413 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) | 4,289,361 | (26,177,167 | ) | 16,762,342 | (46,846,590 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 17,164,540 | (6,316,939 | ) | 27,395,613 | (32,337,201 | ) | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (506,575 | ) | (44,059 | ) | (6,541,592 | ) | (7,468,588 | ) | ||||||||
Class N | (6,423 | ) | (33,397 | ) | (614,398 | ) | (1,067,058 | ) | ||||||||
Class R6 | (1,217,400 | ) | (1,362,728 | ) | (656,409 | ) | (3,120,675 | ) | ||||||||
Class Y | (3,414,898 | ) | (4,184,608 | ) | (8,051,362 | ) | (12,814,382 | ) | ||||||||
Total | (5,145,296 | ) | (5,624,792 | ) | (15,863,761 | ) | (24,470,703 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class I | (1,816,068 | ) | (252,903 | ) | (3,956,397 | ) | (12,413,847 | ) | ||||||||
Class N | (43,077 | ) | (201,754 | ) | (441,881 | ) | (1,953,495 | ) | ||||||||
Class R6 | (4,517,439 | ) | (7,229,201 | ) | (382,785 | ) | (4,966,615 | ) | ||||||||
Class Y | (11,253,865 | ) | (20,189,254 | ) | (4,100,460 | ) | (19,017,323 | ) | ||||||||
Total | (17,630,449 | ) | (27,873,112 | ) | (8,881,523 | ) | (38,351,280 | ) | ||||||||
Total distributions | (22,775,745 | ) | (33,497,904 | ) | (24,745,284 | ) | (62,821,983 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 2,072,115 | 36,134,787 | 51,625,818 | 152,854,438 | ||||||||||||
Reinvestment of distributions | 2,322,643 | 290,801 | 9,424,064 | 17,337,012 | ||||||||||||
Cost of shares redeemed | (4,042,930 | ) | (2,514,719 | ) | (48,302,084 | ) | (60,857,843 | ) | ||||||||
Net increase (decrease) from capital transactions | 351,828 | 33,910,869 | 12,747,798 | 109,333,607 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 716,529 | 1,427,222 | 3,508,445 | 8,515,077 | ||||||||||||
Reinvestment of distributions | 49,060 | 235,151 | 981,695 | 2,881,032 | ||||||||||||
Cost of shares redeemed | (62,933 | ) | (1,826,441 | ) | (3,609,022 | ) | (9,639,791 | ) | ||||||||
Net increase (decrease) from capital transactions | 702,656 | (164,068 | ) | 881,118 | 1,756,318 | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 11,065,007 | 10,400,000 | 3,210,317 | 1,925,813 | ||||||||||||
Reinvestment of distributions | 5,734,839 | 8,591,929 | 1,039,194 | 8,087,290 | ||||||||||||
Cost of shares redeemed | — | — | (257,858 | ) | (74,041,677 | ) | ||||||||||
Net increase (decrease) from capital transactions | 16,799,846 | 18,991,929 | 3,991,653 | (64,028,574 | ) | |||||||||||
CLASS Y | ||||||||||||||||
Proceeds from shares sold | — | 2,812,030 | — | — | ||||||||||||
Reinvestment of distributions | 14,668,763 | 24,373,862 | 12,151,822 | 31,831,705 | ||||||||||||
Cost of shares redeemed | (122,860,819 | ) | (272,727 | ) | — | (34,988,570 | ) | |||||||||
Redemption fees | 122,861 | 5,514 | — | 35,000 | ||||||||||||
Net increase (decrease) from capital transactions | (108,069,195 | ) | 26,918,679 | 12,151,822 | (3,121,865 | ) | ||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (90,214,865 | ) | 79,657,409 | 29,772,391 | 43,939,486 | |||||||||||
Total increase (decrease) in net assets | (95,826,070 | ) | 39,842,566 | 32,422,720 | (51,219,698 | ) | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 332,145,158 | 292,302,592 | 738,811,050 | 790,030,748 | ||||||||||||
End of period | $ | 236,319,088 | $ | 332,145,158 | $ | 771,233,770 | $ | 738,811,050 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 537,951 | $ | 4,287,622 | $ | 1,759,189 | $ | 12,683,216 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 139) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
138
Statements of Changes in Net Assets | March 31, 2016 |
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 4,380,799 | 279,524 | 33,377,117 | 22,556,156 | ||||||||||||
Shares sold | 271,364 | 4,367,231 | 5,457,177 | 14,903,085 | ||||||||||||
Shares issued on reinvestment of distributions | 302,087 | 35,946 | 985,781 | 1,742,414 | ||||||||||||
Shares redeemed | (533,949 | ) | (301,902 | ) | (5,010,484 | ) | (5,824,538 | ) | ||||||||
Shares outstanding, end of period | 4,420,301 | 4,380,799 | 34,809,591 | 33,377,117 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 98,923 | 127,426 | 3,703,495 | 3,527,546 | ||||||||||||
Shares sold | 97,415 | 162,394 | 357,968 | 801,790 | ||||||||||||
Shares issued on reinvestment of distributions | 6,405 | 29,284 | 100,790 | 284,406 | ||||||||||||
Shares redeemed | (8,425 | ) | (220,181 | ) | (373,191 | ) | (910,247 | ) | ||||||||
Shares outstanding, end of period | 194,318 | 98,923 | 3,789,062 | 3,703,495 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 10,836,304 | 8,489,461 | 3,212,966 | 8,984,668 | ||||||||||||
Shares sold | 1,457,517 | 1,288,724 | 315,141 | 183,148 | ||||||||||||
Shares issued on reinvestment of distributions | 741,067 | 1,058,119 | 102,687 | 770,218 | ||||||||||||
Shares redeemed | — | — | (26,193 | ) | (6,725,068 | ) | ||||||||||
Shares outstanding, end of period | 13,034,888 | 10,836,304 | 3,604,601 | 3,212,966 | ||||||||||||
CLASS Y | ||||||||||||||||
Shares outstanding, beginning of period | 26,995,455 | 23,708,830 | 34,301,988 | 34,443,561 | ||||||||||||
Shares sold | — | 322,420 | — | — | ||||||||||||
Shares issued on reinvestment of distributions | 1,895,655 | 2,998,015 | 1,201,960 | 3,031,591 | ||||||||||||
Shares redeemed | (15,768,773 | ) | (33,810 | ) | — | (3,173,164 | ) | |||||||||
Shares outstanding, end of period | 13,122,337 | 26,995,455 | 35,503,948 | 34,301,988 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
139
Financial Highlights | March 31, 2016 |
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 I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $13.25 | 0.10 | 0.34 | 0.44 | (0.12 | ) | (0.00 | )7 | (0.12 | ) | ||||||||||||||||||
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 3/26/138—9/30/13 | $10.00 | 0.06 | 9 | 1.03 | 1.09 | — | — | — | ||||||||||||||||||||
AQR LARGE CAP MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $13.19 | 0.08 | 0.35 | 0.43 | (0.09 | ) | (0.00 | )7 | (0.09 | ) | ||||||||||||||||||
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 3/26/138—9/30/13 | $10.00 | 0.04 | 9 | 1.05 | 1.09 | — | — | — | ||||||||||||||||||||
AQR LARGE CAP MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $13.25 | 0.10 | 0.36 | 0.46 | (0.14 | ) | (0.00 | )7 | (0.14 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $13.36 | 0.18 | (0.17 | ) | 0.01 | (0.06 | ) | (0.06 | ) | (0.12 | ) | |||||||||||||||||
FOR THE PERIOD 7/10/1412—9/30/14 | $13.32 | 0.04 | 0.00 | 7 | 0.04 | — | — | — | ||||||||||||||||||||
AQR SMALL CAP MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $12.30 | 0.06 | 0.29 | 0.35 | (0.03 | ) | (0.00 | )7 | (0.03 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $12.34 | 0.12 | 13 | 0.02 | 14 | 0.14 | (0.03 | ) | (0.15 | ) | (0.18 | ) | ||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.88 | 0.05 | 15 | 0.57 | 0.62 | (0.04 | ) | (0.12 | ) | (0.16 | ) | |||||||||||||||||
FOR THE PERIOD 3/26/138—9/30/13 | $10.00 | 0.03 | 9 | 1.85 | 1.88 | — | — | — | ||||||||||||||||||||
AQR SMALL CAP MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $12.25 | 0.04 | 0.29 | 0.33 | (0.00 | )7 | (0.00 | )7 | (0.00 | )7 | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $12.30 | 0.09 | 13 | 0.01 | 14 | 0.10 | (0.00 | )7 | (0.15 | ) | (0.15 | ) | ||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.87 | 0.01 | 15 | 0.56 | 0.57 | (0.02 | ) | (0.12 | ) | (0.14 | ) | |||||||||||||||||
FOR THE PERIOD 3/26/138—9/30/13 | $10.00 | 0.01 | 9 | 1.86 | 1.87 | — | — | — | ||||||||||||||||||||
AQR SMALL CAP MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $12.31 | 0.08 | 0.28 | 0.36 | (0.04 | ) | (0.00 | )7 | (0.04 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $12.35 | 0.15 | 13 | 0.00 | 7,14 | 0.15 | (0.04 | ) | (0.15 | ) | (0.19 | ) | ||||||||||||||||
FOR THE PERIOD 7/10/1412—9/30/14 | $12.95 | 0.01 | 15 | (0.61 | )14 | (0.60 | ) | — | — | — | ||||||||||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $10.21 | 0.08 | (0.13 | ) | (0.05 | ) | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $11.47 | 0.27 | 13 | (1.26 | ) | (0.99 | ) | (0.19 | ) | (0.08 | ) | (0.27 | ) | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.28 | 0.28 | 0.01 | 14 | 0.29 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
FOR THE PERIOD 3/26/138—9/30/13 | $10.00 | 0.13 | 9 | 1.15 | 1.28 | — | — | — | ||||||||||||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $10.20 | 0.07 | (0.15 | ) | (0.08 | ) | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $11.44 | 0.24 | 13 | (1.25 | ) | (1.01 | ) | (0.15 | ) | (0.08 | ) | (0.23 | ) | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.27 | 0.24 | 0.01 | 14 | 0.25 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
FOR THE PERIOD 3/26/138—9/30/13 | $10.00 | 0.15 | 9 | 1.12 | 1.27 | — | — | — | ||||||||||||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $10.20 | 0.08 | (0.13 | ) | (0.05 | ) | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $11.47 | 0.30 | 13 | (1.28 | ) | (0.98 | ) | (0.21 | ) | (0.08 | ) | (0.29 | ) | |||||||||||||||
FOR THE PERIOD 7/10/1412—9/30/14 | $11.94 | 0.13 | (0.60 | ) | (0.47 | ) | — | — | — |
The accompanying notes are an integral part of these financial statements. |
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Financial Highlights | March 31, 2016 |
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 | |||||||||||||||||||||||||
$13.57 | 3.34 | % | $536,075 | 0.42 | % | 0.42 | % | 0.44 | % | 1.45 | % | 24 | % | |||||||||||||||||||
$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 | %10,11 | 1.09 | %9 | 223 | % | |||||||||||||||||||
$13.53 | 3.27 | % | $71,742 | 0.70 | % | 0.70 | % | 0.71 | % | 1.18 | % | 24 | % | |||||||||||||||||||
$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 | %10,11 | 0.72 | %9 | 223 | % | |||||||||||||||||||
$13.57 | 3.43 | % | $754,216 | 0.35 | % | 0.35 | % | 0.37 | % | 1.51 | % | 24 | % | |||||||||||||||||||
$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 | % | |||||||||||||||||||
$12.62 | 2.83 | % | $26,282 | 0.63 | % | 0.63 | % | 0.74 | % | 0.89 | % | 57 | % | |||||||||||||||||||
$12.30 | 1.02 | % | $26,634 | 0.68 | % | 0.68 | % | 1.17 | % | 0.88 | %13 | 228 | % | |||||||||||||||||||
$12.34 | 5.13 | % | $8,233 | 0.75 | % | 0.75 | % | 2.58 | % | 0.37 | %15 | 189 | % | |||||||||||||||||||
$11.88 | 18.80 | % | $2,184 | 0.75 | % | 0.75 | % | 5.84 | %10 | 0.45 | %9 | 70 | % | |||||||||||||||||||
$12.58 | 2.73 | % | $8,634 | 0.87 | % | 0.87 | % | 0.97 | % | 0.70 | % | 57 | % | |||||||||||||||||||
$12.25 | 0.72 | % | $5,681 | 0.93 | % | 0.93 | % | 1.40 | % | 0.65 | %13 | 228 | % | |||||||||||||||||||
$12.30 | 4.78 | % | $1,284 | 1.00 | % | 1.00 | % | 3.27 | % | 0.11 | %15 | 189 | % | |||||||||||||||||||
$11.87 | 18.70 | % | $1,381 | 1.00 | % | 1.00 | % | 6.40 | %10 | 0.17 | %9 | 70 | % | |||||||||||||||||||
$12.63 | 2.90 | % | $612,032 | 0.55 | % | 0.55 | % | 0.58 | % | 1.37 | % | 57 | % | |||||||||||||||||||
$12.31 | 1.06 | % | $9,494 | 0.55 | % | 0.55 | % | 0.96 | % | 1.17 | %13 | 228 | % | |||||||||||||||||||
$12.35 | (4.63 | )% | $95 | 0.65 | % | 0.65 | % | 2.34 | % | 0.45 | %15 | 189 | % | |||||||||||||||||||
$10.01 | (0.56 | )% | $61,277 | 0.58 | % | 0.58 | % | 0.65 | % | 1.66 | % | 51 | % | |||||||||||||||||||
$10.21 | (8.78 | )% | $40,047 | 0.64 | % | 0.64 | % | 0.82 | % | 2.45 | %13 | 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 | %10 | 2.25 | %9 | 218 | % | |||||||||||||||||||
$9.99 | (0.81 | )% | $7,095 | 0.83 | % | 0.83 | % | 0.90 | % | 1.33 | % | 51 | % | |||||||||||||||||||
$10.20 | (8.92 | )% | $4,142 | 0.88 | % | 0.88 | % | 1.06 | % | 2.19 | %13 | 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 | %10 | 2.65 | %9 | 218 | % | |||||||||||||||||||
$9.99 | (0.57 | )% | $263,961 | 0.50 | % | 0.50 | % | 0.57 | % | 1.53 | % | 51 | % | |||||||||||||||||||
$10.20 | (8.68 | )% | $241,780 | 0.51 | % | 0.51 | % | 0.66 | % | 2.70 | %13 | 236 | % | |||||||||||||||||||
$11.47 | (3.94 | )% | $26,412 | 0.60 | % | 0.60 | % | 1.34 | % | 5.13 | % | 204 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
141
Financial Highlights | March 31, 2016 |
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 EMERGING MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.19 | 0.02 | 0.15 | 0.17 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $9.96 | 0.27 | (1.97 | ) | (1.70 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||
FOR THE PERIOD 5/13/148—9/30/14 | $10.00 | 0.14 | (0.18 | ) | (0.04 | ) | — | — | — | |||||||||||||||||||
AQR EMERGING MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.17 | 0.01 | 0.15 | 0.16 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $9.95 | 0.29 | (2.01 | ) | (1.72 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||
FOR THE PERIOD 5/13/148—9/30/14 | $10.00 | 0.14 | (0.19 | ) | (0.05 | ) | — | — | — | |||||||||||||||||||
AQR EMERGING MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.20 | 0.02 | 0.14 | 0.16 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $9.96 | 0.45 | (2.14 | ) | (1.69 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||
FOR THE PERIOD 7/10/1412—9/30/14 | $10.47 | 0.05 | (0.56 | ) | (0.51 | ) | — | — | — | |||||||||||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $9.42 | 0.08 | 0.28 | 0.36 | (0.05 | ) | (0.01 | ) | (0.06 | ) | ||||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.08 | (0.66 | ) | (0.58 | ) | — | — | — | |||||||||||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $9.40 | 0.08 | 0.26 | 0.34 | (0.03 | ) | (0.01 | ) | (0.04 | ) | ||||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.06 | (0.66 | ) | (0.60 | ) | — | — | — | |||||||||||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $9.42 | 0.08 | 0.28 | 0.36 | (0.05 | ) | (0.01 | ) | (0.06 | ) | ||||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.08 | (0.66 | ) | (0.58 | ) | — | — | — | |||||||||||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $9.21 | 0.06 | 0.18 | 0.24 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.05 | (0.84 | ) | (0.79 | ) | — | — | — | |||||||||||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $9.20 | 0.05 | 0.17 | 0.22 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.04 | (0.84 | ) | (0.80 | ) | — | — | — | |||||||||||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $9.22 | 0.05 | 0.19 | 0.24 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.06 | (0.84 | ) | (0.78 | ) | — | — | — | |||||||||||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $9.40 | 0.08 | (0.16 | )14 | (0.08 | ) | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.18 | (0.78 | ) | (0.60 | ) | — | — | — | |||||||||||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $9.39 | 0.07 | (0.16 | )14 | (0.09 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.15 | (0.76 | ) | (0.61 | ) | — | — | — | |||||||||||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $9.41 | 0.09 | (0.17 | )14 | (0.08 | ) | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.18 | (0.77 | ) | (0.59 | ) | — | — | — | |||||||||||||||||||
AQR TM EMERGING MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.31 | 0.02 | 0.12 | 14 | 0.14 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.21 | (1.90 | ) | (1.69 | ) | — | — | — | |||||||||||||||||||
AQR TM EMERGING MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.30 | 0.02 | 0.12 | 14 | 0.14 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.19 | (1.89 | ) | (1.70 | ) | — | — | — | |||||||||||||||||||
AQR TM EMERGING MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.32 | 0.02 | 0.13 | 14 | 0.15 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
FOR THE PERIOD 2/11/158—9/30/15 | $10.00 | 0.22 | (1.90 | ) | (1.68 | ) | — | — | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
142
Financial Highlights | March 31, 2016 |
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 | |||||||||||||||||||||||||
$8.16 | 2.09 | % | $56,720 | 0.68 | % | 0.68 | % | 0.84 | % | 0.49 | % | 64 | % | |||||||||||||||||||
$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 | %10,11 | 3.49 | % | 154 | % | |||||||||||||||||||
$8.15 | 1.96 | % | $5,864 | 0.96 | % | 0.96 | % | 1.12 | % | 0.21 | % | 64 | % | |||||||||||||||||||
$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 | %10,11 | 3.49 | % | 154 | % | |||||||||||||||||||
$8.16 | 2.01 | % | $150,359 | 0.65 | % | 0.65 | % | 0.81 | % | 0.52 | % | 64 | % | |||||||||||||||||||
$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 | %10,11 | 2.09 | % | 154 | % | |||||||||||||||||||
$9.72 | 3.82 | % | $22,045 | 0.37 | % | 0.37 | % | 0.57 | %10 | 1.72 | % | 113 | % | |||||||||||||||||||
$9.42 | (5.80 | )% | $2,087 | 0.46 | % | 0.46 | % | 1.66 | %10 | 1.20 | % | 207 | % | |||||||||||||||||||
$9.70 | 3.59 | % | $1,720 | 0.61 | % | 0.61 | % | 0.79 | %10 | 1.62 | % | 113 | % | |||||||||||||||||||
$9.40 | (6.00 | )% | $135 | 0.70 | % | 0.70 | % | 2.48 | %10 | 0.99 | % | 207 | % | |||||||||||||||||||
$9.72 | 3.86 | % | $80,085 | 0.35 | % | 0.35 | % | 0.59 | %10 | 1.70 | % | 113 | % | |||||||||||||||||||
$9.42 | (5.80 | )% | $26,703 | 0.36 | % | 0.36 | % | 1.41 | %10 | 1.33 | % | 207 | % | |||||||||||||||||||
$9.39 | 2.59 | % | $8,930 | 0.59 | % | 0.59 | % | 2.44 | %10 | 1.27 | % | 145 | % | |||||||||||||||||||
$9.21 | (7.90 | )% | $1,702 | 0.65 | % | 0.65 | % | 5.66 | %10 | 0.77 | % | 98 | % | |||||||||||||||||||
$9.37 | 2.40 | % | $1,987 | 0.81 | % | 0.81 | % | 2.37 | %10 | 1.16 | % | 145 | % | |||||||||||||||||||
$9.20 | (8.00 | )% | $128 | 0.92 | % | 0.92 | % | 6.53 | %10 | 0.59 | % | 98 | % | |||||||||||||||||||
$9.40 | 2.59 | % | $1,703 | 0.55 | % | 0.55 | % | 3.00 | %10 | 1.16 | % | 145 | % | |||||||||||||||||||
$9.22 | (7.80 | )% | $1,660 | 0.57 | % | 0.57 | % | 6.28 | %10 | 0.96 | % | 98 | % | |||||||||||||||||||
$9.20 | (0.90 | )% | $15,841 | 0.54 | % | 0.54 | % | 0.80 | %10 | 1.77 | % | 84 | % | |||||||||||||||||||
$9.40 | (6.00 | )% | $3,213 | 0.61 | % | 0.61 | % | 1.42 | %10 | 2.85 | % | 172 | % | |||||||||||||||||||
$9.19 | (1.04 | )% | $542 | 0.79 | % | 0.79 | % | 1.04 | %10 | 1.59 | % | 84 | % | |||||||||||||||||||
$9.39 | (6.10 | )% | $143 | 0.81 | % | 0.81 | % | 2.65 | %10 | 2.28 | % | 172 | % | |||||||||||||||||||
$9.21 | (0.87 | )% | $81,143 | 0.50 | % | 0.50 | % | 0.76 | %10 | 1.91 | % | 84 | % | |||||||||||||||||||
$9.41 | (5.90 | )% | $41,373 | 0.51 | % | 0.51 | % | 1.22 | %10 | 2.81 | % | 172 | % | |||||||||||||||||||
$8.42 | 1.74 | % | $9,473 | 0.70 | % | 0.70 | % | 0.84 | %10 | 0.52 | % | 167 | % | |||||||||||||||||||
$8.31 | (16.90 | )% | $2,986 | 0.77 | % | 0.77 | % | 2.66 | %10 | 3.46 | % | 173 | % | |||||||||||||||||||
$8.44 | 1.69 | % | $1,282 | 0.93 | % | 0.93 | % | 1.11 | %10 | 0.49 | % | 167 | % | |||||||||||||||||||
$8.30 | (17.00 | )% | $881 | 1.03 | % | 1.03 | % | 3.06 | %10 | 3.08 | % | 173 | % | |||||||||||||||||||
$8.43 | 1.78 | % | $232,663 | 0.65 | % | 0.65 | % | 0.79 | %10 | 0.57 | % | 167 | % | |||||||||||||||||||
$8.32 | (16.80 | )% | $15,381 | 0.67 | % | 0.67 | % | 2.46 | %10 | 3.66 | % | 173 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
143
Financial Highlights | March 31, 2016 |
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 MOMENTUM STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $19.96 | 0.12 | 1.00 | 1.12 | (0.21 | ) | (1.45 | ) | (1.66 | ) | ||||||||||||||||||
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 | 9 | 3.47 | 3.59 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $13.89 | 0.26 | 16 | 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 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $19.92 | 0.09 | 1.00 | 1.09 | (0.14 | ) | (1.45 | ) | (1.59 | ) | ||||||||||||||||||
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 | 9 | 3.47 | 3.56 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 12/17/1212—12/31/12 | $16.02 | 0.01 | 16 | 0.02 | 0.03 | — | — | — | ||||||||||||||||||||
AQR LARGE CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $19.94 | 0.13 | 0.99 | 1.12 | (0.23 | ) | (1.45 | ) | (1.68 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $21.89 | 0.23 | (0.08 | ) | 0.15 | (0.18 | ) | (1.92 | ) | (2.10 | ) | |||||||||||||||||
FOR THE PERIOD 7/10/1412—9/30/14 | $21.90 | 0.04 | (0.05 | )14 | (0.01 | ) | — | — | — | |||||||||||||||||||
AQR SMALL CAP MOMENTUM STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $19.10 | 0.07 | (0.37 | ) | (0.30 | ) | (0.16 | ) | (0.08 | ) | (0.24 | ) | ||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $21.09 | 0.15 | 13 | 0.26 | 14 | 0.41 | (0.04 | ) | (2.36 | ) | (2.40 | ) | ||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $21.77 | 0.00 | 7,15 | 0.73 | 0.73 | (0.06 | ) | (1.35 | ) | (1.41 | ) | |||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $16.43 | 0.09 | 9 | 5.25 | 5.34 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $13.89 | 0.22 | 16 | 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 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $18.99 | 0.04 | (0.37 | ) | (0.33 | ) | (0.10 | ) | (0.08 | ) | (0.18 | ) | ||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $21.00 | 0.09 | 13 | 0.26 | 14 | 0.35 | — | (2.36 | ) | (2.36 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $21.73 | (0.06 | )15 | 0.73 | 0.67 | (0.05 | ) | (1.35 | ) | (1.40 | ) | |||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $16.43 | 0.03 | 9 | 5.27 | 5.30 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 12/17/1212—12/31/12 | $16.09 | 0.02 | 16 | 0.32 | 0.34 | — | — | — | ||||||||||||||||||||
AQR SMALL CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $19.09 | 0.06 | (0.37 | ) | (0.31 | ) | (0.18 | ) | (0.08 | ) | (0.26 | ) | ||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $21.10 | 0.13 | 13 | 0.29 | 14 | 0.42 | (0.07 | ) | (2.36 | ) | (2.43 | ) | ||||||||||||||||
FOR THE PERIOD 7/10/1412—9/30/14 | $22.08 | 0.01 | 15 | (0.99 | )14 | (0.98 | ) | — | — | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
144
Financial Highlights | March 31, 2016 |
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 | |||||||||||||||||||||||||
$19.42 | 5.58 | % | $865,908 | 0.40 | % | 0.40 | % | 0.42 | % | 1.21 | % | 49 | % | |||||||||||||||||||
$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 | %10 | 0.88 | %9 | 62 | % | |||||||||||||||||||
$16.06 | 17.49 | % | $490,442 | 0.50 | % | 0.49 | % | 0.58 | % | 1.69 | %16 | 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 | % | |||||||||||||||||||
$19.42 | 5.46 | % | $60,543 | 0.65 | % | 0.65 | % | 0.68 | % | 0.94 | % | 49 | % | |||||||||||||||||||
$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 | %10 | 0.64 | %9 | 62 | % | |||||||||||||||||||
$16.05 | 0.19 | % | $58,422 | 0.75 | % | 0.74 | % | 0.82 | % | 1.19 | %16 | 68 | % | |||||||||||||||||||
$19.38 | 5.62 | % | $70,454 | 0.30 | % | 0.30 | % | 0.33 | % | 1.31 | % | 49 | % | |||||||||||||||||||
$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 | % | |||||||||||||||||||
$18.56 | (1.63 | )% | $299,365 | 0.59 | % | 0.59 | % | 0.66 | % | 0.70 | % | 44 | % | |||||||||||||||||||
$19.10 | 1.17 | % | $316,232 | 0.63 | % | 0.62 | % | 0.68 | % | 0.69 | %13 | 86 | % | |||||||||||||||||||
$21.09 | 3.07 | % | $301,173 | 0.65 | % | 0.65 | % | 0.68 | % | 0.01 | %15 | 83 | % | |||||||||||||||||||
$21.77 | 32.50 | % | $242,675 | 0.65 | % | 0.65 | % | 0.68 | %10,11 | 0.60 | %9 | 49 | % | |||||||||||||||||||
$16.43 | 19.62 | % | $145,770 | 0.66 | % | 0.65 | % | 0.72 | % | 1.44 | %16 | 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 | % | |||||||||||||||||||
$18.48 | (1.74 | )% | $8,858 | 0.83 | % | 0.83 | % | 0.90 | % | 0.47 | % | 44 | % | |||||||||||||||||||
$18.99 | 0.89 | % | $8,195 | 0.88 | % | 0.87 | % | 0.94 | % | 0.43 | %13 | 86 | % | |||||||||||||||||||
$21.00 | 2.83 | % | $7,189 | 0.90 | % | 0.90 | % | 1.04 | % | (0.26 | )%15 | 83 | % | |||||||||||||||||||
$21.73 | 32.26 | % | $1,668 | 0.90 | % | 0.90 | % | 4.82 | %10,11 | 0.18 | %9 | 49 | % | |||||||||||||||||||
$16.43 | 2.11 | % | $10 | 0.90 | % | 0.90 | % | 135.33 | %17 | 3.36 | %16 | 73 | % | |||||||||||||||||||
$18.52 | (1.65 | )% | $5,968 | 0.50 | % | 0.50 | % | 0.56 | % | 0.61 | % | 44 | % | |||||||||||||||||||
$19.09 | 1.25 | % | $77,416 | 0.50 | % | 0.50 | % | 0.59 | % | 0.62 | %13 | 86 | % | |||||||||||||||||||
$21.10 | (4.44 | )% | $96 | 0.55 | % | 0.55 | % | 0.63 | % | 0.13 | %15 | 83 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
145
Financial Highlights | March 31, 2016 |
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 I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $13.24 | 0.08 | 0.22 | 0.30 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||
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 | 15 | (0.36 | ) | (0.09 | ) | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $13.09 | 0.22 | 9 | 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 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $13.19 | 0.06 | 0.22 | 0.28 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||
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 | 15 | (0.35 | ) | (0.13 | ) | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $13.08 | 0.25 | 9 | 1.92 | 2.17 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 12/17/1212—12/31/12 | $12.95 | — | 0.13 | 0.13 | — | — | — | |||||||||||||||||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $13.23 | 0.08 | 0.23 | 0.31 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.94 | 0.33 | (1.53 | ) | (1.20 | ) | (0.34 | ) | (0.17 | ) | (0.51 | ) | ||||||||||||||||
FOR THE PERIOD 7/10/1412—9/30/14 | $15.54 | 0.05 | 15 | (0.65 | ) | (0.60 | ) | — | — | — | ||||||||||||||||||
AQR EMERGING MOMENTUM STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.29 | 0.02 | 0.05 | 0.07 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $10.02 | 0.20 | (1.84 | ) | (1.64 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
FOR THE PERIOD 5/13/148—9/30/14 | $10.00 | 0.09 | (0.07 | ) | 0.02 | — | — | — | ||||||||||||||||||||
AQR EMERGING MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.27 | 0.01 | 0.06 | 0.07 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $10.01 | 0.16 | (1.82 | ) | (1.66 | ) | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||
FOR THE PERIOD 5/13/148—9/30/14 | $10.00 | 0.09 | (0.08 | ) | 0.01 | — | — | — | ||||||||||||||||||||
AQR EMERGING MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.30 | 0.02 | 0.06 | 0.08 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $10.02 | 0.19 | (1.81 | ) | (1.62 | ) | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||
FOR THE PERIOD 7/10/1412—9/30/14 | $10.63 | 0.05 | (0.66 | )14 | (0.61 | ) | — | — | — | |||||||||||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $15.54 | 0.10 | 0.77 | 0.87 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||
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 | 9 | 2.38 | 2.47 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 1/27/128—12/31/12 | $10.00 | 0.19 | 16 | 1.17 | 1.36 | (0.14 | ) | (0.09 | ) | (0.23 | ) | |||||||||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $15.50 | 0.09 | 0.77 | 0.86 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||
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 | 9 | 2.37 | 2.44 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 12/17/1212—12/31/12 | $11.12 | 0.01 | 16 | 0.00 | 7 | 0.01 | — | — | — | |||||||||||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $15.54 | 0.11 | 0.77 | 0.88 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $15.90 | 0.19 | (0.19 | ) | 0.00 | 7 | (0.09 | ) | (0.27 | ) | (0.36 | ) | ||||||||||||||||
FOR THE PERIOD 7/10/1412—9/30/14 | $15.78 | 0.03 | 0.09 | 0.12 | — | — | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
146
Financial Highlights | March 31, 2016 |
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 | |||||||||||||||||||||||||
$13.32 | 2.25 | % | $271,840 | 0.55 | % | 0.55 | % | 0.62 | % | 1.17 | % | 43 | % | |||||||||||||||||||
$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 | %15 | 98 | % | |||||||||||||||||||
$15.29 | 16.81 | % | $219,002 | 0.65 | % | 0.65 | % | 0.73 | %10 | 2.09 | %9 | 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 | % | |||||||||||||||||||
$13.29 | 2.09 | % | $33,275 | 0.80 | % | 0.80 | % | 0.88 | % | 0.87 | % | 43 | % | |||||||||||||||||||
$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 | % | 1598 | % | |||||||||||||||||||
$15.25 | 16.59 | % | $41,503 | 0.90 | % | 0.90 | % | 1.03 | %10 | 2.28 | %9 | 76 | % | |||||||||||||||||||
$13.08 | 1.00 | % | $11 | 0.90 | % | 0.90 | % | 132.42 | %17 | 0.25 | % | 116 | % | |||||||||||||||||||
$13.30 | 2.30 | % | $33,446 | 0.45 | % | 0.45 | % | 0.53 | % | 1.26 | % | 43 | % | |||||||||||||||||||
$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 | %15 | 98 | % | |||||||||||||||||||
$8.13 | 0.84 | % | $8,251 | 0.67 | % | 0.67 | % | 2.76 | % | 0.44 | % | 88 | % | |||||||||||||||||||
$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 | %10,11 | 2.27 | % | 72 | % | |||||||||||||||||||
$8.13 | 0.81 | % | $1,622 | 0.88 | % | 0.88 | % | 2.95 | % | 0.24 | % | 88 | % | |||||||||||||||||||
$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 | %10,11 | 2.13 | % | 72 | % | |||||||||||||||||||
$8.14 | 0.94 | % | $620 | 0.60 | % | 0.60 | % | 2.58 | % | 0.63 | % | 88 | % | |||||||||||||||||||
$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 | %10,11 | 2.01 | % | 72 | % | |||||||||||||||||||
$16.26 | 5.61 | % | $62,489 | 0.39 | % | 0.39 | % | 0.47 | % | 1.31 | % | 32 | % | |||||||||||||||||||
$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 | %10,11 | 1.00 | %9 | 178 | % | |||||||||||||||||||
$11.13 | 13.67 | % | $6,041 | 0.55 | % | 0.54 | % | 4.57 | % | 1.89 | %16 | 93 | % | |||||||||||||||||||
$16.22 | 5.55 | % | $167 | 0.56 | % | 0.56 | % | 0.64 | % | 1.15 | % | 32 | % | |||||||||||||||||||
$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 | %10,11 | 0.71 | %9 | 178 | % | |||||||||||||||||||
$11.13 | 0.09 | % | $10 | 0.79 | % | 0.79 | % | 15.32 | %17 | 2.41 | %16 | 93 | % | |||||||||||||||||||
$16.23 | 5.64 | % | $79,030 | 0.30 | % | 0.30 | % | 0.39 | % | 1.40 | % | 32 | % | |||||||||||||||||||
$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 | Semi-Annual Report | March 2016 | ||||||||||||||
147
Financial Highlights | March 31, 2016 |
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 I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $14.51 | 0.06 | (0.20 | ) | (0.14 | ) | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.72 | 0.11 | 13 | 0.23 | 14 | 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 | 9 | 3.65 | 3.70 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 1/27/128—12/31/12 | $10.00 | 0.19 | 16 | 1.11 | 1.30 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $14.44 | 0.05 | (0.20 | ) | (0.15 | ) | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.67 | 0.07 | 13 | 0.24 | 14 | 0.31 | — | (0.54 | ) | (0.54 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $14.81 | (0.03 | ) | 0.14 | 0.11 | (0.00 | )7 | (0.25 | ) | (0.25 | ) | |||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $11.15 | 0.03 | 9 | 3.63 | 3.66 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 12/17/1212—12/31/12 | $10.91 | 0.02 | 16 | 0.22 | 0.24 | — | — | — | ||||||||||||||||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $14.50 | 0.07 | (0.19 | ) | (0.12 | ) | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.72 | 0.12 | 13 | 0.24 | 14 | 0.36 | (0.04 | ) | (0.54 | ) | (0.58 | ) | ||||||||||||||||
FOR THE PERIOD 7/10/1412—9/30/14 | $15.45 | 0.01 | (0.74 | )14 | (0.73 | ) | — | — | — | |||||||||||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $11.70 | 0.07 | 0.21 | 0.28 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||
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 | 15 | (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 1/27/128—12/31/12 | $10.00 | 0.23 | 1.22 | 1.45 | (0.19 | ) | (0.02 | ) | (0.21 | ) | ||||||||||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $11.68 | 0.05 | 0.22 | 0.27 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||
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 | 15 | (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 12/17/1212—12/31/12 | $11.14 | — | 0.10 | 0.10 | — | — | — | |||||||||||||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $11.70 | 0.08 | 0.21 | 0.29 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $13.09 | 0.31 | (1.37 | ) | (1.06 | ) | (0.27 | ) | (0.06 | ) | (0.33 | ) | ||||||||||||||||
FOR THE PERIOD 7/10/1412—9/30/14 | $13.66 | 0.03 | 15 | (0.60 | ) | (0.57 | ) | — | — | — | ||||||||||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $14.64 | 0.14 | 1.28 | 1.42 | (0.14 | ) | (0.76 | ) | (0.90 | ) | ||||||||||||||||||
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 7/09/128—12/31/12 | $10.00 | 0.14 | 16 | 0.10 | 0.24 | (0.07 | ) | (0.01 | ) | (0.08 | ) | |||||||||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $14.64 | 0.12 | 1.27 | 1.39 | (0.13 | ) | (0.76 | ) | (0.89 | ) | ||||||||||||||||||
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 7/09/128—12/31/12 | $10.00 | 0.08 | 16 | 0.15 | 0.23 | (0.04 | ) | (0.01 | ) | (0.05 | ) | |||||||||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $14.62 | 0.14 | 1.28 | 1.42 | (0.15 | ) | (0.76 | ) | (0.91 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.07 | 0.26 | 1.03 | 1.29 | (0.32 | ) | (0.42 | ) | (0.74 | ) | ||||||||||||||||||
FOR THE PERIOD 9/02/1412—9/30/14 | $14.13 | 0.02 | (0.08 | )14 | (0.06 | ) | — | — | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
148
Financial Highlights | March 31, 2016 |
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 | |||||||||||||||||||||||||
$14.27 | (0.97 | )% | $26,858 | 0.60 | % | 0.60 | % | 1.10 | % | 0.85 | % | 56 | % | |||||||||||||||||||
$14.51 | 2.13 | % | $19,992 | 0.64 | % | 0.64 | % | 1.34 | % | 0.68 | %13 | 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 | %10,11 | 0.49 | %9 | 81 | % | |||||||||||||||||||
$11.15 | 13.01 | % | $3,435 | 0.71 | % | 0.70 | % | 5.77 | % | 1.91 | %16 | 93 | % | |||||||||||||||||||
$14.21 | (1.05 | )% | $142 | 0.76 | % | 0.76 | % | 1.27 | % | 0.68 | % | 56 | % | |||||||||||||||||||
$14.44 | 1.90 | % | $127 | 0.86 | % | 0.86 | % | 1.49 | % | 0.45 | %13 | 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 | %10,11 | 0.26 | %9 | 81 | % | |||||||||||||||||||
$11.15 | 2.20 | % | $10 | 0.95 | % | 0.95 | % | 12.32 | % | 4.19 | %16 | 93 | % | |||||||||||||||||||
$14.26 | (0.88 | )% | $149 | 0.50 | % | 0.50 | % | 1.01 | % | 0.95 | % | 56 | % | |||||||||||||||||||
$14.50 | 2.23 | % | $97 | 0.54 | % | 0.54 | % | 1.24 | % | 0.77 | %13 | 111 | % | |||||||||||||||||||
$14.72 | (4.72 | )% | $95 | 0.60 | % | 0.60 | % | 1.65 | % | 0.22 | % | 154 | % | |||||||||||||||||||
$11.83 | 2.37 | % | $27,985 | 0.52 | % | 0.52 | % | 0.72 | % | 1.21 | % | 50 | % | |||||||||||||||||||
$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 | %15 | 185 | % | |||||||||||||||||||
$13.18 | 17.26 | % | $17,418 | 0.70 | % | 0.70 | % | 2.31 | %10,11 | 2.14 | % | 154 | % | |||||||||||||||||||
$11.24 | 14.46 | % | $5,739 | 0.71 | % | 0.70 | % | 5.28 | % | 2.38 | % | 131 | % | |||||||||||||||||||
$11.79 | 2.28 | % | $120 | 0.71 | % | 0.71 | % | 0.92 | % | 0.92 | % | 50 | % | |||||||||||||||||||
$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 | %15 | 185 | % | |||||||||||||||||||
$13.15 | 16.99 | % | $111 | 0.95 | % | 0.95 | % | 5.00 | %10,11 | 2.19 | % | 154 | % | |||||||||||||||||||
$11.24 | 0.90 | % | $10 | 0.95 | % | 0.95 | % | 15.82 | %17 | 0.15 | % | 131 | % | |||||||||||||||||||
$11.80 | 2.43 | % | $58,943 | 0.45 | % | 0.45 | % | 0.65 | % | 1.29 | % | 50 | % | |||||||||||||||||||
$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 | %15 | 185 | % | |||||||||||||||||||
$15.16 | 10.01 | % | $317,910 | 0.37 | % | 0.37 | % | 0.39 | % | 1.90 | % | 5 | % | |||||||||||||||||||
$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 | %10 | 1.69 | % | 106 | % | |||||||||||||||||||
$10.16 | 2.34 | % | $7,842 | 0.75 | % | 0.75 | % | 3.90 | % | 2.90 | %16 | 141 | % | |||||||||||||||||||
$15.14 | 9.79 | % | $124,336 | 0.61 | % | 0.61 | % | 0.63 | % | 1.70 | % | 5 | % | |||||||||||||||||||
$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 | %10 | 1.44 | % | 106 | % | |||||||||||||||||||
$10.18 | 2.29 | % | $421 | 1.00 | % | 1.00 | % | 9.36 | % | 1.70 | %16 | 141 | % | |||||||||||||||||||
$15.13 | 10.05 | % | $112,043 | 0.30 | % | 0.30 | % | 0.32 | % | 1.96 | % | 5 | % | |||||||||||||||||||
$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 | Semi-Annual Report | March 2016 | ||||||||||||||
149
Financial Highlights | March 31, 2016 |
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 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $10.95 | 0.10 | 0.62 | 0.72 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
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 7/09/128—12/31/12 | $10.00 | 0.10 | 0.67 | 0.77 | (0.06 | ) | (0.04 | ) | (0.10 | ) | ||||||||||||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $11.20 | 0.20 | 0.53 | 0.73 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
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 7/09/128—12/31/12 | $10.00 | 0.08 | 0.68 | 0.76 | (0.03 | ) | (0.04 | ) | (0.07 | ) | ||||||||||||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $10.94 | 0.05 | 0.68 | 0.73 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $12.37 | 0.29 | (1.10 | ) | (0.81 | ) | (0.34 | ) | (0.28 | ) | (0.62 | ) | ||||||||||||||||
FOR THE PERIOD 9/02/1412—9/30/14 | $13.02 | 0.03 | (0.68 | )14 | (0.65 | ) | — | — | — | |||||||||||||||||||
AQR EMERGING DEFENSIVE STYLE FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.21 | 0.04 | 0.42 | 0.46 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
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 | 15 | 0.03 | 14 | 0.28 | (0.09 | ) | (0.00 | )7 | (0.09 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $10.92 | 0.20 | (0.85 | ) | (0.65 | ) | — | — | — | |||||||||||||||||||
FOR THE PERIOD 7/09/128—12/31/12 | $10.00 | 0.10 | 0.94 | 1.04 | (0.09 | ) | (0.03 | ) | (0.12 | ) | ||||||||||||||||||
AQR EMERGING DEFENSIVE STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.34 | 0.02 | 0.44 | 0.46 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
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 | 15 | 0.08 | 14 | 0.26 | (0.07 | ) | (0.00 | )7 | (0.07 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $10.93 | 0.16 | (0.83 | ) | (0.67 | ) | — | — | — | |||||||||||||||||||
FOR THE PERIOD 7/09/128—12/31/12 | $10.00 | 0.08 | 0.94 | 1.02 | (0.06 | ) | (0.03 | ) | (0.09 | ) | ||||||||||||||||||
AQR EMERGING DEFENSIVE STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $8.21 | 0.05 | 0.40 | 0.45 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $10.46 | 0.21 | (2.27 | ) | (2.06 | ) | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||
FOR THE PERIOD 9/02/1412—9/30/14 | $11.15 | 0.03 | 15 | (0.72 | ) | (0.69 | ) | — | — | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
150
Financial Highlights | March 31, 2016 |
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 | |||||||||||||||||||||||||
$11.44 | 6.69 | % | $48,903 | 0.54 | % | 0.54 | % | 0.91 | % | 1.79 | % | 88 | % | |||||||||||||||||||
$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 | %10,11 | 2.68 | % | 115 | % | |||||||||||||||||||
$10.67 | 7.69 | % | $5,366 | 0.90 | % | 0.90 | % | 5.00 | % | 1.91 | % | 81 | % | |||||||||||||||||||
$11.74 | 6.59 | % | $1,673 | 0.80 | % | 0.80 | % | 1.12 | % | 3.46 | % | 88 | % | |||||||||||||||||||
$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 | %10,11 | 2.34 | % | 115 | % | |||||||||||||||||||
$10.69 | 7.62 | % | $850 | 1.15 | % | 1.15 | % | 6.96 | % | 1.61 | % | 81 | % | |||||||||||||||||||
$11.43 | 6.79 | % | $17,309 | 0.45 | % | 0.45 | % | 0.71 | % | 0.96 | % | 88 | % | |||||||||||||||||||
$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 | % | |||||||||||||||||||
$8.41 | 5.83 | % | $43,333 | 0.67 | % | 0.67 | % | 1.21 | % | 0.93 | % | 23 | % | |||||||||||||||||||
$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 | %15 | 124 | % | |||||||||||||||||||
$10.27 | (5.95 | )% | $29,471 | 0.96 | % | 0.96 | % | 2.08 | %10 | 2.55 | % | 181 | % | |||||||||||||||||||
$10.92 | 10.39 | % | $5,402 | 1.15 | % | 1.15 | % | 4.14 | % | 1.92 | % | 38 | % | |||||||||||||||||||
$8.61 | 5.63 | % | $134 | 0.91 | % | 0.91 | % | 1.45 | % | 0.57 | % | 23 | % | |||||||||||||||||||
$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 | %15 | 124 | % | |||||||||||||||||||
$10.26 | (6.13 | )% | $2,594 | 1.25 | % | 1.25 | % | 3.50 | %10 | 2.06 | % | 181 | % | |||||||||||||||||||
$10.93 | 10.22 | % | $1,804 | 1.40 | % | 1.40 | % | 5.41 | % | 1.67 | % | 38 | % | |||||||||||||||||||
$8.38 | 5.75 | % | $226 | 0.60 | % | 0.60 | % | 1.09 | % | 1.21 | % | 23 | % | |||||||||||||||||||
$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 | %15 | 124 | % | |||||||||||||||||||
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
151
Financial Highlights | March 31, 2016 |
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 GLOBAL EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $7.80 | 0.04 | 0.34 | 0.38 | (0.12 | ) | (0.42 | ) | (0.54 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $8.91 | 0.12 | 13 | (0.23 | ) | (0.11 | ) | (0.15 | ) | (0.85 | ) | (1.00 | ) | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $13.33 | 0.15 | 15 | 1.13 | 1.28 | (0.39 | ) | (5.31 | ) | (5.70 | ) | |||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $11.35 | 0.14 | 1.84 | 1.98 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.99 | 0.20 | 1.69 | 1.89 | (0.29 | ) | (0.24 | ) | (0.53 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | $10.97 | 0.21 | (0.95 | ) | (0.74 | ) | (0.11 | ) | (0.13 | ) | (0.24 | ) | ||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010 | $10.00 | 0.16 | 1.25 | 1.41 | (0.36 | ) | (0.08 | ) | (0.44 | ) | ||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $7.73 | 0.03 | 0.32 | 0.35 | (0.06 | ) | (0.42 | ) | (0.48 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $8.85 | 0.10 | 13 | (0.23 | ) | (0.13 | ) | (0.14 | ) | (0.85 | ) | (0.99 | ) | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $13.27 | 0.12 | 15 | 1.12 | 1.24 | (0.35 | ) | (5.31 | ) | (5.66 | ) | |||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $11.32 | 0.11 | 1.84 | 1.95 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.97 | 0.16 | 1.70 | 1.86 | (0.27 | ) | (0.24 | ) | (0.51 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | $10.97 | 0.16 | (0.94 | ) | (0.78 | ) | (0.09 | ) | (0.13 | ) | (0.22 | ) | ||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010† | $10.00 | 0.13 | 1.25 | 1.38 | (0.33 | ) | (0.08 | ) | (0.41 | ) | ||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $7.85 | 0.04 | 0.33 | 0.37 | (0.11 | ) | (0.42 | ) | (0.53 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $8.96 | 0.14 | 13 | (0.24 | ) | (0.10 | ) | (0.16 | ) | (0.85 | ) | (1.01 | ) | |||||||||||||||
FOR THE PERIOD 1/08/1412—9/30/14 | $8.70 | 0.15 | 15 | 0.11 | 0.26 | — | — | — | ||||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS Y | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016† (Unaudited) | $7.86 | 0.04 | 0.35 | 0.39 | (0.14 | ) | (0.42 | ) | (0.56 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015† | $8.97 | 0.16 | 13 | (0.24 | ) | (0.08 | ) | (0.18 | ) | (0.85 | ) | (1.03 | ) | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014† | $13.38 | 0.18 | 15 | 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 | ) | ||||||||||||||||||
AQR INTERNATIONAL EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $9.61 | 0.05 | 0.29 | 0.34 | (0.20 | ) | (0.12 | ) | (0.32 | ) | ||||||||||||||||||
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 | 15 | (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 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $9.77 | 0.04 | 0.29 | 0.33 | (0.17 | ) | (0.12 | ) | (0.29 | ) | ||||||||||||||||||
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 | 15 | (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 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $10.16 | 0.07 | 0.29 | 0.36 | (0.20 | ) | (0.12 | ) | (0.32 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $11.56 | 0.18 | (0.68 | ) | (0.50 | ) | (0.35 | ) | (0.55 | ) | (0.90 | ) | ||||||||||||||||
FOR THE PERIOD 1/08/1412—9/30/14 | $12.08 | 0.34 | 15 | (0.86 | ) | (0.52 | ) | — | — | — | ||||||||||||||||||
AQR INTERNATIONAL EQUITY FUND CLASS Y | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2016 (Unaudited) | $10.18 | 0.08 | 0.29 | 0.37 | (0.23 | ) | (0.12 | ) | (0.35 | ) | ||||||||||||||||||
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 | 15 | (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 | Semi-Annual Report | March 2016 | ||||||||||||||
152
Financial Highlights | March 31, 2016 |
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 | |||||||||||||||||||||||||
$7.64 | 4.74 | % | $33,753 | 0.85 | % | 0.85 | % | 0.88 | % | 0.95 | % | 35 | % | |||||||||||||||||||
$7.80 | (1.64 | )% | $34,186 | 0.90 | % | 0.90 | % | 0.90 | % | 1.49 | %13 | 73 | % | |||||||||||||||||||
$8.91 | 11.55 | % | $2,492 | 0.91 | % | 0.91 | % | 1.14 | % | 1.62 | %15 | 90 | % | |||||||||||||||||||
$13.33 | 17.44 | % | $1,263 | 0.95 | % | 0.95 | % | 2.27 | %10,11 | 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 | % | |||||||||||||||||||
$7.60 | 4.47 | % | $1,477 | 1.11 | % | 1.11 | % | 1.14 | % | 0.83 | % | 35 | % | |||||||||||||||||||
$7.73 | (1.86 | )% | $765 | 1.17 | % | 1.17 | % | 1.17 | % | 1.18 | %13 | 73 | % | |||||||||||||||||||
$8.85 | 11.17 | % | $1,128 | 1.21 | % | 1.21 | % | 1.60 | % | 1.28 | %15 | 90 | % | |||||||||||||||||||
$13.27 | 17.23 | % | $712 | 1.25 | % | 1.25 | % | 3.06 | %10,11 | 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 | % | |||||||||||||||||||
$7.69 | 4.66 | % | $100,234 | 0.70 | % | 0.70 | % | 0.73 | % | 1.12 | % | 35 | % | |||||||||||||||||||
$7.85 | (1.47 | )% | $85,017 | 0.70 | % | 0.70 | % | 0.71 | % | 1.69 | %13 | 73 | % | |||||||||||||||||||
$8.96 | 2.99 | % | $76,031 | 0.70 | % | 0.70 | % | 0.73 | % | 2.23 | %15 | 90 | % | |||||||||||||||||||
$7.69 | 4.86 | % | $100,855 | 0.53 | % | 0.53 | % | 0.53 | % | 1.10 | % | 35 | % | |||||||||||||||||||
$7.86 | (1.29 | )% | $212,178 | 0.51 | % | 0.51 | % | 0.51 | % | 1.88 | %13 | 73 | % | |||||||||||||||||||
$8.97 | 11.99 | % | $212,652 | 0.54 | % | 0.54 | % | 0.54 | % | 1.79 | %15 | 90 | % | |||||||||||||||||||
$13.38 | 17.89 | % | $254,723 | 0.51 | % | 0.51 | % | 0.51 | %10,11 | 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 | % | |||||||||||||||||||
$9.63 | 3.53 | % | $335,169 | 0.94 | % | 0.94 | % | 0.94 | % | 1.14 | % | 29 | % | |||||||||||||||||||
$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 | %15 | 71 | % | |||||||||||||||||||
$11.88 | 16.02 | % | $241,467 | 0.90 | % | 0.90 | % | 0.90 | %10 | 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 | % | |||||||||||||||||||
$9.81 | 3.36 | % | $37,170 | 1.18 | % | 1.18 | % | 1.18 | % | 0.87 | % | 29 | % | |||||||||||||||||||
$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 | %15 | 71 | % | |||||||||||||||||||
$12.06 | 15.63 | % | $32,011 | 1.29 | % | 1.29 | % | 1.29 | %10 | 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 | % | |||||||||||||||||||
$10.20 | 3.61 | % | $36,768 | 0.75 | % | 0.75 | % | 0.75 | % | 1.32 | % | 29 | % | |||||||||||||||||||
$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 | %15 | 71 | % | |||||||||||||||||||
$10.20 | 3.71 | % | $362,127 | 0.55 | % | 0.55 | % | 0.55 | % | 1.52 | % | 29 | % | |||||||||||||||||||
$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 | %15 | 71 | % | |||||||||||||||||||
$12.45 | 16.25 | % | $543,667 | 0.55 | % | 0.55 | % | 0.55 | %10 | 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. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
153
Financial Highlights | March 31, 2016 |
* | 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 | Effective April 1, 2015, Class L Shares were renamed Class I Shares. |
7 | Amount is less than $.005 per share. |
8 | Commencement of operations. |
9 | 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 |
10 | Certain expenses incurred by the Fund were not annualized for the period. |
11 | Ratios are disproportionate between classes due to size of net assets and fixed expenses. |
12 | Commencement of offering of shares. |
13 | 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 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
154
Financial Highlights | March 31, 2016 |
14 | 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. |
15 | 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 | ||||||
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 R6 | 0.14 | 2.11 | ||||||
AQR Global Equity Fund—Class Y | 0.17 | 1.67 | ||||||
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 R6 | 0.32 | 3.71 | ||||||
AQR International Equity Fund—Class Y | 0.29 | 2.35 |
16 | 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 |
17 | 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. |
The accompanying notes are an integral part of these financial statements. |
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
1. Organization
AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of March 31, 2016, 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 “Adviser”) serves as the investment adviser of each Fund.
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.
Each of the Funds offer Class I, N and R6 shares. The AQR Global Equity Fund and AQR International Equity Fund also offer Class Y shares. On April 1, 2016 and May 9, 2016, AQR International Equity Fund and AQR Global Equity Fund closed Class Y, respectively.
2. Significant Accounting Policies
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”).
Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser 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 bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.
Due to/from Brokers: Due to/from brokers represents cash balances pledged, or cash balances received from, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations.
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
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156
Notes to Financial Statements | March 31, 2016 (Unaudited) |
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 earnings, assets and voting privileges, except that each class may bear different sub-transfer agency and distribution fees and 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.
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 Adviser 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 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. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of March 31, 2016, the Funds had no examinations in progress.
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 Funds’ 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.
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157
Notes to Financial Statements | March 31, 2016 (Unaudited) |
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 the entire margin owed to the Funds, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired, and is reported in the Statements of Operations. The use of long futures contracts subjects the Funds to risk of loss in excess of the variation margin on the Statements of Assets and Liabilities. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability. An up-front payment made by a Fund is recorded as an asset. Up-front payments are amortized over the term of the contract. Periodic payments received (paid) by a Fund are recorded as realized gains (losses).
The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly, including: market risk related to unfavorable changes in interest rates or in the price(s) of the underlying security(ies); credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Funds to close out their position(s).
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Securities Lending: Certain Funds may lend securities to qualified borrowers approved by the Adviser 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
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
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.
The following table presents the liabilities under the outstanding securities lending transactions as of March 31, 2016, on the basis of the nature, characteristics and risks associated with the investment of the cash collateral received in a money market fund, in accordance with guidance presented in FASB ASU 2014-11, Balance Sheet (Topic) 860: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”). As the securities loans are subject to termination by the Funds or the borrower at any time, the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous.
FUND | COMMON STOCKS (OVERNIGHT & CONTINUOUS) | TOTAL BORROWINGS | ||||||
AQR Small Cap Multi-Style Fund | $ | 51,797,286 | $ | 51,797,286 | ||||
AQR Emerging Multi-Style Fund | 2,221,189 | 2,221,189 | ||||||
AQR TM Small Cap Multi-Style Fund | 1,139,174 | 1,139,174 | ||||||
AQR TM Emerging Multi-Style Fund | 1,153,057 | 1,153,057 | ||||||
AQR Small Cap Momentum Style Fund | 33,769,149 | 33,769,149 | ||||||
AQR Emerging Momentum Style Fund | 651,334 | 651,334 | ||||||
AQR TM Small Cap Momentum Style Fund | 3,135,733 | 3,135,733 | ||||||
AQR Emerging Defensive Style Fund | 1,100,322 | 1,100,322 |
The securities lending transactions are governed by a Securities Lending Agency Agreement with JPMorgan Chase Bank, N.A., which is not considered to be master netting arrangements. As a result the liabilities associated with the securities lending transactions are not disclosed in Note 7 of the Notes to Financial Statements.
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 exchange-traded and centrally cleared derivatives 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 exchange-traded and centrally cleared derivatives. Variation margin is determined separately for exchange traded futures and centrally cleared swaps and cannot be netted.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern 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.
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
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, money market funds and other securities as agreed to by the Fund and the applicable counterparty, or as permitted by the clearing house or exchange.
Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in Due from brokers (cash). Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk.
Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.
4. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees (“the Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser, subject to Board oversight. The Adviser has established a Valuation Committee (the “VC”) whose function is to administer, implement and oversee the continual appropriateness of valuation methods applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. The Adviser 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.
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.
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
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 OTC 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 Adviser 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 within 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 Adviser 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.
The value of each total return swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.
The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
161
Notes to Financial Statements | March 31, 2016 (Unaudited) |
Generally, a valuation model is used consistently for similar derivative types and model inputs, including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of 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 | $ | 1,309,981,790 | $ | 1,014,300 | $ | — | $ | 1,310,996,090 | ||||||||
Short-Term Investment | — | 47,978,132 | — | 47,978,132 | ||||||||||||
Futures Contracts* | 832,945 | — | — | 832,945 | ||||||||||||
Total Assets | $ | 1,310,814,735 | $ | 48,992,432 | $ | — | $ | 1,359,807,167 | ||||||||
AQR SMALL CAP MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 621,189,890 | $ | — | $ | — | $ | 621,189,890 | ||||||||
Securities Lending Collateral | — | 51,797,286 | — | 51,797,286 | ||||||||||||
Short-Term Investment | — | 34,002,429 | — | 34,002,429 | ||||||||||||
Futures Contracts* | 424,702 | — | — | 424,702 | ||||||||||||
Total Assets | $ | 621,614,592 | $ | 85,799,715 | $ | — | $ | 707,414,307 | ||||||||
AQR INTERNATIONAL MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 16,097,944 | $ | 296,979,597 | $ | — | $ | 313,077,541 | ||||||||
Exchange Traded Fund | 15,683,385 | — | — | 15,683,385 | ||||||||||||
Short-Term Investment | — | 2,568,966 | — | 2,568,966 | ||||||||||||
Total Assets | $ | 31,781,329 | $ | 299,548,563 | $ | — | $ | 331,329,892 | ||||||||
AQR EMERGING MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 49,161,104 | $ | 148,028,321 | $ | 542,609 | $ | 197,732,034 | ||||||||
Preferred Stocks† | 3,525,641 | — | — | 3,525,641 | ||||||||||||
Rights† | — | — | — | — | ||||||||||||
Securities Lending Collateral | — | 2,221,189 | — | 2,221,189 | ||||||||||||
Short-Term Investment | — | 6,424,414 | — | 6,424,414 | ||||||||||||
Futures Contracts* | 175,059 | — | — | 175,059 | ||||||||||||
Total Assets | $ | 52,861,804 | $ | 156,673,924 | $ | 542,609 | $ | 210,078,337 | ||||||||
AQR TM LARGE CAP MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 92,381,119 | $ | 57,511 | $ | — | $ | 92,438,630 | ||||||||
Exchange Traded Fund | 10,322,607 | — | — | 10,322,607 | ||||||||||||
Short-Term Investment | — | 2,378,535 | — | 2,378,535 | ||||||||||||
Total Assets | $ | 102,703,726 | $ | 2,436,046 | $ | — | $ | 105,139,772 | ||||||||
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
162
Notes to Financial Statements | March 31, 2016 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 11,852,318 | $ | — | $ | — | $ | 11,852,318 | ||||||||
Exchange Traded Fund | 419,581 | — | — | 419,581 | ||||||||||||
Securities Lending Collateral | — | 1,139,174 | — | 1,139,174 | ||||||||||||
Short-Term Investment | — | 114,340 | — | 114,340 | ||||||||||||
Total Assets | $ | 12,271,899 | $ | 1,253,514 | $ | — | $ | 13,525,413 | ||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 4,543,853 | $ | 83,596,118 | $ | — | $ | 88,139,971 | ||||||||
Exchange Traded Fund | 8,289,963 | — | — | 8,289,963 | ||||||||||||
Short-Term Investment | — | 953,110 | — | 953,110 | ||||||||||||
Total Assets | $ | 12,833,816 | $ | 84,549,228 | $ | — | $ | 97,383,044 | ||||||||
AQR TM EMERGING MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 58,880,756 | $ | 162,389,674 | $ | 419,340 | $ | 221,689,770 | ||||||||
Preferred Stocks† | 4,241,114 | — | — | 4,241,114 | ||||||||||||
Rights† | — | — | — | (a) | — | (a) | ||||||||||
Securities Lending Collateral | — | 1,153,057 | — | 1,153,057 | ||||||||||||
Short-Term Investment | — | 16,947,978 | — | 16,947,978 | ||||||||||||
Futures Contracts* | 579,419 | — | — | 579,419 | ||||||||||||
Total Assets | $ | 63,701,289 | $ | 180,490,709 | $ | 419,340 | $ | 244,611,338 | ||||||||
AQR LARGE CAP MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 953,309,477 | $ | 1,451,657 | $ | — | $ | 954,761,134 | ||||||||
Short-Term Investment | — | 39,328,246 | — | 39,328,246 | ||||||||||||
Futures Contracts* | 527,248 | — | — | 527,248 | ||||||||||||
Total Assets | $ | 953,836,725 | $ | 40,779,903 | $ | — | $ | 994,616,628 | ||||||||
AQR SMALL CAP MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 310,506,534 | $ | 112,288 | $ | — | (a) | $ | 310,618,822 | |||||||
Rights | — | — | 7,456 | 7,456 | ||||||||||||
Securities Lending Collateral | — | 33,769,149 | — | 33,769,149 | ||||||||||||
Warrants | — | — | 36 | 36 | ||||||||||||
Short-Term Investment | — | 5,213,798 | — | 5,213,798 | ||||||||||||
Futures Contracts* | 6,496 | — | — | 6,496 | ||||||||||||
Total Assets | $ | 310,513,030 | $ | 39,095,235 | $ | 7,492 | $ | 349,615,757 | ||||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 19,998,295 | $ | 307,778,113 | $ | 36,418 | $ | 327,812,826 | ||||||||
Short-Term Investment | — | 11,667,291 | — | 11,667,291 | ||||||||||||
Futures Contracts* | 80,498 | — | — | 80,498 | ||||||||||||
Total Assets | $ | 20,078,793 | $ | 319,445,404 | $ | 36,418 | $ | 339,560,615 | ||||||||
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
163
Notes to Financial Statements | March 31, 2016 (Unaudited) |
AQR EMERGING MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 2,392,326 | $ | 7,633,050 | $ | 38,359 | $ | 10,063,735 | ||||||||
Exchange Traded Fund | 183,238 | — | — | 183,238 | ||||||||||||
Preferred Stocks† | 107,813 | — | — | 107,813 | ||||||||||||
Rights† | — | — | — | (a) | — | (a) | ||||||||||
Securities Lending Collateral | — | 651,334 | — | 651,334 | ||||||||||||
Short-Term Investment | — | 161,068 | — | 161,068 | ||||||||||||
Total Assets | $ | 2,683,377 | $ | 8,445,452 | $ | 38,359 | $ | 11,167,188 | ||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 137,789,806 | $ | 67,033 | $ | — | $ | 137,856,839 | ||||||||
Short-Term Investment | — | 3,073,717 | — | 3,073,717 | ||||||||||||
Futures Contracts* | 39,037 | — | — | 39,037 | ||||||||||||
Total Assets | $ | 137,828,843 | $ | 3,140,750 | $ | — | $ | 140,969,593 | ||||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 26,360,261 | $ | — | $ | — | $ | 26,360,261 | ||||||||
Exchange Traded Fund | 456,860 | — | — | 456,860 | ||||||||||||
Securities Lending Collateral | — | 3,135,733 | — | 3,135,733 | ||||||||||||
Short-Term Investment | — | 348,488 | — | 348,488 | ||||||||||||
Total Assets | $ | 26,817,121 | $ | 3,484,221 | $ | — | $ | 30,301,342 | ||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 6,613,966 | $ | 78,030,454 | $ | 1,269 | $ | 84,645,689 | ||||||||
Exchange Traded Fund | 1,246,863 | — | — | 1,246,863 | ||||||||||||
Short-Term Investment | — | 332,567 | — | 332,567 | ||||||||||||
Total Assets | $ | 7,860,829 | $ | 78,363,021 | $ | 1,269 | $ | 86,225,119 | ||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 532,194,015 | $ | — | $ | — | $ | 532,194,015 | ||||||||
Short-Term Investment | — | 26,771,749 | — | 26,771,749 | ||||||||||||
Futures Contracts* | 212,297 | — | — | 212,297 | ||||||||||||
Total Assets | $ | 532,406,312 | $ | 26,771,749 | $ | — | $ | 559,178,061 | ||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 7,679,070 | $ | 57,796,241 | $ | — | $ | 65,475,311 | ||||||||
Exchange Traded Fund | 1,945,448 | — | — | 1,945,448 | ||||||||||||
Preferred Stocks† | — | 158,851 | — | 158,851 | ||||||||||||
Short-Term Investment | — | 17,864,157 | — | 17,864,157 | ||||||||||||
Total Assets | $ | 9,624,518 | $ | 75,819,249 | $ | — | $ | 85,443,767 | ||||||||
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
164
Notes to Financial Statements | March 31, 2016 (Unaudited) |
AQR EMERGING DEFENSIVE STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 10,122,961 | $ | 29,846,227 | $ | — | $ | 39,969,188 | ||||||||
Preferred Stocks† | 69,604 | — | — | 69,604 | ||||||||||||
Rights† | — | — | — | (a) | — | (a) | ||||||||||
Securities Lending Collateral | — | 1,100,322 | — | 1,100,322 | ||||||||||||
Short-Term Investment | — | 3,143,051 | — | 3,143,051 | ||||||||||||
Futures Contracts* | 117,595 | — | — | 117,595 | ||||||||||||
Total Assets | $ | 10,310,160 | $ | 34,089,600 | $ | — | (a) | $ | 44,399,760 | |||||||
AQR GLOBAL EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 125,676,363 | $ | 78,703,581 | $ | 5,471 | $ | 204,385,415 | ||||||||
Preferred Stocks† | — | 78,044 | — | 78,044 | ||||||||||||
Warrants† | — | 1 | — | 1 | ||||||||||||
Short-Term Investment | — | 26,143,500 | — | 26,143,500 | ||||||||||||
Futures Contracts* | 529,051 | — | — | 529,051 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 1,959,405 | — | 1,959,405 | ||||||||||||
Total Return Swap Contracts* | — | 59,740 | — | 59,740 | ||||||||||||
Total Assets | $ | 126,205,414 | $ | 106,944,271 | $ | 5,471 | $ | 233,155,156 | ||||||||
LIABILITIES | ||||||||||||||||
Forward Foreign Currency Exchange Contracts* | $ | — | $ | (1,905,000 | ) | $ | — | $ | (1,905,000 | ) | ||||||
Total Return Swap Contracts* | — | (67,174 | ) | — | (67,174 | ) | ||||||||||
Total Liabilities | $ | — | $ | (1,972,174 | ) | $ | — | $ | (1,972,174 | ) | ||||||
AQR INTERNATIONAL EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Common Stocks† | $ | — | $ | 687,579,194 | $ | 8,141 | $ | 687,587,335 | ||||||||
Preferred Stocks† | — | 493,744 | — | 493,744 | ||||||||||||
Short-Term Investment | — | 57,968,831 | — | 57,968,831 | ||||||||||||
Futures Contracts* | 704,272 | — | — | 704,272 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 7,831,634 | — | 7,831,634 | ||||||||||||
Total Return Swap Contracts* | — | 72,082 | — | 72,082 | ||||||||||||
Total Assets | $ | 704,272 | $ | 753,945,485 | $ | 8,141 | $ | 754,657,898 | ||||||||
LIABILITIES | ||||||||||||||||
Forward Foreign Currency Exchange Contracts* | $ | — | $ | (8,149,887 | ) | $ | — | $ | (8,149,887 | ) | ||||||
Total Return Swap Contracts* | — | (5,449 | ) | — | (5,449 | ) | ||||||||||
Total Liabilities | $ | — | $ | (8,155,336 | ) | $ | — | $ | (8,155,336 | ) |
* | 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 the 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 March 31, 2016, the amount of securities transferred from Level 1 into Level 2 for the AQR Large Cap Momentum Style Fund was $1,451,657, and the amount of securities transferred from Level 2 into Level 1 for the AQR Large Cap Multi-Style Fund, AQR TM Emerging Multi-Style Fund and AQR Global Equity Fund was $1,176,124, $999,320 and $708,039, respectively. The amount of investments transferred between Level 1 and Level 2 for the AQR Emerging Multi-Style Fund, AQR Small Cap Momentum Style Fund, AQR Large Cap Momentum Style Fund, AQR TM Large Cap Momentum Style Fund and AQR Emerging Momentum Style Fund is considered quantitatively insignificant. There were no transfers of investments between levels for any of the remaining Funds.
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
165
Notes to Financial Statements | March 31, 2016 (Unaudited) |
At March 31, 2016, all of the investments classified within Level 3 of the fair value hierarchy held by the AQR Emerging Multi-Style Fund and AQR Emerging Momentum Style Fund are valued by pricing vendors or brokers. 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. There were no other Level 3 securities held at period end, except those securities classified as Level 3 in the Schedules of Investments that are considered quantitatively insignificant in the aggregate for the AQR TM Emerging Multi-Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Emerging Defensive 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 MULTI-STYLE FUND | COMMON STOCKS | RIGHTS | ||||||
Balance as of September 30, 2015 | $ | 13,254 | $ | — | ||||
Accrued discounts/(premiums) | — | — | ||||||
Realized gain/(loss) | 71,279 | — | ||||||
Change in unrealized appreciation/(depreciation) | (70,373 | ) | — | (a) | ||||
Purchases1 | 339,122 | — | (a) | |||||
Sales2 | (314,350 | ) | — | |||||
Transfers in to Level 3 | 516,931 | — | ||||||
Transfers out of Level 3 | (13,254 | ) | — | |||||
Balance as of March 31, 2016 | $ | 542,609 | $ | — | (a) | |||
Change in Unrealized appreciation/(depreciation) for securities still held at March 31, 2016 | $ | (123,911 | ) | $ | — | (a) |
AQR EMERGING MOMENTUM STYLE FUND | COMMON STOCKS | RIGHTS | ||||||
Balance as of September 30, 2015 | $ | 56,058 | $ | — | ||||
Accrued discounts/(premiums) | — | — | ||||||
Realized gain/(loss) | (12,956 | ) | — | |||||
Change in unrealized appreciation/(depreciation) | (17,900 | ) | — | (a) | ||||
Purchases1 | 31,599 | — | (a) | |||||
Sales2 | (10,403 | ) | — | |||||
Transfers in to Level 3 | 13,724 | — | ||||||
Transfers out of Level 3 | (21,763 | ) | — | |||||
Balance as of March 31, 2016 | $ | 38,359 | $ | — | (a) | |||
Change in Unrealized appreciation/(depreciation) for securities still held at March 31, 2016 | $ | (23,174 | ) | $ | — | (a) |
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action. |
(a) | Security has zero value. |
The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the Adviser’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.
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
166
Notes to Financial Statements | March 31, 2016 (Unaudited) |
5. Federal Income Tax Matters
At March 31, 2016, 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 | $ | 1,331,562,937 | $ | 83,509,709 | $ | (56,098,424 | ) | $ | 27,411,285 | |||||||
AQR Small Cap Multi-Style Fund | 675,558,912 | 38,293,893 | (6,863,200 | ) | 31,430,693 | |||||||||||
AQR International Multi-Style Fund | 347,753,122 | 13,007,100 | (29,430,330 | ) | (16,423,230 | ) | ||||||||||
AQR Emerging Multi-Style Fund | 214,442,660 | 9,134,086 | (13,673,468 | ) | (4,539,382 | ) | ||||||||||
AQR TM Large Cap Multi-Style Fund | 104,521,678 | 3,823,250 | (3,205,156 | ) | 618,094 | |||||||||||
AQR TM Small Cap Multi-Style Fund | 12,829,335 | 1,018,826 | (322,748 | ) | 696,078 | |||||||||||
AQR TM International Multi-Style Fund | 99,612,334 | 3,614,322 | (5,843,612 | ) | (2,229,290 | ) | ||||||||||
AQR TM Emerging Multi-Style Fund | 239,580,351 | 11,969,802 | (7,518,234 | ) | 4,451,568 | |||||||||||
AQR Large Cap Momentum Style Fund | 858,294,105 | 141,683,423 | (5,888,148 | ) | 135,795,275 | |||||||||||
AQR Small Cap Momentum Style Fund | 317,134,997 | 47,482,420 | (15,008,156 | ) | 32,474,264 | |||||||||||
AQR International Momentum Style Fund | 313,327,450 | 33,104,700 | (6,952,033 | ) | 26,152,667 | |||||||||||
AQR Emerging Momentum Style Fund | 10,533,005 | 968,460 | (334,277 | ) | 634,183 | |||||||||||
AQR TM Large Cap Momentum Style Fund | 124,719,552 | 18,182,735 | (1,971,731 | ) | 16,211,004 | |||||||||||
AQR TM Small Cap Momentum Style Fund | 28,861,674 | 3,149,320 | (1,709,652 | ) | 1,439,668 | |||||||||||
AQR TM International Momentum Style Fund | 83,419,278 | 6,758,378 | (3,952,537 | ) | 2,805,841 | |||||||||||
AQR Large Cap Defensive Style Fund | 499,039,208 | 64,617,651 | (4,691,095 | ) | 59,926,556 | |||||||||||
AQR International Defensive Style Fund | 84,290,704 | 3,801,681 | (2,648,618 | ) | 1,153,063 | |||||||||||
AQR Emerging Defensive Style Fund | 45,074,358 | 2,150,925 | (2,943,118 | ) | (792,193 | ) | ||||||||||
AQR Global Equity Fund | 206,196,809 | 31,629,487 | (7,219,336 | ) | 24,410,151 | |||||||||||
AQR International Equity Fund | 710,927,706 | 73,928,188 | (38,805,984 | ) | 35,122,204 |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
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 |
6. Investment Transactions
During the period ended March 31, 2016, 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 | $ | 514,715,370 | $ | 298,497,500 | ||||
AQR Small Cap Multi-Style Fund | 692,178,769 | 142,877,780 | ||||||
AQR International Multi-Style Fund | 205,148,337 | 155,132,081 | ||||||
AQR Emerging Multi-Style Fund | 133,612,232 | 122,132,800 | ||||||
AQR TM Large Cap Multi-Style Fund | 139,554,906 | 67,915,849 | ||||||
AQR TM Small Cap Multi-Style Fund | 18,839,829 | 10,672,617 | ||||||
AQR TM International Multi-Style Fund | 107,953,836 | 55,640,994 |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
167
Notes to Financial Statements | March 31, 2016 (Unaudited) |
FUND | PURCHASES | SALES | ||||||
AQR TM Emerging Multi-Style Fund | $ | 480,139,427 | $ | 271,347,629 | ||||
AQR Large Cap Momentum Style Fund | 477,162,083 | 543,329,029 | ||||||
AQR Small Cap Momentum Style Fund | 150,828,784 | 228,192,049 | ||||||
AQR International Momentum Style Fund | 145,584,591 | 137,206,299 | ||||||
AQR Emerging Momentum Style Fund | 9,912,865 | 7,567,972 | ||||||
AQR TM Large Cap Momentum Style Fund | 50,577,859 | 41,671,295 | ||||||
AQR TM Small Cap Momentum Style Fund | 20,545,502 | 13,268,136 | ||||||
AQR TM International Momentum Style Fund | 53,407,633 | 39,846,695 | ||||||
AQR Large Cap Defensive Style Fund | 344,735,071 | 16,645,776 | ||||||
AQR International Defensive Style Fund | 68,789,017 | 37,673,859 | ||||||
AQR Emerging Defensive Style Fund | 19,052,454 | 7,595,774 | ||||||
AQR Global Equity Fund | 80,493,737 | 179,060,136 | ||||||
AQR International Equity Fund | 216,524,527 | 193,648,777 |
7. Derivative Instruments and Activities
Certain funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts held at March 31, 2016, are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.
The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at March 31, 2016:
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 | $ | 832,945 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
AQR Small Cap Multi-Style Fund | 424,702 | — | — | — | — | — | ||||||||||||||||||
AQR Emerging Multi-Style Fund | 175,059 | — | — | — | — | — | ||||||||||||||||||
AQR TM Emerging Multi-Style Fund | 579,419 | — | — | — | — | — | ||||||||||||||||||
AQR Large Cap Momentum Style Fund | 527,248 | — | — | — | — | — | ||||||||||||||||||
AQR Small Cap Momentum Style Fund | 6,496 | — | — | — | — | — | ||||||||||||||||||
AQR International Momentum Style Fund | 80,498 | — | — | — | — | — | ||||||||||||||||||
AQR TM Large Cap Momentum Style Fund | 39,037 | — | — | — | — | — | ||||||||||||||||||
AQR Large Cap Defensive Style Fund | 212,297 | — | — | — | — | — | ||||||||||||||||||
AQR Emerging Defensive Style Fund | 117,595 | — | — | — | — | — | ||||||||||||||||||
AQR Global Equity Fund | 596,309 | 59,740 | — | 67,258 | 67,174 | — | ||||||||||||||||||
AQR International Equity Fund | 1,450,875 | 72,082 | — | 746,603 | 5,449 | — | ||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||
AQR Global Equity Fund | — | — | 1,959,405 | — | — | 1,905,000 | ||||||||||||||||||
AQR International Equity Fund | — | — | 7,831,634 | — | — | 8,149,887 | ||||||||||||||||||
Netting: | ||||||||||||||||||||||||
AQR Global Equity Fund | (67,258 | ) | (59,740 | ) | (1,905,000 | ) | (67,258 | ) | (59,740 | ) | (1,905,000 | ) | ||||||||||||
AQR International Equity Fund | (746,603 | ) | (5,449 | ) | (7,831,634 | ) | (746,603 | ) | (5,449 | ) | (7,831,634 | ) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
168
Notes to Financial Statements | March 31, 2016 (Unaudited) |
ASSETS | LIABILITIES | |||||||||||||||||||||||
FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS* | SWAPS AT VALUE | UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | UNREALIZED DEPRECIATION ON FUTURES CONTRACTS* | SWAPS AT VALUE | UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | ||||||||||||||||||
Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||
AQR Large Cap Multi-Style Fund | $ | 832,945 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
AQR Small Cap Multi-Style Fund | 424,702 | — | — | — | — | — | ||||||||||||||||||
AQR Emerging Multi-Style Fund | 175,059 | — | — | — | — | — | ||||||||||||||||||
AQR TM Emerging Multi-Style Fund | 579,419 | — | — | — | — | — | ||||||||||||||||||
AQR Large Cap Momentum Style Fund | 527,248 | — | — | — | — | — | ||||||||||||||||||
AQR Small Cap Momentum Style Fund | 6,496 | — | — | — | — | — | ||||||||||||||||||
AQR International Momentum Style Fund | 80,498 | — | — | — | — | — | ||||||||||||||||||
AQR TM Large Cap Momentum Style Fund | 39,037 | — | — | — | — | — | ||||||||||||||||||
AQR Large Cap Defensive Style Fund | 212,297 | — | — | — | — | — | ||||||||||||||||||
AQR Emerging Defensive Style Fund | 117,595 | — | — | — | — | — | ||||||||||||||||||
AQR Global Equity Fund | 529,051 | — | 54,405 | — | 7,434 | — | ||||||||||||||||||
AQR International Equity Fund | 704,272 | 66,633 | — | — | — | 318,253 |
* | May include cumulative appreciation (depreciation) of exchange-traded and centrally cleared derivatives as reported in the Schedules of investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded derivatives. |
The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended March 31, 2016:
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | |||||||||||||||||||||||
FUND | FUTURES CONTRACTS | SWAP CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | FUTURES CONTRACTS | SWAP CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | ||||||||||||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||
AQR Large Cap Multi-Style Fund | $ | 6,197,805 | $ | — | $ | — | $ | 1,113,517 | $ | — | $ | — | ||||||||||||
AQR Small Cap Multi-Style Fund | 1,033,774 | — | — | 424,702 | — | — | ||||||||||||||||||
AQR Emerging Multi-Style Fund | 25,261 | — | — | 175,059 | — | — | ||||||||||||||||||
AQR TM Emerging Multi-Style Fund | 141,575 | — | — | 579,419 | — | — | ||||||||||||||||||
AQR Large Cap Momentum Style Fund | 5,905 | — | — | 929,826 | — | — | ||||||||||||||||||
AQR Small Cap Momentum Style Fund | 403,887 | — | — | 384,880 | — | — | ||||||||||||||||||
AQR International Momentum Style Fund | (115,955 | ) | — | — | 260,695 | — | — | |||||||||||||||||
AQR TM Large Cap Momentum Style Fund | (39,020 | ) | — | — | 88,286 | — | — | |||||||||||||||||
AQR Large Cap Defensive Style Fund | 2,001,922 | — | — | 411,080 | — | — | ||||||||||||||||||
AQR Emerging Defensive Style Fund | 145,827 | — | — | 115,567 | — | — | ||||||||||||||||||
AQR Global Equity Fund | 1,846,611 | (524,974 | ) | — | 1,223,613 | 160,579 | — | |||||||||||||||||
AQR International Equity Fund | 826,577 | 737,010 | — | 3,175,818 | (322,566 | ) | — | |||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||
AQR Global Equity Fund | — | — | 3,708,926 | — | — | (1,314,622 | ) | |||||||||||||||||
AQR International Equity Fund | — | — | 19,741,254 | — | — | (2,237,339 | ) |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
169
Notes to Financial Statements | March 31, 2016 (Unaudited) |
The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of March 31, 2016:
AQR GLOBAL EQUITY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | $ | 1,959,405 | $ | (1,905,000 | ) | $ | 54,405 | $ | — | $ | — | $ | 54,405 | ||||||||||||
Goldman Sachs | Total Return Swap Contracts | 59,740 | (59,740 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 2,019,145 | (1,964,740 | ) | 54,405 | — | — | 54,405 |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (b) | NET AMOUNT | |||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | $ | 1,905,000 | $ | (1,905,000 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Goldman Sachs | Total Return Swap Contracts | 67,174 | (59,740 | ) | 7,434 | — | — | 7,434 | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 1,972,174 | (1,964,740 | ) | 7,434 | — | — | 7,434 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $190,000. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $20,009. |
AQR INTERNATIONAL EQUITY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | $ | 7,831,634 | $ | (7,831,634 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Goldman Sachs | Total Return Swap Contracts | 72,082 | (5,449 | ) | 66,633 | — | — | 66,633 | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 7,903,716 | (7,837,083 | ) | 66,633 | — | — | 66,633 |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
170
Notes to Financial Statements | March 31, 2016 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | $ | 8,149,887 | $ | (7,831,634 | ) | $ | 318,253 | $ | — | $ | (318,253 | ) | $ | — | |||||||||||
Goldman Sachs | Total Return Swap Contracts | 5,449 | (5,449 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 8,155,336 | (7,837,083 | ) | 318,253 | — | (318,253 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 1,041,773. |
For the period ended March 31, 2016, 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 SMALL CAP MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | AQR FUND | ||||||||||||||||||||||
Futures Contracts: | ||||||||||||||||||||||||||||
Average Notional Balance—Long | $ | 32,398,745 | $ | 8,443,910 | $ | 8,130,525 | $ | 14,051,215 | $ | 24,766,400 | $ | 4,930,603 | $ | 6,800,295 | ||||||||||||||
Average Notional Balance—Short | — | — | — | — | — | — | — | |||||||||||||||||||||
Ending Notional Balance—Long | 41,030,001 | 15,756,320 | 8,130,525 | 14,051,215 | 32,618,850 | 221,920 | 5,770,525 | |||||||||||||||||||||
Ending Notional Balance—Short | — | — | — | — | — | — | — |
AQR TM LARGE CAP MOMENTUM STYLE FUND | 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 | $ | 2,565,745 | $ | 17,448,693 | $ | 1,473,487 | $ | 43,599,697 | $ | 155,634,957 | ||||||||||
Average Notional Balance—Short | — | — | — | 23,989,014 | 85,078,179 | |||||||||||||||
Ending Notional Balance—Long | 2,461,800 | 22,669,075 | 2,960,345 | 46,740,200 | 176,389,740 | |||||||||||||||
Ending Notional Balance—Short | — | — | — | 24,729,013 | 113,952,308 | |||||||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||
Average Settlement Value—Purchased | — | — | — | 124,943,384 | 344,659,322 | |||||||||||||||
Average Settlement Value—Sold | — | — | — | 98,098,416 | 278,460,251 | |||||||||||||||
Ending Value—Purchased | — | — | — | 92,412,020 | 367,505,823 | |||||||||||||||
Ending Value—Sold | — | — | — | 69,351,064 | 293,692,580 | |||||||||||||||
Total Return Swaps: | ||||||||||||||||||||
Average Notional Balance—Long | — | — | — | 8,423,276 | 5,070,073 | |||||||||||||||
Average Notional Balance—Short | — | — | — | — | 12,280,897 | |||||||||||||||
Ending Notional Balance—Long | — | — | — | 7,294,760 | 3,817,152 | |||||||||||||||
Ending Notional Balance—Short | — | — | — | — | 1,191,212 |
* | Notional values as of each quarter end are used to calculate the average represented. |
AQR��Funds | Semi-Annual Report | March 2016 | ||||||||||||||
171
Notes to Financial Statements | March 31, 2016 (Unaudited) |
8. Investment Advisory and Other Agreements
The Adviser serves as the investment adviser 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 Adviser 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 Adviser 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 Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.
Pursuant to the Advisory Agreement, the Funds currently pay the Adviser an Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:
FUND | RATIO | |||
AQR Large Cap Multi-Style Fund | 0.30 | % | ||
AQR Small Cap Multi-Style Fund | 0.50 | |||
AQR International Multi-Style Fund | 0.45 | |||
AQR Emerging Multi-Style Fund | 0.60 | |||
AQR TM Large Cap Multi-Style Fund | 0.30 | |||
AQR TM Small Cap Multi-Style Fund | 0.50 | |||
AQR TM International Multi-Style Fund | 0.45 | |||
AQR TM Emerging Multi-Style Fund | 0.60 | |||
AQR Large Cap Momentum Style Fund | 0.25 | |||
AQR Small Cap Momentum Style Fund | 0.45 | |||
AQR International Momentum Style Fund | 0.40 | |||
AQR Emerging Momentum Style Fund | 0.55 | |||
AQR TM Large Cap Momentum Style Fund | 0.25 | |||
AQR TM Small Cap Momentum Style Fund | 0.45 | |||
AQR TM International Momentum Style Fund | 0.40 | |||
AQR Large Cap Defensive Style Fund | 0.25 | |||
AQR International Defensive Style Fund | 0.40 | |||
AQR Emerging Defensive Style Fund | 0.55 | |||
AQR Global Equity Fund | 0.40 | |||
AQR International Equity Fund | 0.45 |
The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser 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 Adviser 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 |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
172
Notes to Financial Statements | March 31, 2016 (Unaudited) |
For the period ended March 31, 2016 the Funds’ Adviser 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 | $ | 83,200 | $ | — | $ | 83,200 | ||||||
AQR Small Cap Multi-Style Fund | 31,808 | 14,834 | 46,642 | |||||||||
AQR International Multi-Style Fund | 96,155 | 5,823 | 101,978 | |||||||||
AQR Emerging Multi-Style Fund | 153,357 | 516 | 153,873 | |||||||||
AQR TM Large Cap Multi-Style Fund | 52,536 | 20,245 | 72,781 | |||||||||
AQR TM Small Cap Multi-Style Fund | 17,745 | 54,349 | 72,094 | |||||||||
AQR TM International Multi-Style Fund | 82,727 | 5,065 | 87,792 | |||||||||
AQR TM Emerging Multi-Style Fund | 123,902 | 734 | 124,636 | |||||||||
AQR Large Cap Momentum Style Fund | 117,063 | — | 117,063 | |||||||||
AQR Small Cap Momentum Style Fund | 103,060 | 17,079 | 120,139 | |||||||||
AQR International Momentum Style Fund | 120,477 | — | 120,477 | |||||||||
AQR Emerging Momentum Style Fund | 23,735 | 66,268 | 90,003 | |||||||||
AQR TM Large Cap Momentum Style Fund | 58,229 | 160 | 58,389 | |||||||||
AQR TM Small Cap Momentum Style Fund | 53,228 | 6,738 | 59,966 | |||||||||
AQR TM International Momentum Style Fund | 79,898 | — | 79,898 | |||||||||
AQR Large Cap Defensive Style Fund | 37,328 | 5,650 | 42,978 | |||||||||
AQR International Defensive Style Fund | 52,396 | 21,417 | 73,813 | |||||||||
AQR Emerging Defensive Style Fund | 83,066 | 9,065 | 92,131 | |||||||||
AQR Global Equity Fund | 18,708 | — | 18,708 |
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. 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 Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
For the period ended March 31, 2016, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at March 31, 2016 are as follows:
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED MARCH 31, 2016 | TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2016 | POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30 | ||||||||||||||||||||||
FUND | 2016 | 2017 | 2018 | 2019 | ||||||||||||||||||||
AQR LARGE CAP MULTI-STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 35,054 | $ | 467,470 | $ | 81,226 | $ | 128,928 | $ | 222,262 | $ | 35,054 | ||||||||||||
Class N | 4,391 | 71,737 | 21,410 | 19,784 | 26,152 | 4,391 | ||||||||||||||||||
Class R6 | 43,755 | 212,560 | — | 2,087 | 166,718 | 43,755 | ||||||||||||||||||
Totals | $ | 83,200 | $ | 751,767 | $ | 102,636 | $ | 150,799 | $ | 415,132 | $ | 83,200 | ||||||||||||
AQR SMALL CAP MULTI-STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 15,518 | $ | 265,441 | $ | 58,782 | $ | 90,682 | $ | 100,459 | $ | 15,518 | ||||||||||||
Class N | 4,108 | 111,644 | 45,218 | 38,319 | 23,999 | 4,108 | ||||||||||||||||||
Class R6 | 27,016 | 38,218 | — | 375 | 10,827 | 27,016 | ||||||||||||||||||
Totals | $ | 46,642 | $ | 415,303 | $ | 104,000 | $ | 129,376 | $ | 135,285 | $ | 46,642 | ||||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 15,184 | $ | 301,303 | $ | 85,481 | $ | 146,282 | $ | 54,356 | $ | 15,184 | ||||||||||||
Class N | 1,854 | 65,748 | 35,097 | 23,372 | 5,425 | 1,854 | ||||||||||||||||||
Class R6 | 84,940 | 289,337 | — | 4,816 | 199,581 | 84,940 | ||||||||||||||||||
Totals | $ | 101,978 | $ | 656,388 | $ | 120,578 | $ | 174,470 | $ | 259,362 | $ | 101,978 |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
173
Notes to Financial Statements | March 31, 2016 (Unaudited) |
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED MARCH 31, 2016 | TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2016 | POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30 | ||||||||||||||||||||||
FUND | 2016 | 2017 | 2018 | 2019 | ||||||||||||||||||||
AQR EMERGING MULTI-STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 40,739 | $ | 244,977 | $ | — | $ | 94,893 | $ | 109,345 | $ | 40,739 | ||||||||||||
Class N | 3,972 | 46,542 | — | 21,323 | 21,247 | 3,972 | ||||||||||||||||||
Class R6 | 109,162 | 270,893 | — | 877 | 160,854 | 109,162 | ||||||||||||||||||
Totals | $ | 153,873 | $ | 562,412 | $ | — | $ | 117,093 | $ | 291,446 | $ | 153,873 | ||||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 11,233 | $ | 22,948 | $ | — | $ | — | $ | 11,715 | $ | 11,233 | ||||||||||||
Class N | 635 | 2,248 | — | — | 1,613 | 635 | ||||||||||||||||||
Class R6 | 60,913 | 167,472 | — | — | 106,559 | 60,913 | ||||||||||||||||||
Totals | $ | 72,781 | $ | 192,668 | $ | — | $ | — | $ | 119,887 | $ | 72,781 | ||||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 44,142 | $ | 64,502 | $ | — | $ | — | $ | 20,360 | $ | 44,142 | ||||||||||||
Class N | 6,512 | 11,511 | — | — | 4,999 | 6,512 | ||||||||||||||||||
Class R6 | 21,440 | 99,709 | — | — | 78,269 | 21,440 | ||||||||||||||||||
Totals | $ | 72,094 | $ | 175,722 | $ | — | $ | — | $ | 103,628 | $ | 72,094 | ||||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 15,457 | $ | 24,163 | $ | — | $ | — | $ | 8,706 | $ | 15,457 | ||||||||||||
Class N | 499 | 2,207 | — | — | 1,708 | 499 | ||||||||||||||||||
Class R6 | 71,836 | 232,070 | — | — | 160,234 | 71,836 | ||||||||||||||||||
Totals | $ | 87,792 | $ | 258,440 | $ | — | $ | — | $ | 170,648 | $ | 87,792 | ||||||||||||
AQR TM EMERGING MULTI-STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 5,837 | $ | 32,395 | $ | — | $ | — | $ | 26,558 | $ | 5,837 | ||||||||||||
Class N | 667 | 16,612 | — | — | 15,945 | 667 | ||||||||||||||||||
Class R6 | 118,132 | 232,883 | — | — | 114,751 | 118,132 | ||||||||||||||||||
Totals | $ | 124,636 | $ | 281,890 | $ | — | $ | — | $ | 157,254 | $ | 124,636 | ||||||||||||
AQR LARGE CAP MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 101,584 | $ | 1,340,109 | $ | 268,782 | $ | 502,936 | $ | 466,807 | $ | 101,584 | ||||||||||||
Class N | 7,749 | 175,337 | 49,723 | 63,464 | 54,401 | 7,749 | ||||||||||||||||||
Class R6 | 7,730 | 23,928 | — | 20 | 16,178 | 7,730 | ||||||||||||||||||
Totals | $ | 117,063 | $ | 1,539,374 | $ | 318,505 | $ | 566,420 | $ | 537,386 | $ | 117,063 | ||||||||||||
AQR SMALL CAP MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 109,044 | $ | 425,780 | $ | 48,178 | $ | 66,206 | $ | 202,352 | $ | 109,044 | ||||||||||||
Class N | 3,033 | 27,596 | 11,973 | 7,160 | 5,430 | 3,033 | ||||||||||||||||||
Class R6 | 8,062 | 34,277 | — | 17 | 26,198 | 8,062 | ||||||||||||||||||
Totals | $ | 120,139 | $ | 487,653 | $ | 60,151 | $ | 73,383 | $ | 233,980 | $ | 120,139 | ||||||||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 96,331 | $ | 591,574 | $ | 121,275 | $ | 162,935 | $ | 211,033 | $ | 96,331 | ||||||||||||
Class N | 12,511 | 110,500 | 20,883 | 40,491 | 36,615 | 12,511 | ||||||||||||||||||
Class R6 | 11,635 | 28,245 | — | 19 | 16,591 | 11,635 | ||||||||||||||||||
Totals | $ | 120,477 | $ | 730,319 | $ | 142,158 | $ | 203,445 | $ | 264,239 | $ | 120,477 | ||||||||||||
AQR EMERGING MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 74,144 | $ | 345,125 | $ | — | $ | 102,927 | $ | 168,054 | $ | 74,144 | ||||||||||||
Class N | 13,376 | 60,450 | — | 19,986 | 27,088 | 13,376 | ||||||||||||||||||
Class R6 | 2,483 | 5,847 | — | 1,172 | 2,192 | 2,483 | ||||||||||||||||||
Totals | $ | 90,003 | $ | 411,422 | $ | — | $ | 124,085 | $ | 197,334 | $ | 90,003 |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
174
Notes to Financial Statements | March 31, 2016 (Unaudited) |
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED MARCH 31, 2016 | TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2016 | POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30 | ||||||||||||||||||||||
FUND | 2016 | 2017 | 2018 | 2019 | ||||||||||||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 25,914 | $ | 335,258 | $ | 75,506 | $ | 101,535 | $ | 132,303 | $ | 25,914 | ||||||||||||
Class N | 67 | 3,660 | 2,381 | 1,048 | 164 | 67 | ||||||||||||||||||
Class R6 | 32,408 | 85,187 | — | 53 | 52,726 | 32,408 | ||||||||||||||||||
Totals | $ | 58,389 | $ | 424,105 | $ | 77,887 | $ | 102,636 | $ | 185,193 | $ | 58,389 | ||||||||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 59,266 | $ | 382,725 | $ | 80,939 | $ | 109,145 | $ | 133,375 | $ | 59,266 | ||||||||||||
Class N | 361 | 6,231 | 3,096 | 1,920 | 854 | 361 | ||||||||||||||||||
Class R6 | 339 | 1,303 | — | 234 | 730 | 339 | ||||||||||||||||||
Totals | $ | 59,966 | $ | 390,259 | $ | 84,035 | $ | 111,299 | $ | 134,959 | $ | 59,966 | ||||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 25,729 | $ | 373,580 | $ | 101,643 | $ | 123,731 | $ | 122,477 | $ | 25,729 | ||||||||||||
Class N | 132 | 4,383 | 2,878 | 1,109 | 264 | 132 | ||||||||||||||||||
Class R6 | 54,037 | 117,589 | — | 75 | 63,477 | 54,037 | ||||||||||||||||||
Totals | $ | 79,898 | $ | 495,552 | $ | 104,521 | $ | 124,915 | $ | 186,218 | $ | 79,898 | ||||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 28,889 | $ | 584,535 | $ | 141,173 | $ | 251,857 | $ | 162,616 | $ | 28,889 | ||||||||||||
Class N | 7,389 | 106,279 | 30,923 | 44,712 | 23,255 | 7,389 | ||||||||||||||||||
Class R6 | 6,700 | 6,828 | — | 11 | 117 | 6,700 | ||||||||||||||||||
Totals | $ | 42,978 | $ | 697,642 | $ | 172,096 | $ | 296,580 | $ | 185,988 | $ | 42,978 | ||||||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 72,765 | $ | 497,933 | $ | 119,897 | $ | 142,854 | $ | 162,417 | $ | 72,765 | ||||||||||||
Class N | 626 | 38,712 | 24,012 | 13,041 | 1,033 | 626 | ||||||||||||||||||
Class R6 | 422 | 958 | — | 51 | 485 | 422 | ||||||||||||||||||
Totals | $ | 73,813 | $ | 537,603 | $ | 143,909 | $ | 155,946 | $ | 163,935 | $ | 73,813 | ||||||||||||
AQR EMERGING DEFENSIVE STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 91,616 | $ | 642,099 | $ | 107,052 | $ | 193,425 | $ | 250,006 | $ | 91,616 | ||||||||||||
Class N | 226 | 49,045 | 30,375 | 16,965 | 1,479 | 226 | ||||||||||||||||||
Class R 6 | 289 | 709 | — | 49 | 371 | 289 | ||||||||||||||||||
Totals | $ | 92,131 | $ | 691,853 | $ | 137,427 | $ | 210,439 | $ | 251,856 | $ | 92,131 | ||||||||||||
AQR GLOBAL EQUITY FUND | ||||||||||||||||||||||||
Class I | $ | 5,161 | $ | 19,362 | $ | 9,725 | $ | 4,476 | $ | — | $ | 5,161 | ||||||||||||
Class N | 159 | 13,281 | 8,886 | 4,236 | — | 159 | ||||||||||||||||||
Class R6 | 13,388 | 32,584 | — | 15,779 | 3,417 | 13,388 | ||||||||||||||||||
Class Y | — | — | — | — | — | – | ||||||||||||||||||
Totals | $ | 18,708 | $ | 65,227 | $ | 18,611 | $ | 24,491 | $ | 3,417 | $ | 18,708 |
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.
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Notes to Financial Statements | March 31, 2016 (Unaudited) |
10. Shareholder Servicing Agreements
Pursuant to a Shareholder Services Agreement, between the Trust and the Adviser, the Adviser 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 assisting in the distribution of shareholder communications, such as prospectus materials, shareholder reports and annual reports. Under this agreement the Adviser 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 | 0.30 |
* | Prior to April 1, 2016, the rate was 0.20% for Class R6. |
Fees incurred by the Funds under the Plan and/or the Shareholder Services Agreement for the period ended March 31, 2016, were as follows:
FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR Global Equity Fund | $ | 50,922 | $ | 1,523 | $ | 87,716 | ||||||
AQR International Equity Fund | 492,051 | 54,794 | 33,390 |
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.
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 nonconvertible 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
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176
Notes to Financial Statements | March 31, 2016 (Unaudited) |
obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. In general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.
In the normal course of business, the Funds may enter into agreements with certain counterparties for 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.
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 Adviser 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 29, 2016 and terminating on February 28, 2017, 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. The maximum loan amount is the lesser of an amount which will not exceed the borrowing limits set forth in the Funds’ Prospectus and/or Registration Statement and will 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 $275,000,000. Prior to February 29, 2016, the line of credit available was $225,000,000, subject to substantially similar terms. The Fund did not have any borrowings for the period ended March 31, 2016.
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177
Notes to Financial Statements | March 31, 2016 (Unaudited) |
14. Principal Ownership
As of March 31, 2016, 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 | 88.18 | % | |||||
AQR Small Cap Multi-Style Fund | 3 | 93.26 | ||||||
AQR International Multi-Style Fund | 4 | 95.18 | ||||||
AQR Emerging Multi-Style Fund | 4 | 95.25 | ||||||
AQR TM Large Cap Multi-Style Fund | 4 | 94.39 | ||||||
AQR TM Small Cap Multi-Style Fund* | 3 | 94.50 | ||||||
AQR TM International Multi-Style Fund | 4 | 95.62 | ||||||
AQR TM Emerging Multi-Style Fund | 2 | 91.58 | ||||||
AQR Large Cap Momentum Style Fund | 4 | 92.60 | ||||||
AQR Small Cap Momentum Style Fund | 3 | 88.29 | ||||||
AQR International Momentum Style Fund | 3 | 93.35 | ||||||
AQR Emerging Momentum Style Fund* | 4 | 91.36 | ||||||
AQR TM Large Cap Momentum Style Fund | 3 | 97.27 | ||||||
AQR TM Small Cap Momentum Style Fund | 2 | 95.40 | ||||||
AQR TM International Momentum Style Fund | 3 | 99.48 | ||||||
AQR Large Cap Defensive Style Fund | 5 | 88.59 | ||||||
AQR International Defensive Style Fund | 3 | 95.79 | ||||||
AQR Emerging Defensive Style Fund | 1 | 88.93 | ||||||
AQR Global Equity Fund | 3 | 84.88 | ||||||
AQR International Equity Fund | 5 | 78.54 |
* | The percentage held by the Adviser and/or affiliates is 14.97% and 40.96% respectively. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ Performance.
15. Redemption In-Kind
On April 1, 2016 the AQR International Equity Fund processed an in-kind redemption. The redemption represented 51.8% of the Fund’s net assets and was paid partially in cash and in-kind. The amount of redemption proceeds paid in-kind was $348,298,865. The realized gain (loss) associated with the portion redeemed in-kind was $37,988,383.
On May 9, 2016 the AQR Global Equity Fund processed an in-kind redemption. The redemption represented 42.7% of the Fund’s net assets and was paid partially in cash and in-kind. The amount of redemption proceeds paid in-kind was $89,954,399. The realized gain (loss) associated with the portion redeemed in-kind was $15,005,926.
16. Subsequent Events
The Funds have evaluated the subsequent events through the date of issuance of this report and have determined that there are no material events other than noted above.
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178
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 03/31/16” to estimate the expenses you paid on your account during this period. Each Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 3/31/16 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 3/31/16 | |||||||||||||
AQR Large Cap Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,033.40 | 0.42 | % | $2.14 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.90 | 0.42 | % | $2.12 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,032.70 | 0.70 | % | $3.56 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.50 | 0.70 | % | $3.54 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,034.30 | 0.35 | % | $1.78 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.25 | 0.35 | % | $1.77 | |||||||||||
AQR Small Cap Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,028.30 | 0.63 | % | $3.19 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.85 | 0.63 | % | $3.18 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,027.30 | 0.87 | % | $4.41 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.65 | 0.87 | % | $4.39 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,029.00 | 0.55 | % | $2.79 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.25 | 0.55 | % | $2.78 |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
179
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 3/31/16 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 3/31/16 | |||||||||||||
AQR International Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $994.40 | 0.58 | % | $2.89 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.10 | 0.58 | % | $2.93 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $991.90 | 0.83 | % | $4.13 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.85 | 0.83 | % | $4.19 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $994.30 | 0.50 | % | $2.49 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.50 | 0.50 | % | $2.53 | |||||||||||
AQR Emerging Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,020.90 | 0.68 | % | $3.44 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.60 | 0.68 | % | $3.44 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,019.60 | 0.96 | % | $4.85 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.20 | 0.96 | % | $4.85 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,020.10 | 0.65 | % | $3.28 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.75 | 0.65 | % | $3.29 | |||||||||||
AQR TM Large Cap Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,038.20 | 0.37 | % | $1.89 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.15 | 0.37 | % | $1.87 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,035.90 | 0.61 | % | $3.10 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.95 | 0.61 | % | $3.08 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,038.60 | 0.35 | % | $1.78 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.25 | 0.35 | % | $1.77 | |||||||||||
AQR TM Small Cap Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,025.90 | 0.59 | % | $2.99 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.05 | 0.59 | % | $2.98 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,024.00 | 0.81 | % | $4.10 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.95 | 0.81 | % | $4.09 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,025.90 | 0.55 | % | $2.79 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.25 | 0.55 | % | $2.78 | |||||||||||
AQR TM International Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $991.00 | 0.54 | % | $2.69 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.30 | 0.54 | % | $2.73 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $989.60 | 0.79 | % | $3.93 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.05 | 0.79 | % | $3.99 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $991.30 | 0.50 | % | $2.49 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.50 | 0.50 | % | $2.53 |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
180
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 3/31/16 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 3/31/16 | |||||||||||||
AQR TM Emerging Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,017.40 | 0.70 | % | $3.53 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.50 | 0.70 | % | $3.54 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,016.90 | 0.93 | % | $4.69 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.35 | 0.93 | % | $4.70 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,017.80 | 0.65 | % | $3.28 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.75 | 0.65 | % | $3.29 | |||||||||||
AQR Large Cap Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,055.80 | 0.40 | % | $2.06 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.00 | 0.40 | % | $2.02 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,054.60 | 0.65 | % | $3.34 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.75 | 0.65 | % | $3.29 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,056.20 | 0.30 | % | $1.54 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.50 | 0.30 | % | $1.52 | |||||||||||
AQR Small Cap Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $983.70 | 0.59 | % | $2.93 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.05 | 0.59 | % | $2.98 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $982.60 | 0.83 | % | $4.11 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.85 | 0.83 | % | $4.19 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $983.50 | 0.50 | % | $2.48 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.50 | 0.50 | % | $2.53 | |||||||||||
AQR International Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,022.50 | 0.55 | % | $2.78 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.25 | 0.55 | % | $2.78 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,020.90 | 0.80 | % | $4.04 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.00 | 0.80 | % | $4.04 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,023.00 | 0.45 | % | $2.28 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.75 | 0.45 | % | $2.28 | |||||||||||
AQR Emerging Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,008.40 | 0.67 | % | $3.36 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.65 | 0.67 | % | $3.39 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,008.10 | 0.88 | % | $4.42 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.60 | 0.88 | % | $4.45 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | �� | $1,000.00 | $1,009.40 | 0.60 | % | $3.01 | ||||||||||
Hypothetical Return | $1,000.00 | $1,022.00 | 0.60 | % | $3.03 |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
181
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 3/31/16 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 3/31/16 | |||||||||||||
AQR TM Large Cap Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,056.10 | 0.39 | % | $2.00 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.05 | 0.39 | % | $1.97 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,055.50 | 0.56 | % | $2.88 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.20 | 0.56 | % | $2.83 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,056.40 | 0.30 | % | $1.54 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.50 | 0.30 | % | $1.52 | |||||||||||
AQR TM Small Cap Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $990.30 | 0.60 | % | $2.99 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.00 | 0.60 | % | $3.03 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $989.50 | 0.76 | % | $3.78 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.20 | 0.76 | % | $3.84 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $991.20 | 0.50 | % | $2.49 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.50 | 0.50 | % | $2.53 | |||||||||||
AQR TM International Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,023.70 | 0.52 | % | $2.63 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.40 | 0.52 | % | $2.63 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,022.80 | 0.71 | % | $3.59 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.45 | 0.71 | % | $3.59 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,024.30 | 0.45 | % | $2.28 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.75 | 0.45 | % | $2.28 | |||||||||||
AQR Large Cap Defensive Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,100.10 | 0.37 | % | $1.94 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.15 | 0.37 | % | $1.87 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,097.90 | 0.61 | % | $3.20 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.95 | 0.61 | % | $3.08 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,100.50 | 0.30 | % | $1.58 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.50 | 0.30 | % | $1.52 | |||||||||||
AQR International Defensive Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,066.90 | 0.54 | % | $2.79 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.30 | 0.54 | % | $2.73 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,065.90 | 0.80 | % | $4.13 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.00 | 0.80 | % | $4.04 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,067.90 | 0.45 | % | $2.33 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.75 | 0.45 | % | $2.28 |
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
182
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 3/31/16 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 3/31/16 | |||||||||||||
AQR Emerging Defensive Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,058.30 | 0.67 | % | $3.45 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.65 | 0.67 | % | $3.39 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,056.30 | 0.91 | % | $4.68 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.45 | 0.91 | % | $4.60 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,057.50 | 0.60 | % | $3.09 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.00 | 0.60 | % | $3.03 | |||||||||||
AQR Global Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,047.40 | 0.85 | % | $4.35 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.75 | 0.85 | % | $4.29 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,044.70 | 1.11 | % | $5.67 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.45 | 1.11 | % | $5.60 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,046.60 | 0.70 | % | $3.58 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.50 | 0.70 | % | $3.54 | |||||||||||
Class Y | ||||||||||||||||
Actual Return | $1,000.00 | $1,048.60 | 0.53 | % | $2.71 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.35 | 0.53 | % | $2.68 | |||||||||||
AQR International Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,035.30 | 0.94 | % | $4.78 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.30 | 0.94 | % | $4.75 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,033.60 | 1.18 | % | $6.00 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.10 | 1.18 | % | $5.96 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,036.10 | 0.75 | % | $3.82 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.25 | 0.75 | % | $3.79 | |||||||||||
Class Y | ||||||||||||||||
Actual Return | $1,000.00 | $1,037.10 | 0.55 | % | $2.80 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.25 | 0.55 | % | $2.78 |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 183/366 (to reflect the one-half year period unless stated otherwise).
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
183
Board Approval of Investment Advisory Agreements (Unaudited) |
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November 12-13, 2015 to consider the continuation of the: (i) Second Amended and Restated Investment Management Agreement between the Trust, on behalf of the AQR Emerging Defensive Style Fund, AQR Emerging Momentum Style Fund, AQR Emerging Multi-Style Fund, AQR International Defensive Style Fund, AQR International Momentum Style Fund, AQR International Multi-Style Fund, AQR Large Cap Defensive Style Fund, AQR Large Cap Momentum Style Fund, AQR Large Cap Multi-Style Fund, AQR Small Cap Momentum Style Fund, AQR Small Cap Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR TM International Momentum Style Fund, AQR TM International Multi-Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Momentum Style Fund and AQR TM Small Cap Multi-Style Fund, and AQR Capital Management, LLC (the “Adviser”) (the “Investment Management Agreement”); and, the (ii) Second Amended and Restated Investment Advisory Agreement between the Trust, on behalf of the AQR Global Equity Fund (“GEF”) and AQR International Equity Fund (“IEF”), and the Adviser (the “Investment Advisory Agreement”). Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.” In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting in advance of the in-person meeting held on November 12-13, 2015 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in-person meeting held on November 12-13, 2015, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed, and considered materials furnished by the Adviser relevant to the Board’s consideration of whether to approve the continuation of the Investment Management Agreement and the Investment Advisory Agreement. These materials included: (i) memoranda and materials provided by the Adviser, describing the personnel and services provided to the Funds; (ii) performance information for the Funds relevant to the consideration of the Investment Management Agreement and Investment Advisory Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses and performance relative to peers; (iv) a discussion of the financial information and profitability of the Adviser; and (v) a discussion of the compliance program and regulatory exam history of the Adviser. The Investment Management Agreement and the Investment Advisory Agreement are referred to collectively herein as the “Advisory Agreement,” as applicable and as the context suggests.
At the in-person meeting held on November 12-13, 2015, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement for an additional one-year period. In approving the continuation of the Advisory Agreement, the Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Funds and the Adviser’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.
In considering the renewal of the Advisory Agreement, the Board did not view the Advisory Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Advisory Agreement.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Advisory Agreement:
The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Funds under the Advisory Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had with officers of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.
In addition to the investment advisory services provided to the Funds, the Board Members considered that the Adviser also provides shareholder and administrative services, provides oversight of Fund accounting, provides marketing services, and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services provided to the Funds by the Adviser under the Advisory Agreement. The Board also reviewed a wide range of services provided to GEF and IEF under a shareholder services agreement between the Trust, on behalf of GEF and IEF, and the Adviser, and which for the other Funds are provided pursuant to the Investment Management Agreement. These services include providing information and services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.
Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Advisory Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services provided to the Funds by the Adviser pursuant to the Advisory Agreement were of a high quality and benefit the Funds.
Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
184
Board Approval of Investment Advisory Agreements (Unaudited) |
the Adviser’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that the Adviser is an appropriate investment adviser for the Funds.
The Advisory Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees paid by the Funds to the Adviser pursuant to the Advisory Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds.
To assist in this analysis, the Board received a report independently prepared by Morningstar (the “Morningstar Report”). The Morningstar Report showed comparative fee information for each Fund’s respective Morningstar category, including expense comparisons of contractual investment advisory fees and actual net expenses. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, including sub-advised mutual funds, with similar investment strategies to the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when it sub-advises mutual funds.
The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities. The Board also reviewed the Adviser’s methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, taxes, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.
Based on their review of the materials presented at the Meeting, the Board concluded that the management fees under the Advisory Agreement are reasonable.
Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. The Board noted that, under the Advisory Agreement, none of the Funds would have breakpoints in their advisory fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. However, to show that economies are being shared, the Adviser presented information regarding each Fund’s advisory fees relative to comparable funds of larger sizes. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients. The Board noted that the Adviser does not presently intend to make use of soft dollars to acquire third-party research.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment advisory agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the management fee rates under the Advisory Agreement and total expense ratios are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment advisory and management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Advisory Agreement with respect to the Funds. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.
AQR Funds | Semi-Annual Report | March 2016 | ||||||||||||||
185
Investment Adviser
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.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 6. Investments
(a) | Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not required for this filing. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable. |
(b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AQR Funds
BY: /S/ MARCO HANIG |
Marco Hanig, |
Principal Executive Officer |
June 1, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
BY: /S/ MARCO HANIG |
Marco Hanig, |
Principal Executive Officer |
June 1, 2016 |
BY: /S/ HEATHER BONNER |
Heather Bonner, |
Principal Financial Officer |
June 1, 2016 |