UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22235
AQR Funds
(Exact name of registrant as specified in charter)
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
(Address of principal executive offices) (Zip code)
Bradley D. Asness, Esq.
Principal and Chief Legal Officer
AQR Capital Management, LLC
Two Greenwich Plaza
4th Floor
Greenwich, CT 06830
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 203-742-3600
Date of fiscal year end: December 31
Date of reporting period: January 1, 2016 to June 30, 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
June 30, 2016 (Unaudited)
AQR Diversified Arbitrage Fund
AQR Equity Market Neutral Fund
AQR Global Macro Fund
AQR Long-Short Equity Fund
AQR Managed Futures Strategy Fund
AQR Managed Futures Strategy HV Fund
AQR Multi-Strategy Alternative Fund
AQR Risk-Balanced Commodities Strategy Fund
AQR Risk Parity Fund
AQR Risk Parity II HV Fund
AQR Risk Parity II MV Fund
AQR Style Premia Alternative Fund
AQR Style Premia Alternative LV Fund
Schedule of Investments | ||||
2 | ||||
23 | ||||
52 | ||||
67 | ||||
96 | ||||
110 | ||||
124 | ||||
194 | ||||
200 | ||||
211 | ||||
217 | ||||
223 | ||||
253 | ||||
283 | ||||
Financial Statements and Notes | 284 | |||
Fund Expense Examples | 372 |
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
LONG INVESTMENTS - 131.4% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 27.3% | ||||||||
Communications - 0.0% (a) | ||||||||
FriendFinder Networks, Inc. (3)†(b) | 6,483 | $ | 183,262 | |||||
|
| |||||||
Consumer Discretionary - 1.5% | ||||||||
Barnes & Noble Education, Inc. † | 55,476 | 563,081 | ||||||
Carmike Cinemas, Inc. †(n) | 20,530 | 618,364 | ||||||
China Networks International Holdings Ltd. (3)†(b) | 2,287,278 | 43,893 | ||||||
DEMC Ltd., Class A (3)†(b) | 13,027 | 130,268 | ||||||
DEMC Ltd., Class A-2 (3)†(b) | 67,210,762 | 67,211 | ||||||
DEMC Ltd., Class B (3)†(b) | 10,488 | — | ||||||
Diamond Resorts International, Inc. † | 25,712 | 770,332 | ||||||
Education Management Corp. †* | 25,040,049 | 638,521 | ||||||
Exide Technologies (3)†(b) | 198,814 | 227,223 | ||||||
Ferrari NV (Italy) (c) | 13,047 | 534,014 | ||||||
Interval Leisure Group, Inc. | 767 | 12,195 | ||||||
MSG Networks, Inc., Class A †(c) | 27,418 | 420,592 | ||||||
News Corp., Class A (c) | 39,762 | 451,299 | ||||||
Starz, Class A † | 12,546 | 375,376 | ||||||
Twenty-First Century Fox, Inc., Class A (c) | 103,088 | 2,788,530 | ||||||
|
| |||||||
7,640,899 | ||||||||
|
| |||||||
Consumer Staples - 0.3% | ||||||||
Elizabeth Arden, Inc. † | 53,082 | 730,408 | ||||||
Herbalife Ltd. †(c) | 9,558 | 559,430 | ||||||
|
| |||||||
1,289,838 | ||||||||
|
| |||||||
Energy - 0.1% | ||||||||
Energy Fuels, Inc. (Canada) † | 14,400 | 32,435 | ||||||
Songa Offshore (Cyprus) (3)†(b) | 6,517,785 | 109,035 | ||||||
Technip SA (France) (2) | 1,999 | 108,196 | ||||||
|
| |||||||
249,666 | ||||||||
|
| |||||||
Financials - 15.7% | ||||||||
1347 Capital Corp. †* | 420,504 | 3,893,867 | ||||||
Arowana, Inc. (Australia) (2)†* | 787,920 | 7,894,958 | ||||||
Bank of Cyprus PCL (Cyprus) (2)† | 15,826,132 | 2,632,051 | ||||||
Care Capital Properties, Inc. REIT | 19,569 | 512,904 | ||||||
CB Pharma Acquisition Corp. (2)†* | 325,500 | 3,326,610 | ||||||
CF Corp. † | 1,500,000 | 14,880,000 | ||||||
DT Asia Investments Ltd. (Hong Kong) † | 209,241 | 1,956,403 | ||||||
Federal Home Loan Mortgage Corp. †(c) | 98,324 | 181,900 | ||||||
Federal National Mortgage Association †(c) | 34,608 | 69,216 | ||||||
FinTech Acquisition Corp. †* | 693,805 | 6,854,793 | ||||||
Gibraltar Growth Corp., Class A (Canada) (2)† | 1,273,900 | 9,525,039 | ||||||
Hydra Industries Acquisition Corp. (2)†*(c) | 521,182 | 5,154,490 | ||||||
Jensyn Acquisition Corp. † | 174,000 | 1,755,660 | ||||||
Kew Media Group, Inc. (Canada) (2)† | 300,000 | 2,310,461 | ||||||
KLR Energy Acquisition Corp. †* | 500,000 | 5,050,000 | ||||||
Landcadia Holdings, Inc. (2)† | 500,000 | 5,015,000 | ||||||
NorthStar Asset Management Group, Inc. | 32,370 | 330,498 | ||||||
NorthStar Realty Finance Corp. REIT | 29,289 | 334,773 | ||||||
Pacific Special Acquisition Corp. (China) †* | 373,500 | 3,768,615 |
SHARES | VALUE (Note 5) | |||||||
Financials - 15.7% (continued) | ||||||||
Parkway Properties, Inc. REIT | 2,449 | $ | 40,972 | |||||
Pinecrest Resources Ltd. (Canada) (2)† | 79,820 | 12,357 | ||||||
PJT Partners, Inc., Class A (c) | 23,789 | 547,147 | ||||||
PNBK Holdings LLC, Class A (3)†(b) | 2,090,900 | 1,261,649 | ||||||
PNBK Holdings LLC, Class B (3)†(b) | 3,218 | — | ||||||
PrivateBancorp, Inc. | 21,871 | 962,980 | ||||||
Rescap Liquidating Trust †(c) | 125,811 | 1,132,299 | ||||||
Silver Run Acquisition Corp. (2)† | 217,500 | 2,079,300 | ||||||
Suffolk Bancorp | 21,440 | 671,286 | ||||||
TPT Acquisition, Inc. (3)†(b) | 20,730 | — | ||||||
|
| |||||||
82,155,228 | ||||||||
|
| |||||||
Health Care - 0.6% | ||||||||
China Medical Technologies, Inc. ADR (China) (3)†(b)(c) | 4,931 | 49 | ||||||
Envision Healthcare Holdings, Inc. † | 13,271 | 336,685 | ||||||
HeartWare International, Inc. † | 18,030 | 1,041,233 | ||||||
Quintiles Transnational Holdings, Inc. † | 4,679 | 305,632 | ||||||
Quorum Health Corp. †(c) | 127,200 | 1,362,312 | ||||||
Rotech Healthcare, Inc. (3)†(b) | 16,828 | 160,435 | ||||||
|
| |||||||
3,206,346 | ||||||||
|
| |||||||
Industrials - 0.8% | ||||||||
American Science & Engineering, Inc. | 7,544 | 282,221 | ||||||
Armstrong Flooring, Inc. † | 39,727 | 673,373 | ||||||
IHS, Inc., Class A † | 3,790 | 438,162 | ||||||
Jack Cooper Holdings Corp., Class B (3)†(b) | 2,223 | 24,171 | ||||||
KUKA AG (Germany) (2) | 6,543 | 776,073 | ||||||
Manitowoc Co., Inc. (The) (c) | 147,009 | 801,199 | ||||||
Manitowoc Foodservice, Inc. †(c) | 30,944 | 545,233 | ||||||
Pangaea Logistics Solutions Ltd. † | 39,288 | 94,684 | ||||||
SPX Corp. †(c) | 37,030 | 549,895 | ||||||
|
| |||||||
4,185,011 | ||||||||
|
| |||||||
Information Technology - 7.1% | ||||||||
Alibaba Group Holding Ltd. ADR (China) † | 19,090 | 1,518,228 | ||||||
Aspire Holdings Ltd. (China) (3)†(b) | 834,158 | 8 | ||||||
Citrix Systems, Inc. † | 31,111 | 2,491,680 | ||||||
Demandware, Inc. † | 11,411 | 854,684 | ||||||
Electro Rent Corp. | 12,738 | 196,293 | ||||||
Fairchild Semiconductor International, Inc. † | 77,972 | 1,547,744 | ||||||
FEI Co. | 12,196 | 1,303,508 | ||||||
Hewlett Packard Enterprise Co. (c) | 29,087 | 531,419 | ||||||
Higher One Holdings, Inc. † | 104,713 | 535,083 | ||||||
LinkedIn Corp., Class A † | 3,866 | 731,641 | ||||||
Marketo, Inc. †(c) | 5,381 | 187,366 | ||||||
QLogic Corp. † | 45,998 | 678,011 | ||||||
Telestone Technologies Corp. (China) (3)†(b) | 115,818 | 12 | ||||||
Yahoo!, Inc. †(c) | 702,029 | 26,368,209 | ||||||
|
| |||||||
36,943,886 | ||||||||
|
| |||||||
Materials - 0.8% | ||||||||
Axiall Corp. | 9,679 | 315,632 | ||||||
Chemours Co. (The) | 79,167 | 652,336 | ||||||
EI du Pont de Nemours & Co. | 1,103 | 71,474 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
2
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 5) | |||||||
Materials - 0.8% (continued) | ||||||||
GCP Applied Technologies, Inc. †(c) | 25,528 | $ | 664,749 | |||||
Ingevity Corp. †(c) | 25,045 | 852,532 | ||||||
Jaguar Mining, Inc. (3)†(b) | 142,136 | 26,594 | ||||||
Jaguar Mining, Inc. (Canada) †(c) | 25,812 | 9,990 | ||||||
Monsanto Co. | 3,700 | 382,617 | ||||||
MPM Holdings, Inc. (2)†(c) | 144,707 | 1,172,127 | ||||||
Southern Arc Minerals, Inc. (Canada) (2)†(c) | 24,848 | 7,693 | ||||||
Valspar Corp. (The) | 1,263 | 136,442 | ||||||
|
| |||||||
4,292,186 | ||||||||
|
| |||||||
Telecommunication Services - 0.3% | ||||||||
Cleveland Unlimited (3)†(b) | 1 | 1,400,149 | ||||||
XO Holdings, Inc., Class O (3)†(b) | 1,366,340 | — | ||||||
|
| |||||||
1,400,149 | ||||||||
|
| |||||||
Utilities - 0.1% | ||||||||
Empire District Electric Co. (The) | 200 | 6,794 | ||||||
ITC Holdings Corp. | 8,550 | 400,311 | ||||||
Talen Energy Corp. † | 26,336 | 356,853 | ||||||
|
| |||||||
763,958 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 142,310,429 | |||||||
|
| |||||||
CONVERTIBLE PREFERRED STOCKS - 14.1% | ||||||||
Consumer Discretionary - 5.9% | ||||||||
Fiat Chrysler Automobiles NV, Series FCAU (Netherlands), $100.00 par, 7.875%, 12/15/16 (2)(c) | 4,547,500 | 2,722,815 | ||||||
Sealy Corp., $25.00 par, 8.000%, 07/15/16 (3)†(b)(d) | 299,536 | 28,450,624 | ||||||
|
| |||||||
31,173,439 | ||||||||
|
|
SHARES | VALUE (Note 5) | |||||||
Consumer Staples - 1.2% | ||||||||
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875%, 12/31/49 (c)(e) | 67,625 | $ | 6,255,989 | |||||
|
| |||||||
Financials - 3.2% | ||||||||
Crown Castle International Corp., Series A, $100.00 par, 4.500%, 11/01/16 (2)(c) | 14,850 | 1,794,771 | ||||||
Mandatory Exchangeable Trust 144A, $100.00 par, 5.750%, 06/01/19 (2)†(c)(f) | 56,586 | 5,777,997 | ||||||
Welltower, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500%, 12/31/49 (c)(e) | 137,075 | 9,293,685 | ||||||
|
| |||||||
16,866,453 | ||||||||
|
| |||||||
Health Care - 1.4% | ||||||||
Allergan plc, Series A, $1,000.00 par, 5.500%, 03/01/18 (c) | 8,725 | 7,273,335 | ||||||
|
| |||||||
Industrials - 0.0% (a) | ||||||||
Timberjack Corp., $188,000.00 par, 8.000%, 12/31/16 (3)†(b)(g) | 188,000 | 902 | ||||||
|
| |||||||
Telecommunication Services - 1.5% | ||||||||
T-Mobile US, Inc., $50.00 par, 5.500%, 12/15/17 (c) | 103,375 | 7,607,366 | ||||||
|
| |||||||
Utilities - 0.9% | ||||||||
Dominion Resources, Inc., Series B, $49.00 par, 6.000% ,07/01/16 (c) | 77,650 | 4,666,765 | ||||||
|
| |||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | 73,844,249 | |||||||
|
|
CORPORATE BONDS - 3.4% | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | ||||||||||||
Consumer Discretionary - 1.2% | ||||||||||||||||
Brookstone Holdings Corp. (3)(b)(d)(g) | 10.000% | 07/07/21 | $ | 62 | $ | 7,795 | ||||||||||
Caesars Entertainment Operating Co., Inc. (2)(g) | 10.750% | 02/01/16 | 10,125 | 6,049,688 | ||||||||||||
Exide Technologies (3)(b)(g) | 8.625% | 02/01/18 | 33,550 | — | ||||||||||||
Quiksilver, Inc. / QS Wholesale, Inc. (3)(b)(g) | 10.000% | 08/01/20 | 6,325 | 411,125 | ||||||||||||
RS Legacy Corp. (3)(b)(c)(g) | 6.750% | 05/15/19 | 6,230 | 62 | ||||||||||||
|
| |||||||||||||||
6,468,670 | ||||||||||||||||
|
| |||||||||||||||
Consumer Staples - 0.4% | ||||||||||||||||
Elizabeth Arden, Inc. (2)(c) | 7.375% | 03/15/21 | 725 | 737,687 | ||||||||||||
Rite Aid Corp. (2) | 9.250% | 03/15/20 | 1,175 | 1,239,837 | ||||||||||||
|
| |||||||||||||||
1,977,524 | ||||||||||||||||
|
| |||||||||||||||
Energy - 0.8% | ||||||||||||||||
Black Elk Energy Offshore Operations LLC/Black Elk Finance Corp. (3)(b)(g) | 13.750% | 12/01/15 | 2,833 | 28,334 | ||||||||||||
Gold Point Energy Corp. (3)(b)(g) | 4.500% | 05/01/15 | 1,140 | — | ||||||||||||
Memorial Resource Development Corp. (2)(c) | 5.875% | 07/01/22 | 825 | 822,938 | ||||||||||||
NSA Bondco Ltd. (Norway) (3)(b)(d) | 12.000% | 08/31/20 | 4,480 | 1,792,034 | ||||||||||||
Sabine Oil & Gas Corp. (2)(g) | 7.250% | 06/15/19 | 17,830 | 356,600 | ||||||||||||
Sabine Oil & Gas Corp. (2)(g) | 7.500% | 09/15/20 | 10,750 | 215,000 | ||||||||||||
Songa Offshore (Cyprus) (3)(b)(h) | 0.000% | 06/11/21 | 15,000 | 985,810 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
3
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||
Energy - 0.8% (continued) | ||||||||||||||||
ZaZa Energy Corp. (3)(b)(c)(g) | 9.000% | 08/01/17 | $ | 3,550 | $ | 11,360 | ||||||||||
|
| |||||||||||||||
4,212,076 | ||||||||||||||||
|
| |||||||||||||||
Financials - 0.2% | ||||||||||||||||
Washington Mutual Bank, Bank Note (2)(g)(i) | 0.000% | 05/01/09 | 5,000 | 1,050,000 | ||||||||||||
|
| |||||||||||||||
Materials - 0.8% | ||||||||||||||||
Momentive Performance Materials USA, Inc. (3)(b)(g) | 8.875% | 10/15/20 | 13,550 | — | ||||||||||||
Momentive Performance Materials, Inc. (2)(c) | 3.880% | 10/24/21 | 5,000 | 3,968,750 | ||||||||||||
|
| |||||||||||||||
3,968,750 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS | 17,677,020 | |||||||||||||||
|
| |||||||||||||||
CONVERTIBLE BONDS – 39.7% | ||||||||||||||||
Consumer Discretionary - 1.2% | ||||||||||||||||
Cenveo Corp. (2)(c) | 7.000% | 05/15/17 | 1,800 | 1,668,375 | ||||||||||||
Exide Technologies (3)(b)(g)(i) | 0.000% | 09/18/13 | 650 | 1 | ||||||||||||
JAKKS Pacific, Inc. 144A (2)(c)(f) | 4.875% | 06/01/20 | 4,425 | 4,330,969 | ||||||||||||
Palm Harbor Homes, Inc. (3)(b)(g) | 3.250% | 05/15/24 | 70 | 1 | ||||||||||||
|
| |||||||||||||||
5,999,346 | ||||||||||||||||
|
| |||||||||||||||
Consumer Staples - 2.5% | ||||||||||||||||
Herbalife Ltd. (2)(c) | 2.000% | 08/15/19 | 3,825 | 3,779,578 | ||||||||||||
Vector Group Ltd. (2)(c)(i) | 2.500% | 01/15/19 | 6,650 | 9,640,738 | ||||||||||||
|
| |||||||||||||||
13,420,316 | ||||||||||||||||
|
| |||||||||||||||
Energy - 5.0% | ||||||||||||||||
Aegean Marine Petroleum Network, Inc. (Greece) (2)(c) | 4.000% | 11/01/18 | 4,175 | 3,277,375 | ||||||||||||
Alon USA Energy, Inc. (2)(c) | 3.000% | 09/15/18 | 1,950 | 1,694,062 | ||||||||||||
Alpha Natural Resources, Inc. (2)(g) | 4.875% | 12/15/20 | 800 | 2,000 | ||||||||||||
Amyris, Inc. 144A (2)(c)(f) | 9.500% | 04/15/19 | 7,678 | 3,627,855 | ||||||||||||
Cal Dive International, Inc. (3)(b)(c)(g) | 5.000% | 07/15/17 | 2,275 | 23 | ||||||||||||
Cheniere Energy, Inc. (2)(c) | 4.250% | 03/15/45 | 9,925 | 5,607,625 | ||||||||||||
Emerald Oil, Inc. 144A (3)(b)(c)(f)(g) | 2.000% | 04/01/19 | 1,600 | 8,000 | ||||||||||||
James River Coal Co. (3)(b)(g) | 10.000% | 06/01/18 | 310 | — | ||||||||||||
SEACOR Holdings, Inc. (2)(c) | 2.500% | 12/15/27 | 1,150 | 1,124,125 | ||||||||||||
Ship Finance International Ltd. (Norway) (2)(c) | 3.250% | 02/01/18 | 7,425 | 7,828,734 | ||||||||||||
Whiting Petroleum Corp., Series 1 (2) | 1.250% | 06/05/20 | 3,350 | 2,989,875 | ||||||||||||
|
| |||||||||||||||
26,159,674 | ||||||||||||||||
|
| |||||||||||||||
Financials - 3.6% | ||||||||||||||||
Element Financial Corp. 144A (Canada) (2)(c)(f) | 5.125% | 06/30/19 | 4,850 | 4,023,028 | ||||||||||||
Lexington Realty Trust 144A (2)(c)(f) | 6.000% | 01/15/30 | 7,550 | 11,287,250 | ||||||||||||
MBF Healthcare Acquisition Corp. (3)(b)(g) | 3.375% | 08/01/18 | 1,609 | 337,890 | ||||||||||||
Spirit Realty Capital, Inc. (2)(c) | 2.875% | 05/15/19 | 3,000 | 3,236,250 | ||||||||||||
|
| |||||||||||||||
18,884,418 | ||||||||||||||||
|
| |||||||||||||||
Health Care - 3.2% | ||||||||||||||||
Allscripts Healthcare Solutions, Inc. (2)(c) | 1.250% | 07/01/20 | 3,500 | 3,500,000 | ||||||||||||
Anthem, Inc. (2)(c) | 2.750% | 10/15/42 | 1,279 | 2,328,579 | ||||||||||||
China Medical Technologies, Inc. 144A (China) (3)(b)(f)(g) | 6.250% | 12/15/16 | 2,625 | 6,562 | ||||||||||||
China Medical Technologies, Inc., Series CMT (China) (2)(g) | 4.000% | 08/15/13 | 250 | 250 | ||||||||||||
Exelixis, Inc. (2)(c) | 4.250% | 08/15/19 | 2,575 | 3,815,828 | ||||||||||||
Medicines Co. (The) (2)(c) | 2.500% | 01/15/22 | 2,325 | 2,739,141 | ||||||||||||
Sequenom, Inc. (2)(c) | 5.000% | 01/01/18 | 7,325 | 4,248,500 | ||||||||||||
|
| |||||||||||||||
16,638,860 | ||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
4
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||
Industrials - 2.2% | ||||||||||||||||
Meritor, Inc. (2)(c) | 7.875% | 03/01/26 | $ | 3,521 | $ | 3,952,322 | ||||||||||
Titan International, Inc. 144A (2)(c)(f) | 5.625% | 01/15/17 | 7,575 | 7,442,438 | ||||||||||||
|
| |||||||||||||||
11,394,760 | ||||||||||||||||
|
| |||||||||||||||
Information Technology - 20.2% | ||||||||||||||||
CSG Systems International, Inc. 144A (2)(c)(f) | 4.250% | 03/15/36 | 1,475 | 1,552,438 | ||||||||||||
Euronet Worldwide, Inc. (2)(c) | 1.500% | 10/01/44 | 2,944 | 3,376,400 | ||||||||||||
GT Advanced Technologies, Inc. (3)(b)(g) | 3.000% | 10/01/17 | 2,650 | — | �� | |||||||||||
Intel Corp. (2)(c) | 3.250% | 08/01/39 | 14,450 | 23,490,281 | ||||||||||||
LinkedIn Corp. (2)(c) | 0.500% | 11/01/19 | 750 | 740,156 | ||||||||||||
Microchip Technology, Inc. (2)(c) | 2.125% | 12/15/37 | 2,215 | 4,661,191 | ||||||||||||
Nortel Networks Corp. (Canada) (2)(g) | 1.750% | 04/15/12 | 3,000 | 2,598,750 | ||||||||||||
Novellus Systems, Inc. (2)(c) | 2.625% | 05/15/41 | 5,000 | 12,425,000 | ||||||||||||
NVIDIA Corp. (2)(c) | 1.000% | 12/01/18 | 13,000 | 30,290,000 | ||||||||||||
Pandora Media, Inc. 144A (2)(c)(f) | 1.750% | 12/01/20 | 7,625 | 7,601,172 | ||||||||||||
Powerwave Technologies, Inc. (3)(b)(g) | 3.875% | 10/01/27 | 4,104 | — | ||||||||||||
Powerwave Technologies, Inc. 144A (3)(b)(f)(g) | 2.750% | 07/15/41 | 3,900 | 4,875 | ||||||||||||
Quantum Corp. (2)(c) | 4.500% | 11/15/17 | 1,650 | 1,209,656 | ||||||||||||
SunEdison, Inc. (2)(c)(g) | 2.000% | 10/01/18 | 16,350 | 817,500 | ||||||||||||
SunEdison, Inc. (2)(c)(g) | 2.750% | 01/01/21 | 4,400 | 220,000 | ||||||||||||
SunEdison, Inc. 144A (2)(c)(f)(g) | 0.250% | 01/15/20 | 575 | 28,750 | ||||||||||||
SunPower Corp. 144A (2)(c)(f) | 4.000% | 01/15/23 | 3,800 | 3,344,000 | ||||||||||||
TiVo, Inc. (2)(c) | 2.000% | 10/01/21 | 2,075 | 2,025,719 | ||||||||||||
VeriSign, Inc. (2)(c) | 4.345% | 08/15/37 | 1,510 | 3,800,481 | ||||||||||||
Vishay Intertechnology, Inc. (2)(c) | 2.250% | 11/15/40 | 7,702 | 7,692,373 | ||||||||||||
|
| |||||||||||||||
105,878,742 | ||||||||||||||||
|
| |||||||||||||||
Materials - 0.8% | ||||||||||||||||
A.M. Castle & Co. 144A (3)(b)(c)(f) | 5.250% | 12/30/19 | 647 | 557,432 | ||||||||||||
Cemex SAB de CV (Mexico) (2)(c) | 3.750% | 03/15/18 | 3,375 | 3,463,594 | ||||||||||||
ShengdaTech, Inc. 144A (3)(b)(f)(g) | 6.000% | 06/01/18 | 300 | 3 | ||||||||||||
ShengdaTech, Inc. 144A (3)(b)(f)(g) | 6.500% | 12/15/15 | 1,200 | 12 | ||||||||||||
|
| |||||||||||||||
4,021,041 | ||||||||||||||||
|
| |||||||||||||||
Utilities - 1.0% | ||||||||||||||||
NRG Yield, Inc. 144A (2)(c)(f) | 3.500% | 02/01/19 | 5,250 | 5,095,781 | ||||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE BONDS | 207,492,938 | |||||||||||||||
|
|
CLOSED END FUNDS - 6.6% | SHARES | VALUE (Note 5) | ||||||
Adams Diversified Equity Fund, Inc. | 15,678 | $ | 198,640 | |||||
Advent Claymore Convertible Securities and Income Fund | 13,768 | 192,064 | ||||||
Advent Claymore Convertible Securities and Income Fund II | 123,881 | 683,823 | ||||||
AllianzGI NFJ Dividend Interest & Premium Strategy Fund | 55 | 678 | ||||||
Alpine Global Dynamic Dividend Fund | 63,117 | 533,970 | ||||||
Alpine Global Premier Properties Fund | 347,417 | 1,907,319 | ||||||
Alpine Total Dynamic Dividend Fund | 75,747 | 549,923 | ||||||
Apollo Senior Floating Rate Fund, Inc. | 5,011 | 79,174 | ||||||
Apollo Tactical Income Fund, Inc. | 4,682 | 67,561 | ||||||
Ares Dynamic Credit Allocation Fund, Inc. | 64,166 | 882,282 | ||||||
Avenue Income Credit Strategies Fund | 34,972 | 418,965 | ||||||
BlackRock Core Bond Trust | 64,340 | 898,830 |
CLOSED END FUNDS - 6.6% (continued) | SHARES | VALUE (Note 5) | ||||||
BlackRock Floating Rate Income Strategies Fund, Inc. | 6,130 | $ | 80,610 | |||||
BlackRock MuniYield Michigan Quality Fund, Inc. | 838 | 12,981 | ||||||
BlackRock Resources & Commodities Strategy Trust | 336,482 | 2,590,911 | ||||||
Blackstone/GSO Long-Short Credit Income Fund | 24,494 | 353,938 | ||||||
Brookfield Global Listed Infrastructure Income Fund, Inc. | 43,295 | 569,762 | ||||||
Brookfield High Income Fund, Inc. | 10,081 | 72,684 | ||||||
Calamos Global Dynamic Income Fund | 27,781 | 195,023 | ||||||
CBRE Clarion Global Real Estate Income Fund | 266,007 | 2,189,238 | ||||||
Central Securities Corp. | 44,449 | 872,978 | ||||||
Clough Global Allocation Fund | 4,877 | 57,061 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
5
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CLOSED END FUNDS - 6.6% (continued) | SHARES | VALUE (Note 5) | ||||||
Clough Global Equity Fund | 13,659 | $ | 146,288 | |||||
Clough Global Opportunities Fund | 32,502 | 303,244 | ||||||
Cohen & Steers Quality Income Realty Fund, Inc. | 115,147 | 1,579,817 | ||||||
Cohen & Steers REIT and Preferred Income Fund, Inc. | 58,201 | 1,195,449 | ||||||
Delaware Enhanced Global Dividend & Income Fund | 48,853 | 470,454 | ||||||
Dividend and Income Fund | 6,021 | 65,689 | ||||||
Eaton Vance Senior Income Trust | 67,259 | 404,227 | ||||||
Eaton Vance Short Duration Diversified Income Fund | 22,789 | 307,652 | ||||||
Eaton Vance Tax-Advantaged Bond and Options Strategies Fund, Class B | 997 | 12,173 | ||||||
First Trust Aberdeen Global Opportunity Income Fund | 50,398 | 576,553 | ||||||
First Trust High Income Long/Short Fund (c) | 99,003 | 1,468,214 | ||||||
First Trust Strategic High Income Fund II (c) | 13,642 | 163,158 | ||||||
Franklin Limited Duration Income Trust | 19,985 | 231,826 | ||||||
Gabelli Dividend & Income Trust (The) | 359 | 6,868 | ||||||
Gabelli Healthcare & WellnessRx Trust (The) | 33,823 | 361,230 | ||||||
Gabelli Multimedia Trust, Inc. (c) | 700 | 4,935 | ||||||
General American Investors Co., Inc. (c) | 30,591 | 942,815 | ||||||
Invesco Dynamic Credit Opportunities Fund (c) | 62,919 | 693,367 | ||||||
Invesco High Income Trust II (c) | 6,967 | 95,866 | ||||||
KKR Income Opportunities Fund (c) | 1,991 | 29,984 | ||||||
Lazard Global Total Return and Income Fund, Inc. (c) | 10,830 | 141,656 | ||||||
Liberty All Star Equity Fund | 410,252 | 2,059,465 | ||||||
Liberty All Star Growth Fund, Inc. (c) | 1,233 | 5,055 | ||||||
LMP Capital and Income Fund, Inc. (c) | 32,654 | 428,747 | ||||||
Macquarie Global Infrastructure Total Return Fund, Inc. (c) | 25,335 | 542,169 | ||||||
Morgan Stanley Income Securities, Inc. (c) | 3,023 | 55,472 |
CLOSED END FUNDS - 6.6% (continued) | SHARES | VALUE (Note 5) | ||||||
Neuberger Berman High Yield Strategies Fund, Inc. (c) | 26,927 | $ | 294,851 | |||||
Nuveen Credit Strategies Income Fund (c) | 193,637 | 1,564,587 | ||||||
Nuveen Diversified Dividend & Income Fund (c) | 31,873 | 372,914 | ||||||
Nuveen Maryland Premium Income Municipal Fund (c) | 26,260 | 373,155 | ||||||
Nuveen New Jersey Dividend Advantage Municipal Fund (c) | 26,239 | 403,556 | ||||||
Nuveen North Carolina Premium Income Municipal Fund (c) | 5,390 | 79,718 | ||||||
Nuveen Real Asset Income and Growth Fund (c) | 500 | 8,450 | ||||||
Nuveen Short Duration Credit Opportunities Fund (c) | 8,604 | 135,255 | ||||||
Putnam High Income Securities Fund | 21,824 | 167,390 | ||||||
RMR Real Estate Income Fund (c) | 39,230 | 834,030 | ||||||
Royce Micro-Cap Trust, Inc. | 23,871 | 175,213 | ||||||
Royce Value Trust, Inc. | 65,040 | 765,521 | ||||||
Sprott Focus Trust, Inc. | 45,831 | 294,235 | ||||||
Stone Harbor Emerging Markets Total Income Fund (c) | 103 | 1,360 | ||||||
Swiss Helvetia Fund, Inc. (The) (c) | 29,687 | 307,260 | ||||||
Templeton Global Income Fund (c) | 79,197 | 503,693 | ||||||
Tri-Continental Corp. (c) | 30,199 | 620,287 | ||||||
Voya Infrastructure Industrials and Materials Fund (c) | 7,996 | 98,831 | ||||||
Wells Fargo Global Dividend Opportunity Fund (c) | 30,882 | 184,366 | ||||||
Wells Fargo Multi-Sector Income Fund (c) | 48,125 | 608,781 | ||||||
Western Asset Global High Income Fund, Inc. (c) | 26,896 | 261,160 | ||||||
Western Asset Global Partners Income Fund, Inc. (c) | 38,311 | 328,325 | ||||||
Western Asset Worldwide Income Fund, Inc. | 48,390 | 531,806 | ||||||
|
| |||||||
TOTAL CLOSED END FUNDS | 34,615,532 | |||||||
|
|
LOAN PARTICIPATIONS - 0.5% | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | ||||||||||||||||
Energy - 0.4% | ||||||||||||||||||||
Black Elk Energy Offshore Investigation (3)(b)(i) | 7.500% | 03/22/17 | $ | 198 | $ | 76,591 | ||||||||||||||
Black Elk Energy Offshore Operations (3)(b)(i) | 7.500% | 09/22/16 | 1,384 | 692,198 | ||||||||||||||||
Black Elk Roll Up Investigation DIP (3)(b)(i) | 7.500% | 03/22/17 | 198 | 76,591 | ||||||||||||||||
Black Elk Roll Up Operations DIP (3)(b)(i) | 7.500% | 09/22/16 | 2,769 | 1,384,397 | ||||||||||||||||
|
| |||||||||||||||||||
2,229,777 | ||||||||||||||||||||
|
| |||||||||||||||||||
Financials - 0.1% | ||||||||||||||||||||
J.G. Wentworth LLC (2)(i) | 7.000% | 01/22/18 | 1,539 | 523,318 | ||||||||||||||||
|
| |||||||||||||||||||
TOTAL LOAN PARTICIPATIONS | 2,753,095 | |||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
6
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
PREFERRED STOCKS - 0.5% | SHARES | VALUE (Note 5) | ||||||
Financials - 0.5% | ||||||||
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series V †(e) | 119,409 | $ | 394,050 | |||||
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series W (2)†(e) | 34,360 | 113,732 | ||||||
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series X †(e) | 50,343 | 171,670 | ||||||
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series Z †(e)(i) | 97,345 | 433,185 | ||||||
Federal National Mortgage Association, Perpetual Preferred Stock, Series S †(c)(e)(i) | 97,345 | 435,132 | ||||||
First Banks, Inc., Series C (3)†(b) | 2,458 | 841,787 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 2,389,556 | |||||||
|
| |||||||
RIGHTS - 0.3% | ||||||||
Financials - 0.2% | ||||||||
1347 Capital Corp. †* | 420,504 | 109,331 | ||||||
Arowana, Inc. (Australia) (2)†* | 720,000 | 92,880 | ||||||
Barington/Hilco Acquisition Corp. (2)† | 487,260 | 58,471 | ||||||
DT Asia Investments Ltd. (Hong Kong) † | 209,241 | 77,419 | ||||||
Garnero Group Acquisition Co. (Brazil) † | 2,430,200 | 206,567 | ||||||
Hydra Industries Acquisition Corp. (2)†* | 1,720,000 | 266,256 | ||||||
Pacific Special Acquisition Corp. (China) †* | 373,500 | 78,435 | ||||||
|
| |||||||
889,359 | ||||||||
|
| |||||||
Health Care - 0.1% | ||||||||
Ambit Biosciences Corp. (3)†(b) | 146,272 | 133,031 | ||||||
Chelsea Therapeutics, Inc. (3)†(b) | 4,668,137 | 193,168 | ||||||
Community Health Systems, Inc. † | 7,762,436 | 34,931 | ||||||
Durata Therapeutics, Inc. (3)†(b) | 261,441 | 213,142 | ||||||
EFG International Finance Guernsey Ltd., (3)†(b) | 283,523 | 2,835 | ||||||
Furiex Pharmaceuticals, Inc. (3)†(b) | 335,833 | — | ||||||
Prosensa Holding NV (Netherlands) (3)†(b) | 197,426 | 35,707 | ||||||
|
| |||||||
612,814 | ||||||||
|
| |||||||
Information Technology - 0.0% (a) | ||||||||
Gerber Scientific, Inc. (3)†(b) | 879,944 | — | ||||||
|
| |||||||
TOTAL RIGHTS | 1,502,173 | |||||||
|
| |||||||
WARRANTS - 2.7% | ||||||||
Consumer Discretionary - 0.2% | ||||||||
Del Taco Restaurants, Inc. † | 510,295 | 989,973 | ||||||
Education Management Corp. (3)†*(b) | 16,528,497 | 3,636 | ||||||
Global Eagle Entertainment, Inc. (2)† | 367,857 | 434,071 | ||||||
KBS Fashion Group Ltd. (China) (3)†(b) | 763,024 | 763 | ||||||
|
| |||||||
1,428,443 | ||||||||
|
| |||||||
Energy - 0.0% (a) | ||||||||
Glori Energy, Inc. (3)†(b) | 287,100 | 3,158 | ||||||
|
| |||||||
Financials - 1.8% | ||||||||
1347 Capital Corp. †* | 420,504 | 126,151 | ||||||
Acasta Enterprises, Inc. (Canada) (2)† | 579,085 | 112,056 |
SHARES | VALUE (Note 5) | |||||||
Financials - 1.8% (continued) | ||||||||
Alignvest Acquisition Corp. (Canada) (2)† | 445,000 | $ | 103,332 | |||||
AR Capital Acquisition Corp. (2)† | 697,500 | 48,825 | ||||||
Arowana, Inc. (Australia) (2)†* | 720,000 | 48,960 | ||||||
Associated Banc-Corp. (2)†(c) | 20,065 | 24,078 | ||||||
Barington/Hilco Acquisition Corp. (2)† | 487,260 | 24,363 | ||||||
Boston Private Financial Holdings, Inc. (2)† | 97,674 | 479,579 | ||||||
Boulevard Acquisition Corp. II (2)† | 1,698,740 | 475,647 | ||||||
Capitol Acquisition Corp. III † | 1,575,000 | 551,250 | ||||||
CB Pharma Acquisition Corp. †* | 325,500 | 22,785 | ||||||
Comerica, Inc. † | 9,708 | 32,619 | ||||||
Double Eagle Acquisition Corp. (2)† | 2,047,500 | 368,550 | ||||||
DT Asia Investments Ltd. (Hong Kong) † | 209,241 | 23,017 | ||||||
Dundee Acquisition Ltd. (Canada) (2)† | 630,000 | 97,527 | ||||||
Easterly Acquisition Corp. † | 823,250 | 518,648 | ||||||
Electrum Special Acquisition Corp. (2)† | 990,000 | 227,700 | ||||||
FinTech Acquisition Corp. †* | 810,000 | 648,000 | ||||||
Garnero Group Acquisition Co. (Brazil) † | 2,430,200 | 97,451 | ||||||
Gibraltar Growth Corp. (Canada) (2)† | 1,274,000 | 147,916 | ||||||
Global Partner Acquisition Corp. † | 1,068,000 | 224,173 | ||||||
Gores Holdings, Inc. † | 3,115,000 | 778,750 | ||||||
GP Investments Acquisition Corp. (2)† | 1,237,500 | 618,750 | ||||||
Harmony Merger Corp. (2)† | 1,475,100 | 295,020 | ||||||
Hennessy Capital Acquisition Corp. II † | 1,028,837 | 647,653 | ||||||
Hydra Industries Acquisition Corp. (2)†* | 1,720,000 | 309,600 | ||||||
Neostem (3)†(b) | 243,000 | 2 | ||||||
Nexeo Solutions, Inc. † | 1,947,000 | 1,343,430 | ||||||
Pace Holdings Corp. (2)† | 455,000 | 85,313 | ||||||
Pacific Special Acquisition Corp. (China) †*(c) | 373,500 | 37,350 | ||||||
Quinpario Acquisition Corp. 2 (2)† | 2,880,708 | 461,201 | ||||||
ROI Acquisition Corp. II (3)†(b) | 882,000 | — | ||||||
Silver Run Acquisition Corp. † | 72,500 | 82,650 | ||||||
Terrapin 3 Acquisition Corp. † | 1,428,000 | 228,480 | ||||||
Valley National Bancorp (2)† | 49,509 | 3,466 | ||||||
|
| |||||||
9,294,292 | ||||||||
|
| |||||||
Health Care - 0.0% (a) | ||||||||
Mast Therapeutics, Inc. (3)†(b) | 103,750 | 255 | ||||||
Pluristem Therapeutics, Inc. (Israel) (3)†(b) | 63,750 | 2,550 | ||||||
Venaxis, Inc. (3)†(b) | 24,000 | 24 | ||||||
|
| |||||||
2,829 | ||||||||
|
| |||||||
Industrials - 0.3% | ||||||||
Ability, Inc. (Israel) † | 1,449,557 | 181,195 | ||||||
Blue Bird Corp. † | 756,000 | 831,600 | ||||||
Jason Industries, Inc. †(c) | 1,933,070 | 463,937 | ||||||
Pingtan Marine Enterprise Ltd. (China) (3)†(b) | 395,000 | 3,950 | ||||||
Tempus Applied Solutions Holdings, Inc. (2)† | 614,551 | 6,145 | ||||||
|
| |||||||
1,486,827 | ||||||||
|
| |||||||
Information Technology - 0.0% (a) | ||||||||
exceet Group SE (Germany) (3)†(b) | 72,000 | 80 | ||||||
GT Advanced Technologies, Inc. (3)†(b) | 2,101 | — | ||||||
Net Element, Inc. (Bulgaria) (3)†(b) | 319,668 | 64 | ||||||
RMG Networks Holding Corp. †(c) | 631,210 | 694 | ||||||
|
| |||||||
838 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
7
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 5) | |||||||
Materials - 0.4% | ||||||||
AgroFresh Solutions, Inc. † | 504,000 | $ | 478,296 | |||||
Delta Technology Holdings Ltd. (China) † | 818,832 | 139,201 | ||||||
Tecnoglass, Inc. † | 330,838 | 1,432,529 | ||||||
|
| |||||||
2,050,026 | ||||||||
|
| |||||||
Utilities - 0.0% (a) | ||||||||
Electrawinds SE (Germany) (3)†(b) | 621,000 | 1,379 | ||||||
|
| |||||||
TOTAL WARRANTS | 14,267,792 | |||||||
|
| |||||||
SECURITIES IN LITIGATION - 0.0% (a) | | NUMBER OF UNITS | | |||||
Information Technology - 0.0% (a) | ||||||||
Timegate (3)†(b)(g) | 5,091,250 | 99,820 | ||||||
|
| |||||||
TOTAL SECURITIES IN LITIGATION | 99,820 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 36.3% | SHARES | |||||||
Investment Companies - 26.7% | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% (2)(j) | 3,489,174 | 3,489,174 | ||||||
Dreyfus Treasury Cash Management, Class I, 0.240% (2)(j) | 13,956,696 | 13,956,696 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% (2)(j)(k) | 82,556,783 | 82,556,783 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% (2)(j)(k) | 21,984,451 | 21,984,451 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% (2)(j) | 17,445,870 | 17,445,870 | ||||||
|
| |||||||
Total Investment Companies | 139,432,974 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT (000’s) | | ||||||
U.S. Treasury Obligations - 9.6% | ||||||||
U.S. Treasury Bill,0.498%, 07/07/2016 (2)(l) | $ | 26,334 | 26,333,737 | |||||
U.S. Treasury Bill,0.370%, 07/21/2016 (2)(l) | 9,084 | 9,083,073 | ||||||
U.S. Treasury Bill,0.479%, 09/01/2016 (2)(c)(l) | 8,936 | 8,932,426 | ||||||
U.S. Treasury Bill,0.371%, 11/17/2016 (2)(c)(l) | 4,018 | 4,014,058 | ||||||
U.S. Treasury Bill,0.480%, 11/25/2016 (2)(c)(l) | 1,704 | 1,702,201 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 50,065,495 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 189,498,469 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE | 686,451,073 | |||||||
|
|
SECURITIES SOLD SHORT- (37.9)% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - (36.9)% | ||||||||
Consumer Discretionary - (2.2)% | ||||||||
Comcast Corp., Class A | (37 | ) | $ | (2,412 | ) | |||
Del Taco Restaurants, Inc. † | (257,488 | ) | (2,343,141 | ) | ||||
Fiat Chrysler Automobiles NV (United Kingdom) | (310,877 | ) | (1,902,567 | ) | ||||
Global Eagle Entertainment, Inc. † | (191,346 | ) | (1,270,537 | ) | ||||
JAKKS Pacific, Inc. † | (321,401 | ) | (2,542,282 | ) | ||||
KBS Fashion Group Ltd. (China) † | (1,236 | ) | (446 | ) | ||||
Lions Gate Entertainment Corp., Class R | (8,511 | ) | (172,178 | ) | ||||
News Corp., Class B | (39,972 | ) | (466,473 | ) | ||||
Twenty-First Century Fox, Inc., Class B | (103,130 | ) | (2,810,293 | ) | ||||
|
| |||||||
(11,510,329 | ) | |||||||
|
| |||||||
Consumer Staples - (1.8)% | ||||||||
Bunge Ltd. | (44,008 | ) | (2,603,073 | ) | ||||
Vector Group Ltd. | (312,089 | ) | (6,997,036 | ) | ||||
|
| |||||||
(9,600,109 | ) | |||||||
|
| |||||||
Energy - (1.4)% | ||||||||
Aegean Marine Petroleum Network, Inc. (Greece) | (82,143 | ) | (451,786 | ) | ||||
Alon USA Energy, Inc. | (35,759 | ) | (231,718 | ) | ||||
Amyris, Inc. † | (131,009 | ) | (59,020 | ) | ||||
Cheniere Energy, Inc. † | (39,089 | ) | (1,467,792 | ) | ||||
FMC Technologies, Inc. † | (3,997 | ) | (106,600 | ) | ||||
SEACOR Holdings, Inc. † | (4,003 | ) | (231,974 | ) | ||||
Ship Finance International Ltd. (Norway) | (282,140 | ) | (4,158,744 | ) | ||||
Whiting Petroleum Corp. † | (78,008 | ) | (722,354 | ) | ||||
|
| |||||||
(7,429,988 | ) | |||||||
|
| |||||||
Financials - (4.9)% | ||||||||
Associated Banc-Corp. | (7,710 | ) | (132,226 | ) | ||||
Boston Private Financial Holdings, Inc. | (87,915 | ) | (1,035,639 | ) | ||||
Canadian Imperial Bank of Commerce (Canada) | (7,994 | ) | (600,439 | ) | ||||
Colony Capital, Inc., Class A REIT | (44,159 | ) | (677,841 | ) | ||||
Comerica, Inc. | (1,769 | ) | (72,759 | ) | ||||
Cousins Properties, Inc. REIT | (3,992 | ) | (41,517 | ) | ||||
Crown Castle International Corp. REIT | (16,014 | ) | (1,624,300 | ) | ||||
Element Financial Corp. (Canada) | (118,649 | ) | (1,258,169 | ) | ||||
Gaming and Leisure Properties, Inc. REIT | (1 | ) | (34 | ) | ||||
Lexington Realty Trust REIT | (1,170,143 | ) | (11,830,146 | ) | ||||
Markit Ltd. (United Kingdom) † | (13,485 | ) | (439,611 | ) | ||||
Penson Worldwide, Inc. (3)†(b) | (217,523 | ) | — | |||||
People’s United Financial, Inc. | (47,704 | ) | (699,340 | ) | ||||
Spirit Realty Capital, Inc. REIT | (104,236 | ) | (1,331,094 | ) | ||||
Valley National Bancorp | (2,808 | ) | (25,609 | ) | ||||
Welltower, Inc. REIT | (74,569 | ) | (5,679,921 | ) | ||||
Willis Towers Watson plc (United Kingdom) | (1 | ) | (116 | ) | ||||
|
| |||||||
(25,448,761 | ) | |||||||
|
| |||||||
Health Care - (2.8)% | ||||||||
Allergan plc † | (24,236 | ) | (5,600,697 | ) | ||||
Allscripts Healthcare Solutions, Inc. † | (109,973 | ) | (1,396,657 | ) | ||||
Amsurg Corp. † | (4,432 | ) | (343,657 | ) | ||||
Anthem, Inc. | (15,178 | ) | (1,993,479 | ) | ||||
China Medical Technologies, Inc. ADR (China) (3)†(b) | (45,264 | ) | (453 | ) | ||||
Exelixis, Inc. † | (416,847 | ) | (3,255,575 | ) | ||||
Medicines Co. (The) † | (54,188 | ) | (1,822,343 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
8
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 5) | |||||||
Health Care - (2.8)% (continued) | ||||||||
Pluristem Therapeutics, Inc. (Israel) † | (4,980 | ) | $ | (6,623 | ) | |||
Sequenom, Inc. † | (102,874 | ) | (93,996 | ) | ||||
|
| |||||||
(14,513,480 | ) | |||||||
|
| |||||||
Industrials - (0.4)% | ||||||||
Blue Bird Corp. † | (14,072 | ) | (167,457 | ) | ||||
Cenveo, Inc. † | (8,695 | ) | (7,094 | ) | ||||
Jason Industries, Inc. † | (8,221 | ) | (29,678 | ) | ||||
Meritor, Inc. † | (187,787 | ) | (1,352,066 | ) | ||||
Titan International, Inc. | (125,540 | ) | (778,348 | ) | ||||
|
| |||||||
(2,334,643 | ) | |||||||
|
| |||||||
Information Technology - (20.6)% | ||||||||
Alibaba Group Holding Ltd. ADR (China) † | (328,238 | ) | (26,104,768 | ) | ||||
Brocade Communications Systems, Inc. | (1 | ) | (9 | ) | ||||
Cavium, Inc. † | (4,510 | ) | (174,086 | ) | ||||
CSG Systems International, Inc. | (13,395 | ) | (539,952 | ) | ||||
Euronet Worldwide, Inc. † | (26,102 | ) | (1,805,997 | ) | ||||
IMS Health Holdings, Inc. † | (12,177 | ) | (308,809 | ) | ||||
Intel Corp. | (538,887 | ) | (17,675,494 | ) | ||||
Lam Research Corp. | (139,250 | ) | (11,705,355 | ) | ||||
Microchip Technology, Inc. | (88,125 | ) | (4,473,225 | ) | ||||
NVIDIA Corp. | (621,277 | ) | (29,206,232 | ) | ||||
Pandora Media, Inc. † | (332,046 | ) | (4,133,973 | ) | ||||
Quantum Corp. † | (155,282 | ) | (65,218 | ) |
SHARES | VALUE (Note 5) | |||||||
Information Technology - (20.6)% (continued) | ||||||||
SunPower Corp. † | (84,152 | ) | $ | (1,303,515 | ) | |||
VeriSign, Inc. † | (43,936 | ) | (3,798,707 | ) | ||||
Vishay Intertechnology, Inc. | (505,634 | ) | (6,264,805 | ) | ||||
|
| |||||||
(107,560,145 | ) | |||||||
|
| |||||||
Materials - (0.3)% | ||||||||
A.M. Castle & Co. † | (20,687 | ) | (33,927 | ) | ||||
AgroFresh Solutions, Inc. † | (52,759 | ) | (280,150 | ) | ||||
Cemex SAB de CV ADR (Mexico) † | (162,734 | ) | (1,004,071 | ) | ||||
Dow Chemical Co. (The) | (1,413 | ) | (70,240 | ) | ||||
|
| |||||||
(1,388,388 | ) | |||||||
|
| |||||||
Telecommunication Services - (1.3)% | ||||||||
T-Mobile US, Inc. † | (155,959 | ) | (6,748,346 | ) | ||||
|
| |||||||
Utilities - (1.2)% | ||||||||
Dominion Resources, Inc. | (60,268 | ) | (4,696,685 | ) | ||||
Fortis, Inc. (Canada) | (6,420 | ) | (217,006 | ) | ||||
NRG Yield, Inc., Class A | (82,331 | ) | (1,253,078 | ) | ||||
|
| |||||||
(6,166,769 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT |
| (192,700,958 | ) | |||||
|
|
CONVERTIBLE BONDS - (1.0)% | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | ||||||||||||
Information Technology - (1.0)% | ||||||||||||||||
Citrix Systems, Inc. (2) | 0.500% | 04/15/19 | $ | (5,000 | ) | $ | (5,562,500 | ) | ||||||||
|
| |||||||||||||||
TOTAL SECURITIES SOLD SHORT, AT VALUE | (198,263,458 | ) | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 93.5% | 488,187,615 | |||||||||||||||
|
| |||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.5% (m) | 34,197,781 | |||||||||||||||
|
| |||||||||||||||
NET ASSETS - 100.0% | $ | 522,385,396 | ||||||||||||||
|
|
† | Non-income producing security. |
* | Affiliated company as defined under the Investment Company Act of 1940. |
(a) | Represents less than 0.05% of net assets. |
(b) | Security fair valued as of June 30, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $40,001,479 or 7.7% of total net assets. |
(c) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $317,064,022. In addition, $57,392,936 of cash collateral was pledged. |
(d) | Represents a Pay-in-Kind security. Income may be received in additional securities and/or cash. |
(e) | Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. The rate shown represents the variable dividend rate in effect as of the close of the reporting period. |
(f) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(g) | Defaulted security. |
(h) | Represents a step bond. The rate shown reflects the rate as of close of the reporting period. |
(i) | Indicates a variable rate security. The interest rate shown represents the rate as of the close of the reporting period. |
(j) | 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 | June 2016 | ||||||||||||||
9
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
(k) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(l) | The rate shown is the effective yield at the date of purchase. |
(m) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap contracts and call options written. |
(n) | All or a portion of this security has been segregated for covered call option written. |
All bonds are denominated in US dollars, unless noted otherwise. All securities are United States companies, unless noted otherwise in parentheses.
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 5). |
(3) | Level 3 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
DIP - Debtor-in-Possession
REIT - Real Estate Investment Trust
Credit default swap contracts buy protection as of June 30, 2016:
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE PAID BY FUND | CURRENCY | CREDIT SPREAD | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||||
CITG | Markit CDX North America High Yield Index Series 26 | 5.000% | USD | 4.288% | 36,250,000 | $(573,891 | ) | 06/20/2021 | $(577,959 | ) | ||||||||||||||||||
CITG | Markit CDX North America Investment Grade Index Series 26 | 1.000% | USD | 0.789% | 225,000 | (2,175 | ) | 06/20/2021 | (159 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$(576,066 | ) | $(578,118 | ) | |||||||||||||||||||||||||
|
|
|
|
Open written options contracts outstanding at June 30, 2016:
Exchange Traded
Call options written
NUMBER OF CONTRACTS | ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
40 | Anacor Pharmaceuticals, Inc. (Exercise price $100) (2) | JPMS | 08/19/2016 | $(5,387 | ) | $(200 | ) | $5,187 | ||||||||||||
41 | Carmike Cinemas, Inc. (Exercise price $30) | JPMS | 09/16/2016 | (5,492 | ) | (5,330 | ) | 162 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
$(10,879 | ) | $(5,530 | ) | $5,349 | ||||||||||||||||
|
|
|
|
|
|
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 5). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
10
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Short Contracts: | ||||||||||||||||||||||
87 | BARC | Euro Stoxx 50 Index Futures | 09/2016 | $(2,717,620 | ) | $(2,756,452 | ) | $(38,832 | ) | |||||||||||||
356 | BARC | S&P 500 E-Mini Futures | 09/2016 | (37,116,550 | ) | (37,205,560 | ) | (89,010 | ) | |||||||||||||
75 | BARC | U.S. Treasury 10-Year Note Futures | 09/2016 | (9,722,149 | ) | (9,973,828 | ) | (251,679 | ) | |||||||||||||
268 | JPMS | U.S. Treasury 2-Year Note Futures | 09/2016 | (58,383,238 | ) | (58,779,938 | ) | (396,700 | ) | |||||||||||||
72 | JPMS | U.S. Treasury 5-Year Note Futures | 09/2016 | (8,656,385 | ) | (8,795,813 | ) | (139,428 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||
$(116,595,942 | ) | $(117,511,591 | ) | $(915,649 | ) | |||||||||||||||||
|
|
|
|
|
|
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | 1,274,471 | $1,000,201 | $986,626 | $(13,575 | ) | |||||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | 1,797,029 | 1,408,554 | 1,391,162 | (17,392 | ) | |||||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | 646,514 | 730,770 | 719,569 | (11,201 | ) | |||||||||||||
Euro, Expiring 04/05/17 | CITI | EUR | 21,000 | 23,362 | 23,556 | 194 | ||||||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | 516,456 | 582,851 | 574,814 | (8,037 | ) | |||||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | 6,044,333 | 741,902 | 716,902 | (25,000 | ) | |||||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | 9,066,499 | 1,112,840 | 1,075,352 | (37,488 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$5,600,480 | $5,487,981 | $(112,499 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | (10,918,720 | ) | $(8,427,120 | ) | $(8,452,676 | ) | $(25,556 | ) | ||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | (11,878,077 | ) | (9,115,049 | ) | (9,195,359 | ) | (80,310 | ) | ||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (2,048,292 | ) | (2,299,180 | ) | (2,279,744 | ) | 19,436 | |||||||||||
Euro, Expiring 04/05/17 | CITI | EUR | (21,000 | ) | (28,010 | ) | (23,556 | ) | 4,454 | |||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | (2,786,431 | ) | (3,125,150 | ) | (3,101,289 | ) | 23,861 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
11
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | (6,044,333 | ) | $ (730,279 | ) | $ (716,902 | ) | $ 13,377 | |||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | (9,066,499 | ) | (1,095,418 | ) | (1,075,353 | ) | 20,065 | |||||||||||
|
|
|
|
|
| |||||||||||||||
(24,820,206 | ) | (24,844,879 | ) | (24,673 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(19,219,726 | ) | $(19,356,898 | ) | $(137,172 | ) | |||||||||||||||
|
|
|
|
|
|
CAD - Canadian Dollar
EUR - Euro
SEK - Swedish Krona
USD - United States Dollar
Total Return Basket Swaps* Outstanding at June 30, 2016
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
BANA | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 66-67 months maturity 08/12/2019 | $92,829 | |||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
United States | ||||||||||||
Herbalife Ltd. | (33,720 | ) | $ | (2,066,362 | ) | $ | 92,730 | |||||
|
| |||||||||||
Net Cash and Other Receivables/ | 99 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 92,829 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
12
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 25 months maturity 11/10/2016 | $(567,558 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | PRINCIPAL | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Corporate Bonds | ||||||||||||
United Kingdom | ||||||||||||
Virgin Media Finance plc | 6,400,000 | $ | 6,047,061 | $ | (569,633 | ) | ||||||
|
| |||||||||||
Net Cash and Other Receivables/ | 2,075 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (567,558 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 25 months maturity 10/19/2016 | $654,893 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
Yahoo Japan Corp. | (1,529,550 | ) | $ | (7,394,036 | ) | $ | 611,459 | |||||
|
| |||||||||||
Net Cash and Other Receivables/ | 43,434 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 654,893 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
13
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 12 months maturity 12/19/2016 | $45,882 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Italy | ||||||||||||
Telecom Italia SpA | 471,432 | $ | 480,785 | $ | (177,475 | ) | ||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Italy | ||||||||||||
Telecom Italia SpA | (471,432 | ) | (597,961 | ) | 210,769 | |||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 33,294 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ | 12,588 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 45,882 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
14
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 25 months maturity 08/31/2016 | $432,482 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
Shire plc | 183 | $ | 23,481 | $ | 10,206 | |||||||
|
| |||||||||||
Singapore | ||||||||||||
InterOil Corp. | 3,867 | 167,707 | 6,308 | |||||||||
|
| |||||||||||
Taiwan | ||||||||||||
Inotera Memories, Inc. | 782,676 | 672,042 | (59,097 | ) | ||||||||
|
| |||||||||||
United States | ||||||||||||
AGL Resources, Inc. | 30,171 | 1,967,449 | 22,932 | |||||||||
Alere, Inc. | 133,652 | 6,673,734 | (1,103,118 | ) | ||||||||
American Capital Ltd. | 50,451 | 806,711 | (8,072 | ) | ||||||||
Apollo Education Group, Inc. | 161,342 | 1,334,615 | 136,824 | |||||||||
Apollo Residential Mortgage, Inc. | 36,371 | 489,190 | (1,819 | ) | ||||||||
Astoria Financial Corp. | 61,331 | 932,660 | 7,545 | |||||||||
Axiall Corp. | 19,361 | 449,562 | 181,800 | |||||||||
Carmike Cinemas, Inc. | 930 | 27,810 | 202 | |||||||||
Cash America International, Inc. | 8,668 | 339,872 | 29,558 | |||||||||
Celator Pharmaceuticals | 38,203 | 1,151,723 | 1,244 | |||||||||
Charter Communications, Inc. | 160 | 32,393 | 4,189 | |||||||||
Cigna Corp. | 37,757 | 5,248,390 | (415,872 | ) | ||||||||
Columbia Pipeline Group, Inc. | 132,149 | 3,357,974 | 10,504 | |||||||||
Cvent, Inc. | 49,417 | 1,752,914 | 12,261 | |||||||||
Demandware, Inc. | 14,862 | 1,111,975 | 1,189 | |||||||||
DreamWorks Animation SKG, Inc. | 45,772 | 1,835,073 | 35,629 | |||||||||
EI du Pont de Nemours & Co. | 48,836 | 3,207,548 | (42,976 | ) | ||||||||
Electro Rent Corp. | 38,674 | 505,469 | 90,497 | |||||||||
EMC Corp. | 87,648 | 2,337,725 | 43,671 | |||||||||
Empire District Electric Co. (The) | 53,476 | 1,788,533 | 28,047 | |||||||||
Envision Healthcare Holdings, Inc. | 12,076 | 304,807 | 1,561 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
ExamWorks Group, Inc. | 21,515 | $ | 748,535 | $ | 1,263 | |||||||
FEI Co. | 6,363 | 681,605 | (1,527 | ) | ||||||||
Fidelity & Guaranty Life | 94,022 | 2,395,681 | (216,251 | ) | ||||||||
First Niagara Financial Group, Inc. | 260,751 | 2,753,304 | (213,590 | ) | ||||||||
FirstMerit Corp. | 117,491 | 2,451,292 | (69,749 | ) | ||||||||
FormFactor, Inc. | 1,454 | 10,098 | 2,974 | |||||||||
Hatteras Financial Corp. | 125,908 | 2,020,597 | 44,295 | |||||||||
Hawaiian Electric Industries, Inc. | 85,372 | 2,530,426 | 268,922 | |||||||||
Humana, Inc. | 24,144 | 4,441,600 | (98,577 | ) | ||||||||
inContact, Inc. | 58,523 | 811,129 | (585 | ) | ||||||||
Ingram Micro, Inc. | 24,979 | 899,744 | (30,974 | ) | ||||||||
Interval Leisure Group, Inc. | 70 | 919 | 194 | |||||||||
ITC Holdings Corp. | 73,133 | 3,246,140 | 177,947 | |||||||||
KLA-Tencor Corp. | 62,470 | 4,304,297 | 271,631 | |||||||||
Krispy Kreme Doughnuts, Inc. | 21,102 | 443,971 | (1,673 | ) | ||||||||
LDR Holding Corp. | 13,925 | 514,180 | 348 | |||||||||
Lexmark International, Inc. | 55,013 | 2,089,620 | (12,879 | ) | ||||||||
LinkedIn Corp. | 1,853 | 351,606 | (926 | ) | ||||||||
Marketo, Inc. | 25,246 | 885,765 | (6,699 | ) | ||||||||
Media General, Inc. | 33,836 | 520,878 | 60,763 | |||||||||
Medivation, Inc. | 6,847 | 411,299 | 1,575 | |||||||||
Memorial Resource Development Corp. | 87,676 | 1,438,663 | (46,368 | ) | ||||||||
Monsanto Co. | 3,721 | 395,494 | (10,706 | ) | ||||||||
National Interstate Corp. | 13,318 | 398,727 | 4,142 | |||||||||
Parkway Properties, Inc. | 21,233 | 378,584 | (23,356 | ) | ||||||||
Piedmont Natural Gas Co., Inc. | 28,466 | 1,686,508 | 24,868 | |||||||||
Pinnacle Entertainment, Inc. | 100 | — | 1,108 | |||||||||
Qlik Technologies, Inc. | 43,099 | 1,297,263 | (22,395 | ) | ||||||||
Questar Corp. | 116,357 | 2,889,521 | 62,456 | |||||||||
Quintiles Transnational Holdings, Inc. | 12,278 | 785,763 | 16,236 | |||||||||
Rite Aid Corp. | 552,989 | 4,383,684 | (241,796 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
15
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Rofin-Sinar Technologies, Inc. | 49,524 | $ | 1,590,914 | $ | (9,118 | ) | ||||||
Rouse Properties, Inc. | 33,658 | 615,941 | (1,683 | ) | ||||||||
SciQuest, Inc. | 23,014 | 405,737 | 690 | |||||||||
St. Jude Medical, Inc. | 32,347 | 2,510,503 | 12,563 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 47,400 | 3,417,327 | 87,903 | |||||||||
Suffolk Bancorp | 9,475 | 290,909 | 5,753 | |||||||||
Talen Energy Corp. | 19,678 | 270,179 | (3,542 | ) | ||||||||
Talmer Bancorp, Inc. | 84,681 | 1,524,374 | 98,961 | |||||||||
TECO Energy, Inc. | 86,731 | 2,379,334 | 17,910 | |||||||||
TiVo, Inc. | 64,463 | 634,961 | 3,223 | |||||||||
tronc, Inc. | 20,974 | 282,310 | 7,131 | |||||||||
Tumi Holdings, Inc. | 31,974 | 860,420 | (5,436 | ) | ||||||||
Tyco International plc | 89,805 | 3,422,930 | 402,763 | |||||||||
Valspar Corp. (The) | 21,432 | 2,287,597 | 27,702 | |||||||||
Virgin America, Inc. | 21,518 | 1,194,673 | 14,854 | |||||||||
Westar Energy, Inc. | 36,800 | 2,054,457 | 9,655 | |||||||||
Wilshire Bancorp, Inc. | 14,924 | 158,982 | (3,474 | ) | ||||||||
XenoPort, Inc. | 48,870 | 343,021 | 1,023 | |||||||||
Xura, Inc. | 25,310 | 628,052 | (9,728 | ) | ||||||||
|
| |||||||||||
(366,383 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (408,966 | ) | ||||||||||
|
| |||||||||||
Rights | ||||||||||||
Netherlands | ||||||||||||
Prosensa Holding NV (3) | 7,998 | — | 1,446 | |||||||||
|
| |||||||||||
United States | ||||||||||||
Durata Therapeutics, Inc. (3) | 89,246 | 87,949 | (15,190 | ) | ||||||||
Dyax Corp. (3) | 50,988 | 19,885 | 43,003 | |||||||||
Safeway, Inc. PDR (3) | 351,185 | — | 17,486 | |||||||||
Safeway, Inc. Casa Ley CVR (3) | 351,185 | — | 56,709 | |||||||||
|
| |||||||||||
102,008 | ||||||||||||
|
| |||||||||||
Total Rights | 103,454 | |||||||||||
|
| |||||||||||
Total of Long Equity Positions and Rights | (305,512 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Waste Connections, Inc. | (818 | ) | (53,132 | ) | (5,805 | ) | ||||||
|
| |||||||||||
United States | ||||||||||||
Abbott Laboratories | (29,259 | ) | (1,130,341 | ) | (19,831 | ) | ||||||
Aetna, Inc. | (20,785 | ) | (2,244,624 | ) | (293,848 | ) | ||||||
Amsurg Corp. | (4,025 | ) | (309,631 | ) | (2,468 | ) | ||||||
Annaly Capital Management, Inc. | (127,136 | ) | (1,345,750 | ) | (61,645 | ) | ||||||
Anthem, Inc. | (19,162 | ) | (2,703,428 | ) | 186,691 | |||||||
Apollo Commercial Real Estate Finance, Inc. | (15,167 | ) | (246,009 | ) | 2,275 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Ares Capital Corp. | (24,353 | ) | $ | (356,284 | ) | $ | 10,472 | |||||
Ball Corp. | (18,113 | ) | (1,284,587 | ) | (24,802 | ) | ||||||
BBCN Bancorp, Inc. | (10,498 | ) | (159,995 | ) | 3,365 | |||||||
Brocade Communications Systems, Inc. | (7,972 | ) | (65,664 | ) | (7,519 | ) | ||||||
Chemical Financial Corp. | (40,768 | ) | (1,459,358 | ) | (60,881 | ) | ||||||
Cousins Properties, Inc. | (34,610 | ) | (379,326 | ) | 19,382 | |||||||
Diebold, Inc. | (17,191 | ) | (530,715 | ) | 103,862 | |||||||
Dow Chemical Co. (The) | (62,608 | ) | (3,321,354 | ) | 209,111 | |||||||
First Cash Financial Services, Inc. | (7,284 | ) | (342,639 | ) | (31,248 | ) | ||||||
Gaming and Leisure Properties, Inc. | (1 | ) | (30 | ) | (4 | ) | ||||||
Great Plains Energy, Inc. | (7,863 | ) | (230,370 | ) | (8,665 | ) | ||||||
Huntington Bancshares, Inc. | (203,369 | ) | (1,911,592 | ) | 93,473 | |||||||
IMS Health Holdings, Inc. | (31,973 | ) | (795,384 | ) | (15,451 | ) | ||||||
Johnson Controls, Inc. | (103,638 | ) | (4,172,906 | ) | (414,112 | ) | ||||||
KeyCorp. | (179,776 | ) | (2,251,395 | ) | 264,871 | |||||||
Lam Research Corp. | (30,652 | ) | (2,360,853 | ) | (215,755 | ) | ||||||
Marriott International, Inc. | (39,611 | ) | (2,732,117 | ) | 99,570 | |||||||
Mylan NV | (6,944 | ) | (316,789 | ) | 16,531 | |||||||
New York Community Bancorp, Inc. | (61,343 | ) | (947,078 | ) | 27,547 | |||||||
Nexstar Broadcasting Group, Inc. | (4,220 | ) | (227,809 | ) | 27,021 | |||||||
NextEra Energy, Inc. | (20,419 | ) | (2,118,880 | ) | (543,758 | ) | ||||||
Old National Bancorp | (12,024 | ) | (155,990 | ) | 5,329 | |||||||
People’s United Financial, Inc. | (19,118 | ) | (275,336 | ) | (4,934 | ) | ||||||
Range Resources Corp. | (32,879 | ) | (1,466,024 | ) | 47,624 | |||||||
Rovi Corp. | (10,848 | ) | (172,049 | ) | 2,387 | |||||||
VMware, Inc. | (9,728 | ) | (590,057 | ) | 33,421 | |||||||
|
| |||||||||||
(551,989 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (557,794 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions and Rights | (863,306 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ | 1,295,788 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 432,482 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
(3) | Level 3 security (See Note 5). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
16
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 24 months maturity 08/19/2016 | $861,352 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
United Kingdom | ||||||||||||
Home Retail Group plc | 179,571 | $ | 400,058 | $ | (32,327 | ) | ||||||
London Stock Exchange Group plc | 19,449 | 659,701 | 1,146 | |||||||||
Rexam plc | 396,352 | 2,738,561 | 717,785 | |||||||||
SABMiller plc | 59,360 | 3,224,300 | 237,523 | |||||||||
|
| |||||||||||
924,127 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 924,127 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
United Kingdom | ||||||||||||
J Sainsbury plc | (57,642 | ) | (205,325 | ) | 25,759 | |||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 949,886 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ | (88,534 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 861,352 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
17
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Offered Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | 25 months maturity 08/31/2016 | $(66,097 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Axia NetMedia Corp. | 147,630 | $ | 478,897 | $ | (2,395 | ) | ||||||
Bankers Petroleum Ltd. | 306,488 | 433,417 | 55,275 | |||||||||
Canexus Corp. | 1,128,519 | 1,121,396 | (12,051 | ) | ||||||||
InnVest Real Estate Investment Trust | 134,720 | 719,089 | 7,718 | |||||||||
Kaminak Gold Corp. | 263,121 | 513,704 | 36,183 | |||||||||
Manitoba Telecom Services, Inc. | 100,909 | 2,932,270 | 30,290 | |||||||||
|
| |||||||||||
115,020 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 115,020 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
BCE, Inc. | (36,191 | ) | (1,688,576 | ) | (24,121 | ) | ||||||
Fortis, Inc. | (54,922 | ) | (1,743,917 | ) | (112,536 | ) | ||||||
Goldcorp, Inc. | (28,670 | ) | (519,305 | ) | (29,263 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Canada (continued) | ||||||||||||
Superior Plus Corp. | (158,853 | ) | $ | (1,293,054 | ) | $ | (17,657 | ) | ||||
|
| |||||||||||
(183,577 | ) | |||||||||||
|
| |||||||||||
France | ||||||||||||
Endeavour Mining Corp. | (1 | ) | (9 | ) | (8 | ) | ||||||
|
| |||||||||||
Total of Short Equity Positions | (183,585 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (68,565 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ | 2,468 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (66,097 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
18
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 12-24 months maturity ranging from 08/12/2016-04/20/2017 | $300,712 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Belgium | ||||||||||||
Delhaize Group | 43,768 | $ | 4,015,165 | $ | 608,239 | |||||||
|
| |||||||||||
Germany | ||||||||||||
Wincor Nixdorf AG | 39,608 | 2,052,575 | 73,114 | |||||||||
|
| |||||||||||
Italy | ||||||||||||
Italcementi SpA | 214,487 | 2,415,930 | 98,207 | |||||||||
|
| |||||||||||
Spain | ||||||||||||
Fomento de Construcciones y Contratas SA | 55,342 | 465,929 | 2,256 | |||||||||
|
| |||||||||||
Total of Long Equity Positions | 781,816 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Netherlands | ||||||||||||
Koninklijke Ahold NV | (222,468 | ) | (4,444,881 | ) | (467,785 | ) | ||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 314,031 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ | (13,319 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 300,712 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
19
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 24 months maturity 08/19/2016 | $(57,749 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
Asciano Ltd. | 709,614 | $ | 4,758,017 | $ | (49,879 | ) | ||||||
|
| |||||||||||
United States | ||||||||||||
Iron Mountain, Inc. | 1 | 29 | 10 | |||||||||
|
| |||||||||||
Total of Long Equity Positions | (49,869 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
Oil Search Ltd. | (24,216 | ) | (117,310 | ) | (4,970 | ) | ||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (54,839 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ | (2,910 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (57,749 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
20
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the SEK/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap. | 13 months maturity 04/20/2017 | $32,230 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Sweden | ||||||||||||
Meda AB | 114,476 | $ | 2,042,674 | $ | 33,150 | |||||||
|
| |||||||||||
Net Cash and Other Receivables/ | (920 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 32,230 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the CHF/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | 12 months maturity 09/15/2016 | $(149,389) | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The | following table represents the individual long positions and related values within the total return basket swap as of June 30, 2016. |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Switzerland | ||||||||||||
Syngenta AG | 5,148 | $ | 2,128,583 | $ | (152,530 | ) | ||||||
|
| |||||||||||
Net Cash and Other Receivables/ | 3,141 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (149,389 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
21
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 12 months maturity 04/20/2017 | $430,227 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Private Placements | ||||||||||||
United States | ||||||||||||
Penson Technologies LLC (3) | 9,326,216 | $ | 9 | $ | 430,116 | |||||||
|
| |||||||||||
Net Cash and Other Receivables/ | 111 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 430,227 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
(3) | Level 3 security (See Note 5). |
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
BANA | ||||||||||||
Investment Companies | $531,052 | $— | $531,052 | |||||||||
| ||||||||||||
BARC | ||||||||||||
Cash | — | 1,843,472 | 1,843,472 | |||||||||
| ||||||||||||
CITG | ||||||||||||
Cash | — | 2,201,054 | 2,201,054 | |||||||||
| ||||||||||||
CITI | ||||||||||||
Investment Companies | 251,148 | — | 251,148 | |||||||||
| ||||||||||||
DTBK | ||||||||||||
Investment Companies | 20,803,394 | — | 20,803,394 | |||||||||
| ||||||||||||
JPMC | ||||||||||||
Investment Companies | 540,000 | — | 540,000 | |||||||||
| ||||||||||||
JPMS | ||||||||||||
Cash | — | 745,360 | 745,360 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
22
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
LONG INVESTMENTS - 116.1% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 23.5% | ||||||||
Belgium - 0.6% | ||||||||
Ageas (a) | 84,365 | $ | 2,932,466 | |||||
bpost SA (a) | 46,573 | 1,192,207 | ||||||
Colruyt SA (a) | 16,318 | 903,005 | ||||||
Proximus SADP (a) | 11,757 | 373,620 | ||||||
|
| |||||||
5,401,298 | ||||||||
|
| |||||||
Canada - 4.6% | ||||||||
Air Canada (1)†(a) | 339,136 | 2,333,619 | ||||||
Alimentation Couche-Tard, Inc., Class B (1)(a) | 41,065 | 1,763,448 | ||||||
Barrick Gold Corp. (1)(a) | 150,780 | 3,218,787 | ||||||
Baytex Energy Corp. (1)(a) | 195,992 | 1,137,768 | ||||||
Cameco Corp. (1)(a) | 36,076 | 396,237 | ||||||
Canadian Natural Resources Ltd. (1)(a) | 12,600 | 388,742 | ||||||
Canadian Tire Corp. Ltd., Class A (1)(a) | 17,455 | 1,901,615 | ||||||
Canfor Corp. (1)†(a) | 28,619 | 289,081 | ||||||
CCL Industries, Inc., Class B (1)(a) | 4,023 | 700,129 | ||||||
CGI Group, Inc., Class A (1)†(a) | 17,130 | 731,766 | ||||||
Constellation Software, Inc. (1)(a) | 4,315 | 1,669,990 | ||||||
Dollarama, Inc. (1)(a) | 25,027 | 1,747,309 | ||||||
Element Financial Corp. (1)(a) | 83,646 | 886,993 | ||||||
Empire Co. Ltd., Class A (1)(a) | 76,669 | 1,139,991 | ||||||
Encana Corp., Class R (1)(a) | 84,905 | 660,471 | ||||||
Enerplus Corp. (1)(a) | 162,721 | 1,071,834 | ||||||
First Quantum Minerals Ltd. (1)(a) | 49,606 | 348,254 | ||||||
George Weston Ltd. (1)(a) | 23,927 | 2,070,729 | ||||||
Goldcorp, Inc. (1)(a) | 54,414 | 1,041,150 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. (1)(a) | 28,538 | 897,038 | ||||||
Intact Financial Corp. (1)(a) | 5,407 | 386,247 | ||||||
Kinross Gold Corp. (1)†(a) | 429,596 | 2,108,161 | ||||||
Linamar Corp. (1)(a) | 50,362 | 1,793,923 | ||||||
Loblaw Cos. Ltd. (1)(a) | 26,569 | 1,421,250 | ||||||
Lundin Mining Corp. (1)† | 145,005 | 489,356 | ||||||
Magna International, Inc. (1)(a) | 49,019 | 1,720,664 | ||||||
MEG Energy Corp. (1)†(a) | 65,196 | 341,636 | ||||||
Metro, Inc. (1)(a) | 59,648 | 2,078,065 | ||||||
Open Text Corp. (1)(a) | 27,614 | 1,632,751 | ||||||
Ritchie Bros Auctioneers, Inc. (1)(a) | 47,372 | 1,600,882 | ||||||
Seven Generations Energy Ltd., Class A (1)†(a) | 18,549 | 354,053 | ||||||
Shaw Communications, Inc., Class B (1)(a) | 28,055 | 538,538 | ||||||
SNC-Lavalin Group, Inc. (1)(a) | 17,459 | 733,252 | ||||||
Teck Resources Ltd., Class B (1)(a) | 39,620 | 521,643 | ||||||
Yamana Gold, Inc. (1)(a) | 260,412 | 1,354,517 | ||||||
|
| |||||||
41,469,889 | ||||||||
|
| |||||||
China - 0.2% | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 2,162,100 | 1,450,138 | ||||||
|
| |||||||
Denmark - 1.2% | ||||||||
DSV A/S (a) | 21,906 | 921,107 | ||||||
ISS A/S (a) | 67,364 | 2,533,582 | ||||||
Pandora A/S (a) | 13,393 | 1,824,119 |
SHARES | VALUE (Note 5) | |||||||
Denmark - 1.2% (continued) | ||||||||
TDC A/S | 425,268 | $ | 2,084,013 | |||||
Vestas Wind Systems A/S (a) | 39,020 | 2,652,168 | ||||||
William Demant Holding A/S †(a) | 28,690 | 558,474 | ||||||
|
| |||||||
10,573,463 | ||||||||
|
| |||||||
Finland - 1.1% | ||||||||
Amer Sports OYJ (a) | 43,202 | 1,185,258 | ||||||
Cargotec OYJ, Class B | 22,755 | 927,381 | ||||||
Elisa OYJ (a) | 26,174 | 1,005,689 | ||||||
Huhtamaki OYJ (a) | 6,101 | 253,190 | ||||||
Kesko OYJ, Class B (a) | 49,555 | 2,104,431 | ||||||
Metso OYJ (a) | 34,928 | 821,153 | ||||||
Neste OYJ (a) | 80,627 | 2,891,198 | ||||||
Orion OYJ, Class B (a) | 17,670 | 686,123 | ||||||
|
| |||||||
9,874,423 | ||||||||
|
| |||||||
Germany - 4.0% | ||||||||
adidas AG (a) | 3,810 | 546,923 | ||||||
Allianz SE (a) | 3,798 | 541,813 | ||||||
Aurubis AG (a) | 34,296 | 1,559,534 | ||||||
Bayer AG (a) | 3,641 | 365,683 | ||||||
Brenntag AG (a) | 8,542 | 413,791 | ||||||
Covestro AG 144A (a)(b) | 35,301 | 1,572,319 | ||||||
Deutsche Lufthansa AG (a) | 118,380 | 1,391,855 | ||||||
E.ON SE (a) | 102,840 | 1,038,151 | ||||||
Evonik Industries AG (a) | 44,424 | 1,324,216 | ||||||
Fraport AG Frankfurt Airport Services Worldwide (a) | 13,704 | 733,724 | ||||||
Freenet AG (a) | 52,710 | 1,357,468 | ||||||
Hannover Rueck SE (a) | 3,955 | 414,395 | ||||||
HeidelbergCement AG (a) | 5,301 | 399,335 | ||||||
Hella KGaA Hueck & Co. (a) | 18,853 | 605,113 | ||||||
HOCHTIEF AG (a) | 37,191 | 4,801,759 | ||||||
KION Group AG (a) | 30,457 | 1,476,189 | ||||||
Krones AG (a) | 6,741 | 712,059 | ||||||
LANXESS AG (a) | 7,792 | 341,858 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | 10,513 | 1,762,978 | ||||||
OSRAM Licht AG (a) | 120,118 | 6,240,955 | ||||||
Rheinmetall AG (a) | 47,361 | 2,816,974 | ||||||
RHOEN-KLINIKUM AG (a) | 8,859 | 259,315 | ||||||
Software AG (a) | 53,224 | 1,809,729 | ||||||
STADA Arzneimittel AG †(a) | 29,880 | 1,548,596 | ||||||
Symrise AG (a) | 5,862 | 399,854 | ||||||
Talanx AG (a) | 40,587 | 1,208,803 | ||||||
|
| |||||||
35,643,389 | ||||||||
|
| |||||||
Italy - 1.9% | ||||||||
A2A SpA | 2,005,340 | 2,629,523 | ||||||
Atlantia SpA (a) | 14,634 | 365,630 | ||||||
Autogrill SpA | 13,433 | 108,601 | ||||||
Buzzi Unicem SpA | 24,668 | 432,283 | ||||||
Davide Campari-Milano SpA (a) | 17,176 | 170,018 | ||||||
Enel SpA | 144,427 | 641,176 | ||||||
Eni SpA (a) | 90,266 | 1,453,930 | ||||||
Hera SpA | 481,307 | 1,313,668 | ||||||
Leonardo-Finmeccanica SpA †(a) | 181,163 | 1,832,043 | ||||||
Mediobanca SpA (a) | 106,401 | 613,061 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
23
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
SHARES | VALUE (Note 5) | |||||||
Italy - 1.9% (continued) | ||||||||
Moncler SpA | 22,481 | $ | 354,916 | |||||
Poste Italiane SpA 144A (b) | 332,158 | 2,205,507 | ||||||
Prysmian SpA (a) | 76,215 | 1,672,855 | ||||||
Recordati SpA | 49,021 | 1,474,526 | ||||||
Snam SpA (a) | 195,611 | 1,169,447 | ||||||
Unipol Gruppo Finanziario SpA | 254,822 | 600,037 | ||||||
UnipolSai SpA | 194,859 | 294,066 | ||||||
|
| |||||||
17,331,287 | ||||||||
|
| |||||||
Luxembourg - 0.1% | ||||||||
Millicom International Cellular SA SDR | 9,726 | 596,586 | ||||||
|
| |||||||
Netherlands - 1.6% | ||||||||
ABN AMRO Group NV CVA 144A (b) | 22,170 | 364,489 | ||||||
Akzo Nobel NV (a) | 7,404 | 459,942 | ||||||
ASM International NV (a) | 28,569 | 1,102,718 | ||||||
BOSKALIS WESTMINSTER (a) | 20,234 | 690,437 | ||||||
Delta Lloyd NV | 118,949 | 417,950 | ||||||
Fugro NV CVA † | 63,725 | 1,121,930 | ||||||
Heineken NV (a) | 15,496 | 1,421,321 | ||||||
Koninklijke Ahold NV (a) | 94,570 | 2,088,349 | ||||||
Koninklijke Vopak NV (a) | 15,433 | 768,247 | ||||||
NN Group NV (a) | 141,043 | 3,882,692 | ||||||
Randstad Holding NV (a) | 30,388 | 1,215,246 | ||||||
Wolters Kluwer NV (a) | 27,264 | 1,103,953 | ||||||
|
| |||||||
14,637,274 | ||||||||
|
| |||||||
Norway - 0.1% | ||||||||
Telenor ASA (a) | 31,904 | 528,107 | ||||||
Yara International ASA (a) | 20,457 | 649,854 | ||||||
|
| |||||||
1,177,961 | ||||||||
|
| |||||||
Portugal - 0.2% | ||||||||
Galp Energia SGPS SA (a) | 73,959 | 1,028,646 | ||||||
Jeronimo Martins SGPS SA (a) | 47,895 | 755,388 | ||||||
NOS SGPS SA | 23,799 | 144,024 | ||||||
|
| |||||||
1,928,058 | ||||||||
|
| |||||||
Singapore - 0.7% | ||||||||
ComfortDelGro Corp. Ltd. | 336,900 | 691,868 | ||||||
DBS Group Holdings Ltd. | 72,700 | 857,200 | ||||||
Genting Singapore plc | 1,578,700 | 856,376 | ||||||
Global Logistic Properties Ltd. | 379,500 | 512,344 | ||||||
SATS Ltd. | 310,900 | 950,544 | ||||||
Singapore Airlines Ltd. | 132,900 | 1,055,348 | ||||||
United Overseas Bank Ltd. | 49,200 | 677,875 | ||||||
Wilmar International Ltd. | 196,700 | 478,828 | ||||||
|
| |||||||
6,080,383 | ||||||||
|
| |||||||
Spain - 2.4% | ||||||||
ACS Actividades de Construccion y Servicios SA (a) | 70,324 | 1,928,930 | ||||||
Aena SA 144A (a)(b) | 2,762 | 366,105 | ||||||
Almirall SA | 79,075 | 1,188,906 | ||||||
Ebro Foods SA | 48,747 | 1,122,063 | ||||||
Enagas SA (a) | 59,270 | 1,810,715 | ||||||
Endesa SA (a) | 122,163 | 2,451,261 | ||||||
Gamesa Corp. Tecnologica SA (a) | 215,873 | 4,301,062 |
SHARES | VALUE (Note 5) | |||||||
Spain - 2.4% (continued) | ||||||||
Gas Natural SDG SA (a) | 109,746 | $ | 2,181,490 | |||||
Iberdrola SA (a) | 281,951 | 1,923,348 | ||||||
Mapfre SA | 150,180 | 329,820 | ||||||
Mediaset Espana Comunicacion SA (a) | 72,237 | 815,456 | ||||||
Prosegur Cia de Seguridad SA | 126,796 | 764,140 | ||||||
Repsol SA (a) | 204,069 | 2,615,936 | ||||||
|
| |||||||
21,799,232 | ||||||||
|
| |||||||
Sweden - 2.0% | ||||||||
Axfood AB | 28,389 | 545,277 | ||||||
BillerudKorsnas AB | 162,236 | 2,420,966 | ||||||
Boliden AB (a) | 67,707 | 1,323,272 | ||||||
Bonava AB, Class B † | 83,401 | 1,005,461 | ||||||
Electrolux AB, Series B (a) | 85,660 | 2,335,507 | ||||||
Holmen AB, Series B | 7,810 | 250,520 | ||||||
Husqvarna AB, Class B | 104,637 | 779,177 | ||||||
NCC AB, Class B | 94,868 | 2,202,757 | ||||||
Nibe Industrier AB | 134,868 | 1,121,528 | ||||||
Saab AB, Class B | 25,513 | 795,616 | ||||||
Securitas AB, Class B (a) | 35,730 | 551,593 | ||||||
Skanska AB, Class B (a) | 16,921 | 354,308 | ||||||
Swedish Match AB (a) | 63,476 | 2,215,191 | ||||||
Swedish Orphan Biovitrum AB † | 28,543 | 350,408 | ||||||
Telefonaktiebolaget LM Ericsson, Class B (a) | 101,676 | 781,131 | ||||||
Telia Co. AB | 131,052 | 620,594 | ||||||
|
| |||||||
17,653,306 | ||||||||
|
| |||||||
Switzerland - 2.4% | ||||||||
Actelion Ltd. †(a) | 18,675 | 3,144,825 | ||||||
Adecco Group AG (a) | 30,399 | 1,533,267 | ||||||
Clariant AG †(a) | 34,521 | 583,383 | ||||||
DKSH Holding AG (a) | 4,112 | 269,368 | ||||||
Flughafen Zuerich AG (a) | 13,540 | 2,396,187 | ||||||
Galenica AG (a) | 1,098 | 1,480,192 | ||||||
GAM Holding AG †(a) | 12,772 | 136,346 | ||||||
Georg Fischer AG (a) | 1,925 | 1,538,861 | ||||||
Helvetia Holding AG (a) | 382 | 198,735 | ||||||
Kuehne + Nagel International AG (a) | 2,663 | 373,112 | ||||||
Lonza Group AG †(a) | 4,173 | 693,184 | ||||||
Schindler Holding AG (a) | 4,232 | 766,195 | ||||||
SGS SA (a) | 240 | 549,780 | ||||||
Sika AG (a) | 197 | 826,033 | ||||||
STMicroelectronics NV (a) | 235,375 | 1,382,268 | ||||||
Straumann Holding AG (a) | 1,881 | 742,071 | ||||||
Swiss Life Holding AG †(a) | 6,373 | 1,472,787 | ||||||
Swiss Re AG (a) | 21,812 | 1,905,069 | ||||||
Zurich Insurance Group AG †(a) | 5,708 | 1,412,061 | ||||||
|
| |||||||
21,403,724 | ||||||||
|
| |||||||
United Kingdom - 0.3% | ||||||||
Dialog Semiconductor plc †(a) | 33,061 | 990,621 | ||||||
Fiat Chrysler Automobiles NV (a) | 160,223 | 986,246 | ||||||
Subsea 7 SA †(a) | 53,024 | 521,199 | ||||||
Unilever NV CVA (a) | 9,570 | 446,944 | ||||||
|
| |||||||
2,945,010 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
24
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
SHARES | VALUE (Note 5) | |||||||
United States - 0.1% | ||||||||
Thomson Reuters Corp. (1)(a) | 12,456 | $ | 503,948 | |||||
|
| |||||||
TOTAL COMMON STOCKS | 210,469,369 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.1% | ||||||||
Germany - 0.1% | ||||||||
Henkel AG & Co. KGaA (a) | 4,466 | 545,792 | ||||||
|
| |||||||
RIGHTS - 0.0% (c) | ||||||||
Spain - 0.0% (c) | ||||||||
ACS Actividades de Construccion y Servicios SA † (cost $49,888) | 70,324 | 49,401 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 92.5% | ||||||||
Investment Companies - 68.1% | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% (d) | 975,491 | 975,491 | ||||||
Dreyfus Treasury Cash Management, Class I, 0.240% (d) | 3,901,963 | 3,901,963 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% (d)(e) | 464,919,102 | 464,919,102 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% (d)(e) | 134,954,600 | 134,954,600 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% (d) | 4,877,454 | 4,877,454 | ||||||
|
| |||||||
Total Investment Companies | 609,628,610 | |||||||
|
| |||||||
PRINCIPAL AMOUNT (000’s) | ||||||||
U.S. Treasury Obligations - 24.4% | ||||||||
U.S. Treasury Bill, 0.341%, 10/13/2016 (f) | $ | 29,173 | 29,153,396 | |||||
U.S. Treasury Bill, 0.351%, 10/20/2016 (f) | 22,215 | 22,198,916 | ||||||
U.S. Treasury Bill, 0.370%, 07/21/2016 (f) | 67,813 | 67,806,083 | ||||||
U.S. Treasury Bill, 0.371%, 11/17/2016 (f) | 15,078 | 15,063,209 | ||||||
U.S. Treasury Bill, 0.381%, 11/10/2016 (f) | 3,458 | 3,454,760 | ||||||
U.S. Treasury Bill, 0.384%, 10/06/2016 (f) | 11,733 | 11,724,904 | ||||||
U.S. Treasury Bill, 0.401%, 12/22/2016 (f) | 3,736 | 3,730,882 | ||||||
U.S. Treasury Bill, 0.401%, 10/27/2016 (f) | 19,283 | 19,269,078 | ||||||
U.S. Treasury Bill, 0.409%, 08/18/2016 (f) | 6,261 | 6,259,084 |
PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||
U.S. Treasury Obligations - 24.4% (continued) | ||||||||
U.S. Treasury Bill, 0.471%, 07/14/2016 (f) | $ | 18,141 | $ | 18,140,384 | ||||
U.S. Treasury Bill, 0.480%, 11/25/2016 (f) | 9,857 | 9,846,591 | ||||||
U.S. Treasury Bill, 0.498%, 07/07/2016 (f) | 10,219 | 10,218,898 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 216,866,185 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 826,494,795 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE | 1,037,559,357 | |||||||
|
| |||||||
SECURITIES SOLD SHORT - (19.6)% | SHARES | |||||||
COMMON STOCKS - (19.3)% | ||||||||
Austria - (0.1)% | ||||||||
ams AG | (23,551 | ) | (653,834 | ) | ||||
|
| |||||||
Belgium - (0.6)% | ||||||||
Anheuser-Busch InBev SA/NV | (24,059 | ) | (3,181,477 | ) | ||||
Telenet Group Holding NV † | (18,167 | ) | (830,711 | ) | ||||
UCB SA | (11,112 | ) | (834,371 | ) | ||||
Umicore SA | (11,893 | ) | (614,324 | ) | ||||
|
| |||||||
(5,460,883 | ) | |||||||
|
| |||||||
Canada - (4.6)% | ||||||||
AltaGas Ltd. (1) | (45,539 | ) | (1,106,796 | ) | ||||
Bank of Nova Scotia (The) (1) | (7,270 | ) | (356,255 | ) | ||||
BlackBerry Ltd. (1)† | (50,513 | ) | (338,982 | ) | ||||
Bombardier, Inc., Class B (1)† | (1,059,788 | ) | (1,591,384 | ) | ||||
Canadian National Railway Co. (1) | (14,875 | ) | (878,373 | ) | ||||
Canadian Pacific Railway Ltd. (1) | (4,365 | ) | (561,965 | ) | ||||
Canadian Utilities Ltd., Class A (1) | (103,842 | ) | (3,008,480 | ) | ||||
Cenovus Energy, Inc. (1) | (90,518 | ) | (1,252,027 | ) | ||||
DH Corp. (1) | (24,814 | ) | (616,725 | ) | ||||
Enbridge, Inc. (1) | (38,518 | ) | (1,631,712 | ) | ||||
Fairfax Financial Holdings Ltd. (1) | (752 | ) | (405,019 | ) | ||||
Finning International, Inc. (1) | (47,472 | ) | (773,103 | ) | ||||
Fortis, Inc. (1) | (26,879 | ) | (908,554 | ) | ||||
Franco-Nevada Corp. (1) | (9,094 | ) | (691,509 | ) | ||||
Gibson Energy, Inc. (1) | (38,103 | ) | (442,094 | ) | ||||
Gildan Activewear, Inc. (1) | (91,855 | ) | (2,690,347 | ) | ||||
Hudson’s Bay Co. (1) | (102,640 | ) | (1,238,560 | ) | ||||
IGM Financial, Inc. (1) | (5,278 | ) | (143,680 | ) | ||||
Imperial Oil Ltd. (1) | (44,146 | ) | (1,396,872 | ) | ||||
Inter Pipeline Ltd. (1) | (53,169 | ) | (1,127,621 | ) | ||||
Keyera Corp. (1) | (66,118 | ) | (2,022,511 | ) | ||||
Manulife Financial Corp. (1) | (77,070 | ) | (1,054,086 | ) | ||||
Methanex Corp. (1) | (80,131 | ) | (2,331,456 | ) | ||||
National Bank of Canada (1) | (10,559 | ) | (361,161 | ) | ||||
Pembina Pipeline Corp. (1) | (76,979 | ) | (2,339,251 | ) | ||||
Peyto Exploration & Development Corp. (1) | (14,150 | ) | (379,830 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
25
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
SHARES | VALUE (Note 5) | |||||||
Canada - (4.6)% (continued) | ||||||||
Potash Corp. of Saskatchewan, Inc. (1) | (57,029 | ) | $ | (926,978 | ) | |||
Power Financial Corp. (1) | (29,392 | ) | (674,541 | ) | ||||
PrairieSky Royalty Ltd. (1) | (41,471 | ) | (787,081 | ) | ||||
Precision Drilling Corp. (1) | (258,686 | ) | (1,371,569 | ) | ||||
Restaurant Brands International, Inc. (1) | (11,228 | ) | (467,388 | ) | ||||
Rogers Communications, Inc., Class B (1) | (9,704 | ) | (392,832 | ) | ||||
Royal Bank of Canada (1) | (7,344 | ) | (433,949 | ) | ||||
Silver Wheaton Corp. (1) | (33,020 | ) | (777,227 | ) | ||||
Tourmaline Oil Corp. (1)† | (14,536 | ) | (382,654 | ) | ||||
TransCanada Corp. (1) | (45,111 | ) | (2,041,247 | ) | ||||
Veresen, Inc. (1) | (121,733 | ) | (1,031,755 | ) | ||||
Vermilion Energy, Inc. (1) | (16,250 | ) | (517,454 | ) | ||||
West Fraser Timber Co. Ltd. (1) | (16,961 | ) | (495,853 | ) | ||||
Whitecap Resources, Inc. (1) | (52,332 | ) | (400,201 | ) | ||||
WSP Global, Inc. (1) | (23,608 | ) | (722,155 | ) | ||||
|
| |||||||
(41,071,237 | ) | |||||||
|
| |||||||
Denmark - (0.6)% | ||||||||
AP Moeller - Maersk A/S, Class B | (577 | ) | (753,651 | ) | ||||
Coloplast A/S, Class B | (5,210 | ) | (389,993 | ) | ||||
Danske Bank A/S | (22,219 | ) | (584,812 | ) | ||||
Jyske Bank A/S | (9,354 | ) | (355,098 | ) | ||||
Novozymes A/S, Class B | (38,164 | ) | (1,832,669 | ) | ||||
Tryg A/S | (85,073 | ) | (1,523,190 | ) | ||||
|
| |||||||
(5,439,413 | ) | |||||||
|
| |||||||
Finland - (0.5)% | ||||||||
Fortum OYJ | (52,193 | ) | (838,556 | ) | ||||
Nokia OYJ | (562,682 | ) | (3,204,722 | ) | ||||
Wartsila OYJ Abp | (17,369 | ) | (708,678 | ) | ||||
|
| |||||||
(4,751,956 | ) | |||||||
|
| |||||||
Germany - (2.5)% | ||||||||
Axel Springer SE | (12,947 | ) | (679,765 | ) | ||||
BASF SE | (5,633 | ) | (431,932 | ) | ||||
Bayerische Motoren Werke AG | (23,168 | ) | (1,686,054 | ) | ||||
Beiersdorf AG | (7,328 | ) | (693,775 | ) | ||||
Bilfinger SE † | (27,077 | ) | (793,647 | ) | ||||
Commerzbank AG | (52,926 | ) | (344,673 | ) | ||||
Continental AG | (4,171 | ) | (789,265 | ) | ||||
Daimler AG | (28,286 | ) | (1,692,587 | ) | ||||
Deutsche Bank AG † | (57,160 | ) | (790,130 | ) | ||||
Deutsche Post AG | (34,829 | ) | (981,220 | ) | ||||
Deutsche Telekom AG | (56,836 | ) | (969,183 | ) | ||||
Duerr AG | (8,657 | ) | (657,341 | ) | ||||
Fresenius Medical Care AG & Co. KGaA | (7,847 | ) | (683,524 | ) | ||||
GEA Group AG | (7,818 | ) | (369,020 | ) | ||||
HUGO BOSS AG | (12,719 | ) | (723,101 | ) | ||||
Merck KGaA | (19,323 | ) | (1,964,048 | ) | ||||
METRO AG | (14,170 | ) | (435,814 | ) | ||||
Rocket Internet SE 144A †(b) | (5,260 | ) | (102,701 | ) | ||||
RWE AG † | (325,735 | ) | (5,187,396 | ) | ||||
SAP SE | (10,906 | ) | (819,097 | ) | ||||
Telefonica Deutschland Holding AG | (198,052 | ) | (815,794 | ) |
SHARES | VALUE (Note 5) | |||||||
Germany - (2.5)% (continued) | ||||||||
Zalando SE 144A †(b) | (38,849 | ) | $ | (1,028,194 | ) | |||
|
| |||||||
(22,638,261 | ) | |||||||
|
| |||||||
Italy - (0.8)% | ||||||||
Azimut Holding SpA | (32,164 | ) | (524,783 | ) | ||||
Banca Generali SpA | (26,385 | ) | (528,847 | ) | ||||
Intesa Sanpaolo SpA | (160,689 | ) | (306,066 | ) | ||||
Luxottica Group SpA | (36,123 | ) | (1,760,550 | ) | ||||
Mediaset SpA | (137,637 | ) | (481,324 | ) | ||||
Saipem SpA † | (1,799,966 | ) | (719,680 | ) | ||||
Salvatore Ferragamo SpA | (45,343 | ) | (924,266 | ) | ||||
Telecom Italia SpA † | (1,244,720 | ) | (1,022,300 | ) | ||||
Unione di Banche Italiane SpA | (354,431 | ) | (978,780 | ) | ||||
|
| |||||||
(7,246,596 | ) | |||||||
|
| |||||||
Luxembourg - (0.3)% | ||||||||
ArcelorMittal † | (90,146 | ) | (410,994 | ) | ||||
Tenaris SA | (136,466 | ) | (1,972,359 | ) | ||||
|
| |||||||
(2,383,353 | ) | |||||||
|
| |||||||
Netherlands - (1.2)% | ||||||||
Aegon NV | (128,551 | ) | (509,361 | ) | ||||
Altice NV, Class A † | (78,263 | ) | (1,168,579 | ) | ||||
ASML Holding NV | (12,360 | ) | (1,216,696 | ) | ||||
Gemalto NV | (26,436 | ) | (1,601,597 | ) | ||||
Koninklijke KPN NV | (681,445 | ) | (2,428,970 | ) | ||||
Koninklijke Philips NV | (51 | ) | (1,267 | ) | ||||
QIAGEN NV † | (33,313 | ) | (725,966 | ) | ||||
SBM Offshore NV | (241,465 | ) | (2,798,361 | ) | ||||
|
| |||||||
(10,450,797 | ) | |||||||
|
| |||||||
Norway - (0.5)% | ||||||||
DNB ASA | (177,814 | ) | (2,128,397 | ) | ||||
Gjensidige Forsikring ASA | (44,553 | ) | (742,292 | ) | ||||
Schibsted ASA, Class A | (62,008 | ) | (1,858,743 | ) | ||||
|
| |||||||
(4,729,432 | ) | |||||||
|
| |||||||
Portugal - (0.1)% | ||||||||
EDP - Energias de Portugal SA | (351,265 | ) | (1,075,423 | ) | ||||
Sonae SGPS SA | (138,732 | ) | (108,980 | ) | ||||
|
| |||||||
(1,184,403 | ) | |||||||
|
| |||||||
Singapore - (1.5)% | ||||||||
CapitaLand Ltd. | (515,300 | ) | (1,183,118 | ) | ||||
Golden Agri-Resources Ltd. | (430,800 | ) | (112,719 | ) | ||||
Hutchison Port Holdings Trust (1) | (910,700 | ) | (392,512 | ) | ||||
Jardine Cycle & Carriage Ltd. | (30,800 | ) | (842,561 | ) | ||||
Keppel Corp. Ltd. | (1,061,300 | ) | (4,378,189 | ) | ||||
Oversea-Chinese Banking Corp. Ltd. | (66,890 | ) | (434,921 | ) | ||||
Singapore Post Ltd. | (2,093,100 | ) | (2,293,614 | ) | ||||
Singapore Press Holdings Ltd. | (194,900 | ) | (574,328 | ) | ||||
Singapore Telecommunications Ltd. | (863,100 | ) | (2,665,787 | ) | ||||
StarHub Ltd. | (7,900 | ) | (22,291 | ) | ||||
UOL Group Ltd. | (183,700 | ) | (748,809 | ) | ||||
|
| |||||||
(13,648,849 | ) | |||||||
|
| |||||||
Spain - (1.8)% | ||||||||
Amadeus IT Holding SA, Class A | (40,375 | ) | (1,778,872 | ) | ||||
Atresmedia Corp. de Medios de Comunicacion SA | (59,682 | ) | (583,356 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
26
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
SHARES | VALUE (Note 5) | |||||||
Spain - (1.8)% (continued) | ||||||||
Banco de Sabadell SA | (461,263 | ) | $ | (610,830 | ) | |||
Bankinter SA | (153,691 | ) | (992,096 | ) | ||||
CaixaBank SA | (528,088 | ) | (1,163,891 | ) | ||||
Cellnex Telecom SAU 144A (b) | (140,751 | ) | (2,208,744 | ) | ||||
Distribuidora Internacional de Alimentacion SA | (379,279 | ) | (2,213,811 | ) | ||||
Grifols SA | (33,783 | ) | (767,427 | ) | ||||
Industria de Diseno Textil SA | (59,517 | ) | (1,999,412 | ) | ||||
Obrascon Huarte Lain SA † | (87,511 | ) | (308,276 | ) | ||||
Red Electrica Corp. SA | (10,923 | ) | (976,011 | ) | ||||
Telefonica SA | (194,371 | ) | (1,845,322 | ) | ||||
Zardoya Otis SA | (89,440 | ) | (844,610 | ) | ||||
|
| |||||||
(16,292,658 | ) | |||||||
|
| |||||||
Sweden - (1.6)% | ||||||||
Assa Abloy AB, Class B | (143,737 | ) | (2,957,077 | ) | ||||
Getinge AB, Class B | (9,039 | ) | (186,619 | ) | ||||
Hennes & Mauritz AB, Class B | (104,167 | ) | (3,064,679 | ) | ||||
Hexagon AB, Class B | (30,050 | ) | (1,099,709 | ) | ||||
Modern Times Group MTG AB, Class B | (17,459 | ) | (464,085 | ) | ||||
Nordea Bank AB | (44,106 | ) | (374,180 | ) | ||||
Sandvik AB | (50,916 | ) | (509,767 | ) | ||||
Skandinaviska Enskilda Banken AB, Class A | (106,987 | ) | (934,604 | ) | ||||
Svenska Cellulosa AB SCA, Class B | (18,976 | ) | (609,712 | ) | ||||
Svenska Handelsbanken AB, Class A | (168,694 | ) | (2,048,032 | ) | ||||
Swedbank AB, Class A | (32,578 | ) | (684,237 | ) | ||||
Tele2 AB, Class B | (137,252 | ) | (1,204,982 | ) | ||||
|
| |||||||
(14,137,683 | ) | |||||||
|
| |||||||
Switzerland - (2.0)% | ||||||||
Aryzta AG † | (21,319 | ) | (787,862 | ) | ||||
Barry Callebaut AG † | (469 | ) | (577,456 | ) | ||||
Chocoladefabriken Lindt & Spruengli AG | (93 | ) | (554,663 | ) | ||||
Cie Financiere Richemont SA | (55,922 | ) | (3,273,378 | ) | ||||
Credit Suisse Group AG † | (86,131 | ) | (917,504 | ) | ||||
Dufry AG † | (22,050 | ) | (2,637,248 | ) | ||||
EMS-Chemie Holding AG | (742 | ) | (383,100 | ) | ||||
Geberit AG | (1,057 | ) | (400,352 | ) | ||||
Julius Baer Group Ltd. † | (53,086 | ) | (2,136,622 | ) | ||||
LafargeHolcim Ltd. † | (38,641 | ) | (1,616,644 | ) | ||||
Novartis AG | (11,796 | ) | (973,625 | ) | ||||
OC Oerlikon Corp. AG † | (42,596 | ) | (373,991 | ) | ||||
Swatch Group AG (The) | (2,480 | ) | (721,685 | ) | ||||
Swisscom AG | (4,650 | ) | (2,310,147 | ) | ||||
|
| |||||||
(17,664,277 | ) | |||||||
|
| |||||||
United Kingdom - (0.5)% | ||||||||
CNH Industrial NV | (429,978 | ) | (3,118,912 | ) | ||||
RELX NV | (64,273 | ) | (1,111,964 | ) | ||||
|
| |||||||
(4,230,876 | ) | |||||||
|
| |||||||
United States - (0.1)% | ||||||||
Valeant Pharmaceuticals International, Inc. (1)† | (21,859 | ) | (440,750 | ) | ||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT |
| (172,425,258 | ) | |||||
|
|
PREFERRED STOCKS - (0.3)% | SHARES | VALUE (Note 5) | ||||||
Germany - (0.3)% | ||||||||
Schaeffler AG | (19,553 | ) | $ | (258,266 | ) | |||
Volkswagen AG | (22,901 | ) | (2,773,777 | ) | ||||
|
| |||||||
TOTAL PREFERRED STOCKS SOLD SHORT | (3,032,043 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT, |
| (175,457,301 | ) | |||||
|
| |||||||
TOTAL INVESTMENTS, NET OF |
| 862,102,056 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.5% (g) | 31,555,386 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 893,657,442 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | (15,467,048 | ) | (1.7 | )% | |||
Consumer Staples | 11,993,821 | 1.3 | ||||||
Energy | (8,969,250 | ) | (1.0 | ) | ||||
Financials | (63,193 | ) | 0.0 | (c) | ||||
Health Care | 5,525,979 | 0.6 | ||||||
Industrials | 37,719,874 | 4.2 | ||||||
Information Technology | (1,331,960 | ) | (0.2 | ) | ||||
Materials | 12,354,952 | 1.4 | ||||||
Telecommunication Services | (9,320,274 | ) | (1.0 | ) | ||||
Utilities | 3,164,360 | 0.4 | ||||||
Investment companies | 609,628,610 | 68.1 | ||||||
U.S. Treasury Obligations | 216,866,185 | 24.4 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 862,102,056 | 96.5 | ||||||
Other Assets in Excess of Liabilities (g) | 31,555,386 | 3.5 | ||||||
|
|
|
| |||||
Net Assets | $ | 893,657,442 | 100.0 | % | ||||
|
|
|
|
† | Non-income producing security. |
(a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $171,035,437. In addition, $19,813,781 of cash collateral was pledged. |
(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) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(f) | The rate shown is the effective yield at the date of purchase. |
(g) | Includes appreciation/(depreciation) on forward foreign currency exchange and swap contracts. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
�� |
27
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) Level 1 security (See Note 5).
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
CVA - Dutch Certification
SDR - Special Drawing Rights
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | 490,283 | $376,239 | $379,550 | $3,311 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | 735,423 | 564,358 | 569,324 | 4,966 | ||||||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | 74,800 | 76,334 | 76,952 | 618 | ||||||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | 97,200 | 98,852 | 99,998 | 1,146 | ||||||||||||||
Danish Krone, Expiring 09/21/16 | CITI | DKK | 5,829,000 | 891,294 | 872,343 | (18,951 | ) | |||||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | 3,553,000 | 3,938,876 | 3,954,478 | 15,602 | ||||||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | 8,873,800 | 1,066,377 | 1,060,188 | (6,189 | ) | |||||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | 13,273,200 | 1,595,014 | 1,585,801 | (9,213 | ) | |||||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | 1,445,000 | 177,361 | 171,387 | (5,974 | ) | |||||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | 3,420,400 | 2,482,439 | 2,536,961 | 54,522 | ||||||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | 5,130,600 | 3,723,661 | 3,805,443 | 81,782 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$14,990,805 | $15,112,425 | $121,620 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | (2,132,000 | ) | $(1,676,013 | ) | $(1,650,478 | ) | $25,535 | |||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | (48,000 | ) | (50,042 | ) | (49,381 | ) | 661 | |||||||||||
Danish Krone, Expiring 09/21/16 | CITI | DKK | (13,687,600 | ) | (2,066,139 | ) | (2,048,427 | ) | 17,712 | |||||||||||
Danish Krone, Expiring 09/21/16 | JPMC | DKK | (20,480,400 | ) | (3,091,436 | ) | (3,065,008 | ) | 26,428 | |||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (15,494,800 | ) | (17,398,865 | ) | (17,245,666 | ) | 153,199 | |||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | (15,880,200 | ) | (17,810,604 | ) | (17,674,615 | ) | 135,989 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
28
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | (160,000 | ) | $ (20,627 | ) | $ (20,643 | ) | $ (16 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | (240,000 | ) | (30,940 | ) | (30,965 | ) | (25 | ) | ||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | (563,000 | ) | (69,088 | ) | (67,264 | ) | 1,824 | |||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | (11,291,400 | ) | (1,364,251 | ) | (1,339,242 | ) | 25,009 | |||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | (16,872,600 | ) | (2,038,554 | ) | (2,001,212 | ) | 37,342 | |||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | (473,000 | ) | (349,110 | ) | (350,831 | ) | (1,721 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(45,965,669 | ) | (45,543,732 | ) | 421,937 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(30,974,864 | ) | $(30,431,307 | ) | $543,557 | ||||||||||||||||
|
|
|
|
|
|
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
HKD - Hong Kong Dollar
NOK - Norwegian Krone
SEK - Swedish Krona
SGD - Singapore Dollar
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
29
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
Total Return Basket Swaps* Outstanding at June 30, 2016
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 5-25 months maturity 10/14/2016 | $(761,064 | ) | ||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
Ajinomoto Co., Inc. | 47,400 | $ | 1,151,573 | $ | (34,784 | ) | ||||||
Alfresa Holdings Corp. | 48,600 | 1,091,512 | (76,156 | ) | ||||||||
Amada Holdings Co. Ltd. | 161,400 | 1,810,016 | (171,461 | ) | ||||||||
Astellas Pharma, Inc. | 129,500 | 1,874,011 | 156,853 | |||||||||
Bandai Namco Holdings, Inc. | 139,200 | 3,701,965 | (109,698 | ) | ||||||||
Bridgestone Corp. | 29,500 | 1,040,994 | (92,954 | ) | ||||||||
Central Japan Railway Co. | 5,400 | 1,005,936 | (45,473 | ) | ||||||||
Chiyoda Corp. | 149,000 | 1,060,876 | (75,523 | ) | ||||||||
Chubu Electric Power Co., Inc. | 322,100 | 4,552,808 | 31,005 | |||||||||
Chugoku Bank Ltd. (The) | 16,300 | 192,011 | (25,697 | ) | ||||||||
Citizen Holdings Co. Ltd. | 96,900 | 544,111 | (72,477 | ) | ||||||||
Dai Nippon Printing Co. Ltd. | 37,000 | 393,874 | 18,489 | |||||||||
Daicel Corp. | 45,900 | 577,683 | (102,064 | ) | ||||||||
Daido Steel Co. Ltd. | 48,000 | 180,247 | (15,842 | ) | ||||||||
Dai-ichi Life Insurance Co. Ltd. (The) | 182,500 | 2,361,654 | (318,677 | ) | ||||||||
Daiichi Sankyo Co. Ltd. | 45,900 | 1,108,939 | 6,207 | |||||||||
DeNA Co. Ltd. | 17,800 | 391,976 | 24,428 | |||||||||
Dentsu, Inc. | 10,400 | 546,055 | (58,546 | ) | ||||||||
Disco Corp. | 3,800 | 393,881 | (50,210 | ) | ||||||||
Ezaki Glico Co. Ltd. | 8,100 | 478,751 | (4,903 | ) | ||||||||
FamilyMart Co. Ltd. | 7,600 | 447,173 | 15,981 | |||||||||
Fuji Heavy Industries Ltd. | 86,500 | 3,307,402 | (334,104 | ) | ||||||||
FUJIFILM Holdings Corp. | 27,400 | 1,131,008 | (67,877 | ) | ||||||||
Gunma Bank Ltd. (The) | 92,000 | 386,548 | (52,452 | ) | ||||||||
Hachijuni Bank Ltd. (The) | 32,000 | 149,685 | (10,317 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Hakuhodo DY Holdings, Inc. | 99,600 | $ | 1,330,465 | $ | (136,678 | ) | ||||||
Haseko Corp. | 244,700 | 2,730,662 | (267,070 | ) | ||||||||
Hikari Tsushin, Inc. | 1,900 | 163,945 | (4,776 | ) | ||||||||
Hiroshima Bank Ltd. (The) | 45,000 | 168,607 | (18,245 | ) | ||||||||
Hisamitsu Pharmaceutical Co., Inc. | 19,400 | 1,139,790 | (21,158 | ) | ||||||||
Hitachi Capital Corp. | 11,600 | 277,449 | (47,224 | ) | ||||||||
Hitachi Chemical Co. Ltd. | 106,400 | 2,107,886 | (120,717 | ) | ||||||||
Hitachi High-Technologies Corp. | 39,600 | 1,192,378 | (108,614 | ) | ||||||||
Hitachi Metals Ltd. | 63,000 | 735,609 | (95,581 | ) | ||||||||
Hokuhoku Financial Group, Inc. | 132,000 | 168,344 | (18,005 | ) | ||||||||
Hoya Corp. | 90,900 | 3,284,978 | (38,394 | ) | ||||||||
Idemitsu Kosan Co. Ltd. | 103,900 | 2,267,153 | (11,474 | ) | ||||||||
Inpex Corp. | 325,100 | 2,670,321 | (127,844 | ) | ||||||||
Isuzu Motors Ltd. | 71,400 | 894,586 | (15,153 | ) | ||||||||
ITOCHU Corp. | 79,400 | 1,012,702 | (41,385 | ) | ||||||||
Itochu Techno-Solutions Corp. | 118,800 | 2,846,947 | (287,609 | ) | ||||||||
Iyo Bank Ltd. (The) | 25,300 | 169,074 | (14,120 | ) | ||||||||
Japan Airlines Co. Ltd. | 81,900 | 2,844,735 | (209,797 | ) | ||||||||
Japan Petroleum Exploration Co. Ltd. | 106,600 | 2,371,238 | (222,497 | ) | ||||||||
JSR Corp. | 38,400 | 580,462 | (71,926 | ) | ||||||||
JTEKT Corp. | 101,900 | 1,370,510 | (215,527 | ) | ||||||||
JX Holdings, Inc. | 786,700 | 3,250,588 | (179,846 | ) | ||||||||
Kajima Corp. | 58,000 | 391,389 | 11,522 | |||||||||
Kaken Pharmaceutical Co. Ltd. | 25,900 | 1,583,309 | 114,748 | |||||||||
Kamigumi Co. Ltd. | 84,000 | 816,253 | (39,857 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
30
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Kaneka Corp. | 263,000 | $ | 2,090,537 | $ | (335,733 | ) | ||||||
Kewpie Corp. | 14,200 | 417,612 | 35,323 | |||||||||
Kobayashi Pharmaceutical Co. Ltd. | 7,600 | 334,189 | 3,303 | |||||||||
Konami Holdings Corp. | 51,200 | 1,989,906 | (36,634 | ) | ||||||||
Konica Minolta, Inc. | 208,500 | 1,781,378 | (262,547 | ) | ||||||||
Kose Corp. | 6,300 | 569,705 | (35,844 | ) | ||||||||
Kuraray Co. Ltd. | 35,700 | 490,120 | (64,167 | ) | ||||||||
Kyocera Corp. | 7,700 | 395,578 | (29,190 | ) | ||||||||
LIXIL Group Corp. | 62,700 | 1,147,414 | (117,763 | ) | ||||||||
Mazda Motor Corp. | 142,200 | 2,467,829 | (586,056 | ) | ||||||||
Medipal Holdings Corp. | 105,400 | 1,884,375 | (151,511 | ) | ||||||||
MEIJI Holdings Co. Ltd. | 10,400 | 1,048,665 | 19,990 | |||||||||
Miraca Holdings, Inc. | 11,200 | 498,947 | (13,225 | ) | ||||||||
Mitsubishi Chemical Holdings Corp. | 213,800 | 1,100,478 | (120,421 | ) | ||||||||
Mitsubishi Electric Corp. | 129,000 | 1,615,287 | (75,239 | ) | ||||||||
Mitsubishi Gas Chemical Co., Inc. | 81,000 | 462,801 | (40,231 | ) | ||||||||
Mitsubishi Motors Corp. | 333,100 | 1,828,141 | (290,440 | ) | ||||||||
Mitsubishi Tanabe Pharma Corp. | 131,200 | 2,326,755 | 43,791 | |||||||||
Mitsui Chemicals, Inc. | 542,000 | 2,107,054 | (115,332 | ) | ||||||||
Mixi, Inc. | 60,900 | 2,603,165 | (85,233 | ) | ||||||||
MS&AD Insurance Group Holdings, Inc. | 52,600 | 1,519,825 | (156,952 | ) | ||||||||
Nankai Electric Railway Co. Ltd. | 22,000 | 129,094 | (5,041 | ) | ||||||||
Nexon Co. Ltd. | 135,200 | 2,305,590 | (304,624 | ) | ||||||||
NH Foods Ltd. | 16,000 | 380,221 | 11,683 | |||||||||
NHK Spring Co. Ltd. | 225,600 | 1,974,849 | (143,907 | ) | ||||||||
Nikon Corp. | 70,800 | 1,039,319 | (80,701 | ) | ||||||||
Nippon Electric Glass Co. Ltd. | 82,000 | 399,278 | (56,970 | ) | ||||||||
Nippon Express Co. Ltd. | 345,000 | 1,517,203 | 59,349 | |||||||||
Nippon Shokubai Co. Ltd. | 29,400 | 1,832,173 | (141,193 | ) | ||||||||
Nippon Telegraph & Telephone Corp. | 97,500 | 4,480,138 | 92,116 | |||||||||
Nippon Yusen KK | 504,000 | 990,834 | (104,179 | ) | ||||||||
Nissan Chemical Industries Ltd. | 14,200 | 425,509 | (11,191 | ) | ||||||||
Nisshin Seifun Group, Inc. | 57,200 | 994,341 | (74,858 | ) | ||||||||
Nitori Holdings Co. Ltd. | 4,000 | 435,495 | 49,642 | |||||||||
Nitto Denko Corp. | 10,200 | 689,044 | (42,015 | ) | ||||||||
Nomura Research Institute Ltd. | 19,040 | 744,784 | (46,487 | ) | ||||||||
NSK Ltd. | 73,600 | 654,587 | (115,840 | ) | ||||||||
NTN Corp. | 231,000 | 769,466 | (146,145 | ) | ||||||||
NTT Data Corp. | 20,600 | 1,081,655 | (108,750 | ) | ||||||||
Obayashi Corp. | 82,100 | 873,866 | 245 | |||||||||
Obic Co. Ltd. | 3,200 | 184,116 | (7,968 | ) | ||||||||
Olympus Corp. | 9,200 | 392,151 | (48,608 | ) | ||||||||
Oracle Corp. Japan | 18,900 | 1,109,822 | (102,016 | ) | ||||||||
Osaka Gas Co. Ltd. | 316,000 | 1,238,075 | (23,216 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Otsuka Corp. | 36,400 | $ | 1,770,314 | $ | (68,201 | ) | ||||||
Otsuka Holdings Co. Ltd. | 47,500 | 2,132,593 | 56,344 | |||||||||
Panasonic Corp. | 275,700 | 2,527,019 | (155,023 | ) | ||||||||
Pola Orbis Holdings, Inc. | 29,300 | 2,685,017 | 72,411 | |||||||||
Recruit Holdings Co. Ltd. | 29,100 | 1,057,380 | 5,763 | |||||||||
Rohm Co. Ltd. | 27,800 | 1,226,594 | (129,325 | ) | ||||||||
Sankyo Co. Ltd. | 56,100 | 2,226,189 | (122,830 | ) | ||||||||
Santen Pharmaceutical Co. Ltd. | 79,500 | 1,273,621 | (24,105 | ) | ||||||||
Seiko Epson Corp. | 24,000 | 435,098 | (50,339 | ) | ||||||||
Sekisui Chemical Co. Ltd. | 93,200 | 1,284,529 | (136,231 | ) | ||||||||
Shimadzu Corp. | 55,000 | 856,101 | (29,271 | ) | ||||||||
Shimamura Co. Ltd. | 8,500 | 1,145,965 | 118,722 | |||||||||
Shionogi & Co. Ltd. | 22,200 | 1,272,580 | (58,993 | ) | ||||||||
SMC Corp. | 1,600 | 417,499 | (23,857 | ) | ||||||||
Sojitz Corp. | 2,153,700 | 5,259,187 | (155,924 | ) | ||||||||
Sompo Japan Nipponkoa Holdings, Inc. | 22,800 | 634,613 | (27,855 | ) | ||||||||
Sugi Holdings Co. Ltd. | 15,700 | 894,266 | (18,866 | ) | ||||||||
Sumitomo Chemical Co. Ltd. | 404,000 | 1,887,994 | (221,065 | ) | ||||||||
Sumitomo Corp. | 171,100 | 1,750,948 | (26,277 | ) | ||||||||
Sumitomo Electric Industries Ltd. | 26,000 | 389,718 | (45,597 | ) | ||||||||
Sumitomo Rubber Industries Ltd. | 27,300 | 413,700 | (48,210 | ) | ||||||||
Sundrug Co. Ltd. | 12,800 | 1,157,222 | 44,634 | |||||||||
Suzuken Co. Ltd. | 77,600 | 2,722,308 | (279,750 | ) | ||||||||
Suzuki Motor Corp. | 67,600 | 1,809,769 | 20,699 | |||||||||
Sysmex Corp. | 10,100 | 774,872 | (79,401 | ) | ||||||||
T&D Holdings, Inc. | 224,300 | 2,210,295 | (305,533 | ) | ||||||||
Taiheiyo Cement Corp. | 714,000 | 1,891,784 | (200,627 | ) | ||||||||
Takashimaya Co. Ltd. | 54,000 | 393,192 | (6,414 | ) | ||||||||
TDK Corp. | 7,500 | 440,286 | (20,463 | ) | ||||||||
Teijin Ltd. | 329,000 | 1,197,571 | (107,414 | ) | ||||||||
Toho Gas Co. Ltd. | 179,000 | 1,405,987 | 58,720 | |||||||||
Tohoku Electric Power Co., Inc. | 76,100 | 1,013,778 | (53,356 | ) | ||||||||
Tokio Marine Holdings, Inc. | 29,700 | 1,036,182 | (47,437 | ) | ||||||||
Tokyo Broadcasting System Holdings, Inc. | 31,000 | 455,724 | (36,416 | ) | ||||||||
Tokyo Electric Power Co. Holdings, Inc. | 640,000 | 2,998,426 | (288,001 | ) | ||||||||
Tokyo Electron Ltd. | 6,900 | 531,716 | 51,394 | |||||||||
Tokyo Gas Co. Ltd. | 544,000 | 2,302,700 | (56,654 | ) | ||||||||
Toppan Printing Co. Ltd. | 232,000 | 2,182,359 | (187,454 | ) | ||||||||
Tosoh Corp. | 341,000 | 1,773,287 | (200,381 | ) | ||||||||
Toyo Suisan Kaisha Ltd. | 44,500 | 1,871,135 | (66,079 | ) | ||||||||
Toyoda Gosei Co. Ltd. | 36,100 | 710,408 | (67,491 | ) | ||||||||
Toyota Boshoku Corp. | 111,900 | 2,413,328 | (77,425 | ) | ||||||||
Toyota Tsusho Corp. | 40,400 | 922,557 | (52,771 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
31
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
West Japan Railway Co. | 23,700 | $ | 1,590,659 | $ | (88,711 | ) | ||||||
Yamaguchi Financial Group, Inc. | 17,000 | 172,910 | (12,153 | ) | ||||||||
Yamazaki Baking Co. Ltd. | 26,000 | 686,721 | 39,138 | |||||||||
Yokogawa Electric Corp. | 34,100 | 385,383 | (834 | ) | ||||||||
|
| |||||||||||
(10,527,173 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (10,527,173 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
ABC-Mart, Inc. | (6,000 | ) | (391,722 | ) | (10,949 | ) | ||||||
Advantest Corp. | (99,400 | ) | (1,131,637 | ) | 22,727 | |||||||
Aeon Co. Ltd. | (233,500 | ) | (3,745,689 | ) | 120,236 | |||||||
AEON Financial Service Co. Ltd. | (59,100 | ) | (1,354,936 | ) | 75,247 | |||||||
Aisin Seiki Co. Ltd. | (29,100 | ) | (1,272,756 | ) | 87,417 | |||||||
Alps Electric Co. Ltd. | (65,900 | ) | (1,443,917 | ) | 191,929 | |||||||
ANA Holdings, Inc. | (400,000 | ) | (1,194,995 | ) | 55,152 | |||||||
Aozora Bank Ltd. | (150,000 | ) | (524,907 | ) | 4,559 | |||||||
Asahi Glass Co. Ltd. | (140,000 | ) | (851,537 | ) | 91,772 | |||||||
Asics Corp. | (124,200 | ) | (2,890,189 | ) | 791,841 | |||||||
Bank of Kyoto Ltd. (The) | (112,000 | ) | (747,164 | ) | 60,190 | |||||||
Brother Industries Ltd. | (41,200 | ) | (482,242 | ) | 40,318 | |||||||
Calbee, Inc. | (30,900 | ) | (1,214,037 | ) | (78,694 | ) | ||||||
Canon, Inc. | (54,300 | ) | (1,636,513 | ) | 86,237 | |||||||
Century Tokyo Leasing Corp. | (18,500 | ) | (644,721 | ) | 46,001 | |||||||
Chugai Pharmaceutical Co. Ltd. | (38,400 | ) | (1,408,706 | ) | 40,198 | |||||||
Chugoku Electric Power Co., Inc. (The) | (243,700 | ) | (3,204,161 | ) | 105,966 | |||||||
Credit Saison Co. Ltd. | (109,000 | ) | (2,129,857 | ) | 298,822 | |||||||
Daikin Industries Ltd. | (14,000 | ) | (1,206,811 | ) | 30,184 | |||||||
Daiwa Securities Group, Inc. | (187,000 | ) | (1,096,783 | ) | 111,598 | |||||||
Denso Corp. | (84,300 | ) | (3,281,512 | ) | 315,388 | |||||||
Don Quijote Holdings Co. Ltd. | (35,600 | ) | (1,305,296 | ) | (17,697 | ) | ||||||
Eisai Co. Ltd. | (6,400 | ) | (391,874 | ) | 34,523 | |||||||
Electric Power Development Co. Ltd. | (53,000 | ) | (1,401,025 | ) | 166,216 | |||||||
FANUC Corp. | (13,800 | ) | (2,182,907 | ) | (61,984 | ) | ||||||
Fast Retailing Co. Ltd. | (13,100 | ) | (3,818,013 | ) | 300,919 | |||||||
Fuji Electric Co. Ltd. | (92,000 | ) | (389,060 | ) | 6,015 | |||||||
Hamamatsu Photonics KK | (111,400 | ) | (3,129,004 | ) | 3,218 | |||||||
Hankyu Hanshin Holdings, Inc. | (75,000 | ) | (553,236 | ) | (6,004 | ) | ||||||
Hirose Electric Co. Ltd. | (3,100 | ) | (397,213 | ) | 16,019 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Hitachi Construction Machinery Co. Ltd. | (25,600 | ) | $ | (403,938 | ) | $ | 30,279 | |||||
Hitachi Ltd. | (130,000 | ) | (620,238 | ) | 75,556 | |||||||
Hokkaido Electric Power Co., Inc. | (2,700 | ) | (24,025 | ) | 2,092 | |||||||
Hokuriku Electric Power Co. | (58,300 | ) | (751,938 | ) | 29,533 | |||||||
Honda Motor Co. Ltd. | (27,000 | ) | (760,214 | ) | 82,912 | |||||||
IHI Corp. | (1,021,000 | ) | (2,671,312 | ) | (80,786 | ) | ||||||
Isetan Mitsukoshi Holdings Ltd. | (117,600 | ) | (1,172,172 | ) | 125,438 | |||||||
Izumi Co. Ltd. | (6,000 | ) | (242,016 | ) | 8,277 | |||||||
J Front Retailing Co. Ltd. | (40,400 | ) | (479,601 | ) | 60,720 | |||||||
Japan Display, Inc. | (308,900 | ) | (615,546 | ) | 113,023 | |||||||
Japan Post Bank Co. Ltd. | (32,200 | ) | (399,048 | ) | 20,420 | |||||||
Japan Tobacco, Inc. | (53,700 | ) | (2,327,308 | ) | 163,080 | |||||||
JFE Holdings, Inc. | (99,500 | ) | (1,414,686 | ) | 116,688 | |||||||
Kakaku.com, Inc. | (22,600 | ) | (457,094 | ) | 8,039 | |||||||
Kansai Electric Power Co., Inc. (The) | (38,500 | ) | (388,714 | ) | 13,753 | |||||||
Kansai Paint Co. Ltd. | (47,100 | ) | (946,897 | ) | (4,037 | ) | ||||||
Keihan Holdings Co. Ltd. | (87,000 | ) | (621,016 | ) | 18,162 | |||||||
Keikyu Corp. | (209,000 | ) | (2,072,460 | ) | (30,726 | ) | ||||||
Keio Corp. | (136,000 | ) | (1,243,770 | ) | (39,099 | ) | ||||||
Keisei Electric Railway Co. Ltd. | (60,000 | ) | (847,135 | ) | 73,748 | |||||||
Keyence Corp. | (2,100 | ) | (1,393,975 | ) | (38,915 | ) | ||||||
Kikkoman Corp. | (36,000 | ) | (1,357,839 | ) | 29,439 | |||||||
Kintetsu Group Holdings Co. Ltd. | (170,000 | ) | (717,042 | ) | (10,463 | ) | ||||||
Kirin Holdings Co. Ltd. | (118,900 | ) | (2,097,799 | ) | 92,412 | |||||||
Kobe Steel Ltd. | (2,341,000 | ) | (2,200,615 | ) | 276,606 | |||||||
Kubota Corp. | (57,900 | ) | (874,685 | ) | 91,569 | |||||||
Kyowa Hakko Kirin Co. Ltd. | (20,500 | ) | (388,579 | ) | 38,936 | |||||||
Kyushu Electric Power Co., Inc. | (290,500 | ) | (3,039,125 | ) | 125,582 | |||||||
Kyushu Financial Group, Inc. | (31,500 | ) | (165,273 | ) | 9,139 | |||||||
M3, Inc. | (12,000 | ) | (393,359 | ) | (25,441 | ) | ||||||
Mabuchi Motor Co. Ltd. | (13,600 | ) | (666,547 | ) | 90,522 | |||||||
Makita Corp. | (16,700 | ) | (1,116,192 | ) | 7,361 | |||||||
Marubeni Corp. | (89,400 | ) | (433,003 | ) | 29,117 | |||||||
Marui Group Co. Ltd. | (274,900 | ) | (4,248,056 | ) | 547,381 | |||||||
Maruichi Steel Tube Ltd. | (20,000 | ) | (729,786 | ) | 30,782 | |||||||
Minebea Co. Ltd. | (87,000 | ) | (696,127 | ) | 105,057 | |||||||
MISUMI Group, Inc. | (123,400 | ) | (2,083,140 | ) | (144,812 | ) | ||||||
Mitsubishi Heavy Industries Ltd. | (245,000 | ) | (1,009,948 | ) | 24,749 | |||||||
Mitsubishi Logistics Corp. | (221,000 | ) | (3,118,671 | ) | 26,810 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
32
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Mitsubishi UFJ Financial Group, Inc. | (75,200 | ) | $ | (382,068 | ) | $ | 44,957 | |||||
Mitsui OSK Lines Ltd. | (1,458,000 | ) | (3,376,345 | ) | 275,901 | |||||||
Murata Manufacturing Co. Ltd. | (8,400 | ) | (1,029,612 | ) | 87,849 | |||||||
Nagoya Railroad Co. Ltd. | (263,000 | ) | (1,431,953 | ) | (49,902 | ) | ||||||
NGK Insulators Ltd. | (37,000 | ) | (842,182 | ) | 94,144 | |||||||
NGK Spark Plug Co. Ltd. | (152,700 | ) | (2,938,767 | ) | 633,794 | |||||||
Nidec Corp. | (57,200 | ) | (4,511,892 | ) | 157,656 | |||||||
Nippon Paint Holdings Co. Ltd. | (80,500 | ) | (2,367,759 | ) | 377,655 | |||||||
Nippon Steel & Sumitomo Metal Corp. | (56,000 | ) | (1,151,198 | ) | 67,058 | |||||||
Nissan Motor Co. Ltd. | (122,700 | ) | (1,265,818 | ) | 170,804 | |||||||
Nomura Holdings, Inc. | (530,500 | ) | (2,272,860 | ) | 386,105 | |||||||
Odakyu Electric Railway Co. Ltd. | (292,000 | ) | (3,331,169 | ) | (92,806 | ) | ||||||
Oji Holdings Corp. | (103,000 | ) | (432,616 | ) | 37,198 | |||||||
Omron Corp. | (25,500 | ) | (821,303 | ) | (11,037 | ) | ||||||
Ono Pharmaceutical Co. Ltd. | (20,600 | ) | (956,429 | ) | 59,071 | |||||||
Oriental Land Co. Ltd. | (39,300 | ) | (2,721,583 | ) | 176,932 | |||||||
ORIX Corp. | (77,600 | ) | (1,103,466 | ) | 99,285 | |||||||
Park24 Co. Ltd. | (51,700 | ) | (1,724,457 | ) | (52,183 | ) | ||||||
Pigeon Corp. | (143,200 | ) | (4,143,453 | ) | (137,434 | ) | ||||||
Rakuten, Inc. | (242,900 | ) | (2,734,495 | ) | 98,219 | |||||||
Ricoh Co. Ltd. | (208,400 | ) | (1,862,189 | ) | 55,676 | |||||||
Rinnai Corp. | (9,000 | ) | (821,481 | ) | 26,214 | |||||||
Ryohin Keikaku Co. Ltd. | (2,500 | ) | (633,073 | ) | 23,829 | |||||||
Sega Sammy Holdings, Inc. | (63,200 | ) | (796,608 | ) | 115,938 | |||||||
Seibu Holdings, Inc. | (8,300 | ) | (155,843 | ) | 15,263 | |||||||
Sekisui House Ltd. | (71,100 | ) | (1,306,014 | ) | 60,905 | |||||||
Seven & i Holdings Co. Ltd. | (25,900 | ) | (1,174,187 | ) | 88,249 | |||||||
Seven Bank Ltd. | (180,400 | ) | (660,575 | ) | 100,629 | |||||||
Shikoku Electric Power Co., Inc. | (163,700 | ) | (1,987,740 | ) | 48,650 | |||||||
Shimano, Inc. | (14,200 | ) | (2,290,620 | ) | 119,475 | |||||||
Shimizu Corp. | (62,000 | ) | (580,772 | ) | (107 | ) | ||||||
Shinsei Bank Ltd. | (816,000 | ) | (1,276,290 | ) | 87,392 | |||||||
Shiseido Co. Ltd. | (55,200 | ) | (1,507,669 | ) | 69,280 | |||||||
SoftBank Group Corp. | (56,300 | ) | (3,321,827 | ) | 137,945 | |||||||
Sohgo Security Services Co. Ltd. | (22,900 | ) | (1,159,826 | ) | 27,763 | |||||||
Sony Corp. | (80,100 | ) | (2,391,906 | ) | 32,001 | |||||||
Sony Financial Holdings, Inc. | (51,200 | ) | (661,267 | ) | 82,355 | |||||||
Stanley Electric Co. Ltd. | (69,100 | ) | (1,573,624 | ) | 97,904 | |||||||
Sumco Corp. | (320,600 | ) | (2,262,983 | ) | 209,132 | |||||||
Sumitomo Metal Mining Co. Ltd. | (65,000 | ) | (724,123 | ) | 62,918 | |||||||
Sumitomo Mitsui Trust Holdings, Inc. | (185,000 | ) | (649,479 | ) | 47,524 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Suntory Beverage & Food Ltd. | (7,900 | ) | $ | (395,670 | ) | $ | 38,186 | |||||
Suruga Bank Ltd. | (29,100 | ) | (688,937 | ) | 31,302 | |||||||
Taisho Pharmaceutical Holdings Co. Ltd. | (5,200 | ) | (527,141 | ) | (20,054 | ) | ||||||
Taiyo Nippon Sanso Corp. | (127,000 | ) | (1,182,630 | ) | 15,375 | |||||||
Takeda Pharmaceutical Co. Ltd. | (31,000 | ) | (1,374,543 | ) | 37,570 | |||||||
THK Co. Ltd. | (53,000 | ) | (1,022,554 | ) | 119,200 | |||||||
Tobu Railway Co. Ltd. | (181,000 | ) | (965,817 | ) | (27,606 | ) | ||||||
Tokyu Corp. | (90,000 | ) | (807,434 | ) | 17,261 | |||||||
Toray Industries, Inc. | (44,000 | ) | (400,743 | ) | 25,296 | |||||||
TOTO Ltd. | (11,900 | ) | (482,333 | ) | 6,819 | |||||||
Toyo Seikan Group Holdings Ltd. | (88,300 | ) | (1,915,490 | ) | 228,249 | |||||||
Toyota Industries Corp. | (58,100 | ) | (2,554,592 | ) | 244,542 | |||||||
Toyota Motor Corp. | (20,400 | ) | (1,121,226 | ) | 115,536 | |||||||
Tsuruha Holdings, Inc. | (9,600 | ) | (1,079,076 | ) | (83,375 | ) | ||||||
Unicharm Corp. | (177,300 | ) | (3,631,892 | ) | (351,609 | ) | ||||||
Yahoo Japan Corp. | (136,900 | ) | (693,611 | ) | 86,547 | |||||||
Yakult Honsha Co. Ltd. | (55,800 | ) | (2,818,552 | ) | (81,551 | ) | ||||||
Yamaha Corp. | (17,100 | ) | (520,560 | ) | 59,657 | |||||||
Yamaha Motor Co. Ltd. | (112,100 | ) | (1,915,343 | ) | 205,290 | |||||||
Yamato Holdings Co. Ltd. | (201,000 | ) | (4,383,525 | ) | (231,635 | ) | ||||||
Yaskawa Electric Corp. | (169,800 | ) | (2,163,710 | ) | (53,271 | ) | ||||||
Yokohama Rubber Co. Ltd. (The) | (39,900 | ) | (610,994 | ) | 110,567 | |||||||
|
| |||||||||||
9,444,764 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 9,444,764 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (1,082,409 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 321,345 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (761,064 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
33
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 4-12 months maturity 10/13/2016 | $9,674,270 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Domtar Corp. | 37,158 | $ | 1,422,886 | $ | (121,985 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
Accenture plc | 14,616 | 1,748,074 | (92,227 | ) | ||||||||
Endo International plc | 29,277 | 524,225 | (67,797 | ) | ||||||||
XL Group plc | 32,679 | 1,102,589 | (14,052 | ) | ||||||||
|
| |||||||||||
(174,076 | ) | |||||||||||
|
| |||||||||||
Singapore | ||||||||||||
Flextronics International Ltd. | 114,617 | 1,457,928 | (105,448 | ) | ||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Allied World Assurance Co. Holdings AG | 32,778 | 1,216,064 | (64,245 | ) | ||||||||
Chubb Ltd. | 3,002 | 380,371 | 12,021 | |||||||||
TE Connectivity Ltd. | 21,871 | 1,332,819 | (83,766 | ) | ||||||||
Transocean Ltd. | 144,822 | 1,617,662 | 104,272 | |||||||||
|
| |||||||||||
(31,718 | ) | |||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Ensco plc | 74,749 | 820,961 | (95,148 | ) | ||||||||
Michael Kors Holdings Ltd. | 43,801 | 2,172,092 | (4,818 | ) | ||||||||
Noble Corp plc | 76,169 | 690,017 | (62,384 | ) | ||||||||
|
| |||||||||||
(162,350 | ) | |||||||||||
|
| |||||||||||
United States | ||||||||||||
3M Co. | 21,137 | 3,596,209 | 105,303 | |||||||||
Aaron’s, Inc. | 22,799 | 565,187 | (66,117 | ) | ||||||||
Abbott Laboratories | 55,216 | 2,162,811 | 7,730 | |||||||||
Abercrombie & Fitch Co. | 88,756 | 1,684,111 | (103,366 | ) | ||||||||
Adobe Systems, Inc. | 5,584 | 553,486 | (18,595 | ) | ||||||||
AES Corp. | 45,975 | 524,152 | 49,616 | |||||||||
Aetna, Inc. | 12,845 | 1,570,815 | (2,055 | ) | ||||||||
Aflac, Inc. | 42,461 | 2,944,670 | 119,315 | |||||||||
AGCO Corp. | 9,090 | 499,859 | (71,447 | ) | ||||||||
Agilent Technologies, Inc. | 47,553 | 2,181,275 | (71,824 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Akamai Technologies, Inc. | 51,034 | $ | 2,784,987 | $ | 69,345 | |||||||
Alaska Air Group, Inc. | 14,915 | 972,607 | (103,212 | ) | ||||||||
Alleghany Corp. | 1,342 | 726,022 | 11,514 | |||||||||
Allscripts Healthcare Solutions, Inc. | 90,343 | 1,196,874 | (49,518 | ) | ||||||||
Allstate Corp. (The) | 39,168 | 2,648,540 | 91,261 | |||||||||
Alphabet, Inc. | 3,469 | 2,532,578 | (92,033 | ) | ||||||||
Altria Group, Inc. | 71,842 | 4,691,679 | 262,545 | |||||||||
Amazon.com, Inc. | 3,498 | 2,542,102 | (38,863 | ) | ||||||||
Amdocs Ltd. | 56,749 | 3,265,641 | 9,911 | |||||||||
Ameren Corp. | 108,273 | 5,377,435 | 423,832 | |||||||||
American Eagle Outfitters, Inc. | 84,297 | 1,326,835 | 16,016 | |||||||||
American Electric Power Co., Inc. | 47,634 | 3,129,554 | 209,113 | |||||||||
American Financial Group, Inc. | 25,687 | 1,863,722 | 35,318 | |||||||||
American International Group, Inc. | 56,611 | 3,243,244 | (249,088 | ) | ||||||||
American Water Works Co., Inc. | 35,503 | 2,692,192 | 308,166 | |||||||||
Ameriprise Financial, Inc. | 13,677 | 1,392,694 | (163,816 | ) | ||||||||
AmerisourceBergen Corp. | 35,637 | 2,717,685 | 109,042 | |||||||||
Amgen, Inc. | 12,772 | 2,045,947 | (102,687 | ) | ||||||||
Analog Devices, Inc. | 17,925 | 1,023,338 | (8,066 | ) | ||||||||
Anthem, Inc. | 22,455 | 2,973,940 | (24,701 | ) | ||||||||
AO Smith Corp. | 49,715 | 4,118,888 | 261,501 | |||||||||
Applied Materials, Inc. | 54,409 | 1,315,417 | (11,234 | ) | ||||||||
Aramark | 21,384 | 714,653 | — | |||||||||
Archer-Daniels-Midland Co. | 67,759 | 2,959,036 | (52,852 | ) | ||||||||
Arrow Electronics, Inc. | 51,767 | 3,443,630 | (239,252 | ) | ||||||||
Aspen Insurance Holdings Ltd. | 26,338 | 1,260,155 | (38,599 | ) | ||||||||
Assurant, Inc. | 11,643 | 986,046 | 18,862 | |||||||||
Assured Guaranty Ltd. | 101,468 | 2,724,497 | (150,254 | ) | ||||||||
Automatic Data Processing, Inc. | 4,564 | 399,937 | 19,358 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
34
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
AutoZone, Inc. | 649 | $ | 490,722 | $ | 24,480 | |||||||
Avery Dennison Corp. | 57,007 | 4,335,440 | (74,166 | ) | ||||||||
Avnet, Inc. | 88,377 | 3,645,788 | (65,635 | ) | ||||||||
Avon Products, Inc. | 124,729 | 534,588 | (63,112 | ) | ||||||||
Axis Capital Holdings Ltd. | 45,554 | 2,516,403 | (10,933 | ) | ||||||||
Bank of America Corp. | 27,424 | 396,608 | (32,691 | ) | ||||||||
Baxter International, Inc. | 55,936 | 2,459,506 | 69,920 | |||||||||
Bed Bath & Beyond, Inc. | 14,746 | 668,436 | (31,114 | ) | ||||||||
Bemis Co., Inc. | 54,164 | 2,742,323 | 46,581 | |||||||||
Best Buy Co., Inc. | 96,726 | 3,018,751 | (58,936 | ) | ||||||||
Big Lots, Inc. | 66,646 | 3,466,925 | (127,294 | ) | ||||||||
Biogen, Inc. | 13,506 | 3,914,579 | (648,558 | ) | ||||||||
Bio-Rad Laboratories, Inc. | 6,632 | 985,250 | (36,741 | ) | ||||||||
Boeing Co. (The) | 11,452 | 1,515,471 | (28,200 | ) | ||||||||
Booz Allen Hamilton Holding Corp. | 12,969 | 383,185 | 1,216 | |||||||||
Boston Beer Co., Inc. (The) | 7,840 | 1,230,556 | 110,320 | |||||||||
Brinker International, Inc. | 22,859 | 1,054,028 | (13,258 | ) | ||||||||
Broadridge Financial Solutions, Inc. | 24,360 | 1,570,002 | 18,270 | |||||||||
Brocade Communications Systems, Inc. | 562,598 | 5,052,130 | 112,520 | |||||||||
Bruker Corp. | 150,118 | 3,963,734 | (550,051 | ) | ||||||||
Brunswick Corp. | 47,840 | 2,245,131 | (77,022 | ) | ||||||||
Bunge Ltd. | 25,135 | 1,691,578 | (204,843 | ) | ||||||||
BWX Technologies, Inc. | 101,881 | 3,657,528 | (13,245 | ) | ||||||||
CA, Inc. | 79,239 | 2,594,543 | 6,873 | |||||||||
Cabot Corp. | 16,715 | 790,053 | (26,846 | ) | ||||||||
Cadence Design Systems, Inc. | 70,821 | 1,762,026 | (41,076 | ) | ||||||||
California Resources Corp. | 30,688 | 487,939 | (113,546 | ) | ||||||||
Campbell Soup Co. | 17,577 | 1,079,579 | 89,818 | |||||||||
Capital One Financial Corp. | 12,085 | 880,392 | (112,874 | ) | ||||||||
Cardinal Health, Inc. | 12,596 | 1,012,970 | (30,356 | ) | ||||||||
Carlisle Cos., Inc. | 59,283 | 5,973,456 | 291,571 | |||||||||
Carnival Corp. | 31,413 | 1,478,610 | (90,155 | ) | ||||||||
Carter’s, Inc. | 34,505 | 3,580,584 | 93,164 | |||||||||
CDW Corp. | 20,459 | 868,689 | (48,692 | ) | ||||||||
CenterPoint Energy, Inc. | 50,063 | 1,166,588 | 34,924 | |||||||||
CenturyLink, Inc. | 87,563 | 2,364,850 | 175,352 | |||||||||
Cerner Corp. | 27,059 | 1,523,025 | 62,633 | |||||||||
CH Robinson Worldwide, Inc. | 10,332 | 756,509 | 10,642 | |||||||||
Charles River Laboratories International, Inc. | 51,942 | 4,473,245 | (191,147 | ) | ||||||||
Cheesecake Factory, Inc. (The) | 33,890 | 1,707,546 | (76,082 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Chico’s FAS, Inc. | 84,952 | $ | 965,904 | $ | (56,068 | ) | ||||||
Choice Hotels International, Inc. | 8,275 | 384,870 | 9,185 | |||||||||
Church & Dwight Co., Inc. | 20,837 | 2,054,737 | 89,182 | |||||||||
Cinemark Holdings, Inc. | 11,054 | 381,372 | 21,657 | |||||||||
Cintas Corp. | 19,101 | 1,818,376 | 56,005 | |||||||||
Cisco Systems, Inc. | 120,728 | 3,511,739 | (48,053 | ) | ||||||||
CIT Group, Inc. | 9,110 | 313,840 | (23,139 | ) | ||||||||
Citigroup, Inc. | 22,581 | 1,032,855 | (75,646 | ) | ||||||||
Citizens Financial Group, Inc. | 38,147 | 895,310 | (133,133 | ) | ||||||||
Citrix Systems, Inc. | 30,691 | 2,643,960 | (185,918 | ) | ||||||||
Clorox Co. (The) | 24,194 | 3,131,616 | 216,591 | |||||||||
Coca-Cola Co. (The) | 64,452 | 2,924,187 | (2,578 | ) | ||||||||
Cognizant Technology Solutions Corp. | 29,921 | 1,805,732 | (93,054 | ) | ||||||||
Colgate-Palmolive Co. | 30,057 | 2,159,295 | 40,878 | |||||||||
Comcast Corp. | 14,701 | 932,043 | 26,315 | |||||||||
Commerce Bancshares, Inc. | 18,292 | 898,503 | (22,316 | ) | ||||||||
Commercial Metals Co. | 71,652 | 1,268,957 | (58,038 | ) | ||||||||
Community Health Systems, Inc. | 144,893 | 2,061,827 | (315,867 | ) | ||||||||
Computer Sciences Corp. | 53,019 | 2,737,371 | (104,978 | ) | ||||||||
comScore, Inc. | 20,448 | 677,310 | (189,012 | ) | ||||||||
ConAgra Foods, Inc. | 42,488 | 1,984,291 | 47,061 | |||||||||
Consolidated Edison, Inc. | 56,018 | 4,203,591 | 302,497 | |||||||||
Convergys Corp. | 65,421 | 1,855,994 | (220,469 | ) | ||||||||
CoreLogic, Inc. | 23,597 | 912,511 | (4,499 | ) | ||||||||
Corning, Inc. | 33,153 | 698,202 | (19,229 | ) | ||||||||
CR Bard, Inc. | 10,632 | 2,355,307 | 144,914 | |||||||||
Cracker Barrel Old Country Store, Inc. | 4,316 | 730,138 | 9,927 | |||||||||
Crane Co. | 15,648 | 926,675 | (39,120 | ) | ||||||||
Cree, Inc. | 19,417 | 473,262 | 1,290 | |||||||||
Crown Holdings, Inc. | 25,597 | 1,375,517 | (78,517 | ) | ||||||||
CSX Corp. | 68,433 | 1,822,308 | (37,576 | ) | ||||||||
Cummins, Inc. | 19,206 | 2,233,658 | (74,135 | ) | ||||||||
CVR Energy, Inc. | 18,873 | 378,003 | (85,471 | ) | ||||||||
Dana Holding Corp. | 85,248 | 1,028,331 | (128,112 | ) | ||||||||
Danaher Corp. | 8,330 | 824,920 | 16,410 | |||||||||
Darden Restaurants, Inc. | 26,266 | 1,769,015 | (105,327 | ) | ||||||||
Dean Foods Co. | 134,148 | 2,451,287 | (24,550 | ) | ||||||||
Deckers Outdoor Corp. | 15,147 | 824,300 | 46,956 | |||||||||
Delta Air Lines, Inc. | 27,218 | 1,123,559 | (132,007 | ) | ||||||||
Deluxe Corp. | 15,225 | 1,016,117 | (5,633 | ) | ||||||||
Denbury Resources, Inc. | 341,337 | 1,467,117 | (241,717 | ) | ||||||||
DENTSPLY SIRONA, Inc. | 15,646 | 981,787 | (11,109 | ) | ||||||||
DeVry Education Group, Inc. | 31,383 | 522,440 | 37,432 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
35
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Diamond Offshore Drilling, Inc. | 19,224 | $ | 490,313 | $ | (22,593 | ) | ||||||
Dick’s Sporting Goods, Inc. | 20,634 | 873,850 | 55,918 | |||||||||
Dillard’s, Inc. | 29,929 | 1,807,029 | 6,669 | |||||||||
Discover Financial Services | 31,478 | 1,796,367 | (109,461 | ) | ||||||||
Dolby Laboratories, Inc. | 7,932 | 383,228 | (3,682 | ) | ||||||||
Dollar General Corp. | 9,055 | 822,828 | 28,342 | |||||||||
Domino’s Pizza, Inc. | 3,677 | 457,272 | 25,813 | |||||||||
Dow Chemical Co. (The) | 11,714 | 628,222 | (45,919 | ) | ||||||||
DR Horton, Inc. | 80,632 | 2,495,560 | 42,735 | |||||||||
Dr. Pepper Snapple Group, Inc. | 58,129 | 5,365,462 | 251,544 | |||||||||
DST Systems, Inc. | 11,833 | 1,428,716 | (51,000 | ) | ||||||||
DSW, Inc. | 46,735 | 978,164 | 11,684 | |||||||||
DTE Energy Co. | 17,434 | 1,626,835 | 101,223 | |||||||||
Dun & Bradstreet Corp. (The) | 12,879 | 1,653,020 | (83,842 | ) | ||||||||
Eaton Corp. plc | 9,162 | 574,183 | (26,936 | ) | ||||||||
eBay, Inc. | 245,142 | 5,880,957 | (142,182 | ) | ||||||||
Edison International | 5,542 | 402,017 | 28,430 | |||||||||
Edwards Lifesciences Corp. | 8,160 | 827,832 | (14,035 | ) | ||||||||
Electronic Arts, Inc. | 9,180 | 702,178 | (6,701 | ) | ||||||||
Emerson Electric Co. | 33,995 | 1,816,703 | (43,524 | ) | ||||||||
Energen Corp. | 17,954 | 867,950 | (2,388 | ) | ||||||||
Energizer Holdings, Inc. | 29,206 | 1,419,766 | 84,051 | |||||||||
Entergy Corp. | 33,926 | 2,660,605 | 99,275 | |||||||||
EP Energy Corp. | 87,681 | 491,014 | (36,826 | ) | ||||||||
Equifax, Inc. | 13,607 | 1,712,033 | 35,106 | |||||||||
Estee Lauder Cos., Inc. (The) | 21,928 | 2,040,620 | (44,733 | ) | ||||||||
Esterline Technologies Corp. | 37,858 | 2,591,466 | (242,756 | ) | ||||||||
Everest Re Group Ltd. | 14,996 | 2,678,600 | 60,719 | |||||||||
Exelon Corp. | 71,120 | 2,490,622 | 95,301 | |||||||||
Expedia, Inc. | 7,087 | 777,869 | (24,521 | ) | ||||||||
Expeditors International of Washington, Inc. | 8,319 | 412,117 | (4,154 | ) | ||||||||
Express Scripts Holding Co. | 15,657 | 1,189,932 | (3,131 | ) | ||||||||
F5 Networks, Inc. | 15,728 | 1,730,709 | 59,766 | |||||||||
Facebook, Inc. | 12,069 | 1,432,096 | (52,851 | ) | ||||||||
FactSet Research Systems, Inc. | 8,019 | 1,283,842 | 10,585 | |||||||||
FedEx Corp. | 9,483 | 1,548,289 | (108,960 | ) | ||||||||
First Solar, Inc. | 45,188 | 2,266,178 | (75,464 | ) | ||||||||
FirstEnergy Corp. | 93,949 | 3,185,304 | 94,456 | |||||||||
Fiserv, Inc. | 6,549 | 698,320 | 13,753 | |||||||||
FLIR Systems, Inc. | 12,927 | 404,121 | (4,031 | ) | ||||||||
Flowers Foods, Inc. | 20,698 | 387,410 | 677 | |||||||||
Fluor Corp. | 7,940 | 421,614 | (30,331 | ) | ||||||||
Foot Locker, Inc. | 21,077 | 1,150,593 | 5,691 | |||||||||
Ford Motor Co. | 28,521 | 376,919 | (18,410 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Fortinet, Inc. | 27,417 | $ | 948,628 | $ | (82,525 | ) | ||||||
Franklin Resources, Inc. | 21,632 | 758,628 | (36,768 | ) | ||||||||
FTI Consulting, Inc. | 25,736 | 1,110,768 | (63,828 | ) | ||||||||
GameStop Corp. | 20,131 | 573,130 | (38,048 | ) | ||||||||
Gannett Co., Inc. | 74,540 | 1,143,327 | (113,930 | ) | ||||||||
Gap, Inc. (The) | 50,333 | 958,844 | 109,223 | |||||||||
GCP Applied Technologies, Inc. | 14,792 | 364,475 | 20,709 | |||||||||
General Dynamics Corp. | 22,244 | 3,121,723 | (24,468 | ) | ||||||||
General Mills, Inc. | 39,070 | 2,484,071 | 302,402 | |||||||||
General Motors Co. | 151,622 | 4,540,802 | (249,900 | ) | ||||||||
Genpact Ltd. | 63,322 | 1,790,746 | (91,184 | ) | ||||||||
Genuine Parts Co. | 8,907 | 863,712 | 38,122 | |||||||||
Gilead Sciences, Inc. | 41,961 | 3,675,784 | (175,397 | ) | ||||||||
GNC Holdings, Inc. | 23,571 | 620,153 | (47,613 | ) | ||||||||
Goldman Sachs Group, Inc. (The) | 2,820 | 442,909 | (23,914 | ) | ||||||||
GoPro, Inc. | 45,256 | 493,510 | (4,293 | ) | ||||||||
Graham Holdings Co. | 1,608 | 815,771 | (28,590 | ) | ||||||||
Graphic Packaging Holding Co. | 225,224 | 3,016,207 | (191,898 | ) | ||||||||
Great Plains Energy, Inc. | 43,239 | 1,294,334 | 20,132 | |||||||||
Groupon, Inc. | 649,133 | 2,312,311 | (202,628 | ) | ||||||||
Guess?, Inc. | 27,935 | 437,183 | (16,761 | ) | ||||||||
Hanover Insurance Group, Inc. (The) | 11,391 | 976,205 | (12,299 | ) | ||||||||
Hartford Financial Services Group, Inc. (The) | 15,998 | 710,951 | (960 | ) | ||||||||
Hasbro, Inc. | 18,210 | 1,570,430 | (40,972 | ) | ||||||||
HCA Holdings, Inc. | 14,980 | 1,178,477 | (24,867 | ) | ||||||||
HD Supply Holdings, Inc. | 61,825 | 2,163,660 | (10,913 | ) | ||||||||
Herman Miller, Inc. | 129,732 | 4,162,895 | (285,206 | ) | ||||||||
Hershey Co. (The) | 5,518 | 514,774 | 111,464 | |||||||||
Hewlett Packard Enterprise Co. | 73,984 | 1,398,298 | (46,610 | ) | ||||||||
HollyFrontier Corp. | 78,063 | 2,116,288 | (260,730 | ) | ||||||||
Hologic, Inc. | 34,486 | 1,190,146 | 3,070 | |||||||||
Home Depot, Inc. (The) | 9,879 | 1,276,268 | (14,818 | ) | ||||||||
Honeywell International, Inc. | 10,695 | 1,235,700 | 8,342 | |||||||||
Hormel Foods Corp. | 21,133 | 723,400 | 50,068 | |||||||||
HP, Inc. | 472,266 | 6,455,876 | (528,938 | ) | ||||||||
HSN, Inc. | 25,072 | 1,328,699 | (101,926 | ) | ||||||||
Hubbell, Inc. | 3,596 | 380,054 | (784 | ) | ||||||||
Huntington Ingalls Industries, Inc. | 38,428 | 6,087,764 | 369,293 | |||||||||
Huntsman Corp. | 91,128 | 1,480,830 | (255,158 | ) | ||||||||
Hyatt Hotels Corp. | 9,986 | 483,322 | 7,390 | |||||||||
IAC/InterActiveCorp. | 48,517 | 2,681,224 | 50,283 | |||||||||
Illinois Tool Works, Inc. | 3,699 | 399,122 | (13,834 | ) | ||||||||
Ingersoll-Rand plc | 13,125 | 859,716 | (23,916 | ) | ||||||||
Ingredion, Inc. | 34,982 | 4,162,635 | 364,385 | |||||||||
Integrated Device Technology, Inc. | 91,712 | 2,094,702 | (248,540 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
36
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Intel Corp. | 53,635 | $ | 1,699,157 | $ | 60,071 | |||||||
International Business Machines Corp. | 18,512 | 2,829,075 | (19,324 | ) | ||||||||
International Paper Co. | 25,494 | 1,099,301 | (18,866 | ) | ||||||||
Interpublic Group of Cos., Inc. (The) | 79,052 | 1,876,485 | (50,384 | ) | ||||||||
Intersil Corp. | 45,059 | 609,198 | 901 | |||||||||
Intrexon Corp. | 35,289 | 1,048,083 | (179,621 | ) | ||||||||
Intuit, Inc. | 9,144 | 988,741 | 31,821 | |||||||||
Intuitive Surgical, Inc. | 1,868 | 1,197,433 | 38,081 | |||||||||
Invesco Ltd. | 23,622 | 723,069 | (119,764 | ) | ||||||||
ITT, Inc. | 19,300 | 697,502 | (80,288 | ) | ||||||||
j2 Global, Inc. | 26,894 | 1,826,372 | (127,478 | ) | ||||||||
Jabil Circuit, Inc. | 79,825 | 1,560,227 | (85,859 | ) | ||||||||
Jack Henry & Associates, Inc. | 22,862 | 1,943,553 | 51,613 | |||||||||
Jack in the Box, Inc. | 20,834 | 1,797,558 | (7,500 | ) | ||||||||
JetBlue Airways Corp. | 150,271 | 2,698,867 | (210,379 | ) | ||||||||
JM Smucker Co. (The) | 3,302 | 435,633 | 67,625 | |||||||||
John Wiley & Sons, Inc. | 32,090 | 1,727,084 | (52,628 | ) | ||||||||
Johnson & Johnson | 25,002 | 2,894,935 | 137,808 | |||||||||
Joy Global, Inc. | 33,517 | 744,748 | (36,198 | ) | ||||||||
JPMorgan Chase & Co. | 7,069 | 461,464 | (22,197 | ) | ||||||||
Juniper Networks, Inc. | 98,457 | 2,300,523 | (86,225 | ) | ||||||||
KB Home | 104,392 | 1,485,633 | 102,170 | |||||||||
Kellogg Co. | 12,065 | 899,084 | 86,023 | |||||||||
Kennametal, Inc. | 40,218 | 1,014,298 | (125,078 | ) | ||||||||
KeyCorp. | 46,256 | 593,927 | (82,798 | ) | ||||||||
Kimberly-Clark Corp. | 43,224 | 5,626,468 | 315,967 | |||||||||
Kinder Morgan, Inc. | 25,488 | 473,312 | 3,823 | |||||||||
Kohl’s Corp. | 37,435 | 1,397,638 | 21,897 | |||||||||
L Brands, Inc. | 5,462 | 382,227 | (15,563 | ) | ||||||||
L-3 Communications Holdings, Inc. | 16,715 | 2,366,008 | 85,915 | |||||||||
Laboratory Corp. of America Holdings | 5,398 | 706,120 | (2,922 | ) | ||||||||
Lam Research Corp. | 25,065 | 2,063,351 | 43,613 | |||||||||
Lancaster Colony Corp. | 15,735 | 1,947,762 | 60,181 | |||||||||
Landstar System, Inc. | 13,462 | 917,705 | 6,596 | |||||||||
Lear Corp. | 28,232 | 3,289,293 | (416,404 | ) | ||||||||
Lennox International, Inc. | 15,049 | 2,086,750 | 59,238 | |||||||||
Liberty Interactive Corp. QVC Group | 70,141 | 1,858,737 | (79,259 | ) | ||||||||
LifePoint Health, Inc. | 12,604 | 865,013 | (41,089 | ) | ||||||||
Lincoln Electric Holdings, Inc. | 10,933 | 672,688 | (26,766 | ) | ||||||||
Lincoln National Corp. | 46,980 | 2,137,120 | (315,706 | ) | ||||||||
Linear Technology Corp. | 14,820 | 698,022 | (8,447 | ) | ||||||||
Lowe’s Cos., Inc. | 25,516 | 2,001,730 | 18,372 | |||||||||
LyondellBasell Industries NV | 16,326 | 1,330,732 | (115,751 | ) | ||||||||
Macy’s, Inc. | 71,497 | 2,450,917 | (47,903 | ) | ||||||||
Mallinckrodt plc | 23,126 | 1,503,653 | (98,054 | ) | ||||||||
Manhattan Associates, Inc. | 14,011 | 947,984 | (49,459 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
ManpowerGroup, Inc. | 42,719 | $ | 3,378,209 | $ | (629,668 | ) | ||||||
Marathon Oil Corp. | 27,535 | 388,321 | 24,979 | |||||||||
Marathon Petroleum Corp. | 68,256 | 2,408,754 | 182,244 | |||||||||
Marriott International, Inc. | 13,012 | 882,864 | (18,087 | ) | ||||||||
Marvell Technology Group Ltd. | 175,540 | 1,760,722 | (87,825 | ) | ||||||||
Masco Corp. | 110,942 | 3,503,548 | (71,003 | ) | ||||||||
Maxim Integrated Products, Inc. | 41,161 | 1,551,133 | (82,097 | ) | ||||||||
McCormick & Co., Inc. | 3,857 | 378,119 | 33,307 | |||||||||
McDonald’s Corp. | 14,371 | 1,753,262 | (23,856 | ) | ||||||||
McKesson Corp. | 12,386 | 2,318,288 | (6,441 | ) | ||||||||
Mentor Graphics Corp. | 137,177 | 3,010,328 | (93,945 | ) | ||||||||
Merck & Co., Inc. | 36,067 | 2,061,950 | 15,869 | |||||||||
Meredith Corp. | 7,288 | 379,187 | (866 | ) | ||||||||
MetLife, Inc. | 34,026 | 1,524,025 | (168,769 | ) | ||||||||
Mettler-Toledo International, Inc. | 1,437 | 543,172 | (18,782 | ) | ||||||||
Michaels Cos., Inc. (The) | 40,638 | 1,224,829 | (69,085 | ) | ||||||||
Micron Technology, Inc. | 164,934 | 2,106,207 | 163,285 | |||||||||
Microsoft Corp. | 39,213 | 2,044,174 | (37,644 | ) | ||||||||
Molina Healthcare, Inc. | 29,040 | 1,493,527 | (44,431 | ) | ||||||||
Mondelez International, Inc. | 40,901 | 1,845,453 | 15,951 | |||||||||
Morningstar, Inc. | 7,663 | 645,838 | (19,158 | ) | ||||||||
MSC Industrial Direct Co., Inc. | 55,322 | 4,139,722 | (236,201 | ) | ||||||||
MSCI, Inc. | 34,642 | 2,679,905 | (8,314 | ) | ||||||||
MSG Networks, Inc. | 69,829 | 1,241,560 | (170,383 | ) | ||||||||
Murphy USA, Inc. | 18,544 | 1,286,269 | 88,954 | |||||||||
Mylan NV | 26,024 | 1,210,636 | (85,359 | ) | ||||||||
Nasdaq, Inc. | 61,093 | 3,978,987 | (28,103 | ) | ||||||||
NetApp, Inc. | 53,172 | 1,329,832 | (22,332 | ) | ||||||||
NeuStar, Inc. | 60,804 | 1,464,160 | (34,658 | ) | ||||||||
New York Times Co. (The) | 44,512 | 539,353 | (758 | ) | ||||||||
News Corp. | 84,325 | 1,014,860 | (57,771 | ) | ||||||||
NIKE, Inc. | 37,649 | 2,044,341 | 33,884 | |||||||||
NiSource, Inc. | 66,244 | 1,618,341 | 138,450 | |||||||||
Norfolk Southern Corp. | 12,625 | 1,074,096 | 670 | |||||||||
Northrop Grumman Corp. | 9,251 | 1,993,035 | 63,277 | |||||||||
Nu Skin Enterprises, Inc. | 99,876 | 4,159,835 | 453,437 | |||||||||
Nuance Communications, Inc. | 127,395 | 2,201,386 | (210,202 | ) | ||||||||
Nucor Corp. | 8,362 | 421,769 | (8,603 | ) | ||||||||
NVR, Inc. | 486 | 838,549 | 26,696 | |||||||||
Oceaneering International, Inc. | 29,848 | 1,027,368 | (136,107 | ) | ||||||||
Office Depot, Inc. | 110,812 | 391,643 | (24,855 | ) | ||||||||
Old Republic International Corp. | 53,811 | 1,017,566 | 20,448 | |||||||||
Omnicom Group, Inc. | 8,059 | 665,785 | (9,057 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
37
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
ON Semiconductor Corp. | 181,676 | $ | 1,782,242 | $ | (179,859 | ) | ||||||
OneMain Holdings, Inc. | 13,309 | 404,604 | (100,892 | ) | ||||||||
Oracle Corp. | 44,632 | 1,760,286 | 66,502 | |||||||||
Orbital ATK, Inc. | 9,860 | 883,555 | (44,074 | ) | ||||||||
O’Reilly Automotive, Inc. | 2,394 | 619,495 | 29,518 | |||||||||
Owens & Minor, Inc. | 33,654 | 1,268,756 | (10,769 | ) | ||||||||
Owens Corning | 97,813 | 4,940,535 | 98,791 | |||||||||
Packaging Corp. of America | 10,509 | 733,150 | (29,782 | ) | ||||||||
Panera Bread Co. | 4,373 | 956,375 | (29,561 | ) | ||||||||
Parker-Hannifin Corp. | 7,850 | 908,280 | (60,088 | ) | ||||||||
PBF Energy, Inc. | 21,922 | 584,221 | (62,916 | ) | ||||||||
PepsiCo, Inc. | 69,949 | 7,194,800 | 215,597 | |||||||||
PerkinElmer, Inc. | 6,929 | 378,276 | (15,058 | ) | ||||||||
Pfizer, Inc. | 48,076 | 1,679,295 | 13,461 | |||||||||
PG&E Corp. | 38,973 | 2,389,045 | 102,109 | |||||||||
Philip Morris International, Inc. | 14,531 | 1,457,750 | 20,343 | |||||||||
Phillips 66 | 4,626 | 374,603 | (7,576 | ) | ||||||||
Pilgrim’s Pride Corp. | 37,133 | 915,053 | 31,095 | |||||||||
Pinnacle West Capital Corp. | 32,872 | 2,478,958 | 185,646 | |||||||||
Pitney Bowes, Inc. | 29,334 | 556,576 | (34,430 | ) | ||||||||
Plantronics, Inc. | 44,798 | 2,020,462 | (49,350 | ) | ||||||||
PNC Financial Services Group, Inc. (The) | 10,396 | 934,912 | (88,782 | ) | ||||||||
PNM Resources, Inc. | 11,119 | 378,725 | 15,332 | |||||||||
Pool Corp. | 4,136 | 377,690 | 11,218 | |||||||||
Popular, Inc. | 13,018 | 404,469 | (23,042 | ) | ||||||||
PPG Industries, Inc. | 3,434 | 375,457 | (17,806 | ) | ||||||||
Priceline Group, Inc. (The) | 1,675 | 2,259,742 | (168,656 | ) | ||||||||
Principal Financial Group, Inc. | 12,939 | 562,329 | (30,407 | ) | ||||||||
ProAssurance Corp. | 15,341 | 801,107 | 20,404 | |||||||||
Procter & Gamble Co. (The) | 65,908 | 5,455,205 | 125,225 | |||||||||
Progressive Corp. (The) | 58,757 | 1,926,658 | 41,701 | |||||||||
Prudential Financial, Inc. | 17,488 | 1,351,298 | (103,704 | ) | ||||||||
Public Service Enterprise Group, Inc. | 193,208 | 8,727,218 | 278,207 | |||||||||
PVH Corp. | 11,811 | 1,143,187 | (30,236 | ) | ||||||||
QUALCOMM, Inc. | 42,114 | 2,310,815 | (54,768 | ) | ||||||||
Quanta Services, Inc. | 80,315 | 1,925,484 | (68,601 | ) | ||||||||
Quest Diagnostics, Inc. | 18,147 | 1,411,292 | 66,055 | |||||||||
Quintiles Transnational Holdings, Inc. | 62,559 | 4,204,590 | (118,237 | ) | ||||||||
Quorum Health Corp. | 1,509 | 18,938 | (2,777 | ) | ||||||||
Rackspace Hosting, Inc. | 145,974 | 3,636,212 | (591,195 | ) | ||||||||
Ralph Lauren Corp. | 19,377 | 1,866,586 | (130,020 | ) | ||||||||
Raymond James Financial, Inc. | 9,714 | 545,830 | (66,929 | ) | ||||||||
Raytheon Co. | 18,057 | 2,415,846 | 39,003 | |||||||||
Red Hat, Inc. | 12,303 | 961,233 | (68,036 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Regions Financial Corp. | 99,515 | $ | 990,174 | $ | (143,302 | ) | ||||||
Reinsurance Group of America, Inc. | 16,035 | 1,581,853 | (26,618 | ) | ||||||||
Reliance Steel & Aluminum Co. | 24,468 | 1,856,546 | 25,044 | |||||||||
Republic Services, Inc. | 30,688 | 1,504,633 | 69,969 | |||||||||
ResMed, Inc. | 9,978 | 599,659 | 31,250 | |||||||||
Reynolds American, Inc. | 28,057 | 1,432,310 | 80,804 | |||||||||
Robert Half International, Inc. | 106,640 | 4,360,990 | (291,607 | ) | ||||||||
Rockwell Automation, Inc. | 12,650 | 1,504,211 | (51,738 | ) | ||||||||
Ross Stores, Inc. | 33,466 | 1,751,610 | 145,577 | |||||||||
Rowan Cos. plc | 63,969 | 1,174,471 | (44,778 | ) | ||||||||
RR Donnelley & Sons Co. | 95,489 | 1,585,410 | 30,263 | |||||||||
Sally Beauty Holdings, Inc. | 18,797 | 574,624 | (21,805 | ) | ||||||||
SCANA Corp. | 36,224 | 2,574,086 | 166,622 | |||||||||
Sealed Air Corp. | 13,503 | 619,623 | 1,110 | |||||||||
Service Corp. International | 22,186 | 609,449 | (9,540 | ) | ||||||||
Sherwin-Williams Co. (The) | 2,575 | 755,685 | 515 | |||||||||
Silicon Laboratories, Inc. | 6,610 | 332,434 | (10,262 | ) | ||||||||
Skechers U.S.A., Inc. | 99,619 | 3,143,976 | (183,299 | ) | ||||||||
Skyworks Solutions, Inc. | 8,179 | 540,714 | (23,147 | ) | ||||||||
Snap-on, Inc. | 2,387 | 380,806 | (4,090 | ) | ||||||||
Sonoco Products Co. | 67,943 | 3,253,494 | 120,555 | |||||||||
Southwest Airlines Co. | 29,251 | 1,221,814 | (74,883 | ) | ||||||||
Spirit AeroSystems Holdings, Inc. | 111,498 | 5,272,755 | (478,341 | ) | ||||||||
SPX Corp. | 32,140 | 515,526 | (38,247 | ) | ||||||||
SPX FLOW, Inc. | 28,968 | 891,056 | (135,860 | ) | ||||||||
Stanley Black & Decker, Inc. | 10,936 | 1,244,399 | (28,097 | ) | ||||||||
Staples, Inc. | 124,218 | 1,114,235 | (43,476 | ) | ||||||||
Starbucks Corp. | 11,506 | 639,619 | 17,604 | |||||||||
Steel Dynamics, Inc. | 26,571 | 680,392 | (29,402 | ) | ||||||||
SunTrust Banks, Inc. | 18,461 | 811,730 | (53,352 | ) | ||||||||
SUPERVALU, Inc. | 455,810 | 2,164,847 | (13,424 | ) | ||||||||
Symantec Corp. | 71,462 | 1,227,717 | 240,112 | |||||||||
Synaptics, Inc. | 21,100 | 1,397,383 | (263,258 | ) | ||||||||
Synchrony Financial | 80,808 | 2,510,382 | (467,556 | ) | ||||||||
SYNNEX Corp. | 31,504 | 2,973,978 | 13,232 | |||||||||
Synopsys, Inc. | 32,320 | 1,698,146 | 49,720 | |||||||||
Sysco Corp. | 35,910 | 1,751,874 | 70,199 | |||||||||
T Rowe Price Group, Inc. | 10,762 | 822,324 | (37,021 | ) | ||||||||
Tableau Software, Inc. | 34,569 | 1,925,493 | (234,378 | ) | ||||||||
Target Corp. | 28,394 | 1,953,791 | 28,678 | |||||||||
TCF Financial Corp. | 26,872 | 383,374 | (43,444 | ) | ||||||||
Tech Data Corp. | 48,945 | 3,810,473 | (293,775 | ) | ||||||||
Teekay Corp. | 96,712 | 1,007,739 | (318,182 | ) | ||||||||
Teledyne Technologies, Inc. | 6,872 | 690,567 | (9,896 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
38
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Telephone & Data Systems, Inc. | 52,956 | $ | 1,523,681 | $ | 46,994 | |||||||
Teradata Corp. | 67,088 | 1,923,674 | (241,778 | ) | ||||||||
Teradyne, Inc. | 97,783 | 1,935,210 | (9,862 | ) | ||||||||
Tesoro Corp. | 43,328 | 3,472,306 | (226,172 | ) | ||||||||
Texas Instruments, Inc. | 22,604 | 1,385,399 | 30,741 | |||||||||
Textron, Inc. | 42,701 | 1,714,018 | (152,870 | ) | ||||||||
Thomson Reuters Corp. | 13,998 | 594,075 | (28,276 | ) | ||||||||
Thor Industries, Inc. | 27,555 | 1,785,564 | (1,653 | ) | ||||||||
Time Warner, Inc. | 14,145 | 1,075,161 | (34,938 | ) | ||||||||
Timken Co. (The) | 25,080 | 851,712 | (82,760 | ) | ||||||||
TJX Cos., Inc. (The) | 28,289 | 2,149,964 | 34,795 | |||||||||
Total System Services, Inc. | 37,444 | 2,003,254 | (14,603 | ) | ||||||||
Travelers Cos., Inc. (The) | 18,347 | 2,097,613 | 86,414 | |||||||||
Trinity Industries, Inc. | 71,463 | 1,337,339 | (10,271 | ) | ||||||||
TripAdvisor, Inc. | 7,558 | 540,095 | (54,115 | ) | ||||||||
Tyson Foods, Inc. | 86,751 | 5,281,885 | 512,214 | |||||||||
Union Pacific Corp. | 6,131 | 540,115 | (5,186 | ) | ||||||||
United Continental Holdings, Inc. | 113,167 | 5,039,327 | (394,953 | ) | ||||||||
United Natural Foods, Inc. | 37,493 | 1,487,128 | 267,544 | |||||||||
United Technologies Corp. | 9,709 | 990,075 | 5,583 | |||||||||
United Therapeutics Corp. | 55,328 | 6,601,184 | (740,842 | ) | ||||||||
UnitedHealth Group, Inc. | 10,520 | 1,453,338 | 32,086 | |||||||||
Universal Health Services, Inc. | 5,507 | 754,239 | (15,750 | ) | ||||||||
Unum Group | 31,173 | 1,132,515 | (141,525 | ) | ||||||||
Urban Outfitters, Inc. | 104,816 | 2,993,545 | (111,105 | ) | ||||||||
US Bancorp. | 10,060 | 431,373 | (25,653 | ) | ||||||||
Valero Energy Corp. | 73,264 | 4,023,659 | (287,195 | ) | ||||||||
Validus Holdings Ltd. | 33,053 | 1,580,264 | 25,781 | |||||||||
Vantiv, Inc. | 19,659 | 1,057,654 | 55,045 | |||||||||
Varian Medical Systems, Inc. | 8,744 | 735,633 | (16,614 | ) | ||||||||
VCA, Inc. | 6,651 | 437,998 | 11,676 | |||||||||
Vectren Corp. | 7,901 | 400,544 | 15,602 | |||||||||
VeriFone Systems, Inc. | 17,915 | 439,689 | (107,545 | ) | ||||||||
VeriSign, Inc. | 9,423 | 799,259 | 15,454 | |||||||||
Verizon Communications, Inc. | 42,596 | 2,164,502 | 214,059 | |||||||||
Viacom, Inc. | 49,770 | 2,261,051 | (197,089 | ) | ||||||||
Viavi Solutions, Inc. | 241,228 | 1,665,086 | (65,745 | ) | ||||||||
Vishay Intertechnology, Inc. | 114,463 | 1,510,486 | (92,289 | ) | ||||||||
VMware, Inc. | 16,432 | 1,030,959 | (90,720 | ) | ||||||||
Voya Financial, Inc. | 12,016 | 372,228 | (74,712 | ) | ||||||||
VWR Corp. | 65,240 | 1,949,928 | (64,492 | ) | ||||||||
Waddell & Reed Financial, Inc. | 63,204 | 1,348,464 | (260,091 | ) | ||||||||
Wal-Mart Stores, Inc. | 51,333 | 3,647,700 | 100,636 | |||||||||
Walt Disney Co. (The) | 5,611 | 554,255 | (5,387 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Waste Management, Inc. | 29,129 | $ | 1,805,070 | $ | 125,309 | |||||||
Waters Corp. | 8,840 | 1,226,815 | 16,531 | |||||||||
Watsco, Inc. | 16,651 | 2,264,956 | 77,673 | |||||||||
WellCare Health Plans, Inc. | 30,847 | 3,212,715 | 96,551 | |||||||||
Wells Fargo & Co. | 13,949 | 704,285 | (44,079 | ) | ||||||||
Werner Enterprises, Inc. | 48,803 | 1,250,333 | (129,328 | ) | ||||||||
WESCO International, Inc. | 6,590 | 399,036 | (59,717 | ) | ||||||||
Western Digital Corp. | 45,568 | 2,188,175 | (34,632 | ) | ||||||||
Western Refining, Inc. | 71,470 | 1,566,622 | (92,196 | ) | ||||||||
Western Union Co. (The) | 19,274 | 378,046 | (8,371 | ) | ||||||||
Westlake Chemical Corp. | 27,320 | 1,245,388 | (72,813 | ) | ||||||||
Whirlpool Corp. | 3,282 | 573,792 | (26,880 | ) | ||||||||
World Fuel Services Corp. | 46,200 | 2,159,850 | 34,188 | |||||||||
Worthington Industries, Inc. | 16,190 | 641,286 | 43,551 | |||||||||
WR Berkley Corp. | 13,089 | 737,434 | 46,859 | |||||||||
Wyndham Worldwide Corp. | 18,258 | 1,240,083 | 60,434 | |||||||||
Xcel Energy, Inc. | 9,036 | 384,016 | 20,616 | |||||||||
Xerox Corp. | 298,459 | 3,072,330 | (239,954 | ) | ||||||||
Xilinx, Inc. | 27,997 | 1,312,219 | (20,718 | ) | ||||||||
Xylem, Inc. | 11,178 | 510,723 | (11,625 | ) | ||||||||
Yelp, Inc. | 13,751 | 379,381 | 38,099 | |||||||||
Yum! Brands, Inc. | 28,456 | 2,367,255 | (7,683 | ) | ||||||||
Zynga, Inc. | 303,028 | 799,994 | (45,454 | ) | ||||||||
|
| |||||||||||
(12,406,295 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (13,001,872 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
lululemon athletica, Inc. | (23,283 | ) | (1,642,905 | ) | (76,777 | ) | ||||||
Waste Connections, Inc. | (43,493 | ) | (3,155,900 | ) | 22,229 | |||||||
|
| |||||||||||
(54,548 | ) | |||||||||||
|
| |||||||||||
Ireland | ||||||||||||
Allegion plc | (29,510 | ) | (2,003,729 | ) | (45,150 | ) | ||||||
Perrigo Co. plc | (29,949 | ) | (2,974,428 | ) | 258,952 | |||||||
|
| |||||||||||
213,802 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Chicago Bridge & Iron Co. NV | (44,338 | ) | (1,718,541 | ) | 183,116 | |||||||
Core Laboratories NV | (16,600 | ) | (2,136,918 | ) | 80,344 | |||||||
Frank’s International NV | (7,143 | ) | (114,788 | ) | 10,429 | |||||||
QIAGEN NV | (37,371 | ) | (835,500 | ) | 20,439 | |||||||
Sensata Technologies Holding NV | (46,043 | ) | (1,732,138 | ) | 125,697 | |||||||
|
| |||||||||||
420,025 | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
39
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Norway | ||||||||||||
Golar LNG Ltd. | (35,941 | ) | $ | (637,294 | ) | $ | 80,209 | |||||
|
| |||||||||||
Panama | ||||||||||||
Copa Holdings SA | (7,088 | ) | (378,739 | ) | 8,320 | |||||||
|
| |||||||||||
Singapore | ||||||||||||
Broadcom Ltd. | (15,455 | ) | (2,530,310 | ) | 128,603 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Garmin Ltd. | (8,816 | ) | (378,025 | ) | 4,050 | |||||||
Weatherford International plc | (267,597 | ) | (1,774,168 | ) | 289,005 | |||||||
|
| |||||||||||
293,055 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aon plc | (21,719 | ) | (2,376,059 | ) | 3,692 | |||||||
Delphi Automotive plc | (38,410 | ) | (2,593,827 | ) | 189,361 | |||||||
Liberty Global plc | (75,076 | ) | (2,573,152 | ) | 391,444 | |||||||
Liberty Global plc LiLAC | (9,367 | ) | (376,584 | ) | 74,405 | |||||||
Pentair plc | (41,703 | ) | (2,532,206 | ) | 101,338 | |||||||
STERIS plc | (25,505 | ) | (1,792,236 | ) | 38,768 | |||||||
|
| |||||||||||
799,008 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
3D Systems Corp. | (136,820 | ) | (1,903,166 | ) | 30,100 | |||||||
AbbVie, Inc. | (17,630 | ) | (1,074,464 | ) | (17,009 | ) | ||||||
ABIOMED, Inc. | (3,651 | ) | (380,643 | ) | (18,375 | ) | ||||||
Acadia Healthcare Co., Inc. | (98,351 | ) | (6,041,380 | ) | 592,734 | |||||||
ACI Worldwide, Inc. | (18,056 | ) | (386,420 | ) | 34,148 | |||||||
Acuity Brands, Inc. | (9,196 | ) | (2,332,172 | ) | 51,932 | |||||||
Acxiom Corp. | (19,688 | ) | (431,955 | ) | (984 | ) | ||||||
Advance Auto Parts, Inc. | (9,812 | ) | (1,505,561 | ) | (80,353 | ) | ||||||
Advanced Micro Devices, Inc. | (211,421 | ) | (945,052 | ) | (141,652 | ) | ||||||
AECOM | (56,880 | ) | (1,852,013 | ) | 44,935 | |||||||
Agios Pharmaceuticals, Inc. | (11,693 | ) | (668,303 | ) | 178,425 | |||||||
Air Lease Corp. | (71,173 | ) | (2,120,244 | ) | 214,231 | |||||||
Air Products & Chemicals, Inc. | (4,036 | ) | (587,480 | ) | 14,207 | |||||||
Akorn, Inc. | (96,270 | ) | (3,047,908 | ) | 305,657 | |||||||
Albemarle Corp. | (32,877 | ) | (2,661,722 | ) | 54,247 | |||||||
Alcoa, Inc. | (148,071 | ) | (1,457,019 | ) | 84,400 | |||||||
Alexion Pharmaceuticals, Inc. | (26,470 | ) | (3,929,282 | ) | 838,644 | |||||||
Align Technology, Inc. | (6,964 | ) | (548,067 | ) | (12,883 | ) | ||||||
Allegheny Technologies, Inc. | (58,232 | ) | (791,373 | ) | 48,915 | |||||||
Allergan plc | (6,884 | ) | (1,701,863 | ) | 111,040 | |||||||
Alliance Data Systems Corp. | (5,478 | ) | (1,240,493 | ) | 167,243 | |||||||
Alliant Energy Corp. | (47,040 | ) | (1,800,691 | ) | (66,797 | ) | ||||||
Allison Transmission Holdings, Inc. | (13,081 | ) | (376,258 | ) | 6,982 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Ally Financial, Inc. | (154,492 | ) | $ | (2,802,485 | ) | $ | 165,306 | |||||
Alnylam Pharmaceuticals, Inc. | (42,255 | ) | (3,067,713 | ) | 722,983 | |||||||
AMERCO | (1,931 | ) | (728,837 | ) | 5,581 | |||||||
American Airlines Group, Inc. | (63,391 | ) | (2,095,634 | ) | 301,035 | |||||||
American Express Co. | (5,751 | ) | (378,198 | ) | 28,767 | |||||||
AMETEK, Inc. | (31,609 | ) | (1,526,650 | ) | 65,366 | |||||||
Amphenol Corp. | (29,085 | ) | (1,727,940 | ) | 60,497 | |||||||
Amsurg Corp. | (11,553 | ) | (901,160 | ) | 5,340 | |||||||
AmTrust Financial Services, Inc. | (16,175 | ) | (427,667 | ) | 31,379 | |||||||
Anadarko Petroleum Corp. | (26,325 | ) | (1,402,596 | ) | 790 | |||||||
Apache Corp. | (61,324 | ) | (3,410,841 | ) | (3,066 | ) | ||||||
Apple, Inc. | (7,943 | ) | (791,328 | ) | 31,977 | |||||||
Aqua America, Inc. | (54,117 | ) | (1,792,355 | ) | (137,457 | ) | ||||||
Arch Capital Group Ltd. | (5,690 | ) | (408,074 | ) | (1,606 | ) | ||||||
Arista Networks, Inc. | (25,401 | ) | (1,896,439 | ) | 261,122 | |||||||
ARRIS International plc | (167,916 | ) | (4,070,396 | ) | 550,877 | |||||||
Arthur J Gallagher & Co. | (14,759 | ) | (705,775 | ) | 3,247 | |||||||
Artisan Partners Asset Management, Inc. | (48,660 | ) | (1,617,458 | ) | 270,550 | |||||||
Ascena Retail Group, Inc. | (136,118 | ) | (986,616 | ) | 35,151 | |||||||
Ashland, Inc. | (12,084 | ) | (1,390,748 | ) | 3,867 | |||||||
Associated Banc-Corp. | (23,701 | ) | (441,313 | ) | 34,840 | |||||||
athenahealth, Inc. | (2,884 | ) | (378,323 | ) | (19,698 | ) | ||||||
Atmos Energy Corp. | (5,515 | ) | (410,095 | ) | (38,384 | ) | ||||||
Autodesk, Inc. | (29,634 | ) | (1,738,627 | ) | 134,242 | |||||||
AutoNation, Inc. | (40,177 | ) | (1,976,159 | ) | 88,644 | |||||||
Avis Budget Group, Inc. | (92,659 | ) | (3,017,904 | ) | 31,504 | |||||||
Axalta Coating Systems Ltd. | (59,596 | ) | (1,669,284 | ) | 88,202 | |||||||
B/E Aerospace, Inc. | (15,785 | ) | (761,028 | ) | 32,156 | |||||||
Baker Hughes, Inc. | (51,603 | ) | (2,555,381 | ) | 226,537 | |||||||
Ball Corp. | (93,102 | ) | (6,918,815 | ) | 188,471 | |||||||
Bank of Hawaii Corp. | (21,410 | ) | (1,547,087 | ) | 74,079 | |||||||
Bank of the Ozarks, Inc. | (41,730 | ) | (1,639,204 | ) | 73,494 | |||||||
BankUnited, Inc. | (50,090 | ) | (1,671,002 | ) | 132,238 | |||||||
BB&T Corp. | (29,068 | ) | (1,069,121 | ) | 34,010 | |||||||
BioMarin Pharmaceutical, Inc. | (27,973 | ) | (2,504,143 | ) | 327,844 | |||||||
Bio-Techne Corp. | (31,047 | ) | (3,485,481 | ) | (15,689 | ) | ||||||
Black Hills Corp. | (34,876 | ) | (2,152,547 | ) | (46,036 | ) | ||||||
Black Knight Financial Services, Inc. | (41,214 | ) | (1,516,675 | ) | (32,971 | ) | ||||||
BlackRock, Inc. | (3,215 | ) | (1,164,023 | ) | 62,789 | |||||||
Bluebird Bio, Inc. | (8,137 | ) | (381,588 | ) | 29,338 | |||||||
BorgWarner, Inc. | (121,349 | ) | (4,170,770 | ) | 588,548 | |||||||
Boston Scientific Corp. | (72,292 | ) | (1,644,643 | ) | (44,821 | ) | ||||||
Bristol-Myers Squibb Co. | (39,075 | ) | (2,887,072 | ) | 13,106 | |||||||
Brown & Brown, Inc. | (40,033 | ) | (1,447,593 | ) | (52,443 | ) | ||||||
Brown-Forman Corp. | (22,570 | ) | (2,215,471 | ) | (36,112 | ) | ||||||
Cabela’s, Inc. | (40,057 | ) | (2,020,876 | ) | 15,622 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
40
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Cable One, Inc. | (1,904 | ) | $ | (969,574 | ) | $ | (4,151 | ) | ||||
Cabot Oil & Gas Corp. | (62,744 | ) | (1,537,855 | ) | (77,175 | ) | ||||||
CalAtlantic Group, Inc. | (68,834 | ) | (2,565,443 | ) | 38,547 | |||||||
Calpine Corp. | (138,407 | ) | (2,197,075 | ) | 155,572 | |||||||
CarMax, Inc. | (53,838 | ) | (2,795,269 | ) | 155,592 | |||||||
Catalent, Inc. | (68,963 | ) | (1,757,374 | ) | 171,914 | |||||||
Caterpillar, Inc. | (9,316 | ) | (712,438 | ) | 6,192 | |||||||
Cathay General Bancorp | (27,884 | ) | (865,519 | ) | 79,191 | |||||||
CBOE Holdings, Inc. | (19,685 | ) | (1,236,809 | ) | (74,606 | ) | ||||||
CBS Corp. | (7,290 | ) | (392,494 | ) | (4,373 | ) | ||||||
CDK Global, Inc. | (14,758 | ) | (833,975 | ) | 15,053 | |||||||
CEB, Inc. | (10,777 | ) | (706,971 | ) | 42,246 | |||||||
Celgene Corp. | (10,354 | ) | (1,103,065 | ) | 81,850 | |||||||
Centene Corp. | (5,586 | ) | (374,824 | ) | (23,848 | ) | ||||||
CF Industries Holdings, Inc. | (48,948 | ) | (1,522,086 | ) | 342,439 | |||||||
Charles Schwab Corp. (The) | (93,352 | ) | (2,781,890 | ) | 419,150 | |||||||
Chemours Co. (The) | (48,291 | ) | (409,201 | ) | 11,283 | |||||||
Cheniere Energy, Inc. | (65,388 | ) | (2,211,271 | ) | (244,049 | ) | ||||||
Chesapeake Energy Corp. | (114,160 | ) | (526,891 | ) | 38,286 | |||||||
Chevron Corp. | (16,069 | ) | (1,625,701 | ) | (58,813 | ) | ||||||
Chipotle Mexican Grill, Inc. | (5,628 | ) | (2,505,980 | ) | 239,246 | |||||||
Ciena Corp. | (102,288 | ) | (2,175,666 | ) | 257,766 | |||||||
Cimarex Energy Co. | (22,107 | ) | (2,598,236 | ) | (39,572 | ) | ||||||
Cincinnati Financial Corp. | (5,885 | ) | (408,360 | ) | (32,367 | ) | ||||||
Clean Harbors, Inc. | (7,017 | ) | (375,138 | ) | 9,482 | |||||||
CME Group, Inc. | (7,802 | ) | (755,078 | ) | (4,837 | ) | ||||||
CMS Energy Corp. | (58,739 | ) | (2,504,044 | ) | (189,727 | ) | ||||||
CNO Financial Group, Inc. | (52,812 | ) | (1,050,431 | ) | 128,333 | |||||||
Cobalt International Energy, Inc. | (220,724 | ) | (492,215 | ) | 196,444 | |||||||
Cognex Corp. | (68,061 | ) | (3,030,756 | ) | 97,327 | |||||||
Colfax Corp. | (28,373 | ) | (833,599 | ) | 82,849 | |||||||
Comerica, Inc. | (9,892 | ) | (452,778 | ) | 45,920 | |||||||
CommScope Holding Co., Inc. | (160,399 | ) | (5,158,432 | ) | 181,251 | |||||||
CommVault Systems, Inc. | (9,925 | ) | (461,810 | ) | 33,150 | |||||||
Compass Minerals International, Inc. | (28,780 | ) | (2,316,790 | ) | 181,602 | |||||||
Concho Resources, Inc. | (22,221 | ) | (2,680,042 | ) | 29,744 | |||||||
CONSOL Energy, Inc. | (25,285 | ) | (368,721 | ) | (38,115 | ) | ||||||
Constellation Brands, Inc. | (5,384 | ) | (829,357 | ) | (61,156 | ) | ||||||
Cooper Cos., Inc. (The) | (13,944 | ) | (2,273,848 | ) | (118,524 | ) | ||||||
Copart, Inc. | (24,116 | ) | (1,188,152 | ) | 6,226 | |||||||
CoStar Group, Inc. | (9,373 | ) | (1,963,737 | ) | (85,763 | ) | ||||||
Costco Wholesale Corp. | (12,730 | ) | (1,938,015 | ) | (61,104 | ) | ||||||
Covanta Holding Corp. | (215,015 | ) | (3,607,952 | ) | 70,955 | |||||||
CST Brands, Inc. | (42,764 | ) | (1,883,989 | ) | 41,716 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Cullen/Frost Bankers, Inc. | (8,513 | ) | $ | (572,670 | ) | $ | 30,136 | |||||
Cypress Semiconductor Corp. | (257,804 | ) | (2,835,844 | ) | 116,012 | |||||||
DaVita HealthCare Partners, Inc. | (11,636 | ) | (895,972 | ) | (3,724 | ) | ||||||
Deere & Co. | (15,510 | ) | (1,356,815 | ) | 99,884 | |||||||
Devon Energy Corp. | (28,706 | ) | (1,078,197 | ) | 37,605 | |||||||
DexCom, Inc. | (47,006 | ) | (3,272,647 | ) | (456,339 | ) | ||||||
Diebold, Inc. | (115,963 | ) | (3,102,010 | ) | 222,649 | |||||||
Discovery Communications, Inc. | (28,167 | ) | (813,463 | ) | 102,810 | |||||||
DISH Network Corp. | (15,768 | ) | (864,402 | ) | 38,159 | |||||||
Dollar Tree, Inc. | (52,107 | ) | (4,721,936 | ) | (188,627 | ) | ||||||
Dominion Resources, Inc. | (89,191 | ) | (6,490,429 | ) | (460,226 | ) | ||||||
Donaldson Co., Inc. | (43,685 | ) | (1,611,103 | ) | 110,086 | |||||||
Dover Corp. | (19,242 | ) | (1,343,092 | ) | 9,236 | |||||||
Dunkin’ Brands Group, Inc. | (30,692 | ) | (1,392,496 | ) | 53,711 | |||||||
E*TRADE Financial Corp. | (38,928 | ) | (1,058,842 | ) | 144,423 | |||||||
Eagle Materials, Inc. | (20,551 | ) | (1,660,110 | ) | 74,600 | |||||||
Eastman Chemical Co. | (7,973 | ) | (589,364 | ) | 47,997 | |||||||
Eaton Vance Corp. | (15,189 | ) | (558,044 | ) | 21,265 | |||||||
Ecolab, Inc. | (14,026 | ) | (1,684,943 | ) | 21,460 | |||||||
Envision Healthcare Holdings, Inc. | (119,923 | ) | (3,034,052 | ) | (8,395 | ) | ||||||
EOG Resources, Inc. | (41,027 | ) | (3,334,264 | ) | (88,208 | ) | ||||||
EQT Corp. | (5,077 | ) | (378,945 | ) | (14,167 | ) | ||||||
Eversource Energy | (32,862 | ) | (1,834,357 | ) | (134,077 | ) | ||||||
Exxon Mobil Corp. | (12,135 | ) | (1,084,141 | ) | (53,394 | ) | ||||||
Fastenal Co. | (8,285 | ) | (377,831 | ) | 10,059 | |||||||
Federated Investors, Inc. | (28,190 | ) | (906,872 | ) | 95,564 | |||||||
FEI Co. | (4,066 | ) | (436,810 | ) | 2,236 | |||||||
Fidelity National Information Services, Inc. | (17,363 | ) | (1,307,087 | ) | 27,781 | |||||||
FireEye, Inc. | (102,653 | ) | (1,755,366 | ) | 64,671 | |||||||
First American Financial Corp. | (10,129 | ) | (383,256 | ) | (24,132 | ) | ||||||
First Data Corp. | (345,582 | ) | (4,375,068 | ) | 549,475 | |||||||
First Horizon National Corp. | (70,238 | ) | (1,012,697 | ) | 44,818 | |||||||
First Republic Bank | (26,895 | ) | (1,896,098 | ) | 13,716 | |||||||
FleetCor Technologies, Inc. | (8,888 | ) | (1,367,063 | ) | 94,924 | |||||||
Flowserve Corp. | (25,209 | ) | (1,287,424 | ) | 148,733 | |||||||
FMC Corp. | (68,200 | ) | (3,387,494 | ) | 229,152 | |||||||
FNF Group | (51,337 | ) | (1,825,544 | ) | (99,594 | ) | ||||||
Fortune Brands Home & Security, Inc. | (7,409 | ) | (428,008 | ) | (1,492 | ) | ||||||
Freeport-McMoRan, Inc. | (114,285 | ) | (1,323,099 | ) | 49,964 | |||||||
Frontier Communications Corp. | (195,320 | ) | (1,013,711 | ) | 48,830 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
41
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Gartner, Inc. | (3,941 | ) | $ | (402,888 | ) | $ | 18,996 | |||||
GATX Corp. | (42,813 | ) | (2,033,954 | ) | 151,467 | |||||||
General Electric Co. | (93,454 | ) | (2,817,526 | ) | (124,406 | ) | ||||||
Genesee & Wyoming, Inc. | (45,053 | ) | (2,850,053 | ) | 194,178 | |||||||
Gentex Corp. | (120,869 | ) | (1,984,669 | ) | 117,243 | |||||||
Genworth Financial, Inc. | (331,849 | ) | (1,221,204 | ) | 365,034 | |||||||
Global Payments, Inc. | (7,197 | ) | (555,249 | ) | 41,527 | |||||||
Goodyear Tire & Rubber Co. (The) | (17,756 | ) | (490,602 | ) | 34,983 | |||||||
Graco, Inc. | (7,781 | ) | (635,552 | ) | 20,931 | |||||||
Granite Construction, Inc. | (25,659 | ) | (1,150,796 | ) | (17,972 | ) | ||||||
Greif, Inc. | (13,629 | ) | (515,176 | ) | 7,223 | |||||||
H&R Block, Inc. | (37,102 | ) | (798,767 | ) | (54,579 | ) | ||||||
Hain Celestial Group, Inc. (The) | (18,272 | ) | (904,647 | ) | (4,385 | ) | ||||||
Halliburton Co. | (85,982 | ) | (3,859,732 | ) | (34,393 | ) | ||||||
Halyard Health, Inc. | (36,252 | ) | (1,188,341 | ) | 9,426 | |||||||
Hancock Holding Co. | (24,164 | ) | (642,584 | ) | 11,662 | |||||||
Hanesbrands, Inc. | (47,284 | ) | (1,284,056 | ) | 95,809 | |||||||
Harley-Davidson, Inc. | (69,246 | ) | (3,121,610 | ) | (15,234 | ) | ||||||
Harman International Industries, Inc. | (26,135 | ) | (2,086,096 | ) | 209,080 | |||||||
Harris Corp. | (29,190 | ) | (2,363,310 | ) | (72,303 | ) | ||||||
Helmerich & Payne, Inc. | (20,208 | ) | (1,308,266 | ) | (48,297 | ) | ||||||
Henry Schein, Inc. | (6,885 | ) | (1,228,340 | ) | 11,072 | |||||||
Hertz Global Holdings, Inc. | (136,481 | ) | (1,469,900 | ) | (40,944 | ) | ||||||
Hess Corp. | (8,299 | ) | (500,513 | ) | 1,743 | |||||||
Hexcel Corp. | (35,557 | ) | (1,563,827 | ) | 83,234 | |||||||
Hill-Rom Holdings, Inc. | (15,735 | ) | (792,100 | ) | (1,731 | ) | ||||||
Hilton Worldwide Holdings, Inc. | (40,153 | ) | (864,205 | ) | (40,442 | ) | ||||||
Howard Hughes Corp. (The) | (29,593 | ) | (3,399,940 | ) | 16,868 | |||||||
Huntington Bancshares, Inc. | (52,183 | ) | (549,487 | ) | 82,971 | |||||||
IDEX Corp. | (7,849 | ) | (673,680 | ) | 29,277 | |||||||
IDEXX Laboratories, Inc. | (29,890 | ) | (2,631,516 | ) | (144,070 | ) | ||||||
Illumina, Inc. | (44,378 | ) | (6,550,193 | ) | 320,409 | |||||||
Incyte Corp. | (29,173 | ) | (2,494,000 | ) | 160,743 | |||||||
Intercontinental Exchange, Inc. | (5,226 | ) | (1,379,341 | ) | 41,694 | |||||||
International Flavors & Fragrances, Inc. | (13,882 | ) | (1,788,557 | ) | 38,453 | |||||||
Janus Capital Group, Inc. | (49,429 | ) | (762,195 | ) | 74,143 | |||||||
JB Hunt Transport Services, Inc. | (8,295 | ) | (684,918 | ) | 13,604 | |||||||
JC Penney Co., Inc. | (206,465 | ) | (1,738,982 | ) | (94,427 | ) | ||||||
Johnson Controls, Inc. | (64,947 | ) | (2,900,830 | ) | 26,276 | |||||||
Juno Therapeutics, Inc. | (12,620 | ) | (582,789 | ) | 97,676 | |||||||
Kansas City Southern | (41,343 | ) | (3,775,443 | ) | 50,852 | |||||||
KAR Auction Services, Inc. | (9,698 | ) | (400,534 | ) | (4,260 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Kate Spade & Co. | (32,274 | ) | $ | (684,209 | ) | $ | 19,042 | |||||
KBR, Inc. | (36,376 | ) | (544,185 | ) | 62,567 | |||||||
Keysight Technologies, Inc. | (12,020 | ) | (378,446 | ) | 28,784 | |||||||
Kirby Corp. | (21,472 | ) | (1,532,511 | ) | 192,873 | |||||||
KLX, Inc. | (51,149 | ) | (1,754,411 | ) | 168,792 | |||||||
Knowles Corp. | (193,151 | ) | (3,018,950 | ) | 376,644 | |||||||
Kosmos Energy Ltd. | (295,759 | ) | (1,718,360 | ) | 106,473 | |||||||
Kroger Co. (The) | (10,434 | ) | (382,159 | ) | (1,708 | ) | ||||||
Laredo Petroleum, Inc. | (70,272 | ) | (879,128 | ) | 142,677 | |||||||
Leggett & Platt, Inc. | (9,678 | ) | (490,287 | ) | (4,355 | ) | ||||||
LendingClub Corp. | (109,391 | ) | (518,513 | ) | 48,132 | |||||||
Lennar Corp. | (38,941 | ) | (1,783,887 | ) | (11,293 | ) | ||||||
Leucadia National Corp. | (48,054 | ) | (854,444 | ) | 21,668 | |||||||
Level 3 Communications, Inc. | (9,760 | ) | (516,206 | ) | 13,664 | |||||||
Liberty Broadband Corp. | (45,938 | ) | (2,717,838 | ) | (38,442 | ) | ||||||
LinkedIn Corp. | (2,847 | ) | (388,521 | ) | (150,273 | ) | ||||||
Lions Gate Entertainment Corp. | (105,800 | ) | (2,430,226 | ) | 289,892 | |||||||
Live Nation Entertainment, Inc. | (87,069 | ) | (2,134,529 | ) | 88,408 | |||||||
LKQ Corp. | (23,668 | ) | (769,210 | ) | 18,934 | |||||||
Lockheed Martin Corp. | (6,600 | ) | (1,580,040 | ) | (57,882 | ) | ||||||
Loews Corp. | (113,612 | ) | (4,567,202 | ) | (101,115 | ) | ||||||
Louisiana-Pacific Corp. | (134,086 | ) | (2,458,977 | ) | 132,585 | |||||||
Lumentum Holdings, Inc. | (26,899 | ) | (675,434 | ) | 24,478 | |||||||
M&T Bank Corp. | (10,850 | ) | (1,301,783 | ) | 18,988 | |||||||
Macquarie Infrastructure Corp. | (57,036 | ) | (4,191,576 | ) | (31,940 | ) | ||||||
Madison Square Garden Co. (The) | (3,697 | ) | (620,395 | ) | (17,374 | ) | ||||||
Manitowoc Foodservice, Inc. | (37,124 | ) | (629,672 | ) | (24,452 | ) | ||||||
Markel Corp. | (837 | ) | (797,971 | ) | 494 | |||||||
MarketAxess Holdings, Inc. | (16,817 | ) | (2,407,040 | ) | (38,152 | ) | ||||||
Marsh & McLennan Cos., Inc. | (27,432 | ) | (1,818,742 | ) | (59,253 | ) | ||||||
Martin Marietta Materials, Inc. | (8,165 | ) | (1,527,916 | ) | (39,764 | ) | ||||||
MasterCard, Inc. | (24,018 | ) | (2,321,100 | ) | 206,074 | |||||||
Mattel, Inc. | (68,596 | ) | (2,170,319 | ) | 23,950 | |||||||
MAXIMUS, Inc. | (31,504 | ) | (1,793,020 | ) | 48,643 | |||||||
MDC Holdings, Inc. | (15,534 | ) | (372,438 | ) | (5,659 | ) | ||||||
MDU Resources Group, Inc. | (208,502 | ) | (4,818,003 | ) | (186,045 | ) | ||||||
MEDNAX, Inc. | (25,673 | ) | (1,760,475 | ) | (99,021 | ) | ||||||
Memorial Resource Development Corp. | (70,729 | ) | (1,176,223 | ) | 53,047 | |||||||
Mercury General Corp. | (12,113 | ) | (640,998 | ) | (2,929 | ) | ||||||
MGM Resorts International | (28,657 | ) | (706,924 | ) | 58,416 | |||||||
Microchip Technology, Inc. | (14,824 | ) | (767,290 | ) | 14,824 | |||||||
Microsemi Corp. | (31,221 | ) | (1,059,876 | ) | 39,574 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
42
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Middleby Corp. (The) | (25,732 | ) | $ | (3,229,623 | ) | $ | 264,010 | |||||
Minerals Technologies, Inc. | (2,939 | ) | (173,871 | ) | 6,936 | |||||||
Mohawk Industries, Inc. | (5,465 | ) | (1,077,753 | ) | 40,714 | |||||||
Molson Coors Brewing Co. | (22,945 | ) | (2,362,417 | ) | 41,989 | |||||||
Monster Beverage Corp. | (29,818 | ) | (4,609,658 | ) | (182,393 | ) | ||||||
Moody’s Corp. | (16,242 | ) | (1,639,558 | ) | 117,521 | |||||||
Mosaic Co. (The) | (26,726 | ) | (751,990 | ) | 52,303 | |||||||
Murphy Oil Corp. | (11,779 | ) | (372,928 | ) | (1,056 | ) | ||||||
Nabors Industries Ltd. | (107,635 | ) | (1,117,756 | ) | 36,025 | |||||||
National Fuel Gas Co. | (50,278 | ) | (2,821,601 | ) | (38,211 | ) | ||||||
National Instruments Corp. | (47,590 | ) | (1,372,291 | ) | 68,325 | |||||||
National Oilwell Varco, Inc. | (43,238 | ) | (1,507,709 | ) | 52,750 | |||||||
Navient Corp. | (35,873 | ) | (484,484 | ) | 55,802 | |||||||
Netflix, Inc. | (16,710 | ) | (1,676,034 | ) | 147,403 | |||||||
NetScout Systems, Inc. | (168,331 | ) | (4,189,438 | ) | 444,073 | |||||||
NetSuite, Inc. | (31,805 | ) | (2,674,800 | ) | 359,396 | |||||||
Newell Brands, Inc. | (41,873 | ) | (2,012,416 | ) | (21,355 | ) | ||||||
Newfield Exploration Co. | (52,516 | ) | (2,097,489 | ) | (222,668 | ) | ||||||
NewMarket Corp. | (2,703 | ) | (1,093,418 | ) | (26,652 | ) | ||||||
Nielsen Holdings plc | (56,143 | ) | (3,048,565 | ) | 130,813 | |||||||
Noble Energy, Inc. | (44,274 | ) | (1,591,650 | ) | 3,542 | |||||||
Nordson Corp. | (15,390 | ) | (1,361,861 | ) | 75,103 | |||||||
Northern Trust Corp. | (28,683 | ) | (2,102,751 | ) | 202,215 | |||||||
NorthStar Asset Management Group, Inc. | (60,290 | ) | (712,025 | ) | 96,464 | |||||||
Norwegian Cruise Line Holdings Ltd. | (44,456 | ) | (2,019,165 | ) | 248,038 | |||||||
NOW, Inc. | (52,345 | ) | (991,938 | ) | 42,399 | |||||||
NRG Energy, Inc. | (250,020 | ) | (4,467,857 | ) | 720,058 | |||||||
Occidental Petroleum Corp. | (42,755 | ) | (3,224,155 | ) | (6,413 | ) | ||||||
OGE Energy Corp. | (34,514 | ) | (1,079,943 | ) | (50,390 | ) | ||||||
Old Dominion Freight Line, Inc. | (17,255 | ) | (1,085,512 | ) | 44,863 | |||||||
Olin Corp. | (79,797 | ) | (1,892,785 | ) | (89,373 | ) | ||||||
ONEOK, Inc. | (56,403 | ) | (2,543,775 | ) | (132,547 | ) | ||||||
Oshkosh Corp. | (16,646 | ) | (782,362 | ) | (11,819 | ) | ||||||
Owens-Illinois, Inc. | (68,298 | ) | (1,369,375 | ) | 139,328 | |||||||
PacWest Bancorp | (29,035 | ) | (1,201,014 | ) | 46,002 | |||||||
Palo Alto Networks, Inc. | (35,944 | ) | (5,017,782 | ) | 609,610 | |||||||
Pandora Media, Inc. | (298,874 | ) | (3,637,297 | ) | (83,685 | ) | ||||||
PAREXEL International Corp. | (14,838 | ) | (934,200 | ) | 1,187 | |||||||
Patterson Cos., Inc. | (41,347 | ) | (2,038,230 | ) | 58,122 | |||||||
Patterson-UTI Energy, Inc. | (133,492 | ) | (2,696,538 | ) | (149,511 | ) | ||||||
PayPal Holdings, Inc. | (33,483 | ) | (1,275,702 | ) | 53,238 | |||||||
Penske Automotive Group, Inc. | (28,927 | ) | (1,105,898 | ) | 195,854 | |||||||
People’s United Financial, Inc. | (23,980 | ) | (378,987 | ) | 27,440 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Platform Specialty Products Corp. | (158,181 | ) | $ | (1,657,737 | ) | $ | 253,090 | |||||
PolyOne Corp. | (19,935 | ) | (757,331 | ) | 54,821 | |||||||
PPL Corp. | (26,170 | ) | (1,026,387 | ) | 38,470 | |||||||
Praxair, Inc. | (17,528 | ) | (1,957,001 | ) | (12,971 | ) | ||||||
Premier, Inc. | (84,249 | ) | (2,866,151 | ) | 111,209 | |||||||
Prestige Brands Holdings, Inc. | (8,234 | ) | (441,122 | ) | (15,041 | ) | ||||||
Primerica, Inc. | (11,474 | ) | (666,984 | ) | 10,212 | |||||||
Prosperity Bancshares, Inc. | (21,111 | ) | (1,146,116 | ) | 69,666 | |||||||
PulteGroup, Inc. | (67,967 | ) | (1,270,983 | ) | (53,694 | ) | ||||||
Qorvo, Inc. | (11,929 | ) | (653,828 | ) | (5,368 | ) | ||||||
Range Resources Corp. | (23,190 | ) | (1,046,215 | ) | 45,799 | |||||||
Regeneron Pharmaceuticals, Inc. | (2,203 | ) | (855,839 | ) | 86,485 | |||||||
Restoration Hardware Holdings, Inc. | (35,293 | ) | (1,238,078 | ) | 225,875 | |||||||
Rice Energy, Inc. | (28,579 | ) | (589,013 | ) | (40,868 | ) | ||||||
Rockwell Collins, Inc. | (33,883 | ) | (3,013,011 | ) | 128,213 | |||||||
Rollins, Inc. | (21,808 | ) | (628,943 | ) | (9,377 | ) | ||||||
Roper Technologies, Inc. | (11,131 | ) | (1,934,345 | ) | 35,842 | |||||||
Royal Caribbean Cruises Ltd. | (5,012 | ) | (381,861 | ) | 45,305 | |||||||
RPC, Inc. | (35,704 | ) | (583,046 | ) | 28,563 | |||||||
RPM International, Inc. | (7,383 | ) | (377,167 | ) | 8,386 | |||||||
Ryder System, Inc. | (22,429 | ) | (1,557,021 | ) | 185,712 | |||||||
S&P Global, Inc. | (7,383 | ) | (810,605 | ) | 18,704 | |||||||
salesforce.com, Inc. | (18,180 | ) | (1,505,849 | ) | 62,176 | |||||||
SBA Communications Corp. | (48,228 | ) | (4,926,490 | ) | (279,240 | ) | ||||||
Schlumberger Ltd. | (44,145 | ) | (3,491,428 | ) | 441 | |||||||
Scotts Miracle-Gro Co. (The) | (6,361 | ) | (448,132 | ) | 3,435 | |||||||
Seagate Technology plc | (15,713 | ) | (376,063 | ) | (6,706 | ) | ||||||
Seattle Genetics, Inc. | (48,366 | ) | (2,107,790 | ) | 153,320 | |||||||
Sempra Energy | (20,243 | ) | (2,207,094 | ) | (101,013 | ) | ||||||
ServiceNow, Inc. | (23,152 | ) | (1,737,789 | ) | 200,496 | |||||||
Signature Bank | (8,798 | ) | (1,182,275 | ) | 83,229 | |||||||
Signet Jewelers Ltd. | (13,471 | ) | (1,188,127 | ) | 77,982 | |||||||
Silgan Holdings, Inc. | (16,320 | ) | (849,456 | ) | 9,629 | |||||||
Sirius XM Holdings, Inc. | (294,148 | ) | (1,173,651 | ) | 11,766 | |||||||
Six Flags Entertainment Corp. | (9,834 | ) | (565,750 | ) | (4,130 | ) | ||||||
Snyder’s-Lance, Inc. | (17,195 | ) | (553,384 | ) | (29,354 | ) | ||||||
Sotheby’s | (55,473 | ) | (1,749,519 | ) | 229,559 | |||||||
Southern Co. (The) | (15,042 | ) | (754,055 | ) | (52,647 | ) | ||||||
Spectra Energy Corp. | (30,547 | ) | (1,003,163 | ) | (115,773 | ) | ||||||
Spectrum Brands Holdings, Inc. | (26,712 | ) | (3,164,838 | ) | (22,171 | ) | ||||||
Spirit Airlines, Inc. | (61,373 | ) | (2,671,799 | ) | (82,008 | ) | ||||||
Splunk, Inc. | (48,441 | ) | (2,864,316 | ) | 239,783 | |||||||
Sprouts Farmers Market, Inc. | (102,057 | ) | (2,461,615 | ) | 124,510 | |||||||
SS&C Technologies Holdings, Inc. | (100,478 | ) | (3,075,370 | ) | 253,948 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
43
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
State Street Corp. | (6,971 | ) | $ | (433,762 | ) | $ | 57,885 | |||||
Stericycle, Inc. | (46,054 | ) | (4,575,925 | ) | (219,217 | ) | ||||||
Stifel Financial Corp. | (19,504 | ) | (735,600 | ) | 122,199 | |||||||
SunPower Corp. | (120,413 | ) | (2,097,404 | ) | 232,207 | |||||||
Superior Energy Services, Inc. | (67,044 | ) | (1,255,734 | ) | 21,454 | |||||||
SVB Financial Group | (8,046 | ) | (872,456 | ) | 106,799 | |||||||
Targa Resources Corp. | (41,905 | ) | (1,884,049 | ) | 118,172 | |||||||
Teleflex, Inc. | (2,727 | ) | (456,909 | ) | (26,616 | ) | ||||||
Tempur Sealy International, Inc. | (21,030 | ) | (1,288,117 | ) | 124,738 | |||||||
Tenet Healthcare Corp. | (73,874 | ) | (2,191,103 | ) | 149,225 | |||||||
TerraForm Power, Inc. | (55,206 | ) | (486,365 | ) | (115,381 | ) | ||||||
Tesla Motors, Inc. | (29,200 | ) | (6,536,033 | ) | 337,457 | |||||||
Thermo Fisher Scientific, Inc. | (9,706 | ) | (1,486,862 | ) | 52,704 | |||||||
Tiffany & Co. | (12,418 | ) | (781,504 | ) | 28,476 | |||||||
TopBuild Corp. | (11,651 | ) | (419,436 | ) | (2,330 | ) | ||||||
Torchmark Corp. | (8,715 | ) | (530,569 | ) | (8,192 | ) | ||||||
Tractor Supply Co. | (4,175 | ) | (397,919 | ) | 17,243 | |||||||
TransDigm Group, Inc. | (19,996 | ) | (5,305,309 | ) | 32,564 | |||||||
TreeHouse Foods, Inc. | (10,775 | ) | (1,042,958 | ) | (63,096 | ) | ||||||
TRI Pointe Group, Inc. | (98,649 | ) | (1,159,126 | ) | (6,905 | ) | ||||||
Trustmark Corp. | (6,371 | ) | (157,746 | ) | (573 | ) | ||||||
Tupperware Brands Corp. | (6,504 | ) | (377,084 | ) | 11,039 | |||||||
Twenty-First Century Fox, Inc. | (29,075 | ) | (855,968 | ) | 69,489 | |||||||
Twitter, Inc. | (71,112 | ) | (1,085,880 | ) | (116,624 | ) | ||||||
Tyler Technologies, Inc. | (17,203 | ) | (2,741,174 | ) | (126,738 | ) | ||||||
UGI Corp. | (10,065 | ) | (440,243 | ) | (15,198 | ) | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. | (2,221 | ) | (528,317 | ) | (12,807 | ) | ||||||
Ultimate Software Group, Inc. (The) | (11,342 | ) | (2,360,837 | ) | (24,272 | ) | ||||||
Umpqua Holdings Corp. | (38,755 | ) | (617,755 | ) | 18,215 | |||||||
Under Armour, Inc. | (107,623 | ) | (4,033,117 | ) | (285,794 | ) | ||||||
United Rentals, Inc. | (24,296 | ) | (1,790,482 | ) | 160,221 | |||||||
United States Steel Corp. | (43,011 | ) | (688,606 | ) | (36,559 | ) | ||||||
Valley National Bancorp | (115,872 | ) | (1,105,419 | ) | 48,666 | |||||||
Veeva Systems, Inc. | (38,561 | ) | (1,352,334 | ) | 36,633 | |||||||
Verisk Analytics, Inc. | (64,696 | ) | (5,167,024 | ) | (78,528 | ) | ||||||
Vertex Pharmaceuticals, Inc. | (14,549 | ) | (1,388,983 | ) | 137,478 | |||||||
VF Corp. | (12,231 | ) | (770,328 | ) | 18,244 | |||||||
Visa, Inc. | (37,111 | ) | (2,988,920 | ) | 236,397 | |||||||
Vista Outdoor, Inc. | (26,354 | ) | (1,264,201 | ) | 6,325 | |||||||
Vulcan Materials Co. | (12,755 | ) | (1,484,554 | ) | (50,637 | ) | ||||||
WABCO Holdings, Inc. | (4,130 | ) | (448,022 | ) | 69,838 | |||||||
Wabtec Corp. | (13,270 | ) | (1,035,856 | ) | 103,904 | |||||||
Walgreens Boots Alliance, Inc. | (5,096 | ) | (401,213 | ) | (23,131 | ) | ||||||
Webster Financial Corp. | (33,724 | ) | (1,317,901 | ) | 172,971 | |||||||
WEC Energy Group, Inc. | (118,851 | ) | (7,262,985 | ) | (497,986 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
WestRock Co. | (60,057 | ) | $ | (2,416,694 | ) | $ | 82,278 | |||||
WEX, Inc. | (4,102 | ) | (389,837 | ) | 26,113 | |||||||
WGL Holdings, Inc. | (19,818 | ) | (1,323,050 | ) | (79,867 | ) | ||||||
White Mountains Insurance Group Ltd. | (491 | ) | (396,458 | ) | (16,964 | ) | ||||||
WhiteWave Foods Co. (The) | (98,640 | ) | (4,549,984 | ) | (80,177 | ) | ||||||
Whole Foods Market, Inc. | (40,946 | ) | (1,428,121 | ) | 117,030 | |||||||
Williams-Sonoma, Inc. | (7,008 | ) | (378,152 | ) | 12,825 | |||||||
WisdomTree Investments, Inc. | (293,752 | ) | (3,359,179 | ) | 483,347 | |||||||
Woodward, Inc. | (6,416 | ) | (376,689 | ) | 6,871 | |||||||
Workday, Inc. | (29,516 | ) | (2,415,589 | ) | 211,630 | |||||||
WPX Energy, Inc. | (82,460 | ) | (900,412 | ) | 132,709 | |||||||
Wynn Resorts Ltd. | (22,293 | ) | (2,220,164 | ) | 199,526 | |||||||
Yahoo!, Inc. | (41,156 | ) | (1,525,653 | ) | (20,166 | ) | ||||||
Zayo Group Holdings, Inc. | (197,872 | ) | (5,490,948 | ) | (35,617 | ) | ||||||
Zebra Technologies Corp. | (18,942 | ) | (1,058,479 | ) | 109,485 | |||||||
Zimmer Biomet Holdings, Inc. | (29,113 | ) | (3,538,394 | ) | 33,771 | |||||||
Zions Bancorporation | (61,345 | ) | (1,783,824 | ) | 242,224 | |||||||
Zoetis, Inc. | (27,660 | ) | (1,337,661 | ) | 24,917 | |||||||
|
| |||||||||||
20,270,436 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 22,158,910 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 9,157,038 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 517,232 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 9,674,270 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
44
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Sterling Overnight Index Average plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 4-25 months maturity 10/12/2016 | $238,587 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
BHP Billiton plc | 29,431 | $ | 346,404 | $ | 26,102 | |||||||
|
| |||||||||||
Ireland | ||||||||||||
DCC plc | 31,752 | 2,662,868 | 131,296 | |||||||||
Experian plc | 30,209 | 523,608 | 49,520 | |||||||||
|
| |||||||||||
180,816 | ||||||||||||
|
| |||||||||||
Japan | ||||||||||||
NOK Corp. | 35,700 | 649,511 | (42,410 | ) | ||||||||
|
| |||||||||||
Luxembourg | ||||||||||||
Regus plc | 252,585 | 1,057,076 | (80,419 | ) | ||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Royal Dutch Shell plc | 53,194 | 1,192,504 | 268,478 | |||||||||
|
| |||||||||||
South Africa | ||||||||||||
Investec plc | 54,698 | 341,751 | (1,761 | ) | ||||||||
Mondi plc | 83,825 | 1,497,304 | 72,108 | |||||||||
|
| |||||||||||
70,347 | ||||||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Coca-Cola HBC AG | 49,123 | 915,601 | 78,379 | |||||||||
Glencore plc | 1,242,653 | 2,355,148 | 206,111 | |||||||||
Wolseley plc | 7,084 | 346,256 | 20,579 | |||||||||
|
| |||||||||||
305,069 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Amec Foster Wheeler plc | 384,017 | 2,246,031 | 278,920 | |||||||||
Anglo American plc | 156,379 | 1,414,635 | 118,230 | |||||||||
ASOS plc | 24,715 | 1,156,460 | 163,795 | |||||||||
Barratt Developments plc | 244,690 | 1,852,870 | (523,218 | ) | ||||||||
Bellway plc | 69,618 | 2,449,738 | (683,699 | ) | ||||||||
Berkeley Group Holdings plc | 92,247 | 3,953,718 | (838,750 | ) | ||||||||
BP plc | 562,831 | 2,743,075 | 551,467 | |||||||||
Britvic plc | 101,609 | 908,060 | (112,945 | ) | ||||||||
Centrica plc | 255,310 | 706,835 | 65,221 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Close Brothers Group plc | 25,585 | $ | 445,339 | $ | (57,515 | ) | ||||||
Daily Mail & General Trust plc | 56,267 | 505,400 | (56,223 | ) | ||||||||
GKN plc | 93,135 | 343,035 | (6,309 | ) | ||||||||
Henderson Group plc | 23,908 | 83,235 | (15,266 | ) | ||||||||
Howden Joinery Group plc | 87,095 | 579,946 | (132,621 | ) | ||||||||
ICAP plc | 17,977 | 103,299 | (2,147 | ) | ||||||||
Imperial Brands plc | 84,474 | 4,263,610 | 317,650 | |||||||||
Inchcape plc | 94,851 | 858,657 | (61,118 | ) | ||||||||
Indivior plc | 227,708 | 631,954 | 134,243 | |||||||||
Informa plc | 49,809 | 453,793 | 31,911 | |||||||||
Intermediate Capital Group plc | 47,290 | 415,426 | (105,588 | ) | ||||||||
John Wood Group plc | 275,103 | 2,330,297 | 202,067 | |||||||||
Johnson Matthey plc | 9,456 | 385,724 | (31,056 | ) | ||||||||
Jupiter Fund Management plc | 26,800 | 155,253 | (23,651 | ) | ||||||||
Kingfisher plc | 223,910 | 1,093,750 | (132,037 | ) | ||||||||
Man Group plc | 204,286 | 360,225 | (42,829 | ) | ||||||||
Marks & Spencer Group plc | 239,847 | 1,158,051 | (130,900 | ) | ||||||||
Meggitt plc | 303,635 | 1,591,729 | 58,661 | |||||||||
Melrose Industries plc | 138,029 | 710,832 | 73,324 | |||||||||
National Grid plc | 75,344 | 983,220 | 124,738 | |||||||||
Persimmon plc | 98,330 | 2,653,639 | (746,854 | ) | ||||||||
Petrofac Ltd. | 155,958 | 1,612,269 | 8,853 | |||||||||
Playtech plc | 14,231 | 159,558 | (8,162 | ) | ||||||||
Reckitt Benckiser Group plc | 12,258 | 1,134,216 | 94,914 | |||||||||
Rentokil Initial plc | 482,525 | 1,175,723 | 70,355 | |||||||||
Rightmove plc | 2,911 | 163,834 | (21,658 | ) | ||||||||
Rio Tinto plc | 58,047 | 1,533,608 | 269,711 | |||||||||
Royal Mail plc | 410,880 | 2,931,908 | (171,392 | ) | ||||||||
Severn Trent plc | 65,162 | 1,989,632 | 136,553 | |||||||||
Sky plc | 30,835 | 387,621 | (37,229 | ) | ||||||||
Smith & Nephew plc | 40,582 | 631,650 | 57,480 | |||||||||
Smiths Group plc | 131,850 | 1,978,673 | 58,833 | |||||||||
SSE plc | 25,257 | 521,912 | 3,766 | |||||||||
Stagecoach Group plc | 283,566 | 973,755 | (96,794 | ) | ||||||||
Tate & Lyle plc | 43,391 | 367,216 | 20,741 | |||||||||
Taylor Wimpey plc | 760,730 | 1,909,551 | (559,951 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
45
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Thomas Cook Group plc | 1,085,081 | $ | 1,027,285 | $ | (115,415 | ) | ||||||
UBM plc | 19,364 | 172,900 | (6,829 | ) | ||||||||
Vedanta Resources plc | 125,812 | 673,915 | 29,125 | |||||||||
Weir Group plc (The) | 22,951 | 382,182 | 61,081 | |||||||||
William Hill plc | 370,095 | 1,519,916 | (245,106 | ) | ||||||||
WM Morrison Supermarkets plc | 331,397 | 829,628 | 2,312 | |||||||||
WPP plc | 40,209 | 848,384 | (10,372 | ) | ||||||||
|
| |||||||||||
(2,041,683 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (1,313,700 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Chile | ||||||||||||
Antofagasta plc | (238,094 | ) | (1,427,433 | ) | (61,371 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
Shire plc | (40,950 | ) | (2,377,779 | ) | (153,034 | ) | ||||||
|
| |||||||||||
United Kingdom | ||||||||||||
AA plc | (134,129 | ) | (500,429 | ) | 70,997 | |||||||
Aberdeen Asset Management plc | (175,248 | ) | (624,008 | ) | (33,503 | ) | ||||||
Admiral Group plc | (85,003 | ) | (2,227,648 | ) | (83,590 | ) | ||||||
Aggreko plc | (21,825 | ) | (342,695 | ) | (30,578 | ) | ||||||
ARM Holdings plc | (360,166 | ) | (4,794,381 | ) | (676,442 | ) | ||||||
Ashtead Group plc | (307,281 | ) | (4,005,382 | ) | (383,797 | ) | ||||||
Associated British Foods plc | (44,871 | ) | (1,763,552 | ) | 128,527 | |||||||
AstraZeneca plc | (16,660 | ) | (903,789 | ) | (92,205 | ) | ||||||
Auto Trader Group plc | (75,041 | ) | (407,739 | ) | 52,999 | |||||||
Aviva plc | (198,302 | ) | (1,170,455 | ) | 125,148 | |||||||
Babcock International Group plc | (44,706 | ) | (624,790 | ) | 84,284 | |||||||
BAE Systems plc | (95,265 | ) | (621,969 | ) | (44,940 | ) | ||||||
Balfour Beatty plc | (130,830 | ) | (405,852 | ) | 29,802 | |||||||
Booker Group plc | (317,960 | ) | (759,806 | ) | 23,479 | |||||||
British American Tobacco plc | (58,339 | ) | (3,312,494 | ) | (469,567 | ) | ||||||
BTG plc | (241,897 | ) | (2,191,497 | ) | (144,815 | ) | ||||||
Bunzl plc | (70,043 | ) | (1,918,426 | ) | (236,695 | ) | ||||||
Capita plc | (267,351 | ) | (3,756,519 | ) | 311,563 | |||||||
Cobham plc | (272,451 | ) | (494,059 | ) | (79,949 | ) | ||||||
Croda International plc | (8,869 | ) | (346,247 | ) | (26,059 | ) | ||||||
Diageo plc | (33,036 | ) | (825,745 | ) | (97,138 | ) | ||||||
DS Smith plc | (119,645 | ) | (620,800 | ) | 1,791 | |||||||
easyJet plc | (132,649 | ) | (2,653,904 | ) | 726,300 | |||||||
Essentra plc | (129,596 | ) | (1,491,306 | ) | 602,148 | |||||||
G4S plc | (150,967 | ) | (376,953 | ) | 7,029 | |||||||
GlaxoSmithKline plc | (18,062 | ) | (350,296 | ) | (37,586 | ) | ||||||
Halma plc | (104,597 | ) | (1,316,017 | ) | (106,609 | ) | ||||||
Hargreaves Lansdown plc | (131,917 | ) | (2,334,503 | ) | 133,991 | |||||||
Hays plc | (217,830 | ) | (393,360 | ) | 108,744 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Hiscox Ltd. | (21,689 | ) | $ | (280,958 | ) | $ | (18,511 | ) | ||||
HSBC Holdings plc | (58,629 | ) | (348,115 | ) | (15,124 | ) | ||||||
IMI plc | (47,478 | ) | (639,612 | ) | 24,330 | |||||||
Inmarsat plc | (63,279 | ) | (588,618 | ) | (93,332 | ) | ||||||
International Consolidated Airlines Group SA | (287,217 | ) | (1,992,441 | ) | 567,932 | |||||||
ITV plc | (210,014 | ) | (590,199 | ) | 86,654 | |||||||
Legal & General Group plc | (547,474 | ) | (1,708,431 | ) | 306,844 | |||||||
Lloyds Banking Group plc | (1,834,967 | ) | (1,692,445 | ) | 363,396 | |||||||
Merlin Entertainments plc | (144,583 | ) | (831,167 | ) | (20,279 | ) | ||||||
Next plc | (5,133 | ) | (365,330 | ) | 26,163 | |||||||
Old Mutual plc | (1,006,407 | ) | (2,451,790 | ) | (266,985 | ) | ||||||
Pennon Group plc | (40,295 | ) | (456,447 | ) | (53,176 | ) | ||||||
Provident Financial plc | (39,708 | ) | (1,515,448 | ) | 291,097 | |||||||
Prudential plc | (129,269 | ) | (2,295,270 | ) | 101,716 | |||||||
Rolls-Royce Holdings plc | (219,704 | ) | (1,781,423 | ) | (315,645 | ) | ||||||
Rotork plc | (132,210 | ) | (343,935 | ) | (38,818 | ) | ||||||
Royal Bank of Scotland Group plc | (331,984 | ) | (1,003,909 | ) | 251,582 | |||||||
RSA Insurance Group plc | (123,841 | ) | (798,204 | ) | (31,824 | ) | ||||||
Schroders plc | (32,537 | ) | (1,152,260 | ) | 124,070 | |||||||
Serco Group plc | (352,642 | ) | (522,945 | ) | (1,860 | ) | ||||||
Spectris plc | (17,899 | ) | (400,130 | ) | (35,562 | ) | ||||||
Spirax-Sarco Engineering plc | (7,790 | ) | (363,297 | ) | (26,784 | ) | ||||||
St. James’s Place plc | (273,918 | ) | (3,253,213 | ) | 364,534 | |||||||
Standard Chartered plc | (178,994 | ) | (1,271,291 | ) | (86,732 | ) | ||||||
Standard Life plc | (390,206 | ) | (1,717,747 | ) | 178,244 | |||||||
Tesco plc | (1,245,478 | ) | (2,622,472 | ) | (302,653 | ) | ||||||
Vodafone Group plc | (308,003 | ) | (927,909 | ) | (11,149 | ) | ||||||
Whitbread plc | (6,625 | ) | (360,335 | ) | 50,356 | |||||||
Worldpay Group plc | (293,782 | ) | (1,087,588 | ) | 18,310 | |||||||
|
| |||||||||||
1,300,123 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 1,085,718 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (227,982 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ | 466,569 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 238,587 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
46
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Reserve Bank of Australia Cash rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 5-25 months maturity 10/13/2016 | $556,036 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
AGL Energy Ltd. | 225,506 | $ | 3,182,160 | $ | 92,888 | |||||||
Ansell Ltd. | 125,684 | 1,788,581 | (68,465 | ) | ||||||||
Aurizon Holdings Ltd. | 991,698 | 3,393,221 | 204,946 | |||||||||
Boral Ltd. | 368,063 | 1,810,629 | (82,637 | ) | ||||||||
Caltex Australia Ltd. | 129,931 | 3,168,956 | (36,325 | ) | ||||||||
CIMIC Group Ltd. | 99,676 | 2,811,972 | (120,956 | ) | ||||||||
Coca-Cola Amatil Ltd. | 445,568 | 2,904,521 | (154,029 | ) | ||||||||
Cochlear Ltd. | 11,743 | 1,072,599 | (1,174 | ) | ||||||||
Flight Centre Travel Group Ltd. | 25,011 | 576,237 | 18,788 | |||||||||
Fortescue Metals Group Ltd. | 670,934 | 1,612,294 | 183,155 | |||||||||
Harvey Norman Holdings Ltd. | 319,224 | 1,049,680 | 61,088 | |||||||||
Iluka Resources Ltd. | 86,411 | 426,790 | (793 | ) | ||||||||
Incitec Pivot Ltd. | 144,385 | 363,158 | (38,825 | ) | ||||||||
Newcrest Mining Ltd. | 83,500 | 1,376,202 | 71,007 | |||||||||
Oil Search Ltd. | 169,293 | 838,765 | 16,091 | |||||||||
Origin Energy Ltd. | 186,670 | 793,317 | 22,268 | |||||||||
Qantas Airways Ltd. | 698,866 | 1,520,816 | (40,393 | ) | ||||||||
Santos Ltd. | 226,320 | 747,443 | 53,681 | |||||||||
Star Entertainment Grp Ltd. (The) | 310,051 | 1,291,870 | (28,497 | ) | ||||||||
Tabcorp Holdings Ltd. | 395,492 | 1,300,582 | 61,797 | |||||||||
Tatts Group Ltd. | 472,887 | 1,392,397 | (31,555 | ) | ||||||||
Telstra Corp. Ltd. | 421,641 | 1,754,636 | 7,711 | |||||||||
TPG Telecom Ltd. | 45,052 | 411,925 | (7,950 | ) | ||||||||
Treasury Wine Estates Ltd. | 370,911 | 2,864,741 | (287,327 | ) | ||||||||
Woodside Petroleum Ltd. | 99,310 | 2,001,398 | 12,336 | |||||||||
WorleyParsons Ltd. | 124,824 | 668,594 | 16,375 | |||||||||
|
| |||||||||||
(76,795 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (76,795 | ) | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
ALS Ltd. | (514,891 | ) | $ | (1,977,519 | ) | $ | 71,521 | |||||
Alumina Ltd. | (1,420,405 | ) | (1,538,392 | ) | 142,177 | |||||||
AMP Ltd. | (360,258 | ) | (1,481,835 | ) | 77,834 | |||||||
APA Group | (704,037 | ) | (4,579,512 | ) | (317,322 | ) | ||||||
AusNet Services | (518,396 | ) | (601,249 | ) | (37,217 | ) | ||||||
Australia & New Zealand Banking Group Ltd. | (22,196 | ) | (412,844 | ) | 8,432 | |||||||
Bank of Queensland Ltd. | (100,433 | ) | (821,207 | ) | 19,927 | |||||||
Brambles Ltd. | (184,725 | ) | (1,758,527 | ) | 33,863 | |||||||
Commonwealth Bank of Australia | (24,939 | ) | (1,423,833 | ) | 24,003 | |||||||
Computershare Ltd. | (288,151 | ) | (2,253,420 | ) | 260,881 | |||||||
Crown Resorts Ltd. | (110,694 | ) | (971,419 | ) | (81,445 | ) | ||||||
CSL Ltd. | (23,946 | ) | (2,092,794 | ) | 73,367 | |||||||
Healthscope Ltd. | (1,447,946 | ) | (3,131,259 | ) | 15,378 | |||||||
Insurance Australia Group Ltd. | (718,760 | ) | (3,064,864 | ) | 104,099 | |||||||
Medibank Pvt Ltd. | (643,865 | ) | (1,549,639 | ) | 121,830 | |||||||
National Australia Bank Ltd. | (19,310 | ) | (381,048 | ) | 10,307 | |||||||
Platinum Asset Management Ltd. | (226,294 | ) | (1,077,505 | ) | 94,692 | |||||||
QBE Insurance Group Ltd. | (66,665 | ) | (601,884 | ) | 75,257 | |||||||
Ramsay Health Care Ltd. | (48,512 | ) | (2,649,078 | ) | 27,222 | |||||||
SEEK Ltd. | (422,629 | ) | (4,968,730 | ) | 117,100 | |||||||
Sonic Healthcare Ltd. | (115,646 | ) | (1,862,635 | ) | (12,810 | ) | ||||||
South32 Ltd. | (319,452 | ) | (383,879 | ) | 9,230 | |||||||
Suncorp Group Ltd. | (72,172 | ) | (675,696 | ) | 13,884 | |||||||
Sydney Airport | (72,091 | ) | (385,318 | ) | 8,885 | |||||||
Transurban Group | (164,918 | ) | (1,467,402 | ) | (17,977 | ) | ||||||
Vocus Communications Ltd. | (63,721 | ) | (440,869 | ) | 19,978 | |||||||
Westpac Banking Corp. | (49,727 | ) | (1,121,502 | ) | 18,779 | |||||||
|
| |||||||||||
881,875 | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
47
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Ireland | ||||||||||||
James Hardie Industries plc | (32,891 | ) | $ | (523,680 | ) | $ | 14,285 | |||||
|
| |||||||||||
Total of Short Equity Positions | 896,160 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 819,365 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (263,329 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 556,036 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Overnight Index Average plus or minus a specified spread which is denominated in EUR based on the local currencies of the positions within the swap. | 4-25 months maturity 10/12/2016 | $(2,580,989 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Aeroports de Paris | 4,769 | $ | 564,120 | $ | (41,578 | ) | ||||||
Air France-KLM | 81,922 | 622,426 | (105,431 | ) | ||||||||
Arkema SA | 6,136 | 491,158 | (22,044 | ) | ||||||||
Atos SE | 30,504 | 2,740,031 | (225,008 | ) | ||||||||
AXA SA | 42,352 | 1,024,961 | (187,551 | ) | ||||||||
BioMerieux | 3,195 | 421,062 | 11,859 | |||||||||
Capgemini SA | 17,707 | 1,698,926 | (170,939 | ) | ||||||||
Cie de Saint-Gobain | 13,401 | 580,694 | (72,721 | ) | ||||||||
Cie Generale des Etablissements Michelin | 13,209 | 1,360,587 | (115,763 | ) | ||||||||
CNP Assurances | 94,312 | 1,593,699 | (202,243 | ) | ||||||||
Dassault Systemes | 4,876 | 374,793 | (7,162 | ) | ||||||||
Eiffage SA | 26,532 | 1,986,038 | (99,877 | ) | ||||||||
Elior Participations SCA | 10,760 | 243,798 | (10,315 | ) | ||||||||
Eutelsat Communications SA | 39,373 | 708,047 | 35,122 | |||||||||
Faurecia | 35,095 | 1,362,724 | (248,544 | ) | ||||||||
Imerys SA | 2,643 | 186,759 | (18,120 | ) | ||||||||
Ipsen SA | 19,189 | 1,213,622 | (37,895 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Lagardere SCA | 32,452 | $ | 751,832 | $ | (45,935 | ) | ||||||
Numericable-SFR SA | 15,427 | 480,717 | (95,199 | ) | ||||||||
Orange SA | 114,563 | 1,954,050 | (91,197 | ) | ||||||||
Peugeot SA | 265,557 | 4,039,773 | (856,782 | ) | ||||||||
Publicis Groupe SA | 11,037 | 755,717 | (17,314 | ) | ||||||||
Renault SA | 14,256 | 1,270,119 | (193,827 | ) | ||||||||
Safran SA | 21,282 | 1,449,151 | (15,982 | ) | ||||||||
Sanofi | 9,446 | 758,850 | 25,949 | |||||||||
SCOR SE | 50,299 | 1,634,942 | (147,850 | ) | ||||||||
SEB SA | 4,865 | 618,068 | (31,465 | ) | ||||||||
Societe BIC SA | 7,480 | 990,721 | 63,169 | |||||||||
Sodexo SA | 20,805 | 2,189,107 | 39,721 | |||||||||
Technip SA | 6,720 | 369,684 | (5,964 | ) | ||||||||
Teleperformance | 32,297 | 2,821,784 | (70,659 | ) | ||||||||
Television Francaise 1 | 9,635 | 119,247 | (17,209 | ) | ||||||||
Thales SA | 41,968 | 3,567,933 | (82,730 | ) | ||||||||
TOTAL SA | 16,809 | 791,324 | 14,769 | |||||||||
Valeo SA | 41,109 | 2,046,229 | (221,233 | ) | ||||||||
Veolia Environnement SA | 80,706 | 1,827,103 | (84,287 | ) | ||||||||
|
| |||||||||||
(3,352,235 | ) | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
48
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom | ||||||||||||
Sports Direct International plc | 142,071 | $ | 684,051 | $ | (75,752 | ) | ||||||
|
| |||||||||||
Total of Long Equity Positions | (3,427,987 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Accor SA | (20,967 | ) | (923,261 | ) | 119,886 | |||||||
Air Liquide SA | (20,723 | ) | (2,179,927 | ) | 20,970 | |||||||
Airbus Group SE | (21,063 | ) | (1,241,254 | ) | 33,924 | |||||||
Alstom SA | (54,292 | ) | (1,369,813 | ) | 116,290 | |||||||
Bollore SA | (451,466 | ) | (1,626,756 | ) | 106,888 | |||||||
Bouygues SA | (22,697 | ) | (719,595 | ) | 69,364 | |||||||
Bureau Veritas SA | (36,991 | ) | (805,621 | ) | 28,993 | |||||||
Carrefour SA | (77,402 | ) | (2,084,215 | ) | 180,463 | |||||||
Credit Agricole SA | (39,581 | ) | (380,408 | ) | 47,653 | |||||||
Danone SA | (30,169 | ) | (2,101,814 | ) | (9,492 | ) | ||||||
Edenred | (187,700 | ) | (3,485,239 | ) | (358,126 | ) | ||||||
Electricite de France SA | (151,444 | ) | (1,906,016 | ) | 69,724 | |||||||
Essilor International SA | (10,109 | ) | (1,332,897 | ) | 4,281 | |||||||
Hermes International | (1,007 | ) | (363,530 | ) | (11,858 | ) | ||||||
Iliad SA | (2,646 | ) | (565,306 | ) | 31,174 | |||||||
Ingenico Group SA | (22,251 | ) | (2,675,162 | ) | 96,161 | |||||||
JCDecaux SA | (8,429 | ) | (338,247 | ) | 54,047 | |||||||
Kering | (3,924 | ) | (658,411 | ) | 26,718 | |||||||
Legrand SA | (9,423 | ) | (518,895 | ) | 36,519 | |||||||
L’Oreal SA | (12,324 | ) | (2,297,859 | ) | (61,613 | ) | ||||||
LVMH Moet Hennessy Louis Vuitton SE | (3,244 | ) | (522,670 | ) | 33,686 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Natixis SA | (187,319 | ) | $ | (869,219 | ) | $ | 164,363 | |||||
Orpea | (13,512 | ) | (1,104,781 | ) | (3,159 | ) | ||||||
Pernod Ricard SA | (7,707 | ) | (842,619 | ) | (10,672 | ) | ||||||
Plastic Omnium SA | (7,938 | ) | (264,494 | ) | 42,579 | |||||||
Remy Cointreau SA | (6,935 | ) | (584,181 | ) | (12,792 | ) | ||||||
Suez | (33,575 | ) | (555,467 | ) | 31,780 | |||||||
Vallourec SA | (274,224 | ) | (1,023,765 | ) | 53,850 | |||||||
Zodiac Aerospace | (153,146 | ) | (3,642,187 | ) | 69,523 | |||||||
|
| |||||||||||
971,124 | ||||||||||||
|
| |||||||||||
Luxembourg | ||||||||||||
Eurofins Scientific SE | (2,320 | ) | (881,295 | ) | 21,799 | |||||||
SES SA | (24,109 | ) | (503,012 | ) | (13,103 | ) | ||||||
|
| |||||||||||
8,696 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 979,820 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (2,448,167 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (132,822 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (2,580,989 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
49
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Hong Kong Overnight Index Average plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | 5-25 months maturity 10/14/2016 | $278,302 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Hong Kong | ||||||||||||
BOC Hong Kong Holdings Ltd. | 215,000 | $ | 670,633 | $ | (22,762 | ) | ||||||
CLP Holdings Ltd. | 309,000 | 2,977,206 | 179,287 | |||||||||
HKT Trust & HKT Ltd. | 1,169,000 | 1,708,044 | (21,862 | ) | ||||||||
Kerry Properties Ltd. | 422,500 | 1,060,306 | (14,274 | ) | ||||||||
Li & Fung Ltd. | 1,352,000 | 696,965 | (41,386 | ) | ||||||||
New World Development Co. Ltd. | 2,153,817 | 2,079,373 | 113,998 | |||||||||
Power Assets Holdings Ltd. | 111,500 | 1,106,047 | (80,857 | ) | ||||||||
Sino Land Co. Ltd. | 720,000 | 1,132,236 | 53,234 | |||||||||
SJM Holdings Ltd. | 826,000 | 519,932 | (14,175 | ) | ||||||||
Techtronic Industries Co. Ltd. | 184,000 | 755,380 | 13,004 | |||||||||
VTech Holdings Ltd. | 64,800 | 703,507 | (20,358 | ) | ||||||||
WH Group Ltd. | 5,046,000 | 3,902,862 | 93,545 | |||||||||
Wheelock & Co. Ltd. | 171,000 | 800,093 | 3,204 | |||||||||
Yue Yuen Industrial Holdings Ltd. | 568,000 | 2,217,602 | 33,564 | |||||||||
|
| |||||||||||
274,162 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 274,162 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Hong Kong | ||||||||||||
AIA Group Ltd. | (494,200 | ) | (2,936,552 | ) | (35,431 | ) | ||||||
ASM Pacific Technology Ltd. | (160,500 | ) | (1,189,223 | ) | 35,157 | |||||||
Cathay Pacific Airways Ltd. | (902,000 | ) | (1,413,737 | ) | 90,447 | |||||||
Cheung Kong Property Holdings Ltd. | (117,500 | ) | (761,034 | ) | 20,707 | |||||||
Galaxy Entertainment Group Ltd. | (364,000 | ) | (1,188,099 | ) | 99,003 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Hong Kong (continued) | ||||||||||||
Haitong International Securities Group Ltd. | (842,000 | ) | $ | (492,477 | ) | $ | (18,815 | ) | ||||
Hang Lung Properties Ltd. | (1,132,000 | ) | (2,238,246 | ) | (48,733 | ) | ||||||
Hong Kong & China Gas Co. Ltd. | (3,267,430 | ) | (5,941,467 | ) | (28,848 | ) | ||||||
Hysan Development Co. Ltd. | (101,000 | ) | (442,661 | ) | (7,751 | ) | ||||||
MGM China Holdings Ltd. | (1,506,000 | ) | (2,087,509 | ) | 121,117 | |||||||
MTR Corp. Ltd. | (610,568 | ) | (2,894,889 | ) | (202,672 | ) | ||||||
Sands China Ltd. | (117,600 | ) | (412,444 | ) | 14,496 | |||||||
Sun Hung Kai Properties Ltd. | (36,000 | ) | (431,308 | ) | (3,172 | ) | ||||||
Swire Pacific Ltd. | (36,000 | ) | (403,538 | ) | (3,306 | ) | ||||||
Value Partners Group Ltd. | (1,401,000 | ) | (1,383,106 | ) | 85,788 | |||||||
Wynn Macau Ltd. | (1,333,600 | ) | (2,033,594 | ) | 101,096 | |||||||
|
| |||||||||||
$ | 219,083 | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | 219,083 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 493,245 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (214,943 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 278,302 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
50
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
JPMC | ||||||||||
Cash | $1,670,000 | $— | $1,670,000 | |||||||
| ||||||||||
CITI | ||||||||||
Investment Companies | 221,646 | — | 221,646 | |||||||
| ||||||||||
MSIP | ||||||||||
Investment Companies | 134,935,393 | — | 134,935,393 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
51
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
SHORT-TERM INVESTMENTS - 91.5% | SHARES | VALUE (Note 5) | ||||||
Investment Companies - 29.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(a)(b) | 9,423,002 | $ | 9,423,002 | |||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(a)(b) | 190,051 | 190,051 | ||||||
|
| |||||||
Total Investment Companies | 9,613,053 | |||||||
|
| |||||||
PRINCIPAL AMOUNT (000’s) | ||||||||
U.S. Treasury Obligation - 61.6% | ||||||||
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(c) | ||||||||
(cost $19,804,666) | $ | 19,833 | 19,813,543 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 29,426,596 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE-91.5% | 29,426,596 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.5% (d) | 2,724,156 | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 32,150,752 | |||||
|
|
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Forward effective interest rate swap contracts outstanding as of June 30, 2016:
COUNTERPARTY | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 3,300,000 | $(8,337 | ) | 09/13/2018 | $21,075 | |||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 2,700,000 | (5,493 | ) | 09/13/2018 | 15,915 | |||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 3,500,000 | 11,109 | 09/13/2018 | 2,401 | ||||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 700,000 | (1,769 | ) | 09/13/2018 | 4,471 | |||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 2,800,000 | 6,210 | 09/13/2018 | 4,598 | ||||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 37,600,000 | (83,820 | ) | 09/13/2018 | 228,958 | |||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 3,200,000 | (4,278 | ) | 09/13/2018 | 16,630 | |||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 3,300,000 | 10,474 | 09/13/2018 | 2,264 | ||||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 1,700,000 | 6,108 | 09/13/2018 | 455 | ||||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 11,900,000 | 32,550 | 09/13/2018 | 13,385 | ||||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 2,900,000 | 6,432 | 09/13/2018 | 4,762 | ||||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 2,700,000 | (494 | ) | 09/13/2018 | 10,916 | |||||||||||||||
CRSU | (1) | 2.000 | % | AUD | 3,200,000 | (6,533 | ) | 09/13/2018 | 18,885 | |||||||||||||||
CRSU | (2) | 3.000 | % | AUD | 7,800,000 | 181,810 | 09/10/2026 | 242,116 | ||||||||||||||||
CRSU | (2) | 3.000 | % | AUD | 7,800,000 | 166,415 | 09/10/2026 | 257,511 | ||||||||||||||||
CRSU | 2.000% | (1) | AUD | 3,000,000 | (5,023 | ) | 09/13/2018 | (6,557 | ) | |||||||||||||||
CRSU | 2.000% | (1) | AUD | 2,700,000 | 3,103 | 09/13/2018 | (13,525 | ) | ||||||||||||||||
CRSU | 2.000% | (1) | AUD | 34,950,000 | (12,116 | ) | 09/13/2018 | (122,793 | ) | |||||||||||||||
CRSU | 2.000% | (1) | AUD | 34,950,000 | (18,441 | ) | 09/13/2018 | (116,468 | ) | |||||||||||||||
CRSU | 2.000% | (1) | AUD | 15,700,000 | 27,491 | 09/13/2018 | (88,094 | ) | ||||||||||||||||
CRSU | 2.000% | (1) | AUD | 5,400,000 | 9,456 | 09/13/2018 | (30,299 | ) | ||||||||||||||||
CRSU | 2.500% | (2) | AUD | 700,000 | (3,723 | ) | 09/10/2026 | (10,430 | ) | |||||||||||||||
CRSU | 2.500% | (2) | AUD | 400,000 | (7,508 | ) | 09/10/2026 | (580 | ) | |||||||||||||||
CRSU | 2.500% | (2) | AUD | 600,000 | (866 | ) | 09/10/2026 | (11,266 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
52
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CRSU | 2.500% | (2) | AUD | 2,800,000 | $ (9,118 | ) | 09/10/2026 | $ (47,497 | ) | |||||||||||||||
CRSU | 3.000% | (2) | AUD | 600,000 | (7,599 | ) | 09/10/2026 | (25,011 | ) | |||||||||||||||
CRSU | 3.000% | (2) | AUD | 8,400,000 | (133,588 | ) | 09/10/2026 | (322,948 | ) | |||||||||||||||
CRSU | 3.000% | (2) | AUD | 100,000 | (1,852 | ) | 09/10/2026 | (3,583 | ) | |||||||||||||||
CRSU | 3.000% | (2) | AUD | 100,000 | (1,750 | ) | 09/10/2026 | (3,685 | ) | |||||||||||||||
CRSU | 3.000% | (2) | AUD | 800,000 | (11,023 | ) | 09/10/2026 | (32,457 | ) | |||||||||||||||
CRSU | 3.000% | (2) | AUD | 600,000 | (9,478 | ) | 09/10/2026 | (23,132 | ) | |||||||||||||||
CRSU | 3.000% | (2) | AUD | 600,000 | (13,202 | ) | 09/10/2026 | (19,408 | ) | |||||||||||||||
CRSU | (3) | 0.500 | % | CAD | 2,700,000 | (11,869 | ) | 09/17/2018 | (3,130 | ) | ||||||||||||||
CRSU | (3) | 0.500 | % | CAD | 8,600,000 | (41,867 | ) | 09/17/2018 | (5,905 | ) | ||||||||||||||
CRSU | (3) | 1.000 | % | CAD | 2,600,000 | 4,145 | 09/17/2018 | 1,356 | ||||||||||||||||
CRSU | (3) | 1.000 | % | CAD | 2,700,000 | 5,170 | 09/17/2018 | 542 | ||||||||||||||||
CRSU | (3) | 1.500 | % | CAD | 600,000 | (1,975 | ) | 09/14/2026 | 9,407 | |||||||||||||||
CRSU | (3) | 1.500 | % | CAD | 3,900,000 | 21,956 | 09/14/2026 | 26,352 | ||||||||||||||||
CRSU | (3) | 1.500 | % | CAD | 2,300,000 | 9,694 | 09/14/2026 | 18,795 | ||||||||||||||||
CRSU | (3) | 1.500 | % | CAD | 900,000 | (10,284 | ) | 09/14/2026 | 21,432 | |||||||||||||||
CRSU | (3) | 1.500 | % | CAD | 500,000 | (4,430 | ) | 09/14/2026 | 10,623 | |||||||||||||||
CRSU | (3) | 1.500 | % | CAD | 600,000 | (5,411 | ) | 09/14/2026 | 12,843 | |||||||||||||||
CRSU | (3) | 1.500 | % | CAD | 900,000 | (5,070 | ) | 09/14/2026 | 16,218 | |||||||||||||||
CRSU | (3) | 1.500 | % | CAD | 600,000 | (7,990 | ) | 09/14/2026 | 15,422 | |||||||||||||||
CRSU | (3) | 1.500 | % | CAD | 1,600,000 | 4,109 | 09/14/2026 | 15,709 | ||||||||||||||||
CRSU | (3) | 1.500 | % | CAD | 700,000 | (14,117 | ) | 09/14/2026 | 22,788 | |||||||||||||||
CRSU | 0.500% | (3) | CAD | 2,700,000 | 14,676 | 09/17/2018 | 323 | |||||||||||||||||
CRSU | 0.500% | (3) | CAD | 3,600,000 | 19,412 | 09/17/2018 | 586 | |||||||||||||||||
CRSU | 0.500% | (3) | CAD | 2,700,000 | 14,511 | 09/17/2018 | 487 | |||||||||||||||||
CRSU | 0.500% | (3) | CAD | 11,100,000 | 71,988 | 09/17/2018 | (10,329 | ) | ||||||||||||||||
CRSU | 0.500% | (3) | CAD | 30,000 | 194 | 09/17/2018 | (28 | ) | ||||||||||||||||
CRSU | 0.500% | (3) | CAD | 18,200,000 | 48,940 | 09/17/2018 | 52,160 | |||||||||||||||||
CRSU | 0.500% | (3) | CAD | 10,900,000 | 32,844 | 09/17/2018 | 27,706 | |||||||||||||||||
CRSU | 0.500% | (3) | CAD | 7,400,000 | 25,235 | 09/17/2018 | 15,871 | |||||||||||||||||
CRSU | 0.500% | (3) | CAD | 21,000,000 | 106,142 | 09/17/2018 | 10,512 | |||||||||||||||||
CRSU | 0.500% | (3) | CAD | 4,000,000 | 16,067 | 09/17/2018 | 6,153 | |||||||||||||||||
CRSU | 0.500% | (3) | CAD | 4,700,000 | 23,755 | 09/17/2018 | 2,353 | |||||||||||||||||
CRSU | 1.000% | (3) | CAD | 2,600,000 | 2,880 | 09/17/2018 | (8,381 | ) | ||||||||||||||||
CRSU | 1.000% | (3) | CAD | 2,600,000 | (1,070 | ) | 09/17/2018 | (4,431 | ) | |||||||||||||||
CRSU | 1.000% | (3) | CAD | 3,600,000 | (208 | ) | 09/17/2018 | (7,409 | ) | |||||||||||||||
CRSU | 1.000% | (3) | CAD | 400,000 | (779 | ) | 09/17/2018 | (67 | ) | |||||||||||||||
CRSU | 1.500% | (3) | CAD | 600,000 | (6,745 | ) | 09/14/2026 | (687 | ) | |||||||||||||||
CRSU | 1.500% | (3) | CAD | 600,000 | (1,221 | ) | 09/14/2026 | (6,211 | ) | |||||||||||||||
CRSU | 1.500% | (3) | CAD | 1,900,000 | 11,468 | 09/14/2026 | (35,002 | ) | ||||||||||||||||
CRSU | 1.500% | (3) | CAD | 100,000 | (714 | ) | 09/14/2026 | (525 | ) | |||||||||||||||
CRSU | 1.500% | (3) | CAD | 600,000 | 5,649 | 09/14/2026 | (13,081 | ) | ||||||||||||||||
CRSU | (4) | 0.250 | % | CHF | 200,000 | (2,955 | ) | 09/16/2026 | 5,694 | |||||||||||||||
CRSU | (4) | 0.250 | % | CHF | 400,000 | (8,223 | ) | 09/16/2026 | 13,700 | |||||||||||||||
CRSU | (4) | 0.250 | % | CHF | 2,800,000 | (42,588 | ) | 09/16/2026 | 80,923 | |||||||||||||||
CRSU | (4) | 0.250 | % | CHF | 400,000 | (9,303 | ) | 09/16/2026 | 14,780 | |||||||||||||||
CRSU | (4) | 0.250 | % | CHF | 2,000,000 | 51,868 | 09/16/2026 | 88,868 | ||||||||||||||||
CRSU | (4) | 0.250 | % | CHF | 10,100,000 | 361,741 | 09/16/2026 | 348,975 | ||||||||||||||||
CRSU | (4) | 0.250 | % | CHF | 400,000 | 13,428 | 09/16/2026 | 14,719 | ||||||||||||||||
CRSU | (4) | 0.250 | % | CHF | 400,000 | (6,441 | ) | 09/16/2026 | 11,918 | |||||||||||||||
CRSU | (4) | 0.250 | % | CHF | 400,000 | (5,161 | ) | 09/16/2026 | 10,638 | |||||||||||||||
CRSU | (4) | 0.250 | % | CHF | 500,000 | (9,455 | ) | 09/16/2026 | 16,301 | |||||||||||||||
CRSU | (4) | 0.750 | % | CHF | 37,500,000 | 29,005 | 09/19/2018 | 83,514 | ||||||||||||||||
CRSU | (4) | 0.750 | % | CHF | 1,300,000 | — | 09/19/2018 | 3,901 | ||||||||||||||||
CRSU | (4) | 0.750 | % | CHF | 25,000,000 | 19,279 | 09/19/2018 | 55,733 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
53
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CRSU | 0.250% | (4) | CHF | 7,500,000 | $ (189,186 | ) | 09/16/2026 | $ (338,574 | ) | |||||||||||||||
CRSU | 0.250% | (4) | CHF | 5,000,000 | (126,342 | ) | 09/16/2026 | (225,498 | ) | |||||||||||||||
CRSU | 0.250% | (4) | CHF | 100,000 | (818 | ) | 09/16/2026 | (550 | ) | |||||||||||||||
CRSU | 0.750% | (4) | CHF | 1,900,000 | 287 | 09/19/2018 | (5,988 | ) | ||||||||||||||||
CRSU | 0.750% | (4) | CHF | 13,200,000 | (33,009 | ) | 09/19/2018 | (6,597 | ) | |||||||||||||||
CRSU | 0.750% | (4) | CHF | 3,700,000 | 6,034 | 09/19/2018 | (17,136 | ) | ||||||||||||||||
CRSU | 0.750% | (4) | CHF | 2,000,000 | 2,917 | 09/19/2018 | (8,918 | ) | ||||||||||||||||
CRSU | 0.750% | (4) | CHF | 1,900,000 | 183 | 09/19/2018 | (5,884 | ) | ||||||||||||||||
CRSU | 0.750% | (4) | CHF | 2,000,000 | (2,904 | ) | 09/19/2018 | (3,096 | ) | |||||||||||||||
CRSU | 0.750% | (4) | CHF | 2,000,000 | 3,262 | 09/19/2018 | (9,263 | ) | ||||||||||||||||
CRSU | 0.750% | (4) | CHF | 50,300,000 | 9,205 | 09/19/2018 | (160,130 | ) | ||||||||||||||||
CRSU | 0.750% | (4) | CHF | 10,400,000 | 6,642 | 09/19/2018 | (37,847 | ) | ||||||||||||||||
CRSU | 0.750% | (4) | CHF | 1,900,000 | 1,711 | 09/19/2018 | (7,412 | ) | ||||||||||||||||
CRSU | 0.750% | (4) | CHF | 2,200,000 | 1,320 | 09/19/2018 | (7,921 | ) | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 2,200,000 | 32,354 | 09/19/2018 | 2,524 | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 1,900,000 | 25,103 | 09/19/2018 | 5,019 | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 9,500,000 | 118,578 | 09/19/2018 | 32,031 | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 400,000 | 5,301 | 09/19/2018 | 1,041 | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 19,000,000 | 232,727 | 09/19/2018 | 68,493 | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 300,000 | 3,938 | 09/19/2018 | 818 | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 2,800,000 | 38,501 | 09/19/2018 | 5,889 | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 2,000,000 | 27,128 | 09/19/2018 | 4,579 | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 1,800,000 | 27,927 | 09/19/2018 | 609 | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 41,800,000 | 548,637 | 09/19/2018 | 114,046 | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 1,800,000 | 21,046 | 09/19/2018 | 7,490 | ||||||||||||||||
CRSU | (5) | 0.500 | % | EUR | 37,700,000 | 447,813 | 09/19/2018 | 149,870 | ||||||||||||||||
CRSU | (5) | 1.000 | % | EUR | 600,000 | 15,357 | 09/16/2026 | 20,015 | ||||||||||||||||
CRSU | (5) | 1.000 | % | EUR | 2,000,000 | 81,284 | 09/16/2026 | 36,621 | ||||||||||||||||
CRSU | (5) | 1.000 | % | EUR | 1,200,000 | 56,097 | 09/16/2026 | 14,646 | ||||||||||||||||
CRSU | (5) | 1.000 | % | EUR | 500,000 | 18,585 | 09/16/2026 | 10,892 | ||||||||||||||||
CRSU | (5) | 1.000 | % | EUR | 3,200,000 | 126,057 | 09/16/2026 | 62,591 | ||||||||||||||||
CRSU | (5) | 1.000 | % | EUR | 1,100,000 | 32,099 | 09/16/2026 | 32,749 | ||||||||||||||||
CRSU | (5) | 1.000 | % | EUR | 400,000 | 16,451 | 09/16/2026 | 7,130 | ||||||||||||||||
CRSU | (5) | 1.000 | % | EUR | 2,300,000 | 100,878 | 09/16/2026 | 34,713 | ||||||||||||||||
CRSU | 0.500% | (5) | EUR | 1,800,000 | (24,651 | ) | 09/19/2018 | (3,886 | ) | |||||||||||||||
CRSU | 0.500% | (5) | EUR | 2,300,000 | (31,155 | ) | 09/19/2018 | (5,309 | ) | |||||||||||||||
CRSU | 0.500% | (5) | EUR | 6,400,000 | (94,531 | ) | 09/19/2018 | (6,933 | ) | |||||||||||||||
CRSU | 0.500% | (5) | EUR | 3,500,000 | (44,951 | ) | 09/19/2018 | (10,536 | ) | |||||||||||||||
CRSU | 0.500% | (5) | EUR | 5,200,000 | (73,400 | ) | 09/19/2018 | (9,039 | ) | |||||||||||||||
CRSU | 0.500% | (5) | EUR | 300,000 | (2,888 | ) | 09/16/2026 | 1,973 | ||||||||||||||||
CRSU | 0.500% | (5) | EUR | 2,000,000 | (27,315 | ) | 09/19/2018 | (4,392 | ) | |||||||||||||||
CRSU | 0.500% | (5) | EUR | 11,300,000 | (154,333 | ) | 09/19/2018 | (24,813 | ) | |||||||||||||||
CRSU | 0.500% | (5) | EUR | 5,500,000 | (69,548 | ) | 09/19/2018 | (17,648 | ) | |||||||||||||||
CRSU | 0.500% | (5) | EUR | 16,000,000 | (207,265 | ) | 09/19/2018 | (46,394 | ) | |||||||||||||||
CRSU | 0.500% | (5) | EUR | 10,100,000 | (134,297 | ) | 09/19/2018 | (25,825 | ) | |||||||||||||||
CRSU | 0.500% | (5) | EUR | 2,300,000 | (30,583 | ) | 09/19/2018 | (5,880 | ) | |||||||||||||||
CRSU | 1.000% | (5) | EUR | 400,000 | (9,720 | ) | 09/16/2026 | (13,861 | ) | |||||||||||||||
CRSU | 1.000% | (5) | EUR | 1,900,000 | (63,058 | ) | 09/16/2026 | (48,952 | ) | |||||||||||||||
CRSU | 1.000% | (5) | EUR | 400,000 | (14,100 | ) | 09/16/2026 | (9,481 | ) | |||||||||||||||
CRSU | 1.000% | (5) | EUR | 7,800,000 | (255,186 | ) | 09/16/2026 | (204,645 | ) | |||||||||||||||
CRSU | 1.000% | (5) | EUR | 3,900,000 | (145,638 | ) | 09/16/2026 | (84,278 | ) | |||||||||||||||
CRSU | 1.000% | (5) | EUR | 400,000 | (14,415 | ) | 09/16/2026 | (9,166 | ) | |||||||||||||||
CRSU | 1.000% | (5) | EUR | 400,000 | (21,897 | ) | 09/16/2026 | (1,684 | ) | |||||||||||||||
CRSU | (4) | 1.000 | % | GBP | 17,000,000 | 57,278 | 09/19/2018 | 180,376 | ||||||||||||||||
CRSU | (4) | 1.000 | % | GBP | 30,200,000 | 123,316 | 09/19/2018 | 298,868 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
54
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CRSU | (4) | 1.000 | % | GBP | 1,400,000 | $ 4,558 | 09/19/2018 | $ 15,013 | ||||||||||||||||
CRSU | (4) | 1.000 | % | GBP | 3,700,000 | 20,175 | 09/19/2018 | 31,549 | ||||||||||||||||
CRSU | (4) | 1.000 | % | GBP | 1,400,000 | 4,558 | 09/19/2018 | 15,013 | ||||||||||||||||
CRSU | (4) | 1.000 | % | GBP | 1,400,000 | 3,297 | 09/19/2018 | 16,275 | ||||||||||||||||
CRSU | (4) | 1.500 | % | GBP | 300,000 | (2,329 | ) | 09/16/2026 | 21,874 | |||||||||||||||
CRSU | (4) | 1.500 | % | GBP | 300,000 | 2,258 | 09/16/2026 | 17,287 | ||||||||||||||||
CRSU | (4) | 1.500 | % | GBP | 4,700,000 | (10,670 | ) | 09/16/2026 | 316,869 | |||||||||||||||
CRSU | (4) | 1.500 | % | GBP | 300,000 | 5,836 | 09/16/2026 | 13,709 | ||||||||||||||||
CRSU | (4) | 1.500 | % | GBP | 200,000 | 6,957 | 09/16/2026 | 6,073 | ||||||||||||||||
CRSU | (4) | 1.500 | % | GBP | 400,000 | 783 | 09/16/2026 | 25,276 | ||||||||||||||||
CRSU | (4) | 1.500 | % | GBP | 300,000 | 2,313 | 09/16/2026 | 17,232 | ||||||||||||||||
CRSU | (4) | 1.500 | % | GBP | 300,000 | (1,380 | ) | 09/16/2026 | 20,925 | |||||||||||||||
CRSU | 1.000% | (4) | GBP | 3,200,000 | (14,210 | ) | 09/19/2018 | (30,525 | ) | |||||||||||||||
CRSU | 1.000% | (4) | GBP | 8,300,000 | (20,668 | ) | 09/19/2018 | (95,362 | ) | |||||||||||||||
CRSU | 1.000% | (4) | GBP | 1,400,000 | (10,246 | ) | 09/19/2018 | (9,325 | ) | |||||||||||||||
CRSU | 1.000% | (4) | GBP | 21,700,000 | (47,159 | ) | 09/19/2018 | (256,199 | ) | |||||||||||||||
CRSU | 1.000% | (4) | GBP | 1,500,000 | (3,493 | ) | 09/19/2018 | (17,477 | ) | |||||||||||||||
CRSU | 1.000% | (4) | GBP | 1,400,000 | (3,486 | ) | 09/19/2018 | (16,086 | ) | |||||||||||||||
CRSU | 1.000% | (4) | GBP | 700,000 | (2,359 | ) | 09/19/2018 | (7,427 | ) | |||||||||||||||
CRSU | 1.000% | (4) | GBP | 1,500,000 | (5,529 | ) | 09/19/2018 | (15,441 | ) | |||||||||||||||
CRSU | 1.000% | (4) | GBP | 900,000 | (7,755 | ) | 09/19/2018 | (4,827 | ) | |||||||||||||||
CRSU | 1.000% | (4) | GBP | 1,400,000 | (8,076 | ) | 09/19/2018 | (11,495 | ) | |||||||||||||||
CRSU | 1.500% | (4) | GBP | 6,200,000 | (15,763 | ) | 09/16/2026 | (388,160 | ) | |||||||||||||||
CRSU | 1.500% | (4) | GBP | 300,000 | 2,398 | 09/16/2026 | (21,943 | ) | ||||||||||||||||
CRSU | 1.500% | (4) | GBP | 300,000 | 2,073 | 09/16/2026 | (21,618 | ) | ||||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 60,000,000 | 6,549 | 09/16/2026 | 10,603 | ||||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 2,880,000,000 | (70,417 | ) | 09/19/2018 | 20,647 | |||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 220,000,000 | (2,912 | ) | 09/19/2018 | (890 | ) | ||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 210,000,000 | 61,500 | 09/16/2026 | (1,469 | ) | |||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 195,000,000 | 7,156 | 09/16/2026 | 48,587 | ||||||||||||||||
CITG | (4) | 0.250 | % | JPY | 2,170,000,000 | (28,943 | ) | 09/19/2018 | (8,558 | ) | ||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 40,000,000 | 4,366 | 09/16/2026 | 7,069 | ||||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 40,000,000 | 4,319 | 09/16/2026 | 7,116 | ||||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 1,370,000,000 | (6,597 | ) | 09/19/2018 | (17,078 | ) | ||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 620,000,000 | (9,620 | ) | 09/19/2018 | (1,094 | ) | ||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 2,990,000,000 | (30,047 | ) | 09/19/2018 | (21,624 | ) | ||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 620,000,000 | (9,681 | ) | 09/19/2018 | (1,033 | ) | ||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 1,370,000,000 | (17,959 | ) | 09/19/2018 | (5,716 | ) | ||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 80,000,000 | 14,263 | 09/16/2026 | 8,606 | ||||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 6,490,000,000 | (91,409 | ) | 09/19/2018 | (20,746 | ) | ||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 2,770,000,000 | (28,594 | ) | 09/19/2018 | (19,275 | ) | ||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 1,380,000,000 | (14,246 | ) | 09/19/2018 | (9,602 | ) | ||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 50,000,000 | 3,493 | 09/16/2026 | 10,801 | ||||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 50,000,000 | 10,587 | 09/16/2026 | 3,706 | ||||||||||||||||
CRSU | (4) | 0.250 | % | JPY | 195,000,000 | 15,021 | 09/16/2026 | 40,723 | ||||||||||||||||
CRSU | 0.250% | (4) | JPY | 240,000,000 | 3,686 | 09/19/2018 | 461 | |||||||||||||||||
CRSU | 0.250% | (4) | JPY | 120,000,000 | (9,754 | ) | 09/16/2026 | (24,550 | ) | |||||||||||||||
CRSU | 0.250% | (4) | JPY | 280,000,000 | 5,142 | 09/19/2018 | (303 | ) | ||||||||||||||||
CRSU | 0.250% | (4) | JPY | 1,120,000,000 | 12,682 | 09/19/2018 | 6,674 | |||||||||||||||||
CRSU | 0.250% | (4) | JPY | 580,000,000 | (16,362 | ) | 09/16/2026 | (149,439 | ) | |||||||||||||||
CRSU | 0.250% | (4) | JPY | 270,000,000 | (27,491 | ) | 09/16/2026 | (49,692 | ) | |||||||||||||||
CRSU | 0.250% | (4) | JPY | 250,000,000 | 3,894 | 09/19/2018 | 427 | |||||||||||||||||
CRSU | 0.250% | (4) | JPY | 120,000,000 | (9,693 | ) | 09/16/2026 | (24,611 | ) | |||||||||||||||
CRSU | 0.250% | (4) | JPY | 50,000,000 | (4,273 | ) | 09/16/2026 | (10,020 | ) | |||||||||||||||
CRSU | 0.250% | (4) | JPY | 340,000,000 | 5,295 | 09/19/2018 | 580 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
55
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CRSU | 0.250% | (4) | JPY | 540,000,000 | $ (50,539 | ) | 09/16/2026 | $ (103,827 | ) | |||||||||||||||
CRSU | 0.250% | (4) | JPY | 230,000,000 | 4,096 | 09/19/2018 | (122 | ) | ||||||||||||||||
CRSU | 0.250% | (4) | JPY | 220,000,000 | 2,719 | 09/19/2018 | 1,083 | |||||||||||||||||
CRSU | 0.250% | (4) | JPY | 210,000,000 | 2,961 | 09/19/2018 | 668 | |||||||||||||||||
CRSU | 0.250% | (4) | JPY | 540,000,000 | (62,437 | ) | 09/16/2026 | (91,929 | ) | |||||||||||||||
CRSU | 0.250% | (4) | JPY | 1,030,000,000 | 14,995 | 09/19/2018 | 2,805 | |||||||||||||||||
CRSU | 0.250% | (4) | JPY | 280,000,000 | (25,974 | ) | 09/16/2026 | (54,068 | ) | |||||||||||||||
CRSU | 0.250% | (4) | JPY | 1,120,000,000 | 9,411 | 09/19/2018 | 9,944 | |||||||||||||||||
CRSU | 0.250% | (4) | JPY | 820,000,000 | 11,938 | 09/19/2018 | 2,233 | |||||||||||||||||
CRSU | 0.250% | (4) | JPY | 210,000,000 | 2,961 | 09/19/2018 | 668 | |||||||||||||||||
CRSU | (6) | 1.000 | % | NOK | 21,200,000 | 3,461 | 09/19/2018 | 3,510 | ||||||||||||||||
CRSU | (6) | 1.000 | % | NOK | 16,600,000 | 4,985 | 09/19/2018 | 473 | ||||||||||||||||
CRSU | (6) | 1.000 | % | NOK | 18,400,000 | 463 | 09/19/2018 | 5,587 | ||||||||||||||||
CRSU | (6) | 1.000 | % | NOK | 16,700,000 | 495 | 09/19/2018 | 4,996 | ||||||||||||||||
CRSU | (6) | 1.000 | % | NOK | 18,100,000 | (454 | ) | 09/19/2018 | 6,406 | |||||||||||||||
CRSU | (6) | 1.000 | % | NOK | 17,500,000 | 3,045 | 09/19/2018 | 2,710 | ||||||||||||||||
CRSU | (6) | 1.000 | % | NOK | 31,100,000 | 18,208 | 09/19/2018 | (7,981 | ) | |||||||||||||||
CRSU | (6) | 1.000 | % | NOK | 16,800,000 | 2,599 | 09/19/2018 | 2,926 | ||||||||||||||||
CRSU | (6) | 1.500 | % | NOK | 3,700,000 | 4,575 | 09/16/2026 | 1,787 | ||||||||||||||||
CRSU | (6) | 1.500 | % | NOK | 20,820,000 | (39,139 | ) | 09/16/2026 | 74,943 | |||||||||||||||
CRSU | (6) | 1.500 | % | NOK | 3,600,000 | 3,021 | 09/16/2026 | 3,170 | ||||||||||||||||
CRSU | (6) | 1.500 | % | NOK | 5,800,000 | (8,299 | ) | 09/16/2026 | 18,273 | |||||||||||||||
CRSU | (6) | 1.500 | % | NOK | 20,820,000 | (38,706 | ) | 09/16/2026 | 74,510 | |||||||||||||||
CRSU | (6) | 1.500 | % | NOK | 2,400,000 | (15 | ) | 09/16/2026 | 4,142 | |||||||||||||||
CRSU | (6) | 1.500 | % | NOK | 3,800,000 | (4,523 | ) | 09/16/2026 | 11,058 | |||||||||||||||
CRSU | (6) | 1.500 | % | NOK | 27,760,000 | (51,230 | ) | 09/16/2026 | 98,968 | |||||||||||||||
CRSU | 1.000% | (6) | NOK | 98,430,000 | (34,246 | ) | 09/19/2018 | 1,878 | ||||||||||||||||
CRSU | 1.000% | (6) | NOK | 17,500,000 | (4,399 | ) | 09/19/2018 | (1,356 | ) | |||||||||||||||
CRSU | 1.000% | (6) | NOK | 17,600,000 | (8,755 | ) | 09/19/2018 | 2,967 | ||||||||||||||||
CRSU | 1.000% | (6) | NOK | 11,700,000 | (5,836 | ) | 09/19/2018 | 1,989 | ||||||||||||||||
CRSU | 1.000% | (6) | NOK | 98,430,000 | (33,927 | ) | 09/19/2018 | 1,559 | ||||||||||||||||
CRSU | 1.000% | (6) | NOK | 3,900,000 | (2,188 | ) | 09/19/2018 | 906 | ||||||||||||||||
CRSU | 1.000% | (6) | NOK | 131,240,000 | (44,758 | ) | 09/19/2018 | 1,601 | ||||||||||||||||
CRSU | 1.000% | (6) | NOK | 17,500,000 | (9,200 | ) | 09/19/2018 | 3,445 | ||||||||||||||||
CRSU | 1.000% | (6) | NOK | 23,800,000 | (8,792 | ) | 09/19/2018 | 966 | ||||||||||||||||
CRSU | 1.000% | (6) | NOK | 16,600,000 | (4,985 | ) | 09/19/2018 | (473 | ) | |||||||||||||||
CRSU | 1.000% | (6) | NOK | 22,200,000 | 556 | 09/19/2018 | (7,857 | ) | ||||||||||||||||
CRSU | 1.000% | (6) | NOK | 163,600,000 | (95,779 | ) | 09/19/2018 | 41,981 | ||||||||||||||||
CRSU | 1.500% | (6) | NOK | 3,700,000 | 11,350 | 09/16/2026 | (17,712 | ) | ||||||||||||||||
CRSU | 1.500% | (6) | NOK | 4,300,000 | 4,158 | 09/16/2026 | (11,553 | ) | ||||||||||||||||
CRSU | 1.500% | (6) | NOK | 3,600,000 | 8,669 | 09/16/2026 | (14,860 | ) | ||||||||||||||||
CRSU | 1.500% | (6) | NOK | 3,800,000 | 2,824 | 09/16/2026 | (9,359 | ) | ||||||||||||||||
CRSU | 1.500% | (6) | NOK | 3,600,000 | 13,073 | 09/16/2026 | (19,264 | ) | ||||||||||||||||
CRSU | 1.500% | (6) | NOK | 3,600,000 | 11,653 | 09/16/2026 | (17,844 | ) | ||||||||||||||||
CRSU | 1.500% | (6) | NOK | 3,600,000 | 5,788 | 09/16/2026 | (11,979 | ) | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 8,100,000 | 19,582 | 09/12/2018 | 12,454 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 30,800,000 | 66,438 | 09/12/2018 | 55,379 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 3,900,000 | 12,875 | 09/12/2018 | 2,550 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 3,200,000 | 9,532 | 09/12/2018 | 3,125 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 3,500,000 | 12,160 | 09/12/2018 | 1,683 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 1,600,000 | 3,971 | 09/12/2018 | 2,358 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 3,300,000 | 10,828 | 09/12/2018 | 2,224 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 3,400,000 | 11,328 | 09/12/2018 | 2,119 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 19,500,000 | 15,962 | 09/12/2018 | 61,163 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 3,100,000 | 12,273 | 09/12/2018 | (13 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
56
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 19,100,000 | $ 737 | 09/12/2018 | $ 74,806 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 51,100,000 | 123,538 | 09/12/2018 | 78,568 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 11,100,000 | 31,658 | 09/12/2018 | 12,244 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 5,400,000 | 15,402 | 09/12/2018 | 5,956 | ||||||||||||||||
CRSU | (1) | 2.500 | % | NZD | 19,400,000 | 7,446 | 09/12/2018 | 69,283 | ||||||||||||||||
CRSU | (1) | 3.000 | % | NZD | 1,600,000 | 34,488 | 09/16/2026 | (2,386 | ) | |||||||||||||||
CRSU | (1) | 3.500 | % | NZD | 1,400,000 | 25,410 | 09/16/2026 | 46,519 | ||||||||||||||||
CRSU | (1) | 3.500 | % | NZD | 1,200,000 | 19,555 | 09/16/2026 | 42,098 | ||||||||||||||||
CRSU | (1) | 3.500 | % | NZD | 1,200,000 | 19,256 | 09/16/2026 | 42,398 | ||||||||||||||||
CRSU | (1) | 3.500 | % | NZD | 7,000,000 | 132,860 | 09/16/2026 | 226,785 | ||||||||||||||||
CRSU | (2) | 3.500 | % | NZD | 500,000 | 9,777 | 09/16/2026 | 15,912 | ||||||||||||||||
CRSU | 2.500% | (1) | NZD | 5,100,000 | (2,981 | ) | 09/12/2018 | (17,190 | ) | |||||||||||||||
CRSU | 2.500% | (1) | NZD | 4,100,000 | (10,999 | ) | 09/12/2018 | (5,217 | ) | |||||||||||||||
CRSU | 2.500% | (1) | NZD | 6,800,000 | (3,040 | ) | 09/12/2018 | (23,855 | ) | |||||||||||||||
CRSU | 2.500% | (1) | NZD | 2,100,000 | (5,782 | ) | 09/12/2018 | (2,524 | ) | |||||||||||||||
CRSU | 2.500% | (1) | NZD | 4,900,000 | (10,985 | ) | 09/12/2018 | (8,395 | ) | |||||||||||||||
CRSU | 2.500% | (1) | NZD | 61,500,000 | (148,680 | ) | 09/12/2018 | (94,558 | ) | |||||||||||||||
CRSU | 2.500% | (1) | NZD | 6,500,000 | (29,322 | ) | 09/12/2018 | 3,614 | ||||||||||||||||
CRSU | 2.500% | (1) | NZD | 3,000,000 | (9,995 | ) | 09/12/2018 | (1,870 | ) | |||||||||||||||
CRSU | 2.500% | (1) | NZD | 25,500,000 | (68,408 | ) | 09/12/2018 | (32,448 | ) | |||||||||||||||
CRSU | 3.000% | (1) | NZD | 400,000 | (603 | ) | 09/16/2026 | (7,423 | ) | |||||||||||||||
CRSU | 3.000% | (1) | NZD | 700,000 | (2,990 | ) | 09/16/2026 | (11,055 | ) | |||||||||||||||
CRSU | 3.000% | (1) | NZD | 700,000 | (4,483 | ) | 09/16/2026 | (9,562 | ) | |||||||||||||||
CRSU | 3.000% | (1) | NZD | 700,000 | 1,766 | 09/16/2026 | (15,810 | ) | ||||||||||||||||
CRSU | 3.000% | (1) | NZD | 700,000 | (9,346 | ) | 09/16/2026 | (4,699 | ) | |||||||||||||||
CRSU | 3.000% | (1) | NZD | 900,000 | 5,761 | 09/16/2026 | (23,818 | ) | ||||||||||||||||
CRSU | 3.000% | (1) | NZD | 2,500,000 | 3,007 | 09/16/2026 | (53,168 | ) | ||||||||||||||||
CRSU | 3.500% | (1) | NZD | 4,300,000 | (62,807 | ) | 09/16/2026 | (158,118 | ) | |||||||||||||||
CRSU | 3.500% | (1) | NZD | 4,400,000 | (73,598 | ) | 09/16/2026 | (152,465 | ) | |||||||||||||||
CRSU | 3.500% | (1) | NZD | 900,000 | (27,078 | ) | 09/16/2026 | (19,162 | ) | |||||||||||||||
CRSU | 3.500% | (1) | NZD | 4,300,000 | (80,361 | ) | 09/16/2026 | (140,564 | ) | |||||||||||||||
CRSU | (7) | 0.500 | % | SEK | 324,500,000 | (190,194 | ) | 09/19/2018 | 122,194 | |||||||||||||||
CRSU | (7) | 0.500 | % | SEK | 18,200,000 | (8,244 | ) | 09/19/2018 | 4,430 | |||||||||||||||
CRSU | (7) | 0.500 | % | SEK | 17,100,000 | (5,432 | ) | 09/19/2018 | 1,849 | |||||||||||||||
CRSU | (7) | 1.000 | % | SEK | 11,200,000 | 3,844 | 09/16/2026 | 24,829 | ||||||||||||||||
CRSU | (7) | 1.500 | % | SEK | 3,700,000 | 11,988 | 09/16/2026 | 19,409 | ||||||||||||||||
CRSU | (7) | 1.500 | % | SEK | 50,200,000 | 82,328 | 09/16/2026 | 343,657 | ||||||||||||||||
CRSU | (7) | 1.500 | % | SEK | 4,700,000 | 18,307 | 09/16/2026 | 21,576 | ||||||||||||||||
CRSU | (7) | 1.500 | % | SEK | 3,400,000 | 5,412 | 09/16/2026 | 23,440 | ||||||||||||||||
CRSU | (7) | 1.500 | % | SEK | 3,500,000 | 11,253 | 09/16/2026 | 18,447 | ||||||||||||||||
CRSU | (7) | 1.500 | % | SEK | 4,700,000 | 13,551 | 09/16/2026 | 26,332 | ||||||||||||||||
CRSU | 0.500% | (7) | SEK | 6,000,000 | 3,463 | 09/19/2018 | (2,206 | ) | ||||||||||||||||
CRSU | 0.500% | (7) | SEK | 22,300,000 | 7,582 | 09/19/2018 | (2,908 | ) | ||||||||||||||||
CRSU | 0.500% | (7) | SEK | 17,100,000 | 13,403 | 09/19/2018 | (9,820 | ) | ||||||||||||||||
CRSU | 0.500% | (7) | SEK | 17,000,000 | 10,498 | 09/19/2018 | (6,936 | ) | ||||||||||||||||
CRSU | 0.500% | (7) | SEK | 233,300,000 | (342,364 | ) | 09/19/2018 | (168,560 | ) | |||||||||||||||
CRSU | 0.500% | (7) | SEK | 16,500,000 | 10,128 | 09/19/2018 | (6,670 | ) | ||||||||||||||||
CRSU | 0.500% | (7) | SEK | 53,200,000 | 17,300 | 09/19/2018 | (6,152 | ) | ||||||||||||||||
CRSU | 0.500% | (7) | SEK | 16,300,000 | 10,171 | 09/19/2018 | (6,756 | ) | ||||||||||||||||
CRSU | 1.000% | (7) | SEK | 3,600,000 | (4,834 | ) | 09/16/2026 | (4,382 | ) | |||||||||||||||
CRSU | 1.500% | (7) | SEK | 3,700,000 | (8,733 | ) | 09/16/2026 | (22,664 | ) | |||||||||||||||
CRSU | 1.500% | (7) | SEK | 69,800,000 | (187,534 | ) | 09/16/2026 | (404,771 | ) | |||||||||||||||
CRSU | (8) | 1.500 | % | USD | 2,000,000 | 28,629 | 09/21/2018 | 825 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 2,100,000 | 20,775 | 09/21/2018 | 10,151 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 2,000,000 | 19,786 | 09/21/2018 | 9,667 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
57
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY | PAYMENTS MADE BY | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 10,000,000 | $ 62,794 | 09/21/2018 | $ 84,472 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 8,900,000 | 66,237 | 09/21/2018 | 64,831 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 2,000,000 | 22,441 | 09/21/2018 | 7,012 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 5,400,000 | 60,592 | 09/21/2018 | 18,932 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 2,900,000 | 32,540 | 09/21/2018 | 10,167 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 2,100,000 | 14,675 | 09/21/2018 | 16,251 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 2,000,000 | 17,130 | 09/21/2018 | 12,323 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 2,200,000 | 20,509 | 09/21/2018 | 11,889 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 2,000,000 | 20,643 | 09/21/2018 | 8,810 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 2,500,000 | 19,607 | 09/21/2018 | 17,210 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 18,000,000 | 144,232 | 09/21/2018 | 120,848 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 400,000 | 2,763 | 09/21/2018 | 3,127 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 300,000 | 2,078 | 09/21/2018 | 2,340 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 6,200,000 | 48,626 | 09/21/2018 | 42,680 | ||||||||||||||||
CRSU | (8) | 1.500 | % | USD | 3,200,000 | 31,417 | 09/21/2018 | 15,709 | ||||||||||||||||
CRSU | (8) | 2.000 | % | USD | 4,900,000 | 147,681 | 09/21/2026 | 129,126 | ||||||||||||||||
CRSU | (8) | 2.250 | % | USD | 2,000,000 | 99,620 | 09/21/2026 | 61,205 | ||||||||||||||||
CRSU | (8) | 2.250 | % | USD | 2,000,000 | 99,080 | 09/21/2026 | 61,746 | ||||||||||||||||
CRSU | (8) | 2.250 | % | USD | 1,900,000 | 66,550 | 09/21/2026 | 86,235 | ||||||||||||||||
CRSU | (8) | 2.250 | % | USD | 400,000 | 11,491 | 09/21/2026 | 20,674 | ||||||||||||||||
CRSU | (8) | 2.250 | % | USD | 1,400,000 | 55,870 | 09/21/2026 | 56,708 | ||||||||||||||||
CRSU | 1.000% | (8) | USD | 23,700,000 | (64,608 | ) | 09/21/2018 | (48,852 | ) | |||||||||||||||
CRSU | 1.500% | (8) | USD | 2,100,000 | (9,408 | ) | 09/21/2018 | (21,518 | ) | |||||||||||||||
CRSU | 1.500% | (8) | USD | 9,800,000 | (91,314 | ) | 09/21/2018 | (53,007 | ) | |||||||||||||||
CRSU | 1.500% | (8) | USD | 5,600,000 | (51,042 | ) | 09/21/2018 | (31,428 | ) | |||||||||||||||
CRSU | 1.500% | (8) | USD | 3,400,000 | (34,810 | ) | 09/21/2018 | (15,261 | ) | |||||||||||||||
CRSU | 1.500% | (8) | USD | 6,700,000 | (50,076 | ) | 09/21/2018 | (48,592 | ) | |||||||||||||||
CRSU | 1.500% | (8) | USD | 22,700,000 | (168,156 | ) | 09/21/2018 | (166,140 | ) | |||||||||||||||
CRSU | 1.500% | (8) | USD | 9,600,000 | (92,601 | ) | 09/21/2018 | (48,775 | ) | |||||||||||||||
CRSU | 1.500% | (8) | USD | 8,500,000 | (53,266 | ) | 09/21/2018 | (71,911 | ) | |||||||||||||||
CRSU | 1.500% | (8) | USD | 2,900,000 | (41,741 | ) | 09/21/2018 | (966 | ) | |||||||||||||||
CRSU | 1.500% | (8) | USD | 9,400,000 | (85,675 | ) | 09/21/2018 | (52,756 | ) | |||||||||||||||
CRSU | 1.500% | (8) | USD | 3,100,000 | (23,511 | ) | 09/21/2018 | (22,142 | ) | |||||||||||||||
CITG | 1.750% | (8) | USD | 7,200,000 | (98,353 | ) | 09/21/2020 | (135,030 | ) | |||||||||||||||
CRSU | 2.250% | (8) | USD | 400,000 | (23,716 | ) | 09/21/2026 | (8,449 | ) | |||||||||||||||
CRSU | 2.250% | (8) | USD | 500,000 | (34,832 | ) | 09/21/2026 | (5,374 | ) | |||||||||||||||
CRSU | 2.250% | (8) | USD | 600,000 | (32,661 | ) | 09/21/2026 | (15,587 | ) | |||||||||||||||
CRSU | 2.250% | (8) | USD | 500,000 | (21,312 | ) | 09/21/2026 | (18,894 | ) | |||||||||||||||
CRSU | 2.250% | (8) | USD | 3,800,000 | (190,599 | ) | 09/21/2026 | (114,969 | ) | |||||||||||||||
CRSU | 2.250% | (8) | USD | 400,000 | (15,906 | ) | 09/21/2026 | (16,259 | ) | |||||||||||||||
CRSU | 2.250% | (8) | USD | 2,100,000 | (91,967 | ) | 09/21/2026 | (76,900 | ) | |||||||||||||||
CRSU | 2.250% | (8) | USD | 400,000 | (15,628 | ) | 09/21/2026 | (16,537 | ) | |||||||||||||||
CRSU | 2.250% | (8) | USD | 400,000 | (32,919 | ) | 09/21/2026 | 754 | ||||||||||||||||
CRSU | 2.250% | (8) | USD | 400,000 | (18,482 | ) | 09/21/2026 | (13,683 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||||
$(156,658 | ) | $(114,412 | ) | |||||||||||||||||||||
|
|
|
|
(1) | 3 Month Australian Bank-Bill Reference Rate |
(2) | 6 Month Australian Bank-Bill Reference Rate |
(3) | 3 Month Canadian Bankers’ Acceptance Rate |
(4) | 6 Month London Interbank Offered Rate |
(5) | 6 Month Euro Interbank Offered Rate |
(6) | 6 Month Norwegian Interbank Offered Rate |
(7) | 3 Month Stockholm Interbank Offered Rate |
(8) | 3 Month London Interbank Offered Rate |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
58
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
Total return swap contracts outstanding as of June 30, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
GSIN | BIST 30 August Futures | 08/2016 | TRY | 268,869 | $(221 | ) | ||||||||||
BANA | Bovespa Index August Futures | 08/2016 | BRL | 753,381 | 9,601 | |||||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | (21,891 | ) | (2,375 | ) | |||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | 21,891 | 3,616 | |||||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | (129,986 | ) | (13,495 | ) | |||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | 129,986 | 20,336 | |||||||||||
BANA | H-SHARES Index July Futures | 07/2016 | HKD | 834,060 | 4,954 | |||||||||||
GSIN | H-SHARES Index July Futures | 07/2016 | HKD | 832,185 | 5,196 | |||||||||||
BANA | KOSPI Index 200 September Futures | 09/2016 | KRW | 2,824,678,016 | (12,086 | ) | ||||||||||
GSIN | MSCI Singapore Index July Futures | 07/2016 | SGD | (92,985 | ) | (1,637 | ) | |||||||||
BANA | MSCI Taiwan Stock Index July Futures | 07/2016 | USD | 92,692 | 2,558 | |||||||||||
BANA | NSE Nifty 50 Index July Futures | 07/2016 | INR | (6,710,168 | ) | (2,287 | ) | |||||||||
BANA | SGX S&P CNX Nifty Index July Futures | 07/2016 | USD | (49,236 | ) | (777 | ) | |||||||||
SOCG | Soybean Meal December Futures^ | 11/2016 | USD | (39,093 | ) | (1,007 | ) | |||||||||
MACQ | Soybean Meal December Futures^ | 11/2016 | USD | (41,244 | ) | 1,144 | ||||||||||
SOCG | Soybean November Futures^ | 10/2016 | USD | (58,137 | ) | 474 | ||||||||||
BANA | Swiss Market Index September Futures | 09/2016 | CHF | (153,331 | ) | (6,488 | ) | |||||||||
BANA | Taiwan Stock Exchange July Futures | 07/2016 | TWD | (23,384,940 | ) | (14,522 | ) | |||||||||
BANA | Tel Aviv 25 Index July Futures | 07/2016 | ILS | (565,595 | ) | 1,643 | ||||||||||
CITI | Wheat September Futures^ | 08/2016 | USD | (51,176 | ) | 6,626 | ||||||||||
BANA | WIG20 Index September Futures | 09/2016 | PLN | 383,923 | 367 | |||||||||||
|
| |||||||||||||||
$1,620 | ||||||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
3 | MSCL | Corn Futures^ | 09/2016 | $60,719 | $54,825 | $(5,894 | ) | |||||||||||||
1 | MSCL | Gasoline RBOB Futures^ | 07/2016 | 65,095 | 63,054 | (2,041 | ) | |||||||||||||
13 | MSCL | Gold 100 OZ Futures^ | 08/2016 | 1,700,733 | 1,716,780 | 16,047 | ||||||||||||||
1 | MSCL | Heating Oil ULSD Futures^ | 07/2016 | 63,280 | 62,526 | (754 | ) | |||||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | 76,734 | 82,150 | 5,416 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | 37,643 | 41,084 | 3,441 | ||||||||||||||
3 | JPPC | LME Aluminum Futures^ | 07/2016 | 113,378 | 123,307 | 9,929 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | 37,949 | 41,107 | 3,158 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | 38,881 | 41,112 | 2,231 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | 39,046 | 41,117 | 2,071 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | 39,348 | 41,140 | 1,792 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | 40,097 | 41,144 | 1,047 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | 40,841 | 41,119 | 278 | ||||||||||||||
4 | JPPC | LME Aluminum Futures^ | 07/2016 | 164,806 | 164,490 | (316 | ) | |||||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | 82,199 | 82,258 | 59 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | 40,940 | 41,156 | 216 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | 39,422 | 41,180 | 1,758 | ||||||||||||||
9 | JPPC | LME Aluminum Futures^ | 09/2016 | 350,978 | 371,532 | 20,554 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
59
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | $ 116,653 | $ 121,026 | $ 4,373 | ||||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | 239,712 | 242,118 | 2,406 | ||||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | 246,919 | 242,088 | (4,831 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | 124,966 | 121,075 | (3,891 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | 118,252 | 121,192 | 2,940 | ||||||||||||||
4 | JPPC | LME Copper Futures^ | 09/2016 | 460,266 | 484,800 | 24,534 | ||||||||||||||
1 | JPPC | LME Lead Futures^ | 07/2016 | 43,853 | 44,639 | 786 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | 53,502 | 56,434 | 2,932 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | 54,544 | 56,477 | 1,933 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | 55,113 | 56,484 | 1,371 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | 205,978 | 226,608 | 20,630 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | 43,889 | 52,565 | 8,676 | ||||||||||||||
2 | JPPC | LME Zinc Futures^ | 07/2016 | 93,421 | 105,143 | 11,722 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | 46,848 | 52,575 | 5,727 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | 48,284 | 52,550 | 4,266 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | 47,329 | 52,531 | 5,202 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | 51,827 | 52,667 | 840 | ||||||||||||||
2 | JPPC | LME Zinc Futures^ | 09/2016 | 96,430 | 105,313 | 8,883 | ||||||||||||||
12 | MSCL | Natural Gas Futures^ | 07/2016 | 324,513 | 350,880 | 26,367 | ||||||||||||||
2 | MSCL | Silver Futures^ | 09/2016 | 173,688 | 186,230 | 12,542 | ||||||||||||||
12 | BARC | Amsterdam Index Futures | 07/2016 | 1,113,668 | 1,159,378 | 45,710 | ||||||||||||||
37 | BARC | BIST 30 Futures | 08/2016 | 122,726 | 123,226 | 500 | ||||||||||||||
1 | BARC | DAX Index Futures | 09/2016 | 262,276 | 268,240 | 5,964 | ||||||||||||||
94 | BARC | Euro Stoxx 50 Index Futures | 09/2016 | 2,925,009 | 2,978,236 | 53,227 | ||||||||||||||
16 | BARC | FTSE 100 Index Futures | 09/2016 | 1,293,204 | 1,367,992 | 74,788 | ||||||||||||||
3 | BARC | FTSE Bursa Malaysia KLCI Index Futures | 07/2016 | 60,663 | 61,522 | 859 | ||||||||||||||
1 | BARC | H-SHARES Index Futures | 07/2016 | 55,914 | 56,232 | 318 | ||||||||||||||
12 | BARC | IBEX 35 Index Futures | 07/2016 | 1,082,124 | 1,082,312 | 188 | ||||||||||||||
1 | JPMS | Mexican Stock Exchange Price and Quotation Index Futures | 09/2016 | 24,589 | 25,221 | 632 | ||||||||||||||
58 | BARC | OMXS30 Index Futures | 07/2016 | 869,431 | 903,861 | 34,430 | ||||||||||||||
25 | BARC | S&P 500 E-Mini Futures | 09/2016 | 2,579,681 | 2,612,750 | 33,069 | ||||||||||||||
38 | BARC | SET50 Index Futures | 09/2016 | 192,339 | 195,234 | 2,895 | ||||||||||||||
27 | BARC | SPI 200 Index Futures | 09/2016 | 2,605,324 | 2,605,676 | 352 | ||||||||||||||
9 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | 1,326,202 | 1,331,981 | 5,779 | ||||||||||||||
8 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | 11,785,749 | 11,846,802 | 61,053 | ||||||||||||||
69 | GSCO | Euro-Bund Futures | 09/2016 | 12,652,858 | 12,796,838 | 143,980 | ||||||||||||||
94 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2016 | 12,460,003 | 12,500,532 | 40,529 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
57,089,836 | 57,790,509 | 700,673 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
8 | GSCO | Brent Crude Futures^ | 07/2016 | $(389,733 | ) | $(397,680 | ) | $(7,947 | ) | |||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | (76,801 | ) | (82,150 | ) | (5,349 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | (37,610 | ) | (41,084 | ) | (3,474 | ) | |||||||||||
3 | JPPC | LME Aluminum Futures^ | 07/2016 | (113,018 | ) | (123,308 | ) | (10,290 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | (37,910 | ) | (41,107 | ) | (3,197 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | (38,847 | ) | (41,111 | ) | (2,264 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | (39,048 | ) | (41,117 | ) | (2,069 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | (39,185 | ) | (41,140 | ) | (1,955 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | (40,035 | ) | (41,144 | ) | (1,109 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
60
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | $ (40,997 | ) | $ (41,119 | ) | $ (122 | ) | |||||||||||
4 | JPPC | LME Aluminum Futures^ | 07/2016 | (164,988 | ) | (164,490 | ) | 498 | ||||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | (82,595 | ) | (82,258 | ) | 337 | ||||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | (40,851 | ) | (41,156 | ) | (305 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | (39,287 | ) | (41,179 | ) | (1,892 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (115,973 | ) | (121,026 | ) | (5,053 | ) | |||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | (239,495 | ) | (242,117 | ) | (2,622 | ) | |||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | (246,495 | ) | (242,087 | ) | 4,408 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (125,204 | ) | (121,075 | ) | 4,129 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | (117,944 | ) | (121,193 | ) | (3,249 | ) | |||||||||||
1 | JPPC | LME Lead Futures^ | 07/2016 | (43,791 | ) | (44,638 | ) | (847 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | (53,461 | ) | (56,434 | ) | (2,973 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | (54,538 | ) | (56,478 | ) | (1,940 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | (55,588 | ) | (56,484 | ) | (896 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | (43,830 | ) | (52,564 | ) | (8,734 | ) | |||||||||||
2 | JPPC | LME Zinc Futures^ | 07/2016 | (93,170 | ) | (105,143 | ) | (11,973 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | (46,823 | ) | (52,575 | ) | (5,752 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | (48,247 | ) | (52,550 | ) | (4,303 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | (47,569 | ) | (52,532 | ) | (4,963 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | (51,810 | ) | (52,668 | ) | (858 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | (51,848 | ) | (52,657 | ) | (809 | ) | |||||||||||
1 | MSCL | Soybean Futures^ | 11/2016 | (55,323 | ) | (57,663 | ) | (2,340 | ) | |||||||||||
4 | MSCL | Soybean Meal Futures^ | 12/2016 | (156,339 | ) | (160,400 | ) | (4,061 | ) | |||||||||||
27 | MSCL | Soybean Oil Futures^ | 12/2016 | (541,782 | ) | (519,533 | ) | 22,249 | ||||||||||||
1 | MSCL | WTI Crude Futures^ | 07/2016 | (47,393 | ) | (48,330 | ) | (937 | ) | |||||||||||
28 | BARC | CAC40 Index Futures | 07/2016 | (1,287,466 | ) | (1,315,631 | ) | (28,165 | ) | |||||||||||
24 | BARC | FTSE/JSE Top 40 Index Futures | 09/2016 | (762,117 | ) | (756,860 | ) | 5,257 | ||||||||||||
15 | BARC | FTSE/MIB Index Futures | 09/2016 | (1,346,931 | ) | (1,347,598 | ) | (667 | ) | |||||||||||
18 | BARC | Hang Seng Index Futures | 07/2016 | (2,329,819 | ) | (2,430,015 | ) | (100,196 | ) | |||||||||||
8 | BARC | MSCI Singapore Index Futures | 07/2016 | (180,925 | ) | (188,435 | ) | (7,510 | ) | |||||||||||
10 | BARC | MSCI Taiwan Stock Index Futures | 07/2016 | (307,580 | ) | (317,500 | ) | (9,920 | ) | |||||||||||
3 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2016 | (373,155 | ) | (378,173 | ) | (5,018 | ) | |||||||||||
38 | BARC | SGX S&P CNX Nifty Index Futures | 07/2016 | (617,940 | ) | (633,498 | ) | (15,558 | ) | |||||||||||
13 | BARC | TOPIX Index Futures | 09/2016 | (1,644,417 | ) | (1,567,956 | ) | 76,461 | ||||||||||||
31 | JPMS | Australia 10-Year Bond Futures | 09/2016 | (3,121,815 | ) | (3,148,906 | ) | (27,091 | ) | |||||||||||
21 | GSCO | Canadian 10-Year Bond Futures | 09/2016 | (2,350,708 | ) | (2,406,316 | ) | (55,608 | ) | |||||||||||
69 | GSCO | Long Gilt Futures | 09/2016 | (11,501,460 | ) | (11,802,610 | ) | (301,150 | ) | |||||||||||
13 | MSCL | U.S. Treasury 5-Year Note Futures | 09/2016 | (1,588,689 | ) | (1,588,133 | ) | 556 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
(30,830,550 | ) | (31,369,821 | ) | (539,271 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$26,259,286 | $26,420,688 | $161,402 | ||||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
61
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | 419,600 | $308,684 | $312,034 | $3,350 | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | 629,400 | 463,027 | 468,051 | 5,024 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | 3,069,600 | 853,260 | 932,654 | 79,394 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | 4,604,400 | 1,279,893 | 1,398,983 | 119,090 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | 2,241,200 | 1,718,182 | 1,735,014 | 16,832 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | 3,361,800 | 2,577,276 | 2,602,523 | 25,247 | ||||||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | 109,200 | 111,103 | 112,344 | 1,241 | ||||||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | 154,800 | 157,265 | 159,254 | 1,989 | ||||||||||||||
Chilean Peso, Expiring 09/21/16* | CITI | CLP | 144,200,000 | 206,771 | 216,315 | 9,544 | ||||||||||||||
Chilean Peso, Expiring 09/21/16* | JPMC | CLP | 193,800,000 | 277,594 | 290,720 | 13,126 | ||||||||||||||
Colombian Peso, Expiring 09/21/16* | CITI | COP | 1,087,200,000 | 345,200 | 366,017 | 20,817 | ||||||||||||||
Colombian Peso, Expiring 09/21/16* | JPMC | COP | 1,480,800,000 | 468,810 | 498,527 | 29,717 | ||||||||||||||
Czech Republic Koruna, Expiring 09/21/16 | CITI | CZK | 16,080,000 | 667,100 | 660,954 | (6,146 | ) | |||||||||||||
Czech Republic Koruna, Expiring 09/21/16 | JPMC | CZK | 24,120,000 | 1,000,651 | 991,430 | (9,221 | ) | |||||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | 1,393,000 | 1,574,993 | 1,550,405 | (24,588 | ) | |||||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | 1,986,000 | 2,244,704 | 2,210,412 | (34,292 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | 1,075,200 | 1,558,329 | 1,432,465 | (125,864 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | 1,612,800 | 2,337,348 | 2,148,697 | (188,651 | ) | |||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | 259,000 | 33,395 | 33,416 | 21 | ||||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | 255,000 | 32,875 | 32,901 | 26 | ||||||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | 55,498,800 | 202,017 | 195,028 | (6,989 | ) | |||||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | 83,248,200 | 303,022 | 292,541 | (10,481 | ) | |||||||||||||
Indonesian Rupiah, Expiring 09/21/16* | CITI | IDR | 1,914,000,000 | 139,293 | 142,833 | 3,540 | ||||||||||||||
Indonesian Rupiah, Expiring 09/21/16* | JPMC | IDR | 2,346,000,000 | 170,073 | 175,071 | 4,998 | ||||||||||||||
Israeli Shekel, Expiring 09/21/16 | CITI | ILS | 40,000 | 10,459 | 10,384 | (75 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
62
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Israeli Shekel, Expiring 09/21/16 | JPMC | ILS | 60,000 | $ 15,688 | $ 15,576 | $ (112 | ) | |||||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | 15,053,000 | 219,727 | 219,963 | 236 | ||||||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | 9,300,000 | 135,650 | 135,896 | 246 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | 245,933,600 | 2,307,224 | 2,388,095 | 80,871 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | 368,900,400 | 3,460,840 | 3,582,144 | 121,304 | ||||||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | 623,612,800 | 527,547 | 540,970 | 13,423 | ||||||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | 775,363,200 | 656,622 | 672,610 | 15,988 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | 5,433,200 | 290,840 | 294,816 | 3,976 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | 8,149,800 | 436,267 | 442,224 | 5,957 | ||||||||||||||
Malaysian Ringgit, Expiring 09/21/16* | CITI | MYR | 2,480,000 | 603,622 | 611,859 | 8,237 | ||||||||||||||
Malaysian Ringgit, Expiring 09/21/16* | JPMC | MYR | 3,720,000 | 905,435 | 917,790 | 12,355 | ||||||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | 10,957,400 | 1,315,228 | 1,309,124 | (6,104 | ) | |||||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | 12,876,600 | 1,546,127 | 1,538,417 | (7,710 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | 1,830,000 | 1,257,445 | 1,301,354 | 43,909 | ||||||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | 2,745,000 | 1,886,171 | 1,952,029 | 65,858 | ||||||||||||||
Philippine Peso, Expiring 09/21/16* | CITI | PHP | 12,740,000 | 273,402 | 269,878 | (3,524 | ) | |||||||||||||
Philippine Peso, Expiring 09/21/16* | JPMC | PHP | 7,560,000 | 162,329 | 160,147 | (2,182 | ) | |||||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | 1,500,800 | 382,658 | 379,715 | (2,943 | ) | |||||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | 2,251,200 | 573,997 | 569,570 | (4,427 | ) | |||||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | 19,589,600 | 2,366,843 | 2,323,468 | (43,375 | ) | |||||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | 29,384,400 | 3,550,270 | 3,485,203 | (65,067 | ) | |||||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | 984,000 | 724,565 | 729,851 | 5,286 | ||||||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | 606,000 | 447,126 | 449,481 | 2,355 | ||||||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | 1,685,800 | 556,726 | 575,312 | 18,586 | ||||||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | 2,488,200 | 821,291 | 849,147 | 27,856 | ||||||||||||||
New Taiwan Dollar, Expiring 09/21/16* | CITI | TWD | 18,660,000 | 574,461 | 579,473 | 5,012 | ||||||||||||||
New Taiwan Dollar, Expiring 09/21/16* | JPMC | TWD | 1,740,000 | 53,539 | 54,034 | 495 | ||||||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | 4,026,000 | 257,867 | 268,960 | 11,093 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
63
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | 6,039,000 | $ 387,004 | $ 403,436 | $ 16,432 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$45,737,835 | $45,989,515 | $251,680 | ||||||||||||||||||
|
|
|
|
|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | (1,672,400 | ) | $(1,208,983 | ) | $(1,243,674 | ) | $(34,691 | ) | ||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | (2,508,600 | ) | (1,813,473 | ) | (1,865,511 | ) | (52,038 | ) | ||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | (3,305,400 | ) | (889,123 | ) | (1,004,300 | ) | (115,177 | ) | ||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | (957,600 | ) | (256,573 | ) | (290,953 | ) | (34,380 | ) | ||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | (895,600 | ) | (695,327 | ) | (693,324 | ) | 2,003 | |||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | (1,343,400 | ) | (1,042,952 | ) | (1,039,987 | ) | 2,965 | |||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | (80,000 | ) | (82,839 | ) | (82,303 | ) | 536 | |||||||||||
Chilean Peso, Expiring 09/21/16* | CITI | CLP | (50,000,000 | ) | (72,817 | ) | (75,005 | ) | (2,188 | ) | ||||||||||
Colombian Peso, Expiring 09/21/16* | CITI | COP | (410,000,000 | ) | (133,919 | ) | (138,031 | ) | (4,112 | ) | ||||||||||
Colombian Peso, Expiring 09/21/16* | JPMC | COP | (390,000,000 | ) | (128,927 | ) | (131,298 | ) | (2,371 | ) | ||||||||||
Czech Republic Koruna, Expiring 09/21/16 | CITI | CZK | (24,160,000 | ) | (1,002,935 | ) | (993,074 | ) | 9,861 | |||||||||||
Czech Republic Koruna, Expiring 09/21/16 | JPMC | CZK | (21,840,000 | ) | (908,334 | ) | (897,713 | ) | 10,621 | |||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (2,427,200 | ) | (2,714,643 | ) | (2,701,467 | ) | 13,176 | |||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | (3,640,800 | ) | (4,071,981 | ) | (4,052,198 | ) | 19,783 | |||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | (2,298,000 | ) | (3,353,010 | ) | (3,061,574 | ) | 291,436 | |||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | (3,447,000 | ) | (5,029,508 | ) | (4,592,361 | ) | 437,147 | |||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | (383,000 | ) | (49,365 | ) | (49,416 | ) | (51 | ) | ||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | (22,000,000 | ) | (77,650 | ) | (77,310 | ) | 340 | |||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | (33,000,000 | ) | (116,597 | ) | (115,966 | ) | 631 | |||||||||||
Israeli Shekel, Expiring 09/21/16 | CITI | ILS | (804,000 | ) | (209,415 | ) | (208,717 | ) | 698 | |||||||||||
Israeli Shekel, Expiring 09/21/16 | JPMC | ILS | (1,206,000 | ) | (314,126 | ) | (313,076 | ) | 1,050 | |||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | (22,040,000 | ) | (321,704 | ) | (322,062 | ) | (358 | ) | ||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | (33,060,000 | ) | (482,555 | ) | (483,092 | ) | (537 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
64
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | (114,621,200 | ) | $ (1,044,349 | ) | $ (1,113,009 | ) | $ (68,660 | ) | ||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | (171,931,800 | ) | (1,566,521 | ) | (1,669,514 | ) | (102,993 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | (614,448,600 | ) | (521,526 | ) | (533,020 | ) | (11,494 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | (774,449,400 | ) | (653,877 | ) | (671,816 | ) | (17,939 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | (8,443,600 | ) | (449,340 | ) | (458,166 | ) | (8,826 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | (10,742,400 | ) | (569,901 | ) | (582,904 | ) | (13,003 | ) | ||||||||||
Malaysian Ringgit, Expiring 09/21/16* | CITI | MYR | (788,000 | ) | (191,746 | ) | (194,413 | ) | (2,667 | ) | ||||||||||
Malaysian Ringgit, Expiring 09/21/16* | JPMC | MYR | (912,000 | ) | (221,263 | ) | (225,007 | ) | (3,744 | ) | ||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | (12,470,800 | ) | (1,498,578 | ) | (1,489,936 | ) | 8,642 | |||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | (18,706,200 | ) | (2,247,863 | ) | (2,234,902 | ) | 12,961 | |||||||||||
Philippine Peso, Expiring 09/21/16* | CITI | PHP | (14,880,000 | ) | (316,702 | ) | (315,211 | ) | 1,491 | |||||||||||
Philippine Peso, Expiring 09/21/16* | JPMC | PHP | (22,320,000 | ) | (475,052 | ) | (472,817 | ) | 2,235 | |||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | (1,812,400 | ) | (457,566 | ) | (458,552 | ) | (986 | ) | ||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | (2,718,600 | ) | (686,393 | ) | (687,826 | ) | (1,433 | ) | ||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | (14,602,400 | ) | (1,760,419 | ) | (1,731,951 | ) | 28,468 | |||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | (21,903,600 | ) | (2,640,625 | ) | (2,597,925 | ) | 42,700 | |||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | (1,120,800 | ) | (813,442 | ) | (831,313 | ) | (17,871 | ) | ||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | (1,681,200 | ) | (1,220,162 | ) | (1,246,971 | ) | (26,809 | ) | ||||||||||
New Taiwan Dollar, Expiring 09/21/16* | CITI | TWD | (26,360,000 | ) | (808,338 | ) | (818,591 | ) | (10,253 | ) | ||||||||||
New Taiwan Dollar, Expiring 09/21/16* | JPMC | TWD | (39,540,000 | ) | (1,212,507 | ) | (1,227,885 | ) | (15,378 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | (894,800 | ) | (56,146 | ) | (59,777 | ) | (3,631 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | (1,342,200 | ) | (84,219 | ) | (89,666 | ) | (5,447 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(44,473,291 | ) | (44,143,584 | ) | 329,707 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$1,264,544 | $1,845,931 | $581,387 | ||||||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward (See Note 4). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
65
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
BANA | ||||||||||||
Investment Companies | $130,022 | $— | $130,022 | |||||||||
| ||||||||||||
BARC | ||||||||||||
Cash | — | 1,318,379 | 1,318,379 | |||||||||
| ||||||||||||
CITG | ||||||||||||
Cash | — | 411,772 | 411,772 | |||||||||
| ||||||||||||
CITI | ||||||||||||
Cash | (30,000 | ) | — | (30,000 | ) | |||||||
| ||||||||||||
CRSU | ||||||||||||
Cash | — | 1,031,900 | 1,031,900 | |||||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | 633,546 | 633,546 | |||||||||
| ||||||||||||
JPMC | ||||||||||||
Cash | 80,000 | — | 80,000 | |||||||||
| ||||||||||||
JPMS | ||||||||||||
Cash | — | 116,544 | 116,544 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | 81,441 | 81,441 | |||||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
CITI | ||||||||||||
Investment Companies | $60,028 | $— | $60,028 | |||||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | 59,352 | 59,352 | |||||||||
| ||||||||||||
JPPC | ||||||||||||
Cash | — | 54,699 | 54,699 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | 67,398 | 67,398 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
66
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
LONG INVESTMENTS - 112.8% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 22.9% | ||||||||
Belgium - 0.5% | ||||||||
Ageas (a) | 97,929 | $ | 3,403,941 | |||||
bpost SA (a) | 75,224 | 1,925,635 | ||||||
Colruyt SA (a) | 12,124 | 670,917 | ||||||
Proximus SADP (a) | 33,005 | 1,048,849 | ||||||
|
| |||||||
7,049,342 | ||||||||
|
| |||||||
Canada - 4.3% | ||||||||
Agnico Eagle Mines Ltd. (1)(a) | 26,029 | 1,392,968 | ||||||
Air Canada (1)†(a) | 421,019 | 2,897,062 | ||||||
Alimentation Couche-Tard, Inc., Class B (1)(a) | 47,525 | 2,040,858 | ||||||
Bank of Montreal (1)(a) | 8,434 | 534,979 | ||||||
Barrick Gold Corp. (1)(a) | 180,551 | 3,854,326 | ||||||
Baytex Energy Corp. (1)(a) | 90,419 | 524,898 | ||||||
BCE, Inc. (1)(a) | 11,817 | 559,226 | ||||||
Canadian Imperial Bank of Commerce (1)(a) | 6,849 | 514,437 | ||||||
Canadian Tire Corp. Ltd., Class A (1)(a) | 26,926 | 2,933,422 | ||||||
Canfor Corp. (1)†(a) | 60,056 | 606,626 | ||||||
CCL Industries, Inc., Class B (1)(a) | 10,006 | 1,741,359 | ||||||
CGI Group, Inc., Class A (1)†(a) | 28,965 | 1,237,338 | ||||||
Constellation Software, Inc. (1)(a) | 4,544 | 1,758,617 | ||||||
Dollarama, Inc. (1)(a) | 36,695 | 2,561,933 | ||||||
Eldorado Gold Corp. (1) | 125,656 | 565,085 | ||||||
Element Financial Corp. (1)(a) | 89,741 | 951,625 | ||||||
Empire Co. Ltd., Class A (1)(a) | 91,199 | 1,356,038 | ||||||
Encana Corp., Class R (1)(a) | 85,892 | 668,149 | ||||||
Enerplus Corp. (1)(a) | 217,353 | 1,431,692 | ||||||
George Weston Ltd. (1)(a) | 31,718 | 2,744,990 | ||||||
Goldcorp, Inc. (1)(a) | 89,138 | 1,705,555 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. (1)(a) | 24,279 | 763,164 | ||||||
Kinross Gold Corp. (1)†(a) | 610,168 | 2,994,284 | ||||||
Linamar Corp. (1)(a) | 65,727 | 2,341,233 | ||||||
Loblaw Cos. Ltd. (1)(a) | 40,817 | 2,183,415 | ||||||
Lundin Mining Corp. (1)† | 198,129 | 668,635 | ||||||
Magna International, Inc. (1)(a) | 69,900 | 2,453,628 | ||||||
Metro, Inc. (1)(a) | 63,054 | 2,196,726 | ||||||
Onex Corp. (1)(a) | 9,876 | 603,896 | ||||||
Open Text Corp. (1)(a) | 37,560 | 2,220,835 | ||||||
Ritchie Bros Auctioneers, Inc. (1)(a) | 39,995 | 1,351,586 | ||||||
Saputo, Inc. (1)(a) | 31,074 | 922,876 | ||||||
Seven Generations Energy Ltd., Class A (1)†(a) | 27,669 | 528,130 | ||||||
SNC-Lavalin Group, Inc. (1)(a) | 18,453 | 774,999 | ||||||
Yamana Gold, Inc. (1)(a) | 550,042 | 2,861,010 | ||||||
|
| |||||||
55,445,600 | ||||||||
|
| |||||||
China - 0.2% | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 2,920,200 | 1,958,600 | ||||||
|
| |||||||
Denmark - 1.1% | ||||||||
DSV A/S (a) | 40,694 | 1,711,107 | ||||||
ISS A/S (a) | 81,419 | 3,062,195 | ||||||
Novo Nordisk A/S, Class B (a) | 10,122 | 545,099 | ||||||
Pandora A/S (a) | 16,090 | 2,191,449 | ||||||
TDC A/S | 440,611 | 2,159,201 |
SHARES | VALUE (Note 5) | |||||||
Denmark - 1.1% (continued) | ||||||||
Vestas Wind Systems A/S (a) | 71,021 | $ | 4,827,259 | |||||
|
| |||||||
14,496,310 | ||||||||
|
| |||||||
Finland - 1.0% | ||||||||
Amer Sports OYJ (a) | 46,895 | 1,286,577 | ||||||
Cargotec OYJ, Class B (a) | 41,584 | 1,694,758 | ||||||
Elisa OYJ (a) | 35,073 | 1,347,616 | ||||||
Huhtamaki OYJ (a) | 15,862 | 658,270 | ||||||
Kesko OYJ, Class B (a) | 71,119 | 3,020,180 | ||||||
Metso OYJ (a) | 30,444 | 715,735 | ||||||
Neste OYJ (a) | 90,644 | 3,250,397 | ||||||
Orion OYJ, Class B (a) | 28,774 | 1,117,289 | ||||||
|
| |||||||
13,090,822 | ||||||||
|
| |||||||
Germany - 4.0% | ||||||||
adidas AG (a) | 6,547 | 939,817 | ||||||
Allianz SE (a) | 13,778 | 1,965,534 | ||||||
Aurubis AG (a) | 38,845 | 1,766,389 | ||||||
Brenntag AG (a) | 15,834 | 767,030 | ||||||
Covestro AG 144A (a)(b) | 34,307 | 1,528,046 | ||||||
Deutsche Lufthansa AG (a) | 231,917 | 2,726,769 | ||||||
Deutsche Post AG (a) | 49,334 | 1,389,863 | ||||||
E.ON SE (a) | 213,948 | 2,159,766 | ||||||
Evonik Industries AG (a) | 85,758 | 2,556,323 | ||||||
Fraport AG Frankfurt Airport Services Worldwide (a) | 22,573 | 1,208,578 | ||||||
Freenet AG (a) | 91,059 | 2,345,091 | ||||||
Hannover Rueck SE (a) | 11,083 | 1,161,249 | ||||||
HeidelbergCement AG (a) | 24,090 | 1,814,749 | ||||||
Hella KGaA Hueck & Co. (a) | 21,018 | 674,602 | ||||||
HOCHTIEF AG (a) | 47,532 | 6,136,894 | ||||||
KION Group AG (a) | 37,768 | 1,830,538 | ||||||
Krones AG (a) | 5,679 | 599,879 | ||||||
LANXESS AG (a) | 12,298 | 539,549 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | 16,451 | 2,758,751 | ||||||
OSRAM Licht AG (a) | 128,182 | 6,659,935 | ||||||
Rheinmetall AG (a) | 64,751 | 3,851,309 | ||||||
RHOEN-KLINIKUM AG (a) | 9,739 | 285,073 | ||||||
Salzgitter AG (a) | 18,435 | 487,424 | ||||||
Software AG (a) | 58,648 | 1,994,157 | ||||||
STADA Arzneimittel AG †(a) | 42,871 | 2,221,883 | ||||||
Suedzucker AG (a) | 28,645 | 630,921 | ||||||
Talanx AG (a) | 45,223 | 1,346,877 | ||||||
|
| |||||||
52,346,996 | ||||||||
|
| |||||||
Italy - 1.7% | ||||||||
A2A SpA | 2,282,796 | 2,993,340 | ||||||
Atlantia SpA (a) | 24,328 | 607,834 | ||||||
Buzzi Unicem SpA (a) | 35,509 | 622,261 | ||||||
Davide Campari-Milano SpA (a) | 62,432 | 617,989 | ||||||
Enel SpA | 123,189 | 546,891 | ||||||
Eni SpA (a) | 64,357 | 1,036,609 | ||||||
Hera SpA | 420,908 | 1,148,817 | ||||||
Leonardo-Finmeccanica SpA †(a) | 272,945 | 2,760,204 | ||||||
Mediobanca SpA (a) | 92,934 | 535,467 | ||||||
Moncler SpA (a) | 32,944 | 520,099 | ||||||
Poste Italiane SpA 144A (b) | 418,853 | 2,781,157 | ||||||
Prysmian SpA (a) | 135,492 | 2,973,936 | ||||||
Recordati SpA | 53,943 | 1,622,577 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
67
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
SHARES | VALUE (Note 5) | |||||||
Italy - 1.7% (continued) | ||||||||
Snam SpA (a) | 331,683 | $ | 1,982,943 | |||||
Unipol Gruppo Finanziario SpA | 350,551 | 825,451 | ||||||
UnipolSai SpA | 443,452 | 669,223 | ||||||
|
| |||||||
22,244,798 | ||||||||
|
| |||||||
Luxembourg - 0.0% (c) | ||||||||
APERAM SA (a) | 14,185 | 496,547 | ||||||
|
| |||||||
Netherlands - 1.7% | ||||||||
Akzo Nobel NV (a) | 9,128 | 567,039 | ||||||
ASM International NV (a) | 23,180 | 894,712 | ||||||
BOSKALIS WESTMINSTER (a) | 29,000 | 989,556 | ||||||
Delta Lloyd NV | 389,489 | 1,368,543 | ||||||
Fugro NV CVA †(a) | 80,342 | 1,414,485 | ||||||
Heineken NV (a) | 28,359 | 2,601,139 | ||||||
Koninklijke Ahold NV (a) | 142,539 | 3,147,628 | ||||||
Koninklijke Vopak NV (a) | 26,848 | 1,336,480 | ||||||
NN Group NV (a) | 218,946 | 6,027,238 | ||||||
Randstad Holding NV (a) | 39,028 | 1,560,768 | ||||||
Wolters Kluwer NV (a) | 41,846 | 1,694,396 | ||||||
|
| |||||||
21,601,984 | ||||||||
|
| |||||||
Norway - 0.4% | ||||||||
Marine Harvest ASA †(a) | 57,038 | 962,074 | ||||||
Norsk Hydro ASA | 142,973 | 523,400 | ||||||
Orkla ASA (a) | 62,120 | 552,468 | ||||||
Statoil ASA (a) | 90,378 | 1,561,593 | ||||||
Yara International ASA (a) | 27,982 | 888,899 | ||||||
|
| |||||||
4,488,434 | ||||||||
|
| |||||||
Portugal - 0.2% | ||||||||
Galp Energia SGPS SA (a) | 114,841 | 1,597,247 | ||||||
Jeronimo Martins SGPS SA (a) | 65,139 | 1,027,356 | ||||||
|
| |||||||
2,624,603 | ||||||||
|
| |||||||
Singapore - 0.8% | ||||||||
ComfortDelGro Corp. Ltd. | 592,700 | 1,217,187 | ||||||
DBS Group Holdings Ltd. | 56,000 | 660,292 | ||||||
Genting Singapore plc | 3,221,100 | 1,747,306 | ||||||
Global Logistic Properties Ltd. | 771,500 | 1,041,564 | ||||||
SATS Ltd. | 385,400 | 1,178,320 | ||||||
Singapore Airlines Ltd. | 275,400 | 2,186,929 | ||||||
United Overseas Bank Ltd. | 73,700 | 1,015,435 | ||||||
Wilmar International Ltd. | 323,300 | 787,010 | ||||||
|
| |||||||
9,834,043 | ||||||||
|
| |||||||
Spain - 2.4% | ||||||||
Abertis Infraestructuras SA (a) | 38,492 | 568,819 | ||||||
Acciona SA (a) | 8,867 | 647,046 | ||||||
ACS Actividades de Construccion y Servicios SA (a) | 117,587 | 3,225,315 | ||||||
Almirall SA | 84,344 | 1,268,127 | ||||||
Banco Santander SA | 129,534 | 502,680 | ||||||
Ebro Foods SA | 62,445 | 1,437,365 | ||||||
Enagas SA (a) | 66,516 | 2,032,082 | ||||||
Endesa SA (a) | 129,643 | 2,601,351 | ||||||
Gamesa Corp. Tecnologica SA (a) | 304,641 | 6,069,679 | ||||||
Gas Natural SDG SA (a) | 128,083 | 2,545,987 | ||||||
Iberdrola SA (a) | 506,220 | 3,453,214 | ||||||
Mapfre SA | 238,691 | 524,205 |
SHARES | VALUE (Note 5) | |||||||
Spain - 2.4% (continued) | ||||||||
Mediaset Espana Comunicacion SA (a) | 112,737 | $ | 1,272,644 | |||||
Repsol SA (a) | 389,705 | 4,995,581 | ||||||
|
| |||||||
31,144,095 | ||||||||
|
| |||||||
Sweden - 1.8% | ||||||||
Axfood AB | 31,378 | 602,687 | ||||||
BillerudKorsnas AB | 155,810 | 2,325,074 | ||||||
Boliden AB (a) | 103,109 | 2,015,172 | ||||||
Bonava AB, Class B † | 68,739 | 828,700 | ||||||
Electrolux AB, Series B (a) | 141,945 | 3,870,109 | ||||||
Husqvarna AB, Class B | 128,759 | 958,801 | ||||||
NCC AB, Class B | 106,065 | 2,462,742 | ||||||
Nibe Industrier AB | 91,132 | 757,830 | ||||||
Saab AB, Class B | 24,833 | 774,410 | ||||||
Securitas AB, Class B (a) | 82,750 | 1,277,480 | ||||||
Skanska AB, Class B (a) | 53,183 | 1,113,598 | ||||||
Swedish Match AB (a) | 100,279 | 3,499,548 | ||||||
Swedish Orphan Biovitrum AB † | 56,977 | 699,477 | ||||||
Telefonaktiebolaget LM Ericsson, Class B (a) | 201,556 | 1,548,465 | ||||||
Telia Co. AB | 159,327 | 754,489 | ||||||
|
| |||||||
23,488,582 | ||||||||
|
| |||||||
Switzerland - 2.4% | ||||||||
ABB Ltd. †(a) | 77,444 | 1,532,779 | ||||||
Actelion Ltd. †(a) | 30,219 | 5,088,807 | ||||||
Adecco Group AG (a) | 58,254 | 2,938,220 | ||||||
Clariant AG † | 46,942 | 793,290 | ||||||
Flughafen Zuerich AG | 14,826 | 2,623,772 | ||||||
Galenica AG | 1,261 | 1,699,929 | ||||||
GAM Holding AG † | 16,712 | 178,407 | ||||||
Georg Fischer AG | 1,802 | 1,440,534 | ||||||
Lonza Group AG † | 8,558 | 1,421,585 | ||||||
Roche Holding AG (a) | 2,459 | 648,880 | ||||||
Schindler Holding AG | 3,723 | 674,042 | ||||||
SGS SA (a) | 712 | 1,631,015 | ||||||
Sika AG | 261 | 1,094,389 | ||||||
STMicroelectronics NV (a) | 413,281 | 2,427,042 | ||||||
Straumann Holding AG | 1,909 | 753,117 | ||||||
Swiss Life Holding AG †(a) | 9,566 | 2,210,682 | ||||||
Swiss Re AG (a) | 31,426 | 2,744,760 | ||||||
Zurich Insurance Group AG †(a) | 4,174 | 1,032,575 | ||||||
|
| |||||||
30,933,825 | ||||||||
|
| |||||||
United Kingdom - 0.4% | ||||||||
Dialog Semiconductor plc †(a) | 50,793 | 1,521,933 | ||||||
Fiat Chrysler Automobiles NV (a) | 207,588 | 1,277,799 | ||||||
Subsea 7 SA †(a) | 111,376 | 1,094,769 | ||||||
Unilever NV CVA (a) | 13,508 | 630,859 | ||||||
|
| |||||||
4,525,360 | ||||||||
|
| |||||||
United States - 0.0% (c) | ||||||||
Thomson Reuters Corp. (1)(a) | 12,970 | 524,743 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 296,294,684 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.1% | ||||||||
Germany - 0.1% | ||||||||
Henkel AG & Co. KgaA (a) | 13,564 | 1,657,664 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
68
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
RIGHTS - 0.0% (c) | SHARES | VALUE (Note 5) | ||||||
Spain - 0.0% (c) | ||||||||
ACS Actividades de Construccion y Servicios SA † | 117,587 | $ | 82,602 | |||||
|
| |||||||
SHORT-TERM INVESTMENTS - 89.8% | ||||||||
Investment Companies - 53.0% | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% (d) | 3,194,161 | 3,194,161 | ||||||
Dreyfus Treasury Cash Management, Class I, 0.240% (d) | 12,776,642 | 12,776,642 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% (d) (e) | 400,616,048 | 400,616,048 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% (d)(e) | 254,078,508 | 254,078,508 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% (d) | 15,970,803 | 15,970,803 | ||||||
|
| |||||||
Total Investment Companies | 686,636,162 | |||||||
|
| |||||||
PRINCIPAL AMOUNT (000’s) | ||||||||
U.S. Treasury Obligations - 36.8% | ||||||||
U.S. Treasury Bill, 0.351%, 10/20/2016 (f) | $ | 29,691 | 29,669,504 | |||||
U.S. Treasury Bill, 0.370%, 07/21/2016 (f) | 10,345 | 10,343,945 | ||||||
U.S. Treasury Bill, 0.371%, 11/17/2016 (f) | 56,774 | 56,718,305 | ||||||
U.S. Treasury Bill, 0.384%, 10/06/2016 (f) | 25,689 | 25,671,274 | ||||||
U.S. Treasury Bill, 0.401%, 12/15/2016 (f) | 11,902 | 11,886,789 | ||||||
U.S. Treasury Bill, 0.409%, 08/18/2016 (f) | 10,047 | 10,043,926 | ||||||
U.S. Treasury Bill, 0.422%, 08/11/2016 (f) | 28,228 | 28,221,451 | ||||||
U.S. Treasury Bill, 0.431%, 12/08/2016 (f) | 22,772 | 22,743,011 | ||||||
U.S. Treasury Bill, 0.455%, 09/29/2016 (f) | 15,427 | 15,416,942 | ||||||
U.S. Treasury Bill, 0.456%, 08/25/2016 (f) | 21,451 | 21,443,485 | ||||||
U.S. Treasury Bill, 0.465%, 08/04/2016 (f) | 1,646 | 1,645,666 | ||||||
U.S. Treasury Bill, 0.471%, 07/14/2016 (f) | 13,929 | 13,928,673 | ||||||
U.S. Treasury Bill, 0.477%, 12/01/2016 (f) | 20,119 | 20,094,636 | ||||||
U.S. Treasury Bill, 0.479%, 09/01/2016 (f) | 38,194 | 38,178,722 | ||||||
U.S. Treasury Bill, 0.480%, 11/25/2016 (f) | 14,734 | 14,718,441 | ||||||
U.S. Treasury Bill, 0.498%, 07/07/2016 (f) | 19,007 | 19,006,810 |
PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||
U.S. Treasury Obligations - 36.8% (continued) | ||||||||
U.S. Treasury Bill, 0.511%, 09/15/2016 (f) | $ | 17,673 | $ | 17,665,401 | ||||
U.S. Treasury Bill, 0.341%, 12/29/2016 (f) | 8,149 | 8,134,861 | ||||||
U.S. Treasury Bill, 0.381%, 11/10/2016 (f) | 15,288 | 15,273,675 | ||||||
U.S. Treasury Bill, 0.401%, 10/27/2016 (f) | 49,269 | 49,233,428 | ||||||
U.S. Treasury Bill, 0.441%, 09/22/2016 (f) | 31,077 | 31,059,721 | ||||||
U.S. Treasury Bill, 0.476%, 09/08/2016 (f) | 14,700 | 14,694,282 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 475,792,948 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 1,162,429,110 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $1,451,323,505) | 1,460,464,060 | |||||||
|
| |||||||
SECURITIES SOLD SHORT - (19.6)% | SHARES | |||||||
COMMON STOCKS - (19.2)% | ||||||||
Austria - (0.1)% | ||||||||
ams AG | (29,210 | ) | (810,942 | ) | ||||
|
| |||||||
Belgium - (0.6)% | ||||||||
Anheuser-Busch InBev SA/NV | (34,081 | ) | (4,506,750 | ) | ||||
KBC Group NV † | (9,639 | ) | (474,055 | ) | ||||
Telenet Group Holding NV † | (18,236 | ) | (833,867 | ) | ||||
UCB SA | (17,054 | ) | (1,280,540 | ) | ||||
Umicore SA | (10,979 | ) | (567,112 | ) | ||||
|
| |||||||
(7,662,324 | ) | |||||||
|
| |||||||
Canada - (4.1)% | ||||||||
Agrium, Inc. (1) | (10,356 | ) | (936,966 | ) | ||||
AltaGas Ltd. (1) | (90,616 | ) | (2,202,363 | ) | ||||
BlackBerry Ltd. (1)† | (98,295 | ) | (659,637 | ) | ||||
Canadian National Railway Co. (1) | (25,294 | ) | (1,493,618 | ) | ||||
Canadian Utilities Ltd., Class A (1) | (88,686 | ) | (2,569,385 | ) | ||||
Cenovus Energy, Inc. (1) | (116,413 | ) | (1,610,202 | ) | ||||
DH Corp. (1) | (40,194 | ) | (998,978 | ) | ||||
Enbridge, Inc. (1) | (54,310 | ) | (2,300,698 | ) | ||||
Fairfax Financial Holdings Ltd. (1) | (1,800 | ) | (969,460 | ) | ||||
Fortis, Inc. (1) | (54,858 | ) | (1,854,289 | ) | ||||
Gildan Activewear, Inc. (1) | (132,850 | ) | (3,891,052 | ) | ||||
Hudson’s Bay Co. (1) | (51,509 | ) | (621,561 | ) | ||||
Husky Energy, Inc. (1) | (46,648 | ) | (569,402 | ) | ||||
Imperial Oil Ltd. (1) | (53,056 | ) | (1,678,803 | ) | ||||
Inter Pipeline Ltd. (1) | (68,216 | ) | (1,446,742 | ) | ||||
Keyera Corp. (1) | (86,731 | ) | (2,653,051 | ) | ||||
Manulife Financial Corp. (1) | (126,688 | ) | (1,732,712 | ) | ||||
Methanex Corp. (1) | (113,119 | ) | (3,291,260 | ) | ||||
National Bank of Canada (1) | (15,425 | ) | (527,598 | ) | ||||
Pembina Pipeline Corp. (1) | (132,722 | ) | (4,033,179 | ) | ||||
Peyto Exploration & Development Corp. (1) | (20,249 | ) | (543,547 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
69
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
SHARES | VALUE (Note 5) | |||||||
Canada - (4.1)% (continued) | ||||||||
Potash Corp. of Saskatchewan, Inc. (1) | (111,597 | ) | $ | (1,813,953 | ) | |||
Power Financial Corp. (1) | (54,419 | ) | (1,248,905 | ) | ||||
PrairieSky Royalty Ltd. (1) | (43,789 | ) | (831,074 | ) | ||||
Precision Drilling Corp. (1) | (285,610 | ) | (1,514,322 | ) | ||||
Restaurant Brands International, Inc. (1) | (21,818 | ) | (908,218 | ) | ||||
Royal Bank of Canada (1) | (8,857 | ) | (523,351 | ) | ||||
Silver Wheaton Corp. (1) | (63,287 | ) | (1,489,653 | ) | ||||
Sun Life Financial, Inc. (1) | (20,253 | ) | (665,302 | ) | ||||
Suncor Energy, Inc. (1) | (20,108 | ) | (557,816 | ) | ||||
TransCanada Corp. (1) | (73,589 | ) | (3,329,860 | ) | ||||
Veresen, Inc. (1) | (131,910 | ) | (1,118,011 | ) | ||||
Vermilion Energy, Inc. (1) | (17,157 | ) | (546,336 | ) | ||||
West Fraser Timber Co. Ltd. (1) | (29,675 | ) | (867,545 | ) | ||||
Whitecap Resources, Inc. (1) | (76,767 | ) | (587,064 | ) | ||||
WSP Global, Inc. (1) | (20,872 | ) | (638,462 | ) | ||||
|
| |||||||
(53,224,375 | ) | |||||||
|
| |||||||
Denmark - (0.6)% | ||||||||
AP Moeller - Maersk A/S, Class B | (750 | ) | (979,616 | ) | ||||
Coloplast A/S, Class B | (15,432 | ) | (1,155,157 | ) | ||||
Danske Bank A/S | (25,265 | ) | (664,984 | ) | ||||
Novozymes A/S, Class B | (54,853 | ) | (2,634,090 | ) | ||||
Tryg A/S | (111,280 | ) | (1,992,413 | ) | ||||
|
| |||||||
(7,426,260 | ) | |||||||
|
| |||||||
Finland - (0.9)% | ||||||||
Fortum OYJ | (109,516 | ) | (1,759,532 | ) | ||||
Nokia OYJ | (1,158,135 | ) | (6,596,090 | ) | ||||
Sampo OYJ, Class A | (31,852 | ) | (1,302,630 | ) | ||||
Wartsila OYJ Abp | (37,919 | ) | (1,547,144 | ) | ||||
|
| |||||||
(11,205,396 | ) | |||||||
|
| |||||||
Germany - (2.7)% | ||||||||
Axel Springer SE | (19,899 | ) | (1,044,770 | ) | ||||
BASF SE | (7,235 | ) | (554,771 | ) | ||||
Bayerische Motoren Werke AG | (35,374 | ) | (2,574,347 | ) | ||||
Beiersdorf AG | (12,341 | ) | (1,168,379 | ) | ||||
Bilfinger SE † | (13,021 | ) | (381,655 | ) | ||||
Commerzbank AG | (73,696 | ) | (479,934 | ) | ||||
Continental AG | (4,513 | ) | (853,980 | ) | ||||
Daimler AG | (40,888 | ) | (2,446,670 | ) | ||||
Deutsche Bank AG † | (106,997 | ) | (1,479,032 | ) | ||||
Deutsche Telekom AG | (109,531 | ) | (1,867,753 | ) | ||||
Duerr AG | (10,303 | ) | (782,325 | ) | ||||
Fresenius Medical Care AG & Co. KGaA | (10,699 | ) | (931,952 | ) | ||||
GEA Group AG | (17,117 | ) | (807,946 | ) | ||||
HUGO BOSS AG | (16,480 | ) | (936,922 | ) | ||||
Linde AG | (5,604 | ) | (780,842 | ) | ||||
Merck KGaA | (33,326 | ) | (3,387,355 | ) | ||||
MTU Aero Engines AG | (7,615 | ) | (711,454 | ) | ||||
ProSiebenSat.1 Media SE † | (20,104 | ) | (879,391 | ) | ||||
Rocket Internet SE 144A †(b) | (9,438 | ) | (184,275 | ) | ||||
RWE AG † | (596,273 | ) | (9,495,769 | ) | ||||
SAP SE | (12,630 | ) | (948,578 | ) | ||||
Telefonica Deutschland Holding AG | (262,538 | ) | (1,081,418 | ) | ||||
Zalando SE 144A †(b) | (69,028 | ) | (1,826,924 | ) | ||||
|
| |||||||
(35,606,442 | ) | |||||||
|
|
SHARES | VALUE (Note 5) | |||||||
Italy - (1.0)% | ||||||||
Azimut Holding SpA | (86,027 | ) | $ | (1,403,605 | ) | |||
Intesa Sanpaolo SpA | (278,501 | ) | (530,464 | ) | ||||
Luxottica Group SpA | (85,362 | ) | (4,160,343 | ) | ||||
Saipem SpA † | (3,543,078 | ) | (1,416,628 | ) | ||||
Salvatore Ferragamo SpA | (88,325 | ) | (1,800,406 | ) | ||||
Telecom Italia SpA † | (1,638,619 | ) | (1,345,813 | ) | ||||
Unione di Banche Italiane SpA | (617,503 | ) | (1,705,267 | ) | ||||
|
| |||||||
(12,362,526 | ) | |||||||
|
| |||||||
Luxembourg - (0.4)% | ||||||||
ArcelorMittal † | (187,838 | ) | (856,391 | ) | ||||
Tenaris SA | (269,660 | ) | (3,897,428 | ) | ||||
|
| |||||||
(4,753,819 | ) | |||||||
|
| |||||||
Netherlands - (1.3)% | ||||||||
Aegon NV | (565,976 | ) | (2,242,581 | ) | ||||
Altice NV, Class A † | (153,458 | ) | (2,291,349 | ) | ||||
ASML Holding NV | (19,843 | ) | (1,953,310 | ) | ||||
Gemalto NV | (36,642 | ) | (2,219,917 | ) | ||||
Koninklijke KPN NV | (1,272,608 | ) | (4,536,132 | ) | ||||
QIAGEN NV † | (38,220 | ) | (832,901 | ) | ||||
SBM Offshore NV | (263,073 | ) | (3,048,778 | ) | ||||
|
| |||||||
(17,124,968 | ) | |||||||
|
| |||||||
Norway - (0.4)% | ||||||||
DNB ASA | (189,626 | ) | (2,269,784 | ) | ||||
Gjensidige Forsikring ASA | (35,114 | ) | (585,030 | ) | ||||
Schibsted ASA, Class A | (76,642 | ) | (2,297,410 | ) | ||||
|
| |||||||
(5,152,224 | ) | |||||||
|
| |||||||
Portugal - (0.1)% | ||||||||
EDP - Energias de Portugal SA | (382,668 | ) | (1,171,565 | ) | ||||
|
| |||||||
Singapore - (0.9)% | ||||||||
CapitaLand Ltd. | (499,600 | ) | (1,147,071 | ) | ||||
Hutchison Port Holdings Trust (1) | (1,346,400 | ) | (580,298 | ) | ||||
Keppel Corp. Ltd. | (1,218,700 | ) | (5,027,513 | ) | ||||
Oversea-Chinese Banking Corp. Ltd. | (5,431 | ) | (35,313 | ) | ||||
Singapore Post Ltd. | (1,531,200 | ) | (1,677,885 | ) | ||||
Singapore Telecommunications Ltd. | (1,142,700 | ) | (3,529,364 | ) | ||||
|
| |||||||
(11,997,444 | ) | |||||||
|
| |||||||
Spain - (1.9)% | ||||||||
Amadeus IT Holding SA, Class A | (68,505 | ) | (3,018,245 | ) | ||||
Atresmedia Corp. de Medios de Comunicacion SA | (68,733 | ) | (671,824 | ) | ||||
Banco de Sabadell SA | (692,415 | ) | (916,935 | ) | ||||
Bankia SA | (669,394 | ) | (487,299 | ) | ||||
Bankinter SA | (261,552 | ) | (1,688,353 | ) | ||||
CaixaBank SA | (734,711 | ) | (1,619,283 | ) | ||||
Cellnex Telecom SAU 144A (b) | (258,037 | ) | (4,049,259 | ) | ||||
Distribuidora Internacional de Alimentacion SA | (649,420 | ) | (3,790,596 | ) | ||||
Grifols SA | (73,656 | ) | (1,673,198 | ) | ||||
Industria de Diseno Textil SA | (126,975 | ) | (4,265,593 | ) | ||||
Obrascon Huarte Lain SA † | (123,495 | ) | (435,037 | ) | ||||
Telefonica SA | (129,110 | ) | (1,225,746 | ) | ||||
Zardoya Otis SA | (102,167 | ) | (964,793 | ) | ||||
|
| |||||||
(24,806,161 | ) | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
70
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
SHARES | VALUE (Note 5) | |||||||
Sweden - (1.7)% | ||||||||
Assa Abloy AB, Class B | (198,676 | ) | $ | (4,087,328 | ) | |||
Atlas Copco AB, Class A | (24,246 | ) | (629,721 | ) | ||||
Getinge AB, Class B | (28,026 | ) | (578,625 | ) | ||||
Hennes & Mauritz AB, Class B | (164,310 | ) | (4,834,134 | ) | ||||
Hexagon AB, Class B | (74,318 | ) | (2,719,739 | ) | ||||
Nordea Bank AB | (96,290 | ) | (816,890 | ) | ||||
Sandvik AB | (62,610 | ) | (626,847 | ) | ||||
Skandinaviska Enskilda Banken AB, Class A | (174,501 | ) | (1,524,385 | ) | ||||
Svenska Cellulosa AB SCA, Class B | (20,940 | ) | (672,816 | ) | ||||
Svenska Handelsbanken AB, Class A | (225,025 | ) | (2,731,919 | ) | ||||
Swedbank AB, Class A | (67,232 | ) | (1,412,079 | ) | ||||
Tele2 AB, Class B | (199,732 | ) | (1,753,516 | ) | ||||
|
| |||||||
(22,387,999 | ) | |||||||
|
| |||||||
Switzerland - (2.1)% | ||||||||
Aryzta AG † | (40,680 | ) | (1,503,365 | ) | ||||
Barry Callebaut AG † | (646 | ) | (795,388 | ) | ||||
Chocoladefabriken Lindt & Spruengli AG | (203 | ) | (1,210,717 | ) | ||||
Cie Financiere Richemont SA | (84,968 | ) | (4,973,577 | ) | ||||
Credit Suisse Group AG † | (201,187 | ) | (2,143,128 | ) | ||||
Dufry AG † | (28,873 | ) | (3,453,300 | ) | ||||
Julius Baer Group Ltd. † | (92,761 | ) | (3,733,474 | ) | ||||
LafargeHolcim Ltd. † | (58,421 | ) | (2,444,191 | ) | ||||
Novartis AG | (24,387 | ) | (2,012,868 | ) | ||||
OC Oerlikon Corp. AG † | (67,129 | ) | (589,391 | ) | ||||
Swatch Group AG (The) | (4,500 | ) | (1,309,508 | ) | ||||
Swisscom AG | (6,398 | ) | (3,178,563 | ) | ||||
|
| |||||||
(27,347,470 | ) | |||||||
|
| |||||||
United Kingdom - (0.4)% | ||||||||
CNH Industrial NV | (656,419 | ) | (4,761,437 | ) | ||||
RELX NV | (33,343 | ) | (576,855 | ) | ||||
|
| |||||||
(5,338,292 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT | (248,378,207 | ) | ||||||
|
| |||||||
PREFERRED STOCKS - (0.4)% | ||||||||
Germany - (0.4)% | ||||||||
Schaeffler AG | (60,926 | ) | (804,741 | ) | ||||
Volkswagen AG | (38,858 | ) | (4,706,495 | ) | ||||
|
| |||||||
TOTAL PREFERRED STOCKS SOLD SHORT | (5,511,236 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT, AT VALUE | (253,889,443 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 93.2% | 1,206,574,617 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.8% (g) | 88,448,749 | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 1,295,023,366 | |||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | (24,885,979 | ) | (1.9 | )% | |||
Consumer Staples | 19,642,699 | 1.5 | ||||||
Energy | (14,445,274 | ) | (1.1 | ) | ||||
Financials | (2,931,106 | ) | (0.2 | ) | ||||
Health Care | 5,519,249 | 0.4 | ||||||
Industrials | 60,014,830 | 4.5 | ||||||
Information Technology | (6,506,611 | ) | (0.5 | ) | ||||
Materials | 18,829,895 | 1.5 | ||||||
Telecommunication Services | (14,353,093 | ) | (1.1 | ) | ||||
Utilities | 3,260,897 | 0.3 | ||||||
Investment Companies | 686,636,162 | 53.0 | ||||||
U.S. Treasury Obligations | 475,792,948 | 36.8 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 1,206,574,617 | 93.2 | ||||||
Other Assets in Excess of Liabilities (g) | 88,448,749 | 6.8 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,295,023,366 | 100.0 | % | ||||
|
|
|
|
† | Non-income producing security. |
(a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $241,883,591. In addition, $32,852,715 of cash collateral was pledged. |
(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) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(f) | The rate shown is the effective yield at the date of purchase. |
(g) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
CVA - Dutch Certification
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
71
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
Total return swap contracts outstanding as of June 30, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
GSIN | MSCI Singapore Index July Futures | 07/2016 | SGD | 150,035 | $6,388 | |||||||||||
GSIN | Swiss Market Index September Futures | 09/2016 | CHF | 25,371,020 | 1,161,689 | |||||||||||
|
| |||||||||||||||
$1,168,077 | ||||||||||||||||
|
|
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
140 | BARC | Amsterdam Index Futures | 07/2016 | $13,022,669 | $13,526,077 | $503,408 | ||||||||||||||
594 | BARC | CAC40 Index Futures | 07/2016 | 27,339,488 | 27,910,168 | 570,680 | ||||||||||||||
92 | BARC | DAX Index Futures | 09/2016 | 24,407,960 | 24,678,121 | 270,161 | ||||||||||||||
616 | BARC | FTSE 100 Index Futures | 09/2016 | 48,003,773 | 52,667,710 | 4,663,937 | ||||||||||||||
73 | BARC | FTSE/MIB Index Futures | 09/2016 | 6,595,595 | 6,558,307 | (37,288 | ) | |||||||||||||
69 | BARC | Hang Seng Index Futures | 07/2016 | 8,905,298 | 9,315,058 | 409,760 | ||||||||||||||
69 | BARC | IBEX 35 Index Futures | 07/2016 | 6,205,212 | 6,223,297 | 18,085 | ||||||||||||||
125 | BARC | MSCI Singapore Index Futures | 07/2016 | 2,824,642 | 2,944,288 | 119,646 | ||||||||||||||
556 | BARC | OMXS30 Index Futures | 07/2016 | 8,335,652 | 8,664,602 | 328,950 | ||||||||||||||
4,310 | BARC | S&P 500 E-Mini Futures | 09/2016 | 449,036,637 | 450,438,100 | 1,401,463 | ||||||||||||||
193 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2016 | 24,266,834 | 24,329,099 | 62,265 | ||||||||||||||
209 | BARC | SPI 200 Index Futures | 09/2016 | 20,053,825 | 20,169,861 | 116,036 | ||||||||||||||
531 | BARC | TOPIX Index Futures | 09/2016 | 68,249,697 | 64,044,981 | (4,204,716 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$707,247,282 | $711,469,669 | $4,222,387 | ||||||||||||||||||
|
|
|
|
|
|
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | 8,888,400 | $6,393,843 | $6,609,822 | $215,979 | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | 13,332,600 | 9,590,778 | 9,914,735 | 323,957 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | 12,125,765 | 9,308,002 | 9,387,104 | 79,102 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | 18,188,645 | 13,962,105 | 14,080,656 | 118,551 | ||||||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | �� | 10,982,633 | 11,177,396 | 11,298,723 | 121,327 | |||||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | 12,261,949 | 12,470,208 | 12,614,859 | 144,651 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
72
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Danish Krone, Expiring 09/21/16 | CITI | DKK | 6,705,000 | $ 1,010,447 | $ 1,003,441 | $ (7,006 | ) | |||||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | 13,427,552 | 15,055,234 | 14,944,825 | (110,409 | ) | |||||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | 20,141,328 | 22,582,886 | 22,417,238 | (165,648 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | 12,580,401 | 18,476,862 | 16,760,591 | (1,716,271 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | 18,870,600 | 27,715,325 | 25,140,883 | (2,574,442 | ) | |||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | 23,712,200 | 3,056,871 | 3,059,409 | 2,538 | ||||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | 33,487,800 | 4,317,227 | 4,320,680 | 3,453 | ||||||||||||||
Israeli Shekel, Expiring 09/21/16 | CITI | ILS | 2,940,200 | 768,591 | 763,270 | (5,321 | ) | |||||||||||||
Israeli Shekel, Expiring 09/21/16 | JPMC | ILS | 3,976,800 | 1,039,814 | 1,032,370 | (7,444 | ) | |||||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | 2,303,471,201 | 20,979,826 | 22,367,454 | 1,387,628 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | 3,455,206,800 | 31,469,778 | 33,551,182 | 2,081,404 | ||||||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | 4,255,606 | 512,049 | 508,432 | (3,617 | ) | |||||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | 4,497,909 | 542,001 | 537,381 | (4,620 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | 238,800 | 159,863 | 169,815 | 9,952 | ||||||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | 358,199 | 239,793 | 254,724 | 14,931 | ||||||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | 22,278,905 | 2,690,395 | 2,642,439 | (47,956 | ) | |||||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | 27,143,857 | 3,279,583 | 3,219,458 | (60,125 | ) | |||||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | 1,803,086 | 1,308,917 | 1,337,375 | 28,458 | ||||||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | 2,704,629 | 1,963,377 | 2,006,065 | 42,688 | ||||||||||||||
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| |||||||||||||||
$220,071,171 | $219,942,931 | $(128,240 | ) | |||||||||||||||||
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SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | (4,477,000 | ) | $(3,484,317 | ) | $(3,465,849 | ) | $18,468 | |||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | (53,400 | ) | (55,671 | ) | (54,937 | ) | 734 | |||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | (15,600 | ) | (16,215 | ) | (16,049 | ) | 166 | |||||||||||
Danish Krone, Expiring 09/21/16 | CITI | DKK | (5,149,023 | ) | (777,873 | ) | (770,581 | ) | 7,292 | |||||||||||
Danish Krone, Expiring 09/21/16 | JPMC | DKK | (7,117,534 | ) | (1,074,364 | ) | (1,065,179 | ) | 9,185 | |||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (2,246,000 | ) | (2,529,578 | ) | (2,499,792 | ) | 29,786 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
73
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | (29,184,000 | ) | $ (272,726 | ) | $ (283,386 | ) | $ (10,660 | ) | ||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | (43,776,000 | ) | (409,089 | ) | (425,079 | ) | (15,990 | ) | ||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | (1,383,000 | ) | (165,478 | ) | (165,232 | ) | 246 | |||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | (27,600 | ) | (18,955 | ) | (19,627 | ) | (672 | ) | ||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | (41,400 | ) | (28,434 | ) | (29,440 | ) | (1,006 | ) | ||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | (1,159,000 | ) | (140,606 | ) | (137,466 | ) | 3,140 | |||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | (282,000 | ) | (34,831 | ) | (33,447 | ) | 1,384 | |||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | (551,000 | ) | (406,037 | ) | (408,685 | ) | (2,648 | ) | ||||||||||
|
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| |||||||||||||||
(9,414,174 | ) | (9,374,749 | ) | 39,425 | ||||||||||||||||
|
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| |||||||||||||||
$210,656,997 | $210,568,182 | $(88,815 | ) | |||||||||||||||||
|
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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
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
74
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
Total Return Basket Swaps* Outstanding at June 30, 2016
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 38 months maturity 08/22/2016 | $5,492,309 | |||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
Ajinomoto Co., Inc. | 81,100 | $ | 1,957,843 | $ | (47,049 | ) | ||||||
Alfresa Holdings Corp. | 97,900 | 2,048,278 | (2,942 | ) | ||||||||
Amada Holdings Co. Ltd. | 252,800 | 2,728,835 | (162,375 | ) | ||||||||
Astellas Pharma, Inc. | 221,500 | 3,320,025 | 153,614 | |||||||||
Bandai Namco Holdings, Inc. | 206,900 | 4,943,902 | 395,466 | |||||||||
Bridgestone Corp. | 44,700 | 1,662,192 | (225,671 | ) | ||||||||
Central Japan Railway Co. | 7,900 | 1,415,332 | (10,210 | ) | ||||||||
Chiyoda Corp. | 246,000 | 1,718,619 | (91,794 | ) | ||||||||
Chubu Electric Power Co., Inc. | 422,300 | 6,510,164 | (500,402 | ) | ||||||||
Citizen Holdings Co. Ltd. | 263,400 | 1,407,579 | (125,552 | ) | ||||||||
Concordia Financial Group Ltd. | 130,100 | 670,212 | (167,778 | ) | ||||||||
Daicel Corp. | 55,300 | 773,905 | (200,883 | ) | ||||||||
Dai-ichi Life Insurance Co. Ltd. (The) | 260,800 | 3,719,163 | (799,665 | ) | ||||||||
Daiichi Sankyo Co. Ltd. | 93,000 | 2,250,833 | 8,613 | |||||||||
DeNA Co. Ltd. | 44,900 | 736,237 | 314,132 | |||||||||
Disco Corp. | 11,400 | 1,130,670 | (99,656 | ) | ||||||||
Ezaki Glico Co. Ltd. | 10,100 | 570,948 | 19,900 | |||||||||
FamilyMart Co. Ltd. | 20,600 | 1,162,735 | 92,655 | |||||||||
Fuji Heavy Industries Ltd. | 110,400 | 4,301,305 | (506,483 | ) | ||||||||
FUJIFILM Holdings Corp. | 40,900 | 1,791,863 | (204,925 | ) | ||||||||
Gunma Bank Ltd. (The) | 145,000 | 806,088 | (279,523 | ) | ||||||||
Hakuhodo DY Holdings, Inc. | 142,300 | 1,718,544 | (12,963 | ) | ||||||||
Haseko Corp. | 326,800 | 3,830,006 | (539,847 | ) | ||||||||
Hisamitsu Pharmaceutical Co., Inc. | 17,500 | 980,001 | 29,074 | |||||||||
Hitachi Capital Corp. | 79,000 | 1,757,887 | (189,974 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Hitachi Chemical Co. Ltd. | 135,900 | $ | 2,470,069 | $ | 68,054 | |||||||
Hitachi High-Technologies Corp. | 54,500 | 1,584,953 | (93,408 | ) | ||||||||
Hitachi Metals Ltd. | 70,100 | 840,682 | (128,525 | ) | ||||||||
Hoya Corp. | 144,100 | 5,739,779 | (593,105 | ) | ||||||||
Idemitsu Kosan Co. Ltd. | 157,400 | 3,234,602 | 182,566 | |||||||||
Inpex Corp. | 445,200 | 3,973,076 | (491,344 | ) | ||||||||
Isuzu Motors Ltd. | 134,100 | 1,680,958 | (29,251 | ) | ||||||||
ITOCHU Corp. | 91,000 | 1,257,232 | (144,010 | ) | ||||||||
Itochu Techno-Solutions Corp. | 158,800 | 3,458,920 | (37,851 | ) | ||||||||
Japan Airlines Co. Ltd. | 176,800 | 6,426,022 | (737,904 | ) | ||||||||
Japan Petroleum Exploration Co. Ltd. | 110,700 | 3,001,606 | (770,221 | ) | ||||||||
JSR Corp. | 65,900 | 1,052,252 | (179,530 | ) | ||||||||
JTEKT Corp. | 115,400 | 1,878,334 | (570,335 | ) | ||||||||
JX Holdings, Inc. | 1,391,400 | 5,956,963 | (525,883 | ) | ||||||||
Kaken Pharmaceutical Co. Ltd. | 41,400 | 3,283,545 | (569,276 | ) | ||||||||
Kamigumi Co. Ltd. | 98,000 | 962,913 | (57,117 | ) | ||||||||
Kaneka Corp. | 368,000 | 3,290,203 | (834,813 | ) | ||||||||
KDDI Corp. | 19,400 | 573,447 | 16,502 | |||||||||
Kewpie Corp. | 29,400 | 756,216 | 181,550 | |||||||||
Kobayashi Pharmaceutical Co. Ltd. | 17,200 | 747,511 | 16,288 | |||||||||
Konami Holdings Corp. | 80,000 | 2,423,034 | 628,953 | |||||||||
Konica Minolta, Inc. | 331,000 | 3,359,349 | (948,159 | ) | ||||||||
Kose Corp. | 10,900 | 985,267 | (61,603 | ) | ||||||||
Kuraray Co. Ltd. | 43,200 | 559,141 | (43,701 | ) | ||||||||
Kurita Water Industries Ltd. | 25,500 | 586,237 | (17,797 | ) | ||||||||
Kyocera Corp. | 18,300 | 892,057 | (21,292 | ) | ||||||||
LIXIL Group Corp. | 115,300 | 2,205,914 | (312,474 | ) | ||||||||
Mazda Motor Corp. | 211,000 | 4,011,915 | (1,219,692 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
75
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Medipal Holdings Corp. | 163,800 | $ | 3,049,758 | $ | (356,750 | ) | ||||||
MEIJI Holdings Co. Ltd. | 17,600 | 1,564,396 | 244,098 | |||||||||
Miraca Holdings, Inc. | 17,800 | 803,714 | (31,762 | ) | ||||||||
Mitsubishi Chemical Holdings Corp. | 388,100 | 2,036,917 | (257,870 | ) | ||||||||
Mitsubishi Electric Corp. | 239,000 | 2,948,190 | (94,923 | ) | ||||||||
Mitsubishi Gas Chemical Co., Inc. | 218,000 | 1,227,097 | (89,809 | ) | ||||||||
Mitsubishi Motors Corp. | 509,600 | 2,117,759 | 234,725 | |||||||||
Mitsubishi Tanabe Pharma Corp. | 204,000 | 3,914,028 | (228,117 | ) | ||||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 268,300 | 1,260,843 | (229,881 | ) | ||||||||
Mitsui Chemicals, Inc. | 811,000 | 3,304,644 | (324,411 | ) | ||||||||
Mixi, Inc. | 98,500 | 3,959,256 | 113,262 | |||||||||
MS&AD Insurance Group Holdings, Inc. | 121,600 | 3,443,218 | (292,547 | ) | ||||||||
Nexon Co. Ltd. | 188,900 | 3,165,106 | (369,378 | ) | ||||||||
NHK Spring Co. Ltd. | 264,300 | 2,818,656 | (673,629 | ) | ||||||||
Nikon Corp. | 210,700 | 2,941,778 | (88,940 | ) | ||||||||
Nippon Express Co. Ltd. | 616,000 | 3,158,813 | (343,868 | ) | ||||||||
Nippon Shokubai Co. Ltd. | 42,700 | 2,730,367 | (274,419 | ) | ||||||||
Nippon Telegraph & Telephone Corp. | 121,100 | 5,300,671 | 378,303 | |||||||||
Nippon Yusen KK | 827,000 | 1,586,495 | (131,606 | ) | ||||||||
Nisshin Seifun Group, Inc. | 84,000 | 1,476,141 | (125,851 | ) | ||||||||
Nitori Holdings Co. Ltd. | 5,300 | 467,584 | 175,221 | |||||||||
Nitto Denko Corp. | 12,000 | 722,992 | 38,218 | |||||||||
NOK Corp. | 47,400 | 1,125,808 | (319,741 | ) | ||||||||
Nomura Research Institute Ltd. | 23,940 | 1,009,478 | (131,472 | ) | ||||||||
NSK Ltd. | 94,400 | 1,055,675 | (364,673 | ) | ||||||||
NTN Corp. | 311,000 | 1,314,127 | (474,938 | ) | ||||||||
NTT Data Corp. | 37,900 | 1,915,851 | (125,895 | ) | ||||||||
Obayashi Corp. | 115,600 | 1,241,304 | (10,522 | ) | ||||||||
Obic Co. Ltd. | 10,500 | 573,207 | 4,780 | |||||||||
Olympus Corp. | 13,900 | 549,373 | (30,325 | ) | ||||||||
Oracle Corp. Japan | 25,500 | 1,331,481 | 28,256 | |||||||||
Osaka Gas Co. Ltd. | 503,000 | 1,995,612 | (61,833 | ) | ||||||||
Otsuka Corp. | 60,300 | 3,116,194 | (296,485 | ) | ||||||||
Otsuka Holdings Co. Ltd. | 74,700 | 2,883,096 | 559,295 | |||||||||
Panasonic Corp. | 360,300 | 3,647,361 | (547,506 | ) | ||||||||
Pola Orbis Holdings, Inc. | 46,500 | 3,484,679 | 891,443 | |||||||||
Recruit Holdings Co. Ltd. | 46,600 | 1,701,697 | 793 | |||||||||
Rohm Co. Ltd. | 51,300 | 2,481,825 | (457,009 | ) | ||||||||
Sankyo Co. Ltd. | 71,400 | 2,948,917 | (271,914 | ) | ||||||||
Santen Pharmaceutical Co. Ltd. | 96,600 | 1,635,470 | (117,190 | ) | ||||||||
Seiko Epson Corp. | 108,400 | 1,835,386 | (97,558 | ) | ||||||||
Sekisui Chemical Co. Ltd. | 172,500 | 2,394,701 | (269,363 | ) | ||||||||
Shimadzu Corp. | 74,000 | 1,292,834 | (180,371 | ) | ||||||||
Shimamura Co. Ltd. | 13,200 | 1,606,823 | 357,162 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Shin-Etsu Chemical Co. Ltd. | 9,600 | $ | 560,020 | $ | 2,429 | |||||||
Shionogi & Co. Ltd. | 38,500 | 2,022,468 | 82,176 | |||||||||
SMC Corp. | 2,200 | 550,562 | (9,305 | ) | ||||||||
Sojitz Corp. | 3,055,900 | 6,763,203 | 477,853 | |||||||||
Sompo Japan Nipponkoa Holdings, Inc. | 57,400 | 1,682,793 | (155,253 | ) | ||||||||
Sugi Holdings Co. Ltd. | 18,700 | 1,008,070 | 34,603 | |||||||||
Sumitomo Chemical Co. Ltd. | 670,000 | 3,538,376 | (773,915 | ) | ||||||||
Sumitomo Corp. | 350,400 | 3,525,189 | 6,808 | |||||||||
Sundrug Co. Ltd. | 16,400 | 1,179,622 | 360,256 | |||||||||
Suzuken Co. Ltd. | 108,200 | 4,217,463 | (811,732 | ) | ||||||||
Suzuki Motor Corp. | 124,800 | 3,441,260 | (61,934 | ) | ||||||||
T&D Holdings, Inc. | 442,500 | 4,810,465 | (1,052,742 | ) | ||||||||
Taiheiyo Cement Corp. | 1,107,000 | 2,861,804 | (239,800 | ) | ||||||||
TDK Corp. | 10,200 | 658,673 | (87,715 | ) | ||||||||
Teijin Ltd. | 431,000 | 1,678,933 | (250,794 | ) | ||||||||
Toho Gas Co. Ltd. | 225,000 | 1,690,717 | 150,395 | |||||||||
Tohoku Electric Power Co., Inc. | 147,700 | 2,258,157 | (394,105 | ) | ||||||||
Tokio Marine Holdings, Inc. | 61,400 | 2,031,701 | 12,372 | |||||||||
Tokyo Broadcasting System Holdings, Inc. | 51,000 | 767,485 | (77,655 | ) | ||||||||
Tokyo Electric Power Co. Holdings, Inc. | 1,052,800 | 6,212,143 | (1,753,493 | ) | ||||||||
Tokyo Electron Ltd. | 12,500 | 926,229 | 130,130 | |||||||||
Tokyo Gas Co. Ltd. | 751,000 | 3,790,262 | (689,562 | ) | ||||||||
Toppan Printing Co. Ltd. | 365,000 | 3,439,671 | (301,135 | ) | ||||||||
Tosoh Corp. | 449,000 | 2,278,572 | (207,502 | ) | ||||||||
Toyo Suisan Kaisha Ltd. | 49,800 | 1,997,745 | 22,295 | |||||||||
Toyoda Gosei Co. Ltd. | 49,900 | 1,055,653 | (166,968 | ) | ||||||||
Toyota Boshoku Corp. | 142,800 | 2,781,641 | 199,297 | |||||||||
Toyota Tsusho Corp. | 81,600 | 1,815,658 | (58,863 | ) | ||||||||
West Japan Railway Co. | 47,300 | 3,054,297 | (56,739 | ) | ||||||||
Yamazaki Baking Co. Ltd. | 28,000 | 644,832 | 136,862 | |||||||||
|
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(20,626,352 | ) | |||||||||||
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Total of Long Equity Positions | (20,626,352 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
Acom Co. Ltd. | (1,105,600 | ) | (5,283,319 | ) | (72,812 | ) | ||||||
Advantest Corp. | (139,600 | ) | (1,378,542 | ) | (178,840 | ) | ||||||
Aeon Co. Ltd. | (343,000 | ) | (5,148,551 | ) | (177,062 | ) | ||||||
AEON Financial Service Co. Ltd. | (81,700 | ) | (1,847,326 | ) | 78,281 | |||||||
Aisin Seiki Co. Ltd. | (36,400 | ) | (1,595,282 | ) | 112,590 | |||||||
Alps Electric Co. Ltd. | (108,700 | ) | (2,312,409 | ) | 247,293 | |||||||
ANA Holdings, Inc. | (704,000 | ) | (2,203,748 | ) | 197,625 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
76
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Asahi Glass Co. Ltd. | (167,000 | ) | $ | (1,114,900 | ) | $ | 208,609 | |||||
Asahi Group Holdings Ltd. | (18,900 | ) | (680,540 | ) | 69,412 | |||||||
Asics Corp. | (189,000 | ) | (4,395,578 | ) | 1,202,439 | |||||||
Bank of Kyoto Ltd. (The) | (120,000 | ) | (826,903 | ) | 90,859 | |||||||
Brother Industries Ltd. | (57,000 | ) | (701,100 | ) | 89,699 | |||||||
Calbee, Inc. | (55,900 | ) | (2,473,761 | ) | 135,132 | |||||||
Canon, Inc. | (118,000 | ) | (3,682,811 | ) | 313,886 | |||||||
Casio Computer Co. Ltd. | (78,000 | ) | (1,491,330 | ) | 368,112 | |||||||
Century Tokyo Leasing Corp. | (19,300 | ) | (714,205 | ) | 89,594 | |||||||
Chugai Pharmaceutical Co. Ltd. | (71,900 | ) | (2,723,976 | ) | 161,588 | |||||||
Chugoku Electric Power Co., Inc. (The) | (230,800 | ) | (3,332,733 | ) | 398,537 | |||||||
Credit Saison Co. Ltd. | (175,000 | ) | (3,407,857 | ) | 468,121 | |||||||
Daikin Industries Ltd. | (20,300 | ) | (1,643,568 | ) | (62,541 | ) | ||||||
Daiwa Securities Group, Inc. | (281,000 | ) | (1,825,871 | ) | 345,459 | |||||||
Denso Corp. | (108,800 | ) | (5,257,834 | ) | 1,429,670 | |||||||
Don Quijote Holdings Co. Ltd. | (60,500 | ) | (2,239,464 | ) | (8,881 | ) | ||||||
Eisai Co. Ltd. | (9,500 | ) | (588,551 | ) | 58,108 | |||||||
Electric Power Development Co. Ltd. | (67,900 | ) | (2,202,770 | ) | 620,816 | |||||||
FANUC Corp. | (22,000 | ) | (3,503,842 | ) | (74,969 | ) | ||||||
Fast Retailing Co. Ltd. | (18,700 | ) | (6,103,236 | ) | 1,082,650 | |||||||
Hamamatsu Photonics KK | (159,300 | ) | (4,567,688 | ) | 97,870 | |||||||
Hankyu Hanshin Holdings, Inc. | (78,000 | ) | (544,570 | ) | (37,040 | ) | ||||||
Hirose Electric Co. Ltd. | (4,400 | ) | (612,973 | ) | 71,923 | |||||||
Hitachi Construction Machinery Co. Ltd. | (37,400 | ) | (602,379 | ) | 56,487 | |||||||
Hitachi Ltd. | (150,000 | ) | (962,810 | ) | 334,331 | |||||||
Hokuriku Electric Power Co. | (64,500 | ) | (862,640 | ) | 63,410 | |||||||
Honda Motor Co. Ltd. | (32,400 | ) | (1,212,369 | ) | 399,607 | |||||||
IHI Corp. | (1,614,000 | ) | (3,777,225 | ) | (573,299 | ) | ||||||
Isetan Mitsukoshi Holdings Ltd. | (241,600 | ) | (2,723,391 | ) | 572,957 | |||||||
J Front Retailing Co. Ltd. | (72,500 | ) | (920,902 | ) | 169,196 | |||||||
Japan Display, Inc. | (408,600 | ) | (1,091,193 | ) | 426,475 | |||||||
Japan Post Bank Co. Ltd. | (47,600 | ) | (605,715 | ) | 46,003 | |||||||
Japan Tobacco, Inc. | (120,600 | ) | (4,946,325 | ) | 85,879 | |||||||
JFE Holdings, Inc. | (152,000 | ) | (2,274,230 | ) | 291,359 | |||||||
JGC Corp. | (39,000 | ) | (559,619 | ) | 1,310 | |||||||
Kakaku.com, Inc. | (40,200 | ) | (835,666 | ) | 36,905 | |||||||
Kansai Paint Co. Ltd. | (41,700 | ) | (724,124 | ) | (117,786 | ) | ||||||
Kao Corp. | (12,000 | ) | (685,654 | ) | (13,252 | ) | ||||||
Kawasaki Heavy Industries Ltd. | (191,000 | ) | (674,642 | ) | 136,090 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Keihan Holdings Co. Ltd. | (90,000 | ) | $ | (673,252 | ) | $ | 49,610 | |||||
Keikyu Corp. | (296,000 | ) | (2,837,754 | ) | (140,922 | ) | ||||||
Keio Corp. | (211,000 | ) | (1,975,523 | ) | (14,811 | ) | ||||||
Keisei Electric Railway Co. Ltd. | (67,000 | ) | (981,193 | ) | 117,578 | |||||||
Keyence Corp. | (3,300 | ) | (1,994,071 | ) | (257,613 | ) | ||||||
Kikkoman Corp. | (46,000 | ) | (1,630,609 | ) | (66,791 | ) | ||||||
Kintetsu Group Holdings Co. Ltd. | (256,000 | ) | (1,069,917 | ) | (25,619 | ) | ||||||
Kirin Holdings Co. Ltd. | (157,200 | ) | (2,551,080 | ) | (100,282 | ) | ||||||
Kobe Steel Ltd. | (4,066,000 | ) | (3,758,448 | ) | 416,705 | |||||||
Koito Manufacturing Co. Ltd. | (12,000 | ) | (554,515 | ) | 1,982 | |||||||
Kubota Corp. | (76,500 | ) | (1,371,620 | ) | 336,932 | |||||||
Kyowa Hakko Kirin Co. Ltd. | (50,000 | ) | (932,722 | ) | 79,933 | |||||||
Kyushu Electric Power Co., Inc. | (358,600 | ) | (4,370,986 | ) | 774,441 | |||||||
M3, Inc. | (19,400 | ) | (494,753 | ) | (182,307 | ) | ||||||
Mabuchi Motor Co. Ltd. | (40,400 | ) | (1,948,653 | ) | 237,521 | |||||||
Makita Corp. | (20,000 | ) | (1,311,836 | ) | (16,105 | ) | ||||||
Marubeni Corp. | (300,000 | ) | (1,518,146 | ) | 162,825 | |||||||
Marui Group Co. Ltd. | (429,100 | ) | (6,266,700 | ) | 490,201 | |||||||
Maruichi Steel Tube Ltd. | (16,000 | ) | (501,437 | ) | (57,766 | ) | ||||||
Minebea Co. Ltd. | (142,700 | ) | (1,888,205 | ) | 918,714 | |||||||
MISUMI Group, Inc. | (183,000 | ) | (2,864,771 | ) | (439,242 | ) | ||||||
Mitsubishi Heavy Industries Ltd. | (439,000 | ) | (2,093,754 | ) | 328,438 | |||||||
Mitsubishi Logistics Corp. | (272,000 | ) | (3,967,839 | ) | 162,471 | |||||||
Mitsubishi Materials Corp. | (213,000 | ) | (603,260 | ) | 93,262 | |||||||
Mitsui OSK Lines Ltd. | (1,993,000 | ) | (5,397,797 | ) | 1,159,674 | |||||||
Murata Manufacturing Co. Ltd. | (6,300 | ) | (770,481 | ) | 64,159 | |||||||
Nagoya Railroad Co. Ltd. | (351,000 | ) | (1,790,349 | ) | (187,337 | ) | ||||||
NGK Insulators Ltd. | (72,000 | ) | (1,591,278 | ) | 135,635 | |||||||
NGK Spark Plug Co. Ltd. | (210,600 | ) | (5,352,996 | ) | 2,174,035 | |||||||
Nidec Corp. | (89,700 | ) | (7,071,695 | ) | 243,460 | |||||||
Nippon Paint Holdings Co. Ltd. | (105,900 | ) | (2,614,687 | ) | (3,350 | ) | ||||||
Nippon Steel & Sumitomo Metal Corp. | (71,500 | ) | (1,536,503 | ) | 152,289 | |||||||
Nissan Motor Co. Ltd. | (191,900 | ) | (1,964,686 | ) | 252,109 | |||||||
Nomura Holdings, Inc. | (860,400 | ) | (3,759,046 | ) | 698,982 | |||||||
Odakyu Electric Railway Co. Ltd. | (427,000 | ) | (4,948,412 | ) | (58,564 | ) | ||||||
Omron Corp. | (32,700 | ) | (1,109,094 | ) | 41,740 | |||||||
Ono Pharmaceutical Co. Ltd. | (24,600 | ) | (1,114,690 | ) | 43,088 | |||||||
Oriental Land Co. Ltd. | (50,400 | ) | (3,416,825 | ) | 153,456 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
77
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Park24 Co. Ltd. | (47,700 | ) | $ | (1,426,427 | ) | $ | (212,756 | ) | ||||
Pigeon Corp. | (212,900 | ) | (5,628,364 | ) | (736,168 | ) | ||||||
Rakuten, Inc. | (411,700 | ) | (4,446,535 | ) | (21,784 | ) | ||||||
Ricoh Co. Ltd. | (348,400 | ) | (4,079,728 | ) | 1,059,627 | |||||||
Rinnai Corp. | (11,600 | ) | (1,151,188 | ) | 126,177 | |||||||
Ryohin Keikaku Co. Ltd. | (2,200 | ) | (511,676 | ) | (24,458 | ) | ||||||
Sega Sammy Holdings, Inc. | (138,600 | ) | (1,744,276 | ) | 251,540 | |||||||
Seibu Holdings, Inc. | (204,900 | ) | (4,327,381 | ) | 856,932 | |||||||
Sekisui House Ltd. | (147,500 | ) | (2,686,494 | ) | 103,462 | |||||||
Seven & i Holdings Co. Ltd. | (30,700 | ) | (1,470,024 | ) | 182,831 | |||||||
Seven Bank Ltd. | (163,900 | ) | (653,245 | ) | 144,514 | |||||||
Shikoku Electric Power Co., Inc. | (206,000 | ) | (3,033,672 | ) | 593,522 | |||||||
Shimano, Inc. | (22,400 | ) | (3,765,024 | ) | 340,118 | |||||||
Shimizu Corp. | (141,000 | ) | (1,301,195 | ) | (19,836 | ) | ||||||
Shinsei Bank Ltd. | (1,219,000 | ) | (1,823,454 | ) | 47,393 | |||||||
Shiseido Co. Ltd. | (72,300 | ) | (1,935,496 | ) | 51,520 | |||||||
SoftBank Group Corp. | (82,300 | ) | (4,620,105 | ) | (34,131 | ) | ||||||
Sohgo Security Services Co. Ltd. | (27,400 | ) | (1,474,985 | ) | 120,465 | |||||||
Sony Corp. | (109,000 | ) | (3,095,088 | ) | (116,267 | ) | ||||||
Stanley Electric Co. Ltd. | (77,500 | ) | (1,874,373 | ) | 219,260 | |||||||
Sumco Corp. | (534,100 | ) | (5,262,815 | ) | 1,841,224 | |||||||
Sumitomo Metal Mining Co. Ltd. | (105,000 | ) | (1,279,485 | ) | 211,385 | |||||||
Sumitomo Mitsui Trust Holdings, Inc. | (170,000 | ) | (543,627 | ) | (9,522 | ) | ||||||
Suntory Beverage & Food Ltd. | (16,300 | ) | (808,748 | ) | 71,155 | |||||||
Suruga Bank Ltd. | (27,000 | ) | (579,958 | ) | (30,220 | ) | ||||||
Taiyo Nippon Sanso Corp. | (130,400 | ) | (1,280,151 | ) | 81,647 | |||||||
Takashimaya Co. Ltd. | (86,000 | ) | (872,400 | ) | 256,421 | |||||||
Takeda Pharmaceutical Co. Ltd. | (53,500 | ) | (2,296,420 | ) | (10,938 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
THK Co. Ltd. | (63,800 | ) | $ | (1,304,171 | ) | $ | 216,738 | |||||
Tobu Railway Co. Ltd. | (169,000 | ) | (929,978 | ) | 2,416 | |||||||
Tokyu Corp. | (135,000 | ) | (1,198,815 | ) | 13,557 | |||||||
TOTO Ltd. | (32,200 | ) | (1,244,744 | ) | (41,943 | ) | ||||||
Toyo Seikan Group Holdings Ltd. | (152,400 | ) | (3,091,304 | ) | 179,236 | |||||||
Toyota Industries Corp. | (87,200 | ) | (4,411,217 | ) | 944,155 | |||||||
Toyota Motor Corp. | (38,500 | ) | (2,213,020 | ) | 315,027 | |||||||
Tsuruha Holdings, Inc. | (16,400 | ) | (1,835,414 | ) | (150,439 | ) | ||||||
Unicharm Corp. | (326,300 | ) | (7,467,110 | ) | 135,940 | |||||||
Yahoo Japan Corp. | (175,200 | ) | (766,917 | ) | (9,984 | ) | ||||||
Yakult Honsha Co. Ltd. | (77,700 | ) | (4,438,661 | ) | 400,346 | |||||||
Yamaha Motor Co. Ltd. | (175,700 | ) | (3,342,918 | ) | 662,665 | |||||||
Yamato Holdings Co. Ltd. | (246,900 | ) | (5,724,514 | ) | 55,445 | |||||||
Yaskawa Electric Corp. | (256,900 | ) | (3,382,365 | ) | 28,170 | |||||||
Yokohama Rubber Co. Ltd. (The) | (113,600 | ) | (1,656,627 | ) | 231,855 | |||||||
|
| |||||||||||
25,306,628 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 25,306,628 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 4,680,276 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 812,033 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 5,492,309 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
78
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 38 months maturity 08/19/2016 | $4,131,755 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
DCC plc | 40,145 | $ | 2,633,381 | $ | 899,364 | |||||||
|
| |||||||||||
Luxembourg | ||||||||||||
Regus plc | 289,050 | 1,119,857 | (2,203 | ) | ||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Royal Dutch Shell plc | 76,194 | 1,268,786 | 823,895 | |||||||||
|
| |||||||||||
South Africa | ||||||||||||
Mondi plc | 117,500 | 2,083,601 | 116,290 | |||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Coca-Cola HBC AG | 95,102 | 1,752,973 | 171,369 | |||||||||
Glencore plc | 1,666,480 | 2,724,494 | 710,323 | |||||||||
Wolseley plc | 10,674 | 497,488 | 55,250 | |||||||||
|
| |||||||||||
936,942 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
AA plc | 30,074 | 113,045 | (16,759 | ) | ||||||||
Amec Foster Wheeler plc | 519,586 | 2,841,012 | 575,319 | |||||||||
Anglo American plc | 198,224 | 1,560,065 | 382,975 | |||||||||
ASOS plc | 62,124 | 2,670,395 | 648,216 | |||||||||
Barratt Developments plc | 350,894 | 2,480,236 | (573,469 | ) | ||||||||
Bellway plc | 84,616 | 2,854,371 | (707,869 | ) | ||||||||
Berkeley Group Holdings plc | 131,114 | 5,598,131 | (1,170,713 | ) | ||||||||
BP plc | 641,836 | 3,056,958 | 700,041 | |||||||||
Britvic plc | 122,123 | 1,085,169 | (129,528 | ) | ||||||||
Centrica plc | 752,658 | 1,983,974 | 292,059 | |||||||||
Close Brothers Group plc | 30,657 | 521,685 | (56,978 | ) | ||||||||
Daily Mail & General Trust plc | 64,087 | 550,317 | (38,714 | ) | ||||||||
DS Smith plc | 104,402 | 536,548 | 3,598 | |||||||||
GKN plc | 140,876 | 546,487 | (37,156 | ) | ||||||||
Howden Joinery Group plc | 123,906 | 808,156 | (171,767 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Imperial Brands plc | 115,966 | $ | 5,427,682 | $ | 861,477 | |||||||
Inchcape plc | 60,305 | 540,487 | (33,422 | ) | ||||||||
Indivior plc | 87,266 | 189,170 | 104,465 | |||||||||
Informa plc | 58,943 | 486,173 | 88,600 | |||||||||
Intermediate Capital Group plc | 70,798 | 518,712 | (54,853 | ) | ||||||||
John Wood Group plc | 412,692 | 3,253,122 | 545,770 | |||||||||
Kingfisher plc | 328,969 | 1,518,101 | (105,151 | ) | ||||||||
Man Group plc | 416,857 | 971,442 | (323,777 | ) | ||||||||
Marks & Spencer Group plc | 256,697 | 1,625,665 | (526,353 | ) | ||||||||
Meggitt plc | 332,691 | 1,608,463 | 199,859 | |||||||||
Melrose Industries plc | 147,661 | 544,459 | 294,418 | |||||||||
Micro Focus International plc | 24,210 | 470,057 | 52,251 | |||||||||
National Grid plc | 330,354 | 4,211,490 | 646,474 | |||||||||
Persimmon plc | 133,917 | 3,371,918 | (775,040 | ) | ||||||||
Petrofac Ltd. | 271,509 | 2,816,983 | 5,246 | |||||||||
Reckitt Benckiser Group plc | 25,107 | 2,191,304 | 326,217 | |||||||||
Rentokil Initial plc | 496,431 | 995,995 | 285,994 | |||||||||
Rio Tinto plc | 66,103 | 1,681,074 | 372,518 | |||||||||
Royal Mail plc | 481,639 | 2,885,796 | 350,118 | |||||||||
Severn Trent plc | 65,110 | 1,856,574 | 267,914 | |||||||||
Smith & Nephew plc | 63,924 | 944,551 | 140,953 | |||||||||
Smiths Group plc | 210,051 | 2,741,009 | 504,954 | |||||||||
Sports Direct International plc | 158,896 | 822,192 | (141,854 | ) | ||||||||
SSE plc | 121,363 | 2,388,415 | 137,532 | |||||||||
Stagecoach Group plc | 286,952 | 1,218,945 | (331,512 | ) | ||||||||
Taylor Wimpey plc | 1,244,744 | 2,909,897 | (701,614 | ) | ||||||||
Thomas Cook Group plc | 1,119,551 | 1,522,509 | (581,671 | ) | ||||||||
Vedanta Resources plc | 146,842 | 676,949 | 143,606 | |||||||||
William Hill plc | 540,889 | 2,401,269 | (538,151 | ) | ||||||||
WM Morrison Supermarkets PLC | 804,004 | 1,933,145 | 85,231 | |||||||||
WPP plc | 30,856 | 604,189 | 38,894 | |||||||||
|
| |||||||||||
1,038,348 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 3,812,636 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
79
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Chile | ||||||||||||
Antofagasta plc | (269,426 | ) | $ | (1,431,453 | ) | $ | (253,271 | ) | ||||
|
| |||||||||||
Ireland | ||||||||||||
Shire plc | (64,813 | ) | (3,501,823 | ) | (503,783 | ) | ||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aberdeen Asset Management plc | (325,288 | ) | (1,265,041 | ) | 44,596 | |||||||
Admiral Group plc | (110,637 | ) | (2,303,947 | ) | (704,281 | ) | ||||||
Aggreko plc | (43,185 | ) | (649,612 | ) | (88,982 | ) | ||||||
ARM Holdings plc | (484,171 | ) | (6,184,388 | ) | (1,170,038 | ) | ||||||
Ashtead Group plc | (441,261 | ) | (5,185,903 | ) | (1,117,037 | ) | ||||||
Associated British Foods plc | (46,353 | ) | (2,033,267 | ) | 344,240 | |||||||
Auto Trader Group plc | (136,883 | ) | (718,219 | ) | 71,134 | |||||||
Aviva plc | (306,036 | ) | (1,951,033 | ) | 337,829 | |||||||
Babcock International Group plc | (38,255 | ) | (505,176 | ) | 42,665 | |||||||
BAE Systems plc | (81,917 | ) | (524,579 | ) | (48,886 | ) | ||||||
Balfour Beatty plc | (169,119 | ) | (530,288 | ) | 44,183 | |||||||
Booker Group plc | (466,284 | ) | (1,019,009 | ) | (60,805 | ) | ||||||
British American Tobacco plc | (34,025 | ) | (1,626,083 | ) | (579,725 | ) | ||||||
BTG plc | (214,521 | ) | (1,730,038 | ) | (341,868 | ) | ||||||
Bunzl plc | (101,323 | ) | (2,502,109 | ) | (615,452 | ) | ||||||
Capita plc | (319,347 | ) | (4,576,582 | ) | 461,632 | |||||||
Cobham plc | (340,975 | ) | (1,188,684 | ) | 470,307 | |||||||
Croda International plc | (13,848 | ) | (537,664 | ) | (43,653 | ) | ||||||
easyJet plc | (208,512 | ) | (4,122,345 | ) | 1,092,329 | |||||||
Essentra plc | (139,486 | ) | (1,408,503 | ) | 451,489 | |||||||
Halma plc | (102,649 | ) | (1,199,844 | ) | (196,287 | ) | ||||||
Hargreaves Lansdown plc | (183,751 | ) | (2,758,543 | ) | (306,613 | ) | ||||||
HSBC Holdings plc | (97,219 | ) | (607,732 | ) | 5,406 | |||||||
IMI plc | (61,555 | ) | (730,405 | ) | (67,305 | ) | ||||||
Inmarsat plc | (98,332 | ) | (1,245,766 | ) | 186,054 | |||||||
International Consolidated Airlines Group SA | (614,096 | ) | (4,023,979 | ) | 978,251 | |||||||
ITV plc | (193,903 | ) | (723,456 | ) | 258,539 | |||||||
Legal & General Group plc | (868,257 | ) | (2,617,663 | ) | 394,840 | |||||||
Lloyds Banking Group plc | (2,284,767 | ) | (1,864,706 | ) | 209,871 | |||||||
Merlin Entertainments plc | (162,209 | ) | (925,333 | ) | (29,913 | ) | ||||||
Old Mutual plc | (1,115,669 | ) | (2,554,813 | ) | (459,129 | ) | ||||||
Pennon Group plc | (67,488 | ) | (759,530 | ) | (94,011 | ) | ||||||
Provident Financial plc | (45,004 | ) | (1,874,637 | ) | 486,990 | |||||||
Prudential plc | (240,460 | ) | (4,136,505 | ) | 56,161 | |||||||
Rolls-Royce Holdings plc (3) | (25,855,573 | ) | 3,356 | (37,776 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Rolls-Royce Holdings plc | (381,742 | ) | $ | (3,400,876 | ) | $ | (242,840 | ) | ||||
Rotork plc | (231,297 | ) | (553,755 | ) | (115,857 | ) | ||||||
Royal Bank of Scotland Group plc | (393,781 | ) | (1,329,282 | ) | 436,914 | |||||||
RSA Insurance Group plc | (155,769 | ) | (844,395 | ) | (199,626 | ) | ||||||
Schroders plc | (46,604 | ) | (1,545,995 | ) | 73,278 | |||||||
Serco Group plc | (377,089 | ) | (418,642 | ) | (142,545 | ) | ||||||
Spectris plc | (31,709 | ) | (681,295 | ) | (90,556 | ) | ||||||
St. James’s Place plc | (390,452 | ) | (4,613,847 | ) | 496,226 | |||||||
Standard Chartered plc | (338,979 | ) | (2,244,560 | ) | (327,265 | ) | ||||||
Standard Life plc | (638,134 | ) | (3,214,797 | ) | 697,130 | |||||||
Tesco plc | (1,966,677 | ) | (4,814,824 | ) | 195,893 | |||||||
Travis Perkins plc | (29,917 | ) | (688,462 | ) | 98,201 | |||||||
Vodafone Group plc | (681,328 | ) | (1,911,283 | ) | (165,990 | ) | ||||||
Whitbread plc | (19,812 | ) | (1,038,018 | ) | 111,029 | |||||||
Worldpay Group plc | (249,555 | ) | (936,831 | ) | 28,526 | |||||||
|
| |||||||||||
827,273 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 70,219 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 3,882,855 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 248,900 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 4,131,755 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
(3) | Level 3 Security (See Note 5). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
80
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 38 months maturity 08/19/2016 | $578,502 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
AGL Energy Ltd. | 243,501 | $ | 3,383,894 | $ | 152,498 | |||||||
Ansell Ltd. | 134,996 | 1,911,433 | (63,872 | ) | ||||||||
Aurizon Holdings Ltd. | 1,514,378 | 4,720,830 | 773,771 | |||||||||
Boral Ltd. | 551,595 | 2,371,565 | 218,077 | |||||||||
Caltex Australia Ltd. | 195,712 | 4,813,835 | (95,227 | ) | ||||||||
CIMIC Group Ltd. | 166,173 | 3,644,098 | 842,181 | |||||||||
Coca-Cola Amatil Ltd. | 708,326 | 4,562,501 | (190,004 | ) | ||||||||
Cochlear Ltd. | 10,315 | 850,660 | 90,474 | |||||||||
Flight Centre Travel Group Ltd. | 36,465 | 1,016,065 | (148,545 | ) | ||||||||
Fortescue Metals Group Ltd. | 994,258 | 2,256,945 | 403,733 | |||||||||
Harvey Norman Holdings Ltd. | 433,823 | 1,383,811 | 125,713 | |||||||||
Iluka Resources Ltd. | 109,754 | 515,708 | 25,368 | |||||||||
Incitec Pivot Ltd. | 302,981 | 694,626 | (14,037 | ) | ||||||||
Newcrest Mining Ltd. | 178,270 | 2,736,970 | 352,777 | |||||||||
Oil Search Ltd. | 315,810 | 1,577,897 | 16,806 | |||||||||
Origin Energy Ltd. | 202,901 | 632,240 | 254,260 | |||||||||
Qantas Airways Ltd. | 1,060,907 | 2,768,603 | (521,261 | ) | ||||||||
Santos Ltd. | 325,210 | 1,018,096 | 133,078 | |||||||||
Star Entertainment Grp Ltd. (The) | 557,273 | 1,989,996 | 280,739 | |||||||||
Tabcorp Holdings Ltd. | 474,824 | 1,577,075 | 58,585 | |||||||||
Tatts Group Ltd. | 539,328 | 1,599,145 | (47,103 | ) | ||||||||
Telstra Corp. Ltd. | 516,315 | 2,093,245 | 64,814 | |||||||||
TPG Telecom Ltd. | 79,331 | 589,214 | 122,136 | |||||||||
Treasury Wine Estates Ltd. | 533,273 | 2,781,110 | 924,536 | |||||||||
Woodside Petroleum Ltd. | 153,606 | 3,078,862 | 35,845 | |||||||||
WorleyParsons Ltd. | 177,575 | 598,625 | 375,814 | |||||||||
|
| |||||||||||
4,171,156 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 4,171,156 | |||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
ALS Ltd. | (629,905 | ) | $ | (1,935,063 | ) | $ | (396,688 | ) | ||||
Alumina Ltd. | (1,865,724 | ) | (1,617,155 | ) | (216,794 | ) | ||||||
AMP Ltd. | (696,372 | ) | (2,844,507 | ) | 130,600 | |||||||
APA Group | (771,829 | ) | (4,932,312 | ) | (436,039 | ) | ||||||
AusNet Services | (791,335 | ) | (809,091 | ) | (165,531 | ) | ||||||
Australia & New Zealand Banking Group Ltd. | (31,088 | ) | (541,852 | ) | (24,573 | ) | ||||||
Bank of Queensland Ltd. | (129,607 | ) | (1,203,131 | ) | 169,094 | |||||||
Brambles Ltd. | (253,196 | ) | (2,092,498 | ) | (271,439 | ) | ||||||
Challenger Ltd. | (80,662 | ) | (535,264 | ) | 8,280 | |||||||
Commonwealth Bank of Australia | (37,874 | ) | (2,223,009 | ) | 97,135 | |||||||
Computershare Ltd. | (279,311 | ) | (2,165,963 | ) | 234,553 | |||||||
Crown Resorts Ltd. | (144,382 | ) | (1,310,371 | ) | (62,916 | ) | ||||||
CSL Ltd. | (37,186 | ) | (2,783,751 | ) | (352,240 | ) | ||||||
Healthscope Ltd. | (1,350,601 | ) | (2,676,570 | ) | (229,832 | ) | ||||||
Insurance Australia Group Ltd. | (990,668 | ) | (3,936,483 | ) | (144,344 | ) | ||||||
Lend Lease Group | (54,431 | ) | (533,738 | ) | 16,689 | |||||||
Macquarie Group Ltd. | (13,011 | ) | (696,738 | ) | 19,457 | |||||||
Medibank Pvt Ltd. | (350,394 | ) | (582,030 | ) | (194,990 | ) | ||||||
Platinum Asset Management Ltd. | (259,605 | ) | (1,211,460 | ) | 83,975 | |||||||
QBE Insurance Group Ltd. | (250,019 | ) | (2,194,288 | ) | 219,238 | |||||||
Ramsay Health Care Ltd. | (46,135 | ) | (2,130,702 | ) | (362,688 | ) | ||||||
REA Group Ltd. | (25,709 | ) | (881,621 | ) | (272,142 | ) | ||||||
SEEK Ltd. | (677,258 | ) | (7,144,101 | ) | (630,579 | ) | ||||||
Sonic Healthcare Ltd. | (112,158 | ) | (1,582,382 | ) | (236,498 | ) | ||||||
South32 Ltd. | (498,559 | ) | (335,524 | ) | (249,180 | ) | ||||||
Suncorp Group Ltd. | (125,632 | ) | (1,097,447 | ) | (54,588 | ) | ||||||
Transurban Group | (187,131 | ) | (1,507,004 | ) | (178,442 | ) | ||||||
Vocus Communications Ltd. | (114,537 | ) | (761,500 | ) | 4,958 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
81
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Australia (continued) | ||||||||||||
Westpac Banking Corp. | (63,427 | ) | $ | (1,470,676 | ) | $ | 64,148 | |||||
Woolworths Ltd. | (65,386 | ) | (1,200,224 | ) | 171,797 | |||||||
|
| |||||||||||
(3,259,579 | ) | |||||||||||
|
| |||||||||||
Ireland | ||||||||||||
James Hardie Industries plc | (36,312 | ) | (457,341 | ) | (105,036 | ) | ||||||
|
| |||||||||||
Total of Short Equity Positions | (3,364,615 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 806,541 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ | (228,039 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 578,502 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the HKD/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | 38-51 months maturity ranging from 08/22/2016 -09/20/2017 | $2,458,509 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Hong Kong | ||||||||||||
BOC Hong Kong Holdings Ltd. | 381,000 | $ | 1,129,723 | $ | 18,365 | |||||||
CLP Holdings Ltd. | 496,000 | 4,371,424 | 695,309 | |||||||||
HKT Trust & HKT Ltd. | 814,000 | 1,168,516 | 5,610 | |||||||||
Kerry Properties Ltd. | 717,500 | 1,970,789 | (194,391 | ) | ||||||||
Li & Fung Ltd. | 2,194,000 | 1,157,352 | (93,491 | ) | ||||||||
New World Development Co. Ltd. | 2,502,000 | 1,542,831 | 1,005,119 | |||||||||
Orient Overseas International Ltd. | 28,500 | 127,465 | (30,172 | ) | ||||||||
Power Assets Holdings Ltd. | 234,500 | 2,273,398 | (117,282 | ) | ||||||||
Sino Land Co. Ltd. | 1,088,000 | 1,578,459 | 212,918 | |||||||||
SJM Holdings Ltd. | 1,263,000 | 821,980 | (48,650 | ) | ||||||||
Techtronic Industries Co. Ltd. | 261,000 | 985,001 | 104,935 | |||||||||
VTech Holdings Ltd. | 42,700 | 458,608 | (8,447 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Hong Kong (continued) | ||||||||||||
WH Group Ltd. | 7,119,500 | $ | 4,574,222 | $ | 1,064,387 | |||||||
Wheelock & Co. Ltd. | 233,000 | 984,563 | 109,988 | |||||||||
Xinyi Automobile Glass Hong Kong Enterprises Ltd. (3) | 96,000 | 1 | 7,732 | |||||||||
Xinyi Glass Holdings Ltd. | 768,000 | 557,525 | 10,560 | |||||||||
Yue Yuen Industrial Holdings Ltd. | 692,000 | 2,473,905 | 268,713 | |||||||||
|
| |||||||||||
3,011,203 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 3,011,203 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Hong Kong | ||||||||||||
AIA Group Ltd. | (707,600 | ) | (4,072,100 | ) | (183,212 | ) | ||||||
ASM Pacific Technology Ltd. | (174,300 | ) | (1,300,453 | ) | 47,158 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
82
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Hong Kong (continued) | ||||||||||||
Cathay Pacific Airways Ltd. | (920,000 | ) | $ | (1,596,177 | ) | $ | 246,479 | |||||
Cheung Kong Property Holdings Ltd. | (140,000 | ) | (739,015 | ) | (143,076 | ) | ||||||
Esprit Holdings Ltd. | (341,000 | ) | (370,159 | ) | 115,982 | |||||||
Galaxy Entertainment Group Ltd. | (647,000 | ) | (1,944,532 | ) | 8,695 | |||||||
Hang Lung Properties Ltd. | (1,162,881 | ) | (2,215,070 | ) | (134,299 | ) | ||||||
Hong Kong & China Gas Co. Ltd. | (3,740,832 | ) | (6,601,307 | ) | (234,018 | ) | ||||||
Hysan Development Co. Ltd. | (193,000 | ) | (790,817 | ) | (69,870 | ) | ||||||
MGM China Holdings Ltd. | (1,973,600 | ) | (2,980,244 | ) | 403,304 | |||||||
MTR Corp. Ltd. | (510,000 | ) | (2,421,094 | ) | (166,260 | ) | ||||||
Sands China Ltd. | (160,000 | ) | (504,977 | ) | (36,450 | ) | ||||||
Value Partners Group Ltd. | (1,064,000 | ) | (1,047,981 | ) | 62,723 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Hong Kong (continued) | ||||||||||||
Wynn Macau Ltd. | (1,502,000 | ) | $ | (1,892,050 | ) | $ | (284,473 | ) | ||||
|
| |||||||||||
(367,317 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (367,317 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 2,643,886 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ | (185,377 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 2,458,509 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
(3) | Level 3 Security (See Note 5). |
Total Return Basket Swaps* Outstanding at June 30, 2016
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 55-61months maturity 12/22/2020 | $(11,479,663 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Domtar Corp. | 55,685 | $ | 2,009,101 | $ | (59,569 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
Accenture plc | 19,897 | 2,034,772 | 219,359 | |||||||||
Endo International plc | 35,565 | 554,439 | 19 | |||||||||
Medtronic plc | 7,237 | 563,762 | 64,192 | |||||||||
XL Group plc | 35,751 | 1,345,696 | (154,830 | ) | ||||||||
|
| |||||||||||
128,740 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Singapore | ||||||||||||
Flextronics International Ltd. | 168,550 | $ | 1,794,524 | $ | 194,366 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Allied World Assurance Co. Holdings AG | 36,989 | 1,270,410 | 29,383 | |||||||||
TE Connectivity Ltd. | 26,770 | 1,584,196 | (55,361 | ) | ||||||||
Transocean Ltd. | 214,869 | 2,090,257 | 464,536 | |||||||||
|
| |||||||||||
438,558 | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
83
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United Kingdom | ||||||||||||
Ensco plc | 128,374 | $ | 1,257,065 | $ | (10,553 | ) | ||||||
LivaNova plc | 11,104 | 579,401 | (21,647 | ) | ||||||||
Michael Kors Holdings Ltd. | 60,410 | 2,648,901 | 340,186 | |||||||||
Noble Corp. plc | 158,381 | 1,497,060 | (192,001 | ) | ||||||||
|
| |||||||||||
115,985 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
3M Co. | 38,250 | 5,991,102 | 707,238 | |||||||||
Aaron’s, Inc. | 24,401 | 532,871 | 1,267 | |||||||||
Abbott Laboratories | 80,550 | 3,588,721 | (422,301 | ) | ||||||||
Abercrombie & Fitch Co. | 157,980 | 3,514,866 | (701,242 | ) | ||||||||
Adobe Systems, Inc. | 8,642 | 801,302 | 26,515 | |||||||||
Aetna, Inc. | 22,450 | 2,443,907 | 297,911 | |||||||||
Aflac, Inc. | 70,388 | 4,298,438 | 780,760 | |||||||||
AGCO Corp. | 18,340 | 840,226 | 24,138 | |||||||||
Agilent Technologies, Inc. | 86,649 | 3,552,304 | 291,446 | |||||||||
Akamai Technologies, Inc. | 83,659 | 4,300,240 | 378,808 | |||||||||
Alaska Air Group, Inc. | 29,596 | 2,033,459 | (308,308 | ) | ||||||||
Alleghany Corp. | 1,320 | 634,483 | 90,963 | |||||||||
Allscripts Healthcare Solutions, Inc. | 127,472 | 1,741,737 | (122,843 | ) | ||||||||
Allstate Corp. (The) | 62,363 | 3,847,256 | 515,036 | |||||||||
Alphabet, Inc. | 6,276 | 4,662,295 | (246,940 | ) | ||||||||
Altria Group, Inc. | 114,122 | 6,800,189 | 1,069,664 | |||||||||
Amazon.com, Inc. | 5,124 | 3,231,986 | 434,851 | |||||||||
Amdocs Ltd. | 84,449 | 4,643,437 | 230,959 | |||||||||
Ameren Corp. | 141,599 | 6,604,197 | 982,677 | |||||||||
American Eagle Outfitters, Inc. | 170,148 | 2,624,574 | 85,884 | |||||||||
American Electric Power Co., Inc. | 53,820 | 3,382,058 | 390,185 | |||||||||
American Financial Group, Inc. | 31,837 | 2,237,936 | 115,774 | |||||||||
American International Group, Inc. | 92,058 | 5,390,296 | (521,348 | ) | ||||||||
American Water Works Co., Inc. | 36,394 | 2,346,061 | 729,596 | |||||||||
Ameriprise Financial, Inc. | 23,701 | 2,399,454 | (269,919 | ) | ||||||||
AmerisourceBergen Corp. | 54,404 | 4,570,424 | (255,098 | ) | ||||||||
Amgen, Inc. | 22,581 | 3,602,395 | (166,696 | ) | ||||||||
Analog Devices, Inc. | 42,352 | 2,381,078 | 17,739 | |||||||||
Anthem, Inc. | 34,435 | 4,787,916 | (265,223 | ) | ||||||||
AO Smith Corp. | 70,590 | 4,982,562 | 1,237,123 | |||||||||
Applied Materials, Inc. | 126,565 | 2,790,542 | 243,221 | |||||||||
Archer-Daniels-Midland Co. | 95,403 | 3,282,499 | 809,336 | |||||||||
Arrow Electronics, Inc. | 78,942 | 4,614,299 | 272,210 | |||||||||
Aspen Insurance Holdings Ltd. | 35,050 | 1,608,907 | 16,712 | |||||||||
Assurant, Inc. | 19,030 | 1,542,401 | 100,079 | |||||||||
Assured Guaranty Ltd. | 154,437 | 3,939,343 | (21,276 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Automatic Data Processing, Inc. | 12,257 | $ | 1,010,709 | $ | 115,342 | |||||||
Avery Dennison Corp. | 73,187 | 5,035,692 | 435,036 | |||||||||
Avnet, Inc. | 125,989 | 5,290,401 | (186,587 | ) | ||||||||
Avon Products, Inc. | 165,861 | 598,293 | 28,662 | |||||||||
Axis Capital Holdings Ltd. | 54,676 | 2,965,541 | 41,639 | |||||||||
Bank of America Corp. | 39,536 | 546,495 | (21,853 | ) | ||||||||
Baxter International, Inc. | 75,301 | 2,824,231 | 580,880 | |||||||||
Becton Dickinson and Co. | 3,735 | 628,245 | 5,173 | |||||||||
Bed Bath & Beyond, Inc. | 24,128 | 1,141,893 | (99,081 | ) | ||||||||
Belden, Inc. | 8,648 | 532,905 | (10,825 | ) | ||||||||
Bemis Co., Inc. | 79,009 | 3,620,595 | 447,578 | |||||||||
Best Buy Co., Inc. | 168,220 | 5,000,575 | 146,957 | |||||||||
Big Lots, Inc. | 75,374 | 2,817,279 | 959,712 | |||||||||
Biogen, Inc. | 19,266 | 5,387,476 | (728,572 | ) | ||||||||
Bio-Rad Laboratories, Inc. | 4,963 | 658,606 | 51,203 | |||||||||
Boeing Co. (The) | 21,839 | 2,799,755 | 36,476 | |||||||||
Booz Allen Hamilton Holding Corp. | 18,703 | 539,612 | 14,745 | |||||||||
Boston Beer Co., Inc. (The) | 10,218 | 1,683,668 | 63,916 | |||||||||
Brinker International, Inc. | 28,884 | 1,325,115 | (10,026 | ) | ||||||||
Broadridge Financial Solutions, Inc. | 39,239 | 2,089,243 | 469,140 | |||||||||
Brocade Communications Systems, Inc. | 812,178 | 7,047,831 | 407,963 | |||||||||
Bruker Corp. | 217,990 | 5,651,254 | (694,161 | ) | ||||||||
Brunswick Corp. | 76,501 | 3,363,317 | 103,708 | |||||||||
Bunge Ltd. | 46,837 | 2,746,187 | 24,221 | |||||||||
BWX Technologies, Inc. | 134,186 | 4,181,894 | 617,939 | |||||||||
CA, Inc. | 138,656 | 4,127,766 | 424,311 | |||||||||
Cabot Corp. | 25,361 | 1,134,816 | 23,168 | |||||||||
Cadence Design Systems, Inc. | 105,999 | 2,195,999 | 379,777 | |||||||||
California Resources Corp. | 70,277 | 458,146 | 399,233 | |||||||||
Campbell Soup Co. | 25,436 | 1,383,027 | 309,230 | |||||||||
Capital One Financial Corp. | 23,692 | 1,675,828 | (171,149 | ) | ||||||||
Cardinal Health, Inc. | 21,561 | 1,892,378 | (210,404 | ) | ||||||||
Carlisle Cos., Inc. | 81,293 | 7,767,470 | 823,575 | |||||||||
Carnival Corp. | 42,557 | 2,141,220 | (260,200 | ) | ||||||||
Carter’s, Inc. | 47,303 | 4,275,747 | 760,604 | |||||||||
CDW Corp. | 42,603 | 1,778,208 | (70,680 | ) | ||||||||
CenterPoint Energy, Inc. | 62,726 | 1,441,067 | 64,357 | |||||||||
CenturyLink, Inc. | 113,529 | 3,043,041 | 250,435 | |||||||||
Cerner Corp. | 37,010 | 2,043,829 | 124,957 | |||||||||
CH Robinson Worldwide, Inc. | 13,426 | 944,265 | 52,615 | |||||||||
Charles River Laboratories International, Inc. | 63,806 | 5,169,673 | 90,494 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
84
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Cheesecake Factory, Inc. (The) | 51,159 | $ | 2,437,539 | $ | 25,256 | |||||||
Chico’s FAS, Inc. | 152,553 | 1,631,685 | 2,158 | |||||||||
Choice Hotels International, Inc. | 11,852 | 558,534 | 5,859 | |||||||||
Church & Dwight Co., Inc. | 31,489 | 2,680,102 | 559,801 | |||||||||
Cintas Corp. | 29,504 | 2,667,030 | 228,197 | |||||||||
Cisco Systems, Inc. | 206,335 | 5,518,318 | 401,433 | |||||||||
CIT Group, Inc. | 20,517 | 673,898 | (19,201 | ) | ||||||||
Citigroup, Inc. | 24,186 | 999,946 | 25,298 | |||||||||
Citizens Financial Group, Inc. | 27,932 | 657,497 | (99,416 | ) | ||||||||
Citrix Systems, Inc. | 47,442 | 3,581,051 | 218,578 | |||||||||
Clorox Co. (The) | 40,029 | 5,210,611 | 329,002 | |||||||||
Coca-Cola Co. (The) | 118,858 | 5,030,018 | 357,815 | |||||||||
Cognizant Technology Solutions Corp. | 48,532 | 2,862,786 | (84,814 | ) | ||||||||
Colgate-Palmolive Co. | 53,239 | 3,573,426 | 323,669 | |||||||||
Comcast Corp. | 19,322 | 1,109,827 | 149,774 | |||||||||
Commerce Bancshares, Inc. | 29,419 | 1,194,150 | 215,020 | |||||||||
Commercial Metals Co. | 97,514 | 1,346,777 | 301,209 | |||||||||
Community Health Systems, Inc. | 215,029 | 3,351,748 | (760,648 | ) | ||||||||
Computer Sciences Corp. | 34,542 | 1,095,764 | 619,246 | |||||||||
comScore, Inc. | 38,146 | 1,148,734 | (237,807 | ) | ||||||||
ConAgra Foods, Inc. | 50,964 | 2,306,653 | 129,936 | |||||||||
Consolidated Edison, Inc. | 68,013 | 4,664,957 | 806,009 | |||||||||
Convergys Corp. | 81,600 | 2,135,513 | (95,513 | ) | ||||||||
CoreLogic, Inc. | 34,309 | 1,231,668 | 88,542 | |||||||||
Corning, Inc. | 49,237 | 890,701 | 117,673 | |||||||||
CR Bard, Inc. | 13,913 | 2,625,490 | 646,291 | |||||||||
Cracker Barrel Old Country Store, Inc. | 7,549 | 930,055 | 364,372 | |||||||||
Crane Co. | 20,307 | 955,627 | 196,186 | |||||||||
Cree, Inc. | 34,794 | 874,974 | (24,609 | ) | ||||||||
Crown Holdings, Inc. | 47,590 | 2,481,381 | (69,996 | ) | ||||||||
CSX Corp. | 89,158 | 2,310,535 | 14,706 | |||||||||
Cummins, Inc. | 24,211 | 2,097,867 | 624,418 | |||||||||
CVR Energy, Inc. | 34,799 | 950,160 | (410,776 | ) | ||||||||
Dana Holding Corp. | 171,359 | 2,072,773 | (263,221 | ) | ||||||||
Danaher Corp. | 18,217 | 1,682,266 | 157,651 | |||||||||
Darden Restaurants, Inc. | 36,418 | 2,146,755 | 159,961 | |||||||||
Dean Foods Co. | 233,990 | 4,116,805 | 116,074 | |||||||||
Deckers Outdoor Corp. | 9,951 | 555,918 | 16,464 | |||||||||
Delta Air Lines, Inc. | 80,338 | 3,738,505 | (811,791 | ) | ||||||||
Deluxe Corp. | 22,696 | 1,292,009 | 214,324 | |||||||||
Denbury Resources, Inc. | 587,643 | 1,666,296 | 443,343 | |||||||||
DeVry Education Group, Inc. | 63,810 | 1,126,048 | 12,323 | |||||||||
Diamond Offshore Drilling, Inc. | 42,379 | 1,030,964 | 117 | |||||||||
Dick’s Sporting Goods, Inc. | 30,793 | 1,214,727 | 172,806 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Dillard’s, Inc. | 52,217 | $ | 3,336,693 | $ | (172,342 | ) | ||||||
Discover Financial Services | 55,457 | 2,987,126 | (15,185 | ) | ||||||||
Dollar General Corp. | 8,577 | 674,120 | 132,118 | |||||||||
Domino’s Pizza, Inc. | 6,690 | 732,080 | 146,852 | |||||||||
Dow Chemical Co. (The) | 15,148 | 764,903 | (11,896 | ) | ||||||||
DR Horton, Inc. | 107,657 | 3,055,454 | 333,588 | |||||||||
Dr. Pepper Snapple Group, Inc. | 90,164 | 8,300,328 | 412,219 | |||||||||
DST Systems, Inc. | 14,118 | 1,561,824 | 81,934 | |||||||||
DSW, Inc. | 66,248 | 1,470,145 | (67,013 | ) | ||||||||
DTE Energy Co. | 30,809 | 2,663,558 | 390,230 | |||||||||
Dun & Bradstreet Corp. (The) | 18,593 | 1,862,457 | 402,915 | |||||||||
Eaton Corp. plc | 26,833 | 1,378,744 | 223,991 | |||||||||
eBay, Inc. | 343,089 | 8,671,552 | (639,838 | ) | ||||||||
Edison International | 12,776 | 942,501 | 49,811 | |||||||||
Edwards Lifesciences Corp. | 16,718 | 1,349,267 | 318,019 | |||||||||
Electronic Arts, Inc. | 16,416 | 1,167,506 | 76,170 | |||||||||
Eli Lilly & Co. | 7,425 | 636,228 | (51,509 | ) | ||||||||
Emerson Electric Co. | 47,007 | 2,214,547 | 237,338 | |||||||||
Energen Corp. | 27,711 | 1,245,181 | 90,767 | |||||||||
Energizer Holdings, Inc. | 28,215 | 1,052,280 | 400,511 | |||||||||
Entergy Corp. | 56,964 | 4,194,014 | 440,007 | |||||||||
EP Energy Corp. | 155,778 | 411,377 | 395,553 | |||||||||
Equifax, Inc. | 23,926 | 2,719,718 | 352,380 | |||||||||
Estee Lauder Cos., Inc. (The) | 38,863 | 3,540,584 | (3,274 | ) | ||||||||
Esterline Technologies Corp. | 55,270 | 3,594,331 | (165,381 | ) | ||||||||
Everest Re Group Ltd. | 15,711 | 2,736,195 | 133,734 | |||||||||
Exelon Corp. | 107,696 | 3,217,589 | 698,238 | |||||||||
Expedia, Inc. | 15,224 | 1,958,872 | (340,561 | ) | ||||||||
Expeditors International of Washington, Inc. | 26,902 | 1,279,694 | 39,580 | |||||||||
Express Scripts Holding Co. | 20,493 | 1,467,928 | 85,441 | |||||||||
F5 Networks, Inc. | 23,591 | 2,203,204 | 482,396 | |||||||||
Facebook, Inc. | 25,278 | 2,790,465 | 98,304 | |||||||||
FactSet Research Systems, Inc. | 11,954 | 1,923,457 | 6,158 | |||||||||
Fairchild Semiconductor International, Inc. | 31,548 | 632,537 | (6,310 | ) | ||||||||
FedEx Corp. | 13,446 | 2,104,286 | (63,452 | ) | ||||||||
First Solar, Inc. | 69,159 | 3,625,832 | (273,004 | ) | ||||||||
FirstEnergy Corp. | 145,806 | 4,859,708 | 230,379 | |||||||||
Fiserv, Inc. | 7,779 | 740,051 | 105,760 | |||||||||
FLIR Systems, Inc. | 17,208 | 510,319 | 22,269 | |||||||||
Flowers Foods, Inc. | 31,734 | 580,323 | 14,689 | |||||||||
Foot Locker, Inc. | 40,997 | 2,454,679 | (205,584 | ) | ||||||||
Ford Motor Co. | 69,452 | 896,602 | (23,590 | ) | ||||||||
Fortinet, Inc. | 30,227 | 906,202 | 48,668 | |||||||||
Franklin Resources, Inc. | 43,078 | 1,503,746 | �� | (66,233 | ) | |||||||
FTI Consulting, Inc. | 35,361 | 1,315,907 | 122,578 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
85
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
GameStop Corp. | 25,574 | $ | 784,523 | $ | (104,766 | ) | ||||||
Gannett Co., Inc. | 123,728 | 1,938,715 | (230,032 | ) | ||||||||
Gap, Inc. (The) | 61,246 | 1,223,288 | 76,352 | |||||||||
General Dynamics Corp. | 29,382 | 3,943,146 | 148,004 | |||||||||
General Mills, Inc. | 60,931 | 3,422,843 | 922,755 | |||||||||
General Motors Co. | 259,580 | 8,377,636 | (1,031,522 | ) | ||||||||
Genpact Ltd. | 81,376 | 2,034,963 | 149,169 | |||||||||
Genuine Parts Co. | 21,881 | 2,108,323 | 107,128 | |||||||||
Gilead Sciences, Inc. | 61,232 | 5,638,994 | (531,021 | ) | ||||||||
GNC Holdings, Inc. | 43,209 | 1,198,716 | (149,169 | ) | ||||||||
GoPro, Inc. | 85,214 | 859,188 | 61,976 | |||||||||
Graham Holdings Co. | 2,826 | 1,392,973 | (9,533 | ) | ||||||||
Graphic Packaging Holding Co. | 272,795 | 3,472,572 | (51,723 | ) | ||||||||
Great Plains Energy, Inc. | 89,854 | 2,705,639 | 25,923 | |||||||||
Groupon, Inc. | 1,007,160 | 2,872,037 | 401,233 | |||||||||
Guess?, Inc. | 39,124 | 713,841 | (125,024 | ) | ||||||||
Hanover Insurance Group, Inc. (The) | 16,296 | 1,342,108 | 36,860 | |||||||||
Hartford Financial Services Group, Inc. (The) | 19,963 | 844,899 | 41,058 | |||||||||
Hasbro, Inc. | 18,111 | 1,384,791 | 136,352 | |||||||||
HCA Holdings, Inc. | 29,271 | 1,910,048 | 344,112 | |||||||||
HD Supply Holdings, Inc. | 95,141 | 2,474,463 | 838,347 | |||||||||
Herman Miller, Inc. | 143,330 | 4,097,109 | 187,024 | |||||||||
Hershey Co. (The) | 5,674 | 535,134 | 108,808 | |||||||||
Hewlett Packard Enterprise Co. | 114,463 | 1,869,425 | 221,814 | |||||||||
HollyFrontier Corp. | 104,262 | 3,881,769 | (1,403,462 | ) | ||||||||
Hologic, Inc. | 40,116 | 1,453,991 | (65,977 | ) | ||||||||
Home Depot, Inc. (The) | 17,877 | 2,275,790 | 6,924 | |||||||||
Honeywell International, Inc. | 14,923 | 1,507,607 | 228,236 | |||||||||
Hormel Foods Corp. | 28,953 | 1,104,764 | (45,084 | ) | ||||||||
HP, Inc. | 742,866 | 8,777,116 | 545,853 | |||||||||
HSN, Inc. | 36,417 | 1,710,919 | 70,965 | |||||||||
Hubbell, Inc. | 7,988 | 784,833 | 57,661 | |||||||||
Huntington Ingalls Industries, Inc. | 50,981 | 6,702,329 | 1,864,009 | |||||||||
Huntsman Corp. | 157,215 | 1,505,150 | 609,392 | |||||||||
IAC/InterActiveCorp. | 28,495 | 1,753,012 | (148,744 | ) | ||||||||
IDACORP, Inc. | 12,571 | 946,890 | 75,760 | |||||||||
Ingersoll-Rand plc | 24,674 | 1,566,266 | 4,974 | |||||||||
Ingredion, Inc. | 46,189 | 4,651,166 | 1,326,153 | |||||||||
Integrated Device Technology, Inc. | 126,220 | 2,963,251 | (422,442 | ) | ||||||||
Intel Corp. | 68,693 | 2,367,895 | (114,764 | ) | ||||||||
International Business Machines Corp. | 32,346 | 4,450,546 | 458,929 | |||||||||
International Paper Co. | 44,562 | 1,582,193 | 306,345 | |||||||||
Interpublic Group of Cos., Inc. (The) | 124,882 | 2,820,113 | 64,661 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Intersil Corp. | 52,884 | $ | 707,697 | $ | 8,352 | |||||||
Intrexon Corp. | 63,471 | 1,759,175 | (197,154 | ) | ||||||||
Intuit, Inc. | 13,539 | 1,311,379 | 199,709 | |||||||||
Intuitive Surgical, Inc. | 3,239 | 2,076,706 | 65,601 | |||||||||
Invesco Ltd. | 55,061 | 1,622,504 | (216,246 | ) | ||||||||
Ionis Pharmaceuticals, Inc. | 98,954 | 2,181,055 | 123,584 | |||||||||
ITT, Inc. | 27,758 | 942,632 | (54,932 | ) | ||||||||
j2 Global, Inc. | 29,899 | 1,801,345 | 87,375 | |||||||||
Jabil Circuit, Inc. | 152,496 | 2,972,749 | (156,148 | ) | ||||||||
Jack Henry & Associates, Inc. | 34,257 | 2,738,628 | 250,980 | |||||||||
Jack in the Box, Inc. | 25,046 | 1,904,187 | 247,765 | |||||||||
Jacobs Engineering Group, Inc. | 35,859 | 1,691,950 | 94,187 | |||||||||
JetBlue Airways Corp. | 218,774 | 4,376,057 | (753,159 | ) | ||||||||
JM Smucker Co. (The) | 13,547 | 1,929,705 | 134,994 | |||||||||
John Wiley & Sons, Inc. | 40,105 | 1,724,093 | 368,585 | |||||||||
Johnson & Johnson | 47,786 | 4,855,860 | 940,582 | |||||||||
Joy Global, Inc. | 29,958 | 316,138 | 317,174 | |||||||||
JPMorgan Chase & Co. | 13,446 | 774,103 | 61,431 | |||||||||
Juniper Networks, Inc. | 171,623 | 4,270,984 | (411,183 | ) | ||||||||
KB Home | 143,804 | 1,789,453 | 397,806 | |||||||||
Kellogg Co. | 10,451 | 746,394 | 106,930 | |||||||||
Kennametal, Inc. | 66,071 | 1,215,601 | 245,229 | |||||||||
KeyCorp. | 60,241 | 720,585 | (54,922 | ) | ||||||||
Kimberly-Clark Corp. | 53,607 | 6,755,530 | 614,360 | |||||||||
Kinder Morgan, Inc. | 51,187 | 793,697 | 164,523 | |||||||||
Kohl’s Corp. | 67,466 | 2,529,983 | 28,328 | |||||||||
L Brands, Inc. | 10,299 | 928,814 | (237,442 | ) | ||||||||
L-3 Communications Holdings, Inc. | 24,327 | 2,900,996 | 667,531 | |||||||||
Laboratory Corp. of America Holdings | 13,421 | 1,716,554 | 31,800 | |||||||||
Lam Research Corp. | 34,579 | 2,663,059 | 243,652 | |||||||||
Lancaster Colony Corp. | 22,790 | 2,581,294 | 326,938 | |||||||||
Landstar System, Inc. | 8,241 | 495,389 | 70,438 | |||||||||
Las Vegas Sands Corp. | 11,697 | 542,854 | (34,152 | ) | ||||||||
Lear Corp. | 45,386 | 5,230,936 | (612,457 | ) | ||||||||
Leggett & Platt, Inc. | 11,272 | 484,967 | 91,145 | |||||||||
Lennox International, Inc. | 30,845 | 4,020,081 | 378,416 | |||||||||
Liberty Interactive Corp. QVC Group | 77,827 | 2,042,130 | (67,659 | ) | ||||||||
Lincoln Electric Holdings, Inc. | 16,283 | 821,879 | 140,120 | |||||||||
Lincoln National Corp. | 75,134 | 3,351,135 | (438,190 | ) | ||||||||
Linear Technology Corp. | 16,908 | 743,222 | 43,508 | |||||||||
Lowe’s Cos., Inc. | 35,347 | 2,614,600 | 183,822 | |||||||||
LyondellBasell Industries NV | 26,778 | 2,272,638 | (279,819 | ) | ||||||||
Macy’s, Inc. | 120,991 | 4,069,529 | (3,022 | ) | ||||||||
Mallinckrodt plc | 34,566 | 2,346,804 | (245,883 | ) | ||||||||
Manhattan Associates, Inc. | 24,139 | 1,542,403 | 5,631 | |||||||||
ManpowerGroup, Inc. | 59,553 | 4,760,642 | (929,002 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
86
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Marathon Oil Corp. | 50,851 | $ | 661,980 | $ | 101,294 | |||||||
Marathon Petroleum Corp. | 101,033 | 4,572,292 | (737,079 | ) | ||||||||
Marriott International, Inc. | 8,568 | 588,619 | (19,190 | ) | ||||||||
Marvell Technology Group Ltd. | 323,046 | 2,757,113 | 321,516 | |||||||||
Masco Corp. | 155,376 | 4,568,109 | 239,225 | |||||||||
Maxim Integrated Products, Inc. | 73,978 | 2,700,517 | (60,242 | ) | ||||||||
McDonald’s Corp. | 16,939 | 1,990,472 | 47,967 | |||||||||
McKesson Corp. | 15,796 | 2,962,560 | (14,237 | ) | ||||||||
Mentor Graphics Corp. | 193,910 | 3,606,008 | 516,519 | |||||||||
Merck & Co., Inc. | 53,153 | 2,790,973 | 271,171 | |||||||||
MetLife, Inc. | 59,971 | 2,798,843 | (410,198 | ) | ||||||||
Michaels Cos., Inc. (The) | 39,706 | 1,098,480 | 30,759 | |||||||||
Micron Technology, Inc. | 266,980 | 3,130,082 | 543,563 | |||||||||
Microsoft Corp. | 72,342 | 3,825,781 | (124,041 | ) | ||||||||
Molina Healthcare, Inc. | 39,906 | 2,360,352 | (369,043 | ) | ||||||||
Mondelez International, Inc. | 58,335 | 2,553,884 | 100,942 | |||||||||
Morgan Stanley | 44,967 | 1,372,490 | (204,247 | ) | ||||||||
Morningstar, Inc. | 9,685 | 757,360 | 34,680 | |||||||||
MSC Industrial Direct Co., Inc. | 69,093 | 5,092,386 | (217,184 | ) | ||||||||
MSCI, Inc. | 61,423 | 4,274,697 | 462,245 | |||||||||
MSG Networks, Inc. | 99,519 | 1,996,120 | (469,499 | ) | ||||||||
Murphy USA, Inc. | 27,107 | 1,728,598 | 281,658 | |||||||||
Mylan NV | 49,393 | 2,125,399 | 10,354 | |||||||||
Nasdaq, Inc. | 86,605 | 5,188,038 | 412,707 | |||||||||
NCR Corp. | 21,464 | 543,602 | 52,453 | |||||||||
NetApp, Inc. | 73,565 | 1,916,417 | (107,454 | ) | ||||||||
NeuStar, Inc. | 75,806 | 1,774,450 | 7,749 | |||||||||
New York Times Co. (The) | 72,828 | 886,937 | (5,718 | ) | ||||||||
News Corp. | 132,781 | 1,643,035 | (135,970 | ) | ||||||||
NIKE, Inc. | 58,137 | 3,733,289 | (524,126 | ) | ||||||||
NiSource, Inc. | 39,723 | 891,821 | 161,633 | |||||||||
Norfolk Southern Corp. | 17,515 | 1,454,172 | 36,880 | |||||||||
Northrop Grumman Corp. | 17,763 | 3,344,951 | 603,409 | |||||||||
Nu Skin Enterprises, Inc. | 135,937 | 4,890,747 | 1,388,183 | |||||||||
Nuance Communications, Inc. | 188,132 | 3,396,421 | (455,918 | ) | ||||||||
NVIDIA Corp. | 11,764 | 384,330 | 168,696 | |||||||||
NVR, Inc. | 529 | 880,243 | 61,557 | |||||||||
Oceaneering International, Inc. | 78,146 | 2,435,936 | (102,497 | ) | ||||||||
Office Depot, Inc. | 154,600 | 524,372 | (12,646 | ) | ||||||||
Old Republic International Corp. | 39,775 | 737,530 | 29,730 | |||||||||
Omnicom Group, Inc. | 17,159 | 1,280,785 | 117,501 | |||||||||
ON Semiconductor Corp. | 275,639 | 2,521,151 | (90,015 | ) | ||||||||
OneMain Holdings, Inc. | 26,813 | 844,288 | (232,415 | ) | ||||||||
Oracle Corp. | 70,746 | 2,550,807 | 344,827 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Orbital ATK, Inc. | 11,496 | $ | 1,002,362 | $ | (23,593 | ) | ||||||
O’Reilly Automotive, Inc. | 2,400 | 568,900 | 81,740 | |||||||||
Owens & Minor, Inc. | 44,788 | 1,681,477 | (7,302 | ) | ||||||||
Owens Corning | 147,141 | 7,068,616 | 512,089 | |||||||||
Packaging Corp. of America | 19,677 | 1,276,244 | 40,737 | |||||||||
Panera Bread Co. | 3,805 | 720,813 | 85,619 | |||||||||
Parker-Hannifin Corp. | 18,405 | 2,035,686 | (47,026 | ) | ||||||||
PBF Energy, Inc. | 26,498 | 894,547 | (264,424 | ) | ||||||||
PepsiCo, Inc. | 106,779 | 10,682,682 | 629,485 | |||||||||
PerkinElmer, Inc. | 16,218 | 860,462 | (10,315 | ) | ||||||||
Pfizer, Inc. | 88,921 | 2,947,060 | 183,849 | |||||||||
PG&E Corp. | 52,516 | 2,914,941 | 441,881 | |||||||||
Philip Morris International, Inc. | 14,295 | 1,362,106 | 91,982 | |||||||||
Phillips 66 | 8,823 | 674,109 | 25,908 | |||||||||
Pilgrim’s Pride Corp. | 51,175 | 1,230,764 | 73,175 | |||||||||
Pinnacle West Capital Corp. | 53,857 | 3,854,564 | 511,085 | |||||||||
Pitney Bowes, Inc. | 58,507 | 1,159,609 | (118,184 | ) | ||||||||
Plantronics, Inc. | 56,081 | 2,349,815 | 117,749 | |||||||||
PNC Financial Services Group, Inc. (The) | 18,044 | 1,591,000 | (122,399 | ) | ||||||||
PNM Resources, Inc. | 15,829 | 514,202 | 46,778 | |||||||||
Pool Corp. | 6,080 | 541,993 | 29,710 | |||||||||
Popular, Inc. | 18,358 | 468,048 | 69,842 | |||||||||
Priceline Group, Inc. (The) | 2,286 | 2,995,298 | (141,433 | ) | ||||||||
Principal Financial Group, Inc. | 20,705 | 832,809 | 18,373 | |||||||||
ProAssurance Corp. | 18,390 | 895,035 | 89,749 | |||||||||
Procter & Gamble Co. (The) | 89,407 | 7,130,068 | 440,023 | |||||||||
Progressive Corp. (The) | 87,890 | 2,843,494 | 100,821 | |||||||||
Prudential Financial, Inc. | 37,203 | 2,927,993 | (273,931 | ) | ||||||||
Public Service Enterprise Group, Inc. | 310,183 | 12,598,720 | 1,858,910 | |||||||||
PVH Corp. | 23,273 | 1,745,985 | 447,029 | |||||||||
QEP Resources, Inc. | 28,496 | 421,466 | 80,918 | |||||||||
QUALCOMM, Inc. | 75,005 | 3,727,194 | 290,824 | |||||||||
Quanta Services, Inc. | 173,718 | 3,514,940 | 501,420 | |||||||||
Quest Diagnostics, Inc. | 32,287 | 2,187,790 | 440,695 | |||||||||
Quintiles Transnational Holdings, Inc. | 92,372 | 6,318,879 | (285,140 | ) | ||||||||
Rackspace Hosting, Inc. | 221,195 | 4,568,759 | 45,368 | |||||||||
Ralph Lauren Corp. | 21,189 | 2,129,866 | (230,908 | ) | ||||||||
Raytheon Co. | 27,652 | 3,436,594 | 322,695 | |||||||||
Red Hat, Inc. | 12,835 | 979,881 | (48,060 | ) | ||||||||
Regal Beloit Corp. | 22,998 | 1,308,551 | (42,511 | ) | ||||||||
Regions Financial Corp. | 128,278 | 1,108,946 | (17,300 | ) | ||||||||
Reinsurance Group of America, Inc. | 25,260 | 2,171,257 | 278,711 | |||||||||
Reliance Steel & Aluminum Co. | 29,343 | 1,889,336 | 367,141 | |||||||||
Republic Services, Inc. | 41,413 | 1,937,110 | 187,791 | |||||||||
ResMed, Inc. | 17,562 | 1,006,803 | 103,643 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
87
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Reynolds American, Inc. | 38,319 | $ | 1,888,550 | $ | 177,994 | |||||||
Robert Half International, Inc. | 156,729 | 6,625,482 | (644,704 | ) | ||||||||
Rockwell Automation, Inc. | 22,114 | 2,211,842 | 327,287 | |||||||||
Ross Stores, Inc. | 35,004 | 1,948,846 | 35,530 | |||||||||
Rowan Cos. plc | 90,581 | 1,430,737 | 168,924 | |||||||||
RR Donnelley & Sons Co. | 182,482 | 2,617,700 | 469,895 | |||||||||
Sally Beauty Holdings, Inc. | 22,951 | 670,957 | 4,032 | |||||||||
SCANA Corp. | 56,162 | 3,863,902 | 385,315 | |||||||||
Service Corp. International | 21,681 | 568,332 | 17,922 | |||||||||
Sherwin-Williams Co. (The) | 5,478 | 1,550,203 | 58,522 | |||||||||
Skechers U.S.A., Inc. | 126,573 | 3,806,179 | (44,430 | ) | ||||||||
Skyworks Solutions, Inc. | 19,213 | 1,331,233 | (115,434 | ) | ||||||||
Snap-on, Inc. | 5,763 | 910,409 | (893 | ) | ||||||||
Sonoco Products Co. | 100,306 | 4,377,602 | 603,594 | |||||||||
Southwest Airlines Co. | 43,768 | 1,877,935 | (161,791 | ) | ||||||||
Spirit AeroSystems Holdings, Inc. | 158,729 | 7,482,496 | (657,149 | ) | ||||||||
SPX Corp. | 64,943 | 591,862 | 372,542 | |||||||||
SPX FLOW, Inc. | 24,927 | 472,783 | 177,064 | |||||||||
Stanley Black & Decker, Inc. | 20,285 | 2,240,178 | 15,920 | |||||||||
Staples, Inc. | 156,430 | 1,437,899 | (89,472 | ) | ||||||||
Starbucks Corp. | 21,496 | 1,277,123 | (49,272 | ) | ||||||||
Steel Dynamics, Inc. | 38,535 | 766,726 | 177,381 | |||||||||
SunTrust Banks, Inc. | 23,967 | 936,856 | 47,708 | |||||||||
SUPERVALU, Inc. | 629,829 | 3,374,784 | (401,991 | ) | ||||||||
Symantec Corp. | 80,757 | 1,499,660 | 159,089 | |||||||||
Synaptics, Inc. | 38,050 | 2,680,650 | (635,462 | ) | ||||||||
Synchrony Financial | 128,330 | 3,721,403 | (477,221 | ) | ||||||||
SYNNEX Corp. | 40,854 | 3,599,114 | 274,662 | |||||||||
Synopsys, Inc. | 49,304 | 2,284,632 | 381,729 | |||||||||
Sysco Corp. | 54,152 | 2,401,916 | 345,757 | |||||||||
T Rowe Price Group, Inc. | 14,714 | 1,042,198 | 31,483 | |||||||||
Tableau Software, Inc. | 48,965 | 2,099,656 | 295,711 | |||||||||
Target Corp. | 45,262 | 3,266,358 | (106,165 | ) | ||||||||
Tech Data Corp. | 78,482 | 5,420,223 | 218,709 | |||||||||
Teekay Corp. | 193,410 | 1,058,603 | 320,410 | |||||||||
Teledyne Technologies, Inc. | 9,040 | 733,202 | 162,210 | |||||||||
Telephone & Data Systems, Inc. | 79,914 | 2,001,063 | 369,186 | |||||||||
Teradata Corp. | 94,979 | 2,538,480 | (157,356 | ) | ||||||||
Teradyne, Inc. | 133,063 | 2,697,777 | (77,767 | ) | ||||||||
Tesoro Corp. | 61,510 | 5,310,695 | (702,366 | ) | ||||||||
Texas Instruments, Inc. | 34,771 | 1,927,948 | 250,455 | |||||||||
Textron, Inc. | 47,629 | 1,668,636 | 72,680 | |||||||||
Thomson Reuters Corp. | 12,983 | 489,121 | 35,652 | |||||||||
Thor Industries, Inc. | 47,752 | 2,661,383 | 430,082 | |||||||||
Time Warner, Inc. | 8,839 | 587,999 | 62,021 | |||||||||
Timken Co. (The) | 57,822 | 1,816,594 | (43,771 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
TJX Cos., Inc. (The) | 44,963 | $ | 3,305,668 | $ | 166,825 | |||||||
Toll Brothers, Inc. | 33,629 | 922,060 | (17,104 | ) | ||||||||
Toro Co. (The) | 6,293 | 507,097 | 47,946 | |||||||||
Total System Services, Inc. | 54,752 | 2,758,894 | 148,985 | |||||||||
Travelers Cos., Inc. (The) | 29,616 | 3,338,699 | 186,790 | |||||||||
Trinity Industries, Inc. | 106,495 | 1,979,847 | (2,235 | ) | ||||||||
TripAdvisor, Inc. | 12,666 | 828,398 | (13,974 | ) | ||||||||
Triumph Group, Inc. | 14,073 | 527,153 | (27,562 | ) | ||||||||
Tupperware Brands Corp. | 9,559 | 531,540 | 6,440 | |||||||||
Tyson Foods, Inc. | 136,248 | 8,227,547 | 872,457 | |||||||||
United Continental Holdings, Inc. | 159,839 | 7,140,759 | (580,966 | ) | ||||||||
United Natural Foods, Inc. | 49,413 | 1,952,191 | 360,337 | |||||||||
United Technologies Corp. | 21,642 | 2,111,761 | 107,626 | |||||||||
United Therapeutics Corp. | 77,290 | 10,138,946 | (1,952,390 | ) | ||||||||
UnitedHealth Group, Inc. | 26,188 | 3,062,164 | 635,581 | |||||||||
Universal Health Services, Inc. | 8,888 | 1,009,663 | 182,217 | |||||||||
Unum Group | 59,893 | 1,934,763 | (30,765 | ) | ||||||||
Urban Outfitters, Inc. | 182,580 | 4,846,247 | 174,703 | |||||||||
US Bancorp. | 17,696 | 693,679 | 20,000 | |||||||||
Valero Energy Corp. | 104,039 | 6,699,536 | (1,393,547 | ) | ||||||||
Validus Holdings Ltd. | 49,111 | 2,224,110 | 162,194 | |||||||||
Vantiv, Inc. | 36,438 | 1,831,435 | 230,956 | |||||||||
Varian Medical Systems, Inc. | 8,809 | 691,259 | 33,105 | |||||||||
VCA, Inc. | 10,609 | 535,989 | 181,285 | |||||||||
Vectren Corp. | 28,667 | 1,249,292 | 260,599 | |||||||||
VeriFone Systems, Inc. | 28,137 | 558,100 | (36,440 | ) | ||||||||
VeriSign, Inc. | 16,652 | 1,339,838 | 99,894 | |||||||||
Verizon Communications, Inc. | 67,789 | 3,298,467 | 486,871 | |||||||||
Viacom, Inc. | 54,559 | 2,119,184 | 143,378 | |||||||||
Viavi Solutions, Inc. | 263,303 | 1,744,788 | 911 | |||||||||
Vishay Intertechnology, Inc. | 154,631 | 1,843,990 | 71,889 | |||||||||
VMware, Inc. | 25,786 | 1,441,337 | 34,138 | |||||||||
Voya Financial, Inc. | 28,176 | 885,263 | (187,625 | ) | ||||||||
VWR Corp. | 69,497 | 1,977,549 | 30,915 | |||||||||
Waddell & Reed Financial, Inc. | 125,212 | 2,713,015 | (556,865 | ) | ||||||||
Wal-Mart Stores, Inc. | 91,935 | 5,743,989 | 969,105 | |||||||||
Waste Management, Inc. | 54,739 | 3,148,807 | 478,747 | |||||||||
Waters Corp. | 10,114 | 1,313,037 | 109,497 | |||||||||
Watsco, Inc. | 26,507 | 3,337,354 | 391,916 | |||||||||
WellCare Health Plans, Inc. | 38,746 | 3,386,502 | 770,169 | |||||||||
Wells Fargo & Co. | 23,626 | 1,143,867 | (25,648 | ) | ||||||||
Werner Enterprises, Inc. | 66,202 | 1,595,094 | (74,434 | ) | ||||||||
WESCO International, Inc. | 17,099 | 685,518 | 194,909 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
88
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Western Digital Corp. | 51,359 | $ | 2,853,328 | $ | (426,101 | ) | ||||||
Western Refining, Inc. | 83,940 | 2,529,018 | (797,336 | ) | ||||||||
Western Union Co. (The) | 47,795 | 842,723 | 73,985 | |||||||||
Westlake Chemical Corp. | 42,709 | 2,109,372 | (276,302 | ) | ||||||||
Whirlpool Corp. | 6,236 | 916,879 | 122,288 | |||||||||
World Fuel Services Corp. | 73,529 | 2,953,695 | 538,197 | |||||||||
Worthington Industries, Inc. | 16,571 | 513,954 | 186,999 | |||||||||
WR Berkley Corp. | 10,643 | 528,912 | 108,817 | |||||||||
Wyndham Worldwide Corp. | 14,211 | 984,213 | 28,037 | |||||||||
Xcel Energy, Inc. | 19,578 | 832,874 | 43,829 | |||||||||
Xerox Corp. | 496,956 | 4,824,510 | (108,397 | ) | ||||||||
Xilinx, Inc. | 44,890 | 2,118,518 | (47,742 | ) | ||||||||
Yelp, Inc. | 23,162 | 422,739 | 280,459 | |||||||||
Yum! Brands, Inc. | 39,451 | 2,808,930 | 462,347 | |||||||||
Zynga, Inc. | 419,032 | 1,050,493 | (7,103 | ) | ||||||||
|
| |||||||||||
42,779,932 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 43,598,012 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
lululemon athletica, Inc. | (17,966 | ) | (1,003,715 | ) | (323,254 | ) | ||||||
Waste Connections, Inc. | (58,862 | ) | (4,056,831 | ) | (184,176 | ) | ||||||
|
| |||||||||||
(507,430 | ) | |||||||||||
|
| |||||||||||
Ireland | ||||||||||||
Alkermes plc | (15,898 | ) | (667,047 | ) | (20,065 | ) | ||||||
Allegion plc | (40,553 | ) | (2,551,677 | ) | (263,918 | ) | ||||||
Perrigo Co. plc | (48,363 | ) | (6,011,599 | ) | 1,626,526 | |||||||
|
| |||||||||||
1,342,543 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Chicago Bridge & Iron Co. NV | (75,081 | ) | (2,731,263 | ) | 131,208 | |||||||
Core Laboratories NV | (34,921 | ) | (3,683,206 | ) | (643,157 | ) | ||||||
Frank’s International NV | (78,150 | ) | (1,178,009 | ) | 36,238 | |||||||
QIAGEN NV | (69,195 | ) | (1,651,264 | ) | 142,121 | |||||||
Sensata Technologies Holding NV | (77,089 | ) | (3,442,795 | ) | 753,160 | |||||||
|
| |||||||||||
419,570 | ||||||||||||
|
| |||||||||||
Norway | ||||||||||||
Golar LNG Ltd. | (65,600 | ) | (998,605 | ) | (18,195 | ) | ||||||
|
| |||||||||||
Singapore | ||||||||||||
Broadcom Ltd. | (21,412 | ) | (3,311,701 | ) | (15,724 | ) | ||||||
|
| |||||||||||
Switzerland | ||||||||||||
Garmin Ltd. | (21,415 | ) | (912,985 | ) | 4,561 | |||||||
Weatherford International plc | (409,877 | ) | (2,789,420 | ) | 514,603 | |||||||
|
| |||||||||||
519,164 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United Kingdom | ||||||||||||
Aon plc | (32,007 | ) | $ | (2,875,304 | ) | $ | (620,821 | ) | ||||
Delphi Automotive plc | (44,731 | ) | (2,980,240 | ) | 180,079 | |||||||
Liberty Global plc | (104,314 | ) | (3,512,315 | ) | 480,950 | |||||||
Liberty Global plc LiLAC | (13,014 | ) | (438,192 | ) | 18,360 | |||||||
Pentair plc | (65,952 | ) | (3,130,703 | ) | (713,639 | ) | ||||||
STERIS plc | (39,527 | ) | (2,878,232 | ) | 160,751 | |||||||
Willis Towers Watson plc | (8,734 | ) | (1,082,696 | ) | (3,028 | ) | ||||||
|
| |||||||||||
(497,348 | ) | |||||||||||
|
| |||||||||||
United States | ||||||||||||
3D Systems Corp. | (247,324 | ) | (2,754,922 | ) | (630,944 | ) | ||||||
AbbVie, Inc. | (30,867 | ) | (1,841,241 | ) | (69,735 | ) | ||||||
Acadia Healthcare Co., Inc. | (154,598 | ) | (9,208,132 | ) | 643,402 | |||||||
ACI Worldwide, Inc. | (25,914 | ) | (546,008 | ) | 40,426 | |||||||
Acuity Brands, Inc. | (15,063 | ) | (3,633,753 | ) | (101,268 | ) | ||||||
Acxiom Corp. | (43,564 | ) | (952,745 | ) | (5,228 | ) | ||||||
Advance Auto Parts, Inc. | (17,702 | ) | (2,710,839 | ) | (150,335 | ) | ||||||
Advanced Micro Devices, Inc. | (385,398 | ) | (828,704 | ) | (1,152,242 | ) | ||||||
AECOM | (93,898 | ) | (2,610,757 | ) | (372,383 | ) | ||||||
Agios Pharmaceuticals, Inc. | (31,603 | ) | (1,470,374 | ) | 146,366 | |||||||
Air Lease Corp. | (114,138 | ) | (3,208,696 | ) | 152,080 | |||||||
Air Products & Chemicals, Inc. | (5,534 | ) | (699,141 | ) | (86,909 | ) | ||||||
Akorn, Inc. | (62,939 | ) | (1,537,969 | ) | (254,849 | ) | ||||||
Albemarle Corp. | (53,750 | ) | (2,757,754 | ) | (1,505,159 | ) | ||||||
Alcoa, Inc. | (256,558 | ) | (2,108,794 | ) | (269,498 | ) | ||||||
Alexion Pharmaceuticals, Inc. | (38,885 | ) | (6,292,535 | ) | 1,752,322 | |||||||
Align Technology, Inc. | �� | (7,978 | ) | (516,735 | ) | (125,893 | ) | |||||
Allegheny Technologies, Inc. | (167,868 | ) | (1,783,854 | ) | (356,463 | ) | ||||||
Allergan plc | (11,316 | ) | (2,568,281 | ) | (46,733 | ) | ||||||
Alliance Data Systems Corp. | (9,706 | ) | (2,556,589 | ) | 654,989 | |||||||
Alliant Energy Corp. | (76,286 | ) | (2,384,555 | ) | (644,000 | ) | ||||||
Ally Financial, Inc. | (217,401 | ) | (3,744,002 | ) | 32,967 | |||||||
Alnylam Pharmaceuticals, Inc. | (67,392 | ) | (4,251,313 | ) | 511,731 | |||||||
American Airlines Group, Inc. | (41,567 | ) | (1,302,886 | ) | 126,124 | |||||||
AMETEK, Inc. | (68,413 | ) | (3,495,335 | ) | 332,602 | |||||||
Amphenol Corp. | (51,393 | ) | (2,658,682 | ) | (287,678 | ) | ||||||
Amsurg Corp. | (22,549 | ) | (1,759,076 | ) | 10,627 | |||||||
AmTrust Financial Services, Inc. | (41,557 | ) | (1,021,411 | ) | 3,264 | |||||||
Anadarko Petroleum Corp. | (42,152 | ) | (1,758,319 | ) | (486,275 | ) | ||||||
Apache Corp. | (82,188 | ) | (3,543,683 | ) | (1,031,723 | ) | ||||||
Apple, Inc. | (7,532 | ) | (733,441 | ) | 13,381 | |||||||
AptarGroup, Inc. | (14,147 | ) | (1,076,126 | ) | (43,326 | ) | ||||||
Aqua America, Inc. | (73,660 | ) | (2,196,499 | ) | (430,217 | ) | ||||||
Arista Networks, Inc. | (42,260 | ) | (3,055,369 | ) | 334,671 | |||||||
ARRIS International plc | (284,203 | ) | (7,329,336 | ) | 1,372,441 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
89
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Arthur J Gallagher & Co. | (22,727 | ) | $ | (962,632 | ) | $ | (119,173 | ) | ||||
Artisan Partners Asset Management, Inc. | (67,410 | ) | (2,126,988 | ) | 261,079 | |||||||
Ascena Retail Group, Inc. | (208,421 | ) | (1,653,351 | ) | 196,488 | |||||||
Ashland, Inc. | (15,911 | ) | (1,593,937 | ) | (232,168 | ) | ||||||
Associated Banc-Corp. | (30,316 | ) | (519,830 | ) | (90 | ) | ||||||
athenahealth, Inc. | (4,559 | ) | (693,977 | ) | 64,790 | |||||||
Atmos Energy Corp. | (10,727 | ) | (668,673 | ) | (203,647 | ) | ||||||
Autodesk, Inc. | (33,014 | ) | (1,746,766 | ) | (40,612 | ) | ||||||
AutoNation, Inc. | (63,348 | ) | (3,055,933 | ) | 79,844 | |||||||
Avangrid, Inc. | (14,604 | ) | (600,061 | ) | (72,600 | ) | ||||||
Avis Budget Group, Inc. | (213,886 | ) | (6,534,661 | ) | (358,885 | ) | ||||||
Axalta Coating Systems Ltd. | (79,812 | ) | (2,068,358 | ) | (49,054 | ) | ||||||
B/E Aerospace, Inc. | (26,097 | ) | (1,122,931 | ) | (82,098 | ) | ||||||
Baker Hughes, Inc. | (62,764 | ) | (2,843,092 | ) | 10,553 | |||||||
Ball Corp. | (152,559 | ) | (10,681,121 | ) | (347,369 | ) | ||||||
Bank of Hawaii Corp. | (25,687 | ) | (1,647,449 | ) | (119,817 | ) | ||||||
Bank of New York Mellon Corp. (The) | (15,874 | ) | (641,848 | ) | 25,143 | |||||||
Bank of the Ozarks, Inc. | (65,472 | ) | (2,679,128 | ) | 222,619 | |||||||
BankUnited, Inc. | (67,783 | ) | (2,164,639 | ) | 82,345 | |||||||
BB&T Corp. | (33,141 | ) | (1,003,775 | ) | (176,376 | ) | ||||||
BioMarin Pharmaceutical, Inc. | (39,162 | ) | (3,195,290 | ) | 148,487 | |||||||
Bio-Techne Corp. | (44,558 | ) | (4,135,478 | ) | (889,328 | ) | ||||||
Black Hills Corp. | (53,423 | ) | (2,742,922 | ) | (624,864 | ) | ||||||
Black Knight Financial Services, Inc. | (57,206 | ) | (1,764,754 | ) | (386,192 | ) | ||||||
BlackRock, Inc. | (4,742 | ) | (1,391,320 | ) | (232,957 | ) | ||||||
BorgWarner, Inc. | (179,338 | ) | (6,737,669 | ) | 1,443,611 | |||||||
Boston Scientific Corp. | (75,765 | ) | (1,299,641 | ) | (470,987 | ) | ||||||
Bristol-Myers Squibb Co. | (55,883 | ) | (3,886,799 | ) | (223,396 | ) | ||||||
Brookdale Senior Living, Inc. | (57,120 | ) | (1,040,726 | ) | 158,794 | |||||||
Brown & Brown, Inc. | (50,512 | ) | (1,589,736 | ) | (302,949 | ) | ||||||
Brown-Forman Corp. | (34,183 | ) | (3,409,520 | ) | (576 | ) | ||||||
Buffalo Wild Wings, Inc. | (5,888 | ) | (940,584 | ) | 122,447 | |||||||
Cabela’s, Inc. | (70,050 | ) | (3,126,679 | ) | (380,024 | ) | ||||||
Cable One, Inc. | (2,251 | ) | (951,612 | ) | (199,572 | ) | ||||||
Cabot Oil & Gas Corp. | (97,471 | ) | (1,733,412 | ) | (775,492 | ) | ||||||
CalAtlantic Group, Inc. | (89,916 | ) | (2,930,675 | ) | (370,141 | ) | ||||||
Calpine Corp. | (282,861 | ) | (4,056,523 | ) | (115,677 | ) | ||||||
CarMax, Inc. | (86,441 | ) | (4,429,059 | ) | 190,856 | |||||||
Casey’s General Stores, Inc. | (4,558 | ) | (541,065 | ) | (58,357 | ) | ||||||
Catalent, Inc. | (90,520 | ) | (2,144,049 | ) | 62,994 | |||||||
Caterpillar, Inc. | (23,421 | ) | (1,620,882 | ) | (154,664 | ) | ||||||
Cathay General Bancorp | (28,638 | ) | (818,765 | ) | 11,174 | |||||||
CBOE Holdings, Inc. | (29,574 | ) | (1,904,187 | ) | (66,033 | ) | ||||||
CBS Corp. | (11,625 | ) | (551,381 | ) | (81,484 | ) | ||||||
CDK Global, Inc. | (29,173 | ) | (1,355,814 | ) | (262,996 | ) | ||||||
CEB, Inc. | (8,617 | ) | (536,989 | ) | 5,493 | |||||||
Celgene Corp. | (13,146 | ) | (1,319,559 | ) | 22,969 | |||||||
CF Industries Holdings, Inc. | (77,546 | ) | (2,634,123 | ) | 765,265 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Charles Schwab Corp. (The) | (120,268 | ) | $ | (3,823,282 | ) | $ | 779,298 | |||||
Chemours Co. (The) | (62,765 | ) | (487,445 | ) | (29,739 | ) | ||||||
Cheniere Energy, Inc. | (100,926 | ) | (3,525,559 | ) | (264,212 | ) | ||||||
Chesapeake Energy Corp. | (232,943 | ) | (965,243 | ) | (31,753 | ) | ||||||
Chevron Corp. | (22,337 | ) | (1,946,887 | ) | (394,701 | ) | ||||||
Chipotle Mexican Grill, Inc. | (9,189 | ) | (4,298,426 | ) | 597,465 | |||||||
Ciena Corp. | (148,712 | ) | (2,797,750 | ) | 9,400 | |||||||
Cimarex Energy Co. | (35,313 | ) | (3,433,420 | ) | (780,127 | ) | ||||||
Cincinnati Financial Corp. | (10,398 | ) | (628,227 | ) | (150,479 | ) | ||||||
Clean Harbors, Inc. | (21,323 | ) | (994,461 | ) | (116,681 | ) | ||||||
CME Group, Inc. | (5,699 | ) | (530,721 | ) | (24,361 | ) | ||||||
CMS Energy Corp. | (80,030 | ) | (2,899,829 | ) | (770,346 | ) | ||||||
CNO Financial Group, Inc. | (76,783 | ) | (1,193,694 | ) | (146,937 | ) | ||||||
Cobalt International Energy, Inc. | (325,080 | ) | (887,749 | ) | 452,142 | |||||||
Cognex Corp. | (73,642 | ) | (2,550,012 | ) | (623,958 | ) | ||||||
Colfax Corp. | (48,074 | ) | (1,055,669 | ) | (216,369 | ) | ||||||
Comerica, Inc. | (20,690 | ) | (884,758 | ) | 33,778 | |||||||
CommScope Holding Co., Inc. | (202,222 | ) | (4,706,372 | ) | (1,568,577 | ) | ||||||
CommVault Systems, Inc. | (15,547 | ) | (530,579 | ) | (140,896 | ) | ||||||
Compass Minerals International, Inc. | (43,943 | ) | (3,187,369 | ) | (72,762 | ) | ||||||
Concho Resources, Inc. | (35,436 | ) | (3,657,412 | ) | (569,040 | ) | ||||||
Cooper Cos., Inc. (The) | (13,834 | ) | (1,850,587 | ) | (522,912 | ) | ||||||
Copart, Inc. | (44,495 | ) | (1,905,937 | ) | (274,763 | ) | ||||||
CoStar Group, Inc. | (12,147 | ) | (2,334,040 | ) | (322,023 | ) | ||||||
Costco Wholesale Corp. | (21,920 | ) | (3,349,849 | ) | (92,468 | ) | ||||||
Covanta Holding Corp. | (345,103 | ) | (5,328,170 | ) | (348,775 | ) | ||||||
CST Brands, Inc. | (60,968 | ) | (2,406,520 | ) | (219,981 | ) | ||||||
Cullen/Frost Bankers, Inc. | (32,074 | ) | (1,647,550 | ) | (396,526 | ) | ||||||
Cypress Semiconductor Corp. | (424,961 | ) | (3,758,607 | ) | (724,732 | ) | ||||||
DaVita HealthCare Partners, Inc. | (24,116 | ) | (1,634,319 | ) | (230,330 | ) | ||||||
Deere & Co. | (27,039 | ) | (2,059,455 | ) | (131,786 | ) | ||||||
Devon Energy Corp. | (38,355 | ) | (1,147,113 | ) | (243,256 | ) | ||||||
DexCom, Inc. | (85,761 | ) | (6,123,453 | ) | (679,967 | ) | ||||||
Diebold, Inc. | (139,450 | ) | (3,798,190 | ) | 335,647 | |||||||
Discovery Communications, Inc. | (57,365 | ) | (1,519,025 | ) | 71,706 | |||||||
DISH Network Corp. | (33,134 | ) | (1,709,127 | ) | (27,094 | ) | ||||||
Dollar Tree, Inc. | (83,127 | ) | (6,406,820 | ) | (1,427,068 | ) | ||||||
Dominion Resources, Inc. | (144,703 | ) | (9,786,584 | ) | (1,490,121 | ) | ||||||
Donaldson Co., Inc. | (55,846 | ) | (1,546,258 | ) | (372,611 | ) | ||||||
Dover Corp. | (24,095 | ) | (1,519,934 | ) | (150,332 | ) | ||||||
DreamWorks Animation SKG, Inc. | (41,430 | ) | (972,273 | ) | (720,971 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
90
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Duke Energy Corp. | (11,966 | ) | $ | (843,603 | ) | $ | (182,960 | ) | ||||
Dunkin’ Brands Group, Inc. | (54,417 | ) | (2,273,278 | ) | (100,391 | ) | ||||||
E*TRADE Financial Corp. | (28,612 | ) | (664,059 | ) | (8,037 | ) | ||||||
Eagle Materials, Inc. | (21,134 | ) | (1,235,413 | ) | (395,075 | ) | ||||||
Eastman Chemical Co. | (19,956 | ) | (1,270,404 | ) | (84,608 | ) | ||||||
Eaton Vance Corp. | (17,616 | ) | (501,906 | ) | (120,644 | ) | ||||||
Ecolab, Inc. | (18,278 | ) | (2,023,129 | ) | (144,642 | ) | ||||||
Envision Healthcare Holdings, Inc. | (165,384 | ) | (3,664,509 | ) | (531,283 | ) | ||||||
EOG Resources, Inc. | (57,196 | ) | (4,168,388 | ) | (602,903 | ) | ||||||
EQT Corp. | (11,859 | ) | (605,319 | ) | (312,923 | ) | ||||||
Eversource Energy | (58,875 | ) | (3,020,219 | ) | (506,393 | ) | ||||||
Exxon Mobil Corp. | (21,917 | ) | (1,708,649 | ) | (345,850 | ) | ||||||
Fastenal Co. | (56,156 | ) | (2,506,231 | ) | 13,466 | |||||||
Federated Investors, Inc. | (20,500 | ) | (475,616 | ) | (114,374 | ) | ||||||
Fidelity National Information Services, Inc. | (31,053 | ) | (1,926,513 | ) | (361,472 | ) | ||||||
FireEye, Inc. | (108,092 | ) | (1,712,722 | ) | (67,553 | ) | ||||||
First Data Corp. | (450,220 | ) | (5,001,923 | ) | 17,987 | |||||||
First Horizon National Corp. | (120,117 | ) | (1,581,801 | ) | (73,411 | ) | ||||||
First Republic Bank | (42,510 | ) | (2,613,480 | ) | (361,795 | ) | ||||||
FleetCor Technologies, Inc. | (13,434 | ) | (1,918,241 | ) | (4,568 | ) | ||||||
Flowserve Corp. | (19,680 | ) | (764,140 | ) | (124,806 | ) | ||||||
FMC Corp. | (88,609 | ) | (3,313,645 | ) | (789,837 | ) | ||||||
FNB Corp. | (41,866 | ) | (532,573 | ) | 7,574 | |||||||
FNF Group | (63,964 | ) | (2,080,934 | ) | (317,716 | ) | ||||||
Fortune Brands Home & Security, Inc. | (14,891 | ) | (784,054 | ) | (79,178 | ) | ||||||
Freeport-McMoRan, Inc. | (208,374 | ) | (2,239,995 | ) | (81,291 | ) | ||||||
Frontier Communications Corp. | (470,320 | ) | (1,974,306 | ) | (349,075 | ) | ||||||
GATX Corp. | (68,896 | ) | (2,846,541 | ) | (182,816 | ) | ||||||
General Electric Co. | (181,533 | ) | (5,516,447 | ) | (198,212 | ) | ||||||
Genesee & Wyoming, Inc. | (67,911 | ) | (3,353,191 | ) | (650,162 | ) | ||||||
Gentex Corp. | (142,315 | ) | (2,110,770 | ) | (87,996 | ) | ||||||
Genworth Financial, Inc. | (627,653 | ) | (1,774,815 | ) | 155,470 | |||||||
Global Payments, Inc. | (7,882 | ) | (479,324 | ) | (83,293 | ) | ||||||
Goodyear Tire & Rubber Co. (The) | (30,940 | ) | (825,343 | ) | 31,423 | |||||||
Graco, Inc. | (11,971 | ) | (790,447 | ) | (155,142 | ) | ||||||
Granite Construction, Inc. | (38,036 | ) | (1,623,933 | ) | (108,607 | ) | ||||||
Greif, Inc. | (13,545 | ) | (342,180 | ) | (162,642 | ) | ||||||
H&R Block, Inc. | (28,944 | ) | (590,559 | ) | (75,153 | ) | ||||||
Hain Celestial Group, Inc. (The) | (27,478 | ) | (1,167,439 | ) | (199,591 | ) | ||||||
Halliburton Co. | (112,209 | ) | (3,949,806 | ) | (1,132,140 | ) | ||||||
Halyard Health, Inc. | (45,617 | ) | (1,353,364 | ) | (130,101 | ) | ||||||
Hancock Holding Co. | (41,242 | ) | (1,050,495 | ) | (26,334 | ) | ||||||
Hanesbrands, Inc. | (71,015 | ) | (1,995,345 | ) | 210,738 | |||||||
Harley-Davidson, Inc. | (97,924 | ) | (4,233,116 | ) | (202,841 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Harman International Industries, Inc. | (34,207 | ) | $ | (2,969,160 | ) | $ | 512,413 | |||||
Harris Corp. | (47,334 | ) | (3,873,899 | ) | (75,650 | ) | ||||||
Helmerich & Payne, Inc. | (34,932 | ) | (1,870,784 | ) | (474,201 | ) | ||||||
Henry Schein, Inc. | (12,064 | ) | (2,061,303 | ) | (71,612 | ) | ||||||
Hertz Global Holdings, Inc. | (178,477 | ) | (1,930,204 | ) | (45,537 | ) | ||||||
Hess Corp. | (19,646 | ) | (973,342 | ) | (207,382 | ) | ||||||
Hexcel Corp. | (58,206 | ) | (2,676,783 | ) | 253,086 | |||||||
Hill-Rom Holdings, Inc. | (16,557 | ) | (808,129 | ) | (27,171 | ) | ||||||
Hilton Worldwide Holdings, Inc. | (67,921 | ) | (1,433,615 | ) | (96,645 | ) | ||||||
Howard Hughes Corp. (The) | (36,307 | ) | (3,885,689 | ) | (264,928 | ) | ||||||
Huntington Bancshares, Inc. | (64,590 | ) | (582,337 | ) | 4,902 | |||||||
IDEX Corp. | (8,343 | ) | (573,262 | ) | (111,699 | ) | ||||||
IDEXX Laboratories, Inc. | (42,979 | ) | (2,974,136 | ) | (1,016,894 | ) | ||||||
Illumina, Inc. | (58,764 | ) | (9,856,946 | ) | 1,607,656 | |||||||
Incyte Corp. | (38,831 | ) | (2,723,827 | ) | (381,876 | ) | ||||||
Intercontinental Exchange, Inc. | (9,094 | ) | (2,343,362 | ) | 15,662 | |||||||
International Flavors & Fragrances, Inc. | (17,473 | ) | (1,990,287 | ) | (212,534 | ) | ||||||
IPG Photonics Corp. | (7,238 | ) | (624,887 | ) | 45,847 | |||||||
Janus Capital Group, Inc. | (37,310 | ) | (525,182 | ) | 5,827 | |||||||
JB Hunt Transport Services, Inc. | (11,554 | ) | (852,088 | ) | (82,977 | ) | ||||||
JC Penney Co., Inc. | (377,407 | ) | (2,942,489 | ) | (408,886 | ) | ||||||
Johnson Controls, Inc. | (103,896 | ) | (4,451,341 | ) | (147,096 | ) | ||||||
Juno Therapeutics, Inc. | (21,523 | ) | (876,361 | ) | 49,016 | |||||||
Kansas City Southern | (66,610 | ) | (4,754,653 | ) | (1,246,241 | ) | ||||||
KAR Auction Services, Inc. | (25,996 | ) | (976,765 | ) | (108,308 | ) | ||||||
Kirby Corp. | (40,345 | ) | (2,553,132 | ) | 36,008 | |||||||
KLX, Inc. | (77,632 | ) | (2,502,119 | ) | 95,527 | |||||||
Knowles Corp. | (265,178 | ) | (3,353,209 | ) | (274,426 | ) | ||||||
Kosmos Energy Ltd. | (375,586 | ) | (1,926,423 | ) | (120,521 | ) | ||||||
Kroger Co. (The) | (31,216 | ) | (1,115,769 | ) | (32,668 | ) | ||||||
Laredo Petroleum, Inc. | (109,905 | ) | (1,235,948 | ) | 84,143 | |||||||
LendingClub Corp. | (231,114 | ) | (1,236,370 | ) | 242,580 | |||||||
Lennar Corp. | (72,670 | ) | (3,338,044 | ) | (12,043 | ) | ||||||
Leucadia National Corp. | (103,394 | ) | (1,727,522 | ) | (64,296 | ) | ||||||
Level 3 Communications, Inc. | (29,480 | ) | (1,454,385 | ) | (63,540 | ) | ||||||
Lexmark International, Inc. | (16,531 | ) | (471,012 | ) | (153,033 | ) | ||||||
Liberty Broadband Corp. | (73,264 | ) | (4,038,863 | ) | (356,977 | ) | ||||||
Lions Gate Entertainment Corp. | (176,239 | ) | (4,198,321 | ) | 633,006 | |||||||
Live Nation Entertainment, Inc. | (134,935 | ) | (3,126,933 | ) | (44,039 | ) | ||||||
LKQ Corp. | (18,506 | ) | (450,804 | ) | (135,836 | ) | ||||||
Lockheed Martin Corp. | (8,716 | ) | (2,085,141 | ) | (77,909 | ) | ||||||
Loews Corp. | (145,311 | ) | (5,338,911 | ) | (631,918 | ) | ||||||
Louisiana-Pacific Corp. | (217,365 | ) | (3,621,143 | ) | (150,140 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
91
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Lumentum Holdings, Inc. | (39,181 | ) | $ | (937,149 | ) | $ | (11,031 | ) | ||||
M&T Bank Corp. | (16,306 | ) | (1,988,032 | ) | 60,174 | |||||||
Macquarie Infrastructure Corp. | (77,452 | ) | (5,254,662 | ) | (480,659 | ) | ||||||
Madison Square Garden Co. (The) | (9,771 | ) | (1,631,542 | ) | (54,053 | ) | ||||||
Manitowoc Foodservice, Inc. | (99,474 | ) | (1,029,464 | ) | (723,268 | ) | ||||||
Markel Corp. | (1,128 | ) | (1,028,353 | ) | (46,383 | ) | ||||||
MarketAxess Holdings, Inc. | (20,319 | ) | (2,412,897 | ) | (541,485 | ) | ||||||
Marsh & McLennan Cos., Inc. | (44,353 | ) | (2,484,513 | ) | (551,894 | ) | ||||||
Martin Marietta Materials, Inc. | (14,284 | ) | (2,038,898 | ) | (703,630 | ) | ||||||
MasterCard, Inc. | (37,475 | ) | (3,579,968 | ) | 279,919 | |||||||
Mattel, Inc. | (101,508 | ) | (2,802,512 | ) | (373,673 | ) | ||||||
MAXIMUS, Inc. | (50,534 | ) | (2,642,821 | ) | (155,247 | ) | ||||||
MDC Holdings, Inc. | (22,919 | ) | (536,472 | ) | (21,376 | ) | ||||||
MDU Resources Group, Inc. | (272,745 | ) | (4,814,002 | ) | (1,731,878 | ) | ||||||
MEDNAX, Inc. | (45,968 | ) | (3,206,984 | ) | (122,478 | ) | ||||||
Mercury General Corp. | (20,242 | ) | (985,515 | ) | (90,550 | ) | ||||||
Mettler-Toledo International, Inc. | (1,659 | ) | (619,114 | ) | 13,712 | |||||||
MGM Resorts International | (33,254 | ) | (741,456 | ) | (11,082 | ) | ||||||
Microchip Technology, Inc. | (41,079 | ) | (1,739,254 | ) | (345,916 | ) | ||||||
Microsemi Corp. | (73,249 | ) | (2,407,422 | ) | 13,645 | |||||||
Middleby Corp. (The) | (32,535 | ) | (3,325,719 | ) | (423,939 | ) | ||||||
Mohawk Industries, Inc. | (4,682 | ) | (824,678 | ) | (63,778 | ) | ||||||
Molson Coors Brewing Co. | (42,107 | ) | (3,921,890 | ) | (336,391 | ) | ||||||
Monster Beverage Corp. | (35,066 | ) | (5,287,581 | ) | (347,876 | ) | ||||||
Moody’s Corp. | (28,734 | ) | (2,693,506 | ) | 842 | |||||||
Mosaic Co. (The) | (58,412 | ) | (1,532,478 | ) | 3,252 | |||||||
Murphy Oil Corp. | (22,506 | ) | (554,663 | ) | (159,903 | ) | ||||||
Nabors Industries Ltd. | (175,744 | ) | (1,679,650 | ) | (86,577 | ) | ||||||
National Fuel Gas Co. | (74,936 | ) | (3,244,262 | ) | (1,018,097 | ) | ||||||
National Instruments Corp. | (63,889 | ) | (1,758,760 | ) | 8,201 | |||||||
National Oilwell Varco, Inc. | (63,936 | ) | (2,030,084 | ) | (121,363 | ) | ||||||
Navient Corp. | (42,143 | ) | (519,210 | ) | 15,601 | |||||||
Netflix, Inc. | (27,874 | ) | (2,603,835 | ) | 53,921 | |||||||
NetScout Systems, Inc. | (257,999 | ) | (6,195,089 | ) | 454,611 | |||||||
NetSuite, Inc. | (56,183 | ) | (4,384,600 | ) | 294,478 | |||||||
Newell Brands, Inc. | (60,413 | ) | (2,610,380 | ) | (323,879 | ) | ||||||
Newfield Exploration Co. | (74,784 | ) | (2,060,793 | ) | (1,243,164 | ) | ||||||
NewMarket Corp. | (2,439 | ) | (847,638 | ) | (163,035 | ) | ||||||
NextEra Energy, Inc. | (8,185 | ) | (857,132 | ) | (210,192 | ) | ||||||
Nielsen Holdings plc | (84,254 | ) | (3,881,535 | ) | (497,145 | ) | ||||||
Noble Energy, Inc. | (64,542 | ) | (2,012,882 | ) | (302,240 | ) | ||||||
Nordson Corp. | (20,095 | ) | (1,241,660 | ) | (438,483 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Northern Trust Corp. | (23,472 | ) | $ | (1,466,562 | ) | $ | (88,693 | ) | ||||
NorthStar Asset Management Group, Inc. | (190,860 | ) | (2,142,580 | ) | 193,899 | |||||||
Norwegian Cruise Line Holdings Ltd. | (70,900 | ) | (3,401,832 | ) | 577,176 | |||||||
NOW, Inc. | (74,090 | ) | (1,047,296 | ) | (296,696 | ) | ||||||
NRG Energy, Inc. | (390,302 | ) | (5,100,849 | ) | (749,778 | ) | ||||||
Occidental Petroleum Corp. | (60,393 | ) | (3,933,512 | ) | (629,783 | ) | ||||||
OGE Energy Corp. | (71,670 | ) | (1,889,442 | ) | (457,751 | ) | ||||||
Oil States International, Inc. | (15,665 | ) | (528,960 | ) | 13,895 | |||||||
Old Dominion Freight Line, Inc. | (25,090 | ) | (1,443,767 | ) | (69,411 | ) | ||||||
Olin Corp. | (118,583 | ) | (1,820,223 | ) | (1,125,379 | ) | ||||||
ONE Gas, Inc. | (11,798 | ) | (608,418 | ) | (177,211 | ) | ||||||
ONEOK, Inc. | (69,781 | ) | (1,390,665 | ) | (1,920,444 | ) | ||||||
OPKO Health, Inc. | (67,227 | ) | (608,068 | ) | (19,832 | ) | ||||||
Oshkosh Corp. | (22,688 | ) | (787,390 | ) | (295,054 | ) | ||||||
Owens-Illinois, Inc. | (98,277 | ) | (1,306,492 | ) | (463,477 | ) | ||||||
PACCAR, Inc. | (9,876 | ) | (533,241 | ) | 20,973 | |||||||
PacWest Bancorp | (52,573 | ) | (2,082,259 | ) | (9,095 | ) | ||||||
Palo Alto Networks, Inc. | (54,400 | ) | (8,100,140 | ) | 1,428,524 | |||||||
Pandora Media, Inc. | (518,800 | ) | (5,087,931 | ) | (1,371,129 | ) | ||||||
PAREXEL International Corp. | (24,715 | ) | (1,538,673 | ) | (15,406 | ) | ||||||
Patterson Cos., Inc. | (65,821 | ) | (2,942,904 | ) | (209,263 | ) | ||||||
Patterson-UTI Energy, Inc. | (171,999 | ) | (2,421,391 | ) | (1,245,628 | ) | ||||||
PayPal Holdings, Inc. | (40,229 | ) | (1,386,329 | ) | (82,431 | ) | ||||||
Penske Automotive Group, Inc. | (40,259 | ) | (1,468,306 | ) | 201,758 | |||||||
People’s United Financial, Inc. | (106,732 | ) | (1,621,180 | ) | 56,489 | |||||||
Platform Specialty Products Corp. | (230,309 | ) | (2,084,351 | ) | 39,207 | |||||||
PolyOne Corp. | (25,232 | ) | (725,486 | ) | (163,689 | ) | ||||||
Praxair, Inc. | (20,177 | ) | (2,033,195 | ) | (234,498 | ) | ||||||
Premier, Inc. | (91,980 | ) | (3,063,027 | ) | 55,281 | |||||||
Prestige Brands Holdings, Inc. | (25,838 | ) | (1,358,569 | ) | (72,856 | ) | ||||||
Primerica, Inc. | (14,211 | ) | (670,321 | ) | (143,117 | ) | ||||||
Prosperity Bancshares, Inc. | (25,707 | ) | (1,099,394 | ) | (211,406 | ) | ||||||
PTC, Inc. | (14,557 | ) | (545,794 | ) | (1,258 | ) | ||||||
PulteGroup, Inc. | (65,502 | ) | (1,050,024 | ) | (226,610 | ) | ||||||
Range Resources Corp. | (33,497 | ) | (1,406,475 | ) | (38,586 | ) | ||||||
Regeneron Pharmaceuticals, Inc. | (2,615 | ) | (952,853 | ) | 39,616 | |||||||
RenaissanceRe Holdings Ltd. | (4,817 | ) | (548,278 | ) | (17,431 | ) | ||||||
Restoration Hardware Holdings, Inc. | (84,433 | ) | (2,826,298 | ) | 404,759 | |||||||
Rice Energy, Inc. | (32,565 | ) | (311,843 | ) | (405,890 | ) | ||||||
Rockwell Collins, Inc. | (56,151 | ) | (4,806,206 | ) | 25,510 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
92
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Rollins, Inc. | (29,565 | ) | $ | (817,004 | ) | $ | (48,364 | ) | ||||
Roper Technologies, Inc. | (20,508 | ) | (3,731,577 | ) | 233,733 | |||||||
Royal Caribbean Cruises Ltd. | (7,422 | ) | (663,044 | ) | 164,657 | |||||||
RPC, Inc. | (132,400 | ) | (1,595,237 | ) | (460,936 | ) | ||||||
RPM International, Inc. | (11,381 | ) | (470,328 | ) | (98,153 | ) | ||||||
Ryder System, Inc. | (29,807 | ) | (1,578,983 | ) | (243,417 | ) | ||||||
S&P Global, Inc. | (15,309 | ) | (1,635,606 | ) | (6,437 | ) | ||||||
salesforce.com, Inc. | (18,402 | ) | (1,400,964 | ) | (60,339 | ) | ||||||
Santander Consumer USA Holdings, Inc. | (56,213 | ) | (589,331 | ) | 8,651 | |||||||
SBA Communications Corp. | (67,868 | ) | (6,752,688 | ) | (572,984 | ) | ||||||
Schlumberger Ltd. | (66,087 | ) | (4,691,833 | ) | (534,327 | ) | ||||||
Seagate Technology plc | (23,699 | ) | (679,030 | ) | 101,723 | |||||||
Seattle Genetics, Inc. | (79,244 | ) | (2,660,052 | ) | (542,198 | ) | ||||||
Sempra Energy | (47,910 | ) | (4,831,540 | ) | (631,159 | ) | ||||||
ServiceMaster Global Holdings, Inc. | (19,671 | ) | (768,583 | ) | (14,323 | ) | ||||||
ServiceNow, Inc. | (30,781 | ) | (2,571,139 | ) | 527,281 | |||||||
Signature Bank | (13,429 | ) | (1,815,017 | ) | 137,466 | |||||||
Signet Jewelers Ltd. | (23,136 | ) | (2,266,690 | ) | 360,052 | |||||||
Silgan Holdings, Inc. | (20,706 | ) | (1,069,164 | ) | 3,633 | |||||||
Sirius XM Holdings, Inc. | (605,562 | ) | (2,361,580 | ) | (30,390 | ) | ||||||
Six Flags Entertainment Corp. | (9,461 | ) | (518,743 | ) | (29,522 | ) | ||||||
SLM Corp. | (141,080 | ) | (862,012 | ) | (9,862 | ) | ||||||
Snyder’s-Lance, Inc. | (53,644 | ) | (1,668,375 | ) | (149,620 | ) | ||||||
Sotheby’s | (105,637 | ) | (2,981,020 | ) | 86,566 | |||||||
Southern Co. (The) | (29,080 | ) | (1,353,305 | ) | (206,256 | ) | ||||||
Spectra Energy Corp. | (56,077 | ) | (1,286,406 | ) | (767,694 | ) | ||||||
Spectrum Brands Holdings, Inc. | (40,636 | ) | (4,014,052 | ) | (834,230 | ) | ||||||
Spirit Airlines, Inc. | (133,352 | ) | (5,812,843 | ) | (170,661 | ) | ||||||
Splunk, Inc. | (66,603 | ) | (3,189,200 | ) | (419,350 | ) | ||||||
Sprouts Farmers Market, Inc. | (147,188 | ) | (3,781,248 | ) | 410,643 | |||||||
SS&C Technologies Holdings, Inc. | (152,928 | ) | (4,588,513 | ) | 294,295 | |||||||
Stericycle, Inc. | (66,163 | ) | (7,689,204 | ) | 800,313 | |||||||
Stifel Financial Corp. | (39,938 | ) | (1,357,931 | ) | 101,881 | |||||||
Stryker Corp. | (9,012 | ) | (1,035,616 | ) | (44,292 | ) | ||||||
SunPower Corp. | (149,581 | ) | (3,424,643 | ) | 1,107,633 | |||||||
Superior Energy Services, Inc. | (75,390 | ) | (1,230,632 | ) | (157,298 | ) | ||||||
SVB Financial Group | (15,002 | ) | (1,537,767 | ) | 110,177 | |||||||
Synovus Financial Corp. | (17,747 | ) | (557,743 | ) | 43,258 | |||||||
Targa Resources Corp. | (33,545 | ) | (1,239,718 | ) | (173,868 | ) | ||||||
Tempur Sealy International, Inc. | (29,144 | ) | (2,098,233 | ) | 485,987 | |||||||
Tenet Healthcare Corp. | (101,724 | ) | (2,799,787 | ) | (11,864 | ) | ||||||
TerraForm Power, Inc. | (108,853 | ) | (1,148,375 | ) | (38,122 | ) | ||||||
Tesla Motors, Inc. | (53,457 | ) | (11,856,732 | ) | 508,880 | |||||||
Thermo Fisher Scientific, Inc. | (11,631 | ) | (1,432,816 | ) | (285,781 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Tiffany & Co. | (26,405 | ) | $ | (1,825,992 | ) | $ | 224,793 | |||||
Time, Inc. | (32,462 | ) | (487,936 | ) | (46,389 | ) | ||||||
T-Mobile US, Inc. | (20,980 | ) | (799,558 | ) | (108,247 | ) | ||||||
Torchmark Corp. | (16,778 | ) | (818,520 | ) | (218,696 | ) | ||||||
Tractor Supply Co. | (7,150 | ) | (598,004 | ) | (53,933 | ) | ||||||
TransDigm Group, Inc. | (29,597 | ) | (6,646,205 | ) | (1,158,228 | ) | ||||||
TreeHouse Foods, Inc. | (29,424 | ) | (2,624,658 | ) | (395,715 | ) | ||||||
TRI Pointe Group, Inc. | (120,628 | ) | (1,367,315 | ) | (58,508 | ) | ||||||
Twenty-First Century Fox, Inc. | (50,698 | ) | (1,440,201 | ) | 68,820 | |||||||
Twitter, Inc. | (98,260 | ) | (2,176,395 | ) | 514,818 | |||||||
Tyler Technologies, Inc. | (25,970 | ) | (3,642,602 | ) | (686,856 | ) | ||||||
UGI Corp. | (32,128 | ) | (1,037,151 | ) | (416,641 | ) | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. | (4,629 | ) | (891,303 | ) | (236,506 | ) | ||||||
Ultimate Software Group, Inc. (The) | (15,790 | ) | (2,736,029 | ) | (584,450 | ) | ||||||
Umpqua Holdings Corp. | (52,548 | ) | (828,281 | ) | 15,364 | |||||||
Under Armour, Inc. | (163,971 | ) | (6,505,846 | ) | (74,310 | ) | ||||||
United Parcel Service, Inc. | (7,126 | ) | (711,792 | ) | (55,821 | ) | ||||||
United Rentals, Inc. | (42,776 | ) | (2,744,682 | ) | (125,587 | ) | ||||||
United States Steel Corp. | (117,801 | ) | (1,584,459 | ) | (401,666 | ) | ||||||
Valley National Bancorp | (176,665 | ) | (1,622,302 | ) | 11,117 | |||||||
Veeva Systems, Inc. | (55,379 | ) | (1,332,897 | ) | (556,635 | ) | ||||||
Verisk Analytics, Inc. | (108,916 | ) | (8,293,839 | ) | (537,070 | ) | ||||||
Vertex Pharmaceuticals, Inc. | (25,456 | ) | (2,471,508 | ) | 281,782 | |||||||
Visa, Inc. | (71,294 | ) | (5,558,317 | ) | 270,441 | |||||||
Vista Outdoor, Inc. | (39,397 | ) | (1,727,873 | ) | (152,546 | ) | ||||||
Visteon Corp. | (14,114 | ) | (1,625,227 | ) | 696,385 | |||||||
Vulcan Materials Co. | (16,558 | ) | (1,414,192 | ) | (578,729 | ) | ||||||
WABCO Holdings, Inc. | (5,499 | ) | (562,063 | ) | 58,520 | |||||||
Wabtec Corp. | (20,694 | ) | (1,406,003 | ) | (47,336 | ) | ||||||
Walgreens Boots Alliance, Inc. | (8,569 | ) | (714,140 | ) | 600 | |||||||
Webster Financial Corp. | (53,863 | ) | (1,886,479 | ) | 57,830 | |||||||
WEC Energy Group, Inc. | (175,930 | ) | (9,102,799 | ) | (2,385,430 | ) | ||||||
WestRock Co. | (72,166 | ) | (2,489,940 | ) | (315,153 | ) | ||||||
WEX, Inc. | (5,972 | ) | (525,417 | ) | (4,121 | ) | ||||||
WGL Holdings, Inc. | (22,659 | ) | (1,468,823 | ) | (135,207 | ) | ||||||
White Mountains Insurance Group Ltd. | (776 | ) | (629,736 | ) | (23,656 | ) | ||||||
WhiteWave Foods Co. (The) | (158,528 | ) | (6,240,062 | ) | (1,201,243 | ) | ||||||
Whole Foods Market, Inc. | (69,057 | ) | (2,219,008 | ) | 7,803 | |||||||
WisdomTree Investments, Inc. | (555,780 | ) | (7,200,370 | ) | 1,759,283 | |||||||
Workday, Inc. | (42,566 | ) | (2,977,149 | ) | (201,254 | ) | ||||||
WPX Energy, Inc. | (121,555 | ) | (1,181,146 | ) | 49,469 | |||||||
Wynn Resorts Ltd. | (32,052 | ) | (2,308,309 | ) | (596,885 | ) | ||||||
Yahoo!, Inc. | (44,134 | ) | (1,328,291 | ) | (329,382 | ) | ||||||
Zayo Group Holdings, Inc. | (242,842 | ) | (6,160,470 | ) | (622,107 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
93
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Zebra Technologies Corp. | (36,790 | ) | $ | (2,352,770 | ) | $ | 509,591 | |||||
Zions Bancorporation | (101,967 | ) | (2,721,354 | ) | 158,923 | |||||||
Zoetis, Inc. | (51,737 | ) | (2,346,726 | ) | (108,712 | ) | ||||||
|
| |||||||||||
(56,946,899 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (55,704,319 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (12,106,307 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 626,644 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (11,479,663 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate, plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 1-61 months maturity ranging from 07/20/2016 - 12/21/2020 | $(4,283,081 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Air France-KLM | 266,067 | $ | 1,969,034 | $ | (289,931 | ) | ||||||
Arkema SA | 9,968 | 771,032 | (8,951 | ) | ||||||||
Atos SE | 37,043 | 3,082,156 | (27,999 | ) | ||||||||
AXA SA | 42,077 | 1,129,826 | (297,854 | ) | ||||||||
Capgemini SA | 23,414 | 2,243,388 | (222,928 | ) | ||||||||
Cie de Saint-Gobain | 46,216 | 2,015,461 | (263,615 | ) | ||||||||
Cie Generale des Etablissements Michelin | 19,094 | 1,928,777 | (129,347 | ) | ||||||||
CNP Assurances | 116,121 | 1,633,189 | 80,033 | |||||||||
Dassault Systemes | 7,250 | 561,014 | (14,393 | ) | ||||||||
Eiffage SA | 36,277 | 2,524,880 | 54,053 | |||||||||
Engie SA | 62,612 | 943,414 | 61,926 | |||||||||
Eutelsat Communications SA | 41,810 | 1,109,258 | (320,091 | ) | ||||||||
Faurecia | 70,784 | 2,592,981 | (345,763 | ) | ||||||||
Ipsen SA | 18,910 | 1,162,830 | (4,198 | ) | ||||||||
Lagardere SCA | 46,982 | 1,192,978 | (171,023 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Numericable-SFR SA | 19,592 | $ | 769,256 | $ | (279,655 | ) | ||||||
Orange SA | 153,974 | 2,718,650 | (214,955 | ) | ||||||||
Peugeot SA | 343,072 | 5,852,922 | (1,740,830 | ) | ||||||||
Publicis Groupe SA | 9,408 | 669,925 | (40,506 | ) | ||||||||
Renault SA | 24,992 | 2,397,402 | (510,567 | ) | ||||||||
Rexel SA | 54,345 | 722,338 | (39,091 | ) | ||||||||
Safran SA | 29,307 | 1,978,248 | (4,661 | ) | ||||||||
Sanofi | 7,415 | 626,650 | (10,592 | ) | ||||||||
SCOR SE | 80,192 | 2,850,792 | (479,911 | ) | ||||||||
SEB SA | 9,672 | 1,009,728 | 156,484 | |||||||||
Societe BIC SA | 7,290 | 1,208,705 | (181,585 | ) | ||||||||
Sodexo SA | 23,929 | 2,389,489 | 174,011 | |||||||||
Teleperformance | 34,067 | 2,880,594 | 21,304 | |||||||||
Television Francaise 1 | 13,269 | 146,065 | (5,542 | ) | ||||||||
Thales SA | 50,304 | 4,014,256 | 163,203 | |||||||||
TOTAL SA | 56,482 | 2,386,423 | 322,229 | |||||||||
Valeo SA | 53,233 | 2,640,313 | (277,082 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
94
Schedule of Investments | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Veolia Environnement SA | 196,043 | $ | 4,423,757 | $ | (190,283 | ) | ||||||
Vinci SA | 14,878 | 1,014,922 | 34,972 | |||||||||
Vivendi SA | 31,124 | 532,288 | 50,003 | |||||||||
|
| |||||||||||
(4,953,135 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (4,953,135 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Accor SA | (39,102 | ) | (1,631,799 | ) | 133,561 | |||||||
Air Liquide SA | (34,145 | ) | (3,511,768 | ) | (45,515 | ) | ||||||
Airbus Group SE | (38,355 | ) | (2,220,316 | ) | 21,810 | |||||||
Alstom SA | (89,090 | ) | (2,020,337 | ) | (36,621 | ) | ||||||
Bollore SA | (699,362 | ) | (2,907,136 | ) | 552,721 | |||||||
Bouygues SA | (26,803 | ) | (860,202 | ) | 92,342 | |||||||
Bureau Veritas SA | (45,742 | ) | (954,209 | ) | (6,146 | ) | ||||||
Carrefour SA | (148,452 | ) | (4,000,623 | ) | 349,351 | |||||||
Credit Agricole SA | (145,726 | ) | (1,416,610 | ) | 191,501 | |||||||
Danone SA | (50,299 | ) | (3,419,422 | ) | (100,635 | ) | ||||||
Edenred | (293,345 | ) | (5,301,156 | ) | (705,407 | ) | ||||||
Electricite de France SA | (296,375 | ) | (3,803,712 | ) | 210,099 | |||||||
Essilor International SA | (22,413 | ) | (2,810,024 | ) | (135,697 | ) | ||||||
Hermes International | (4,007 | ) | (1,425,806 | ) | (67,916 | ) | ||||||
Iliad SA | (3,534 | ) | (866,853 | ) | 153,465 | |||||||
Ingenico Group SA | (32,241 | ) | (3,456,444 | ) | (280,448 | ) | ||||||
Kering | (8,358 | ) | (1,441,890 | ) | 96,402 | |||||||
Legrand SA | (21,174 | ) | (1,091,177 | ) | 7,251 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
L’Oreal SA | (19,251 | ) | $ | (3,411,569 | ) | $ | (274,100 | ) | ||||
LVMH Moet Hennessy Louis Vuitton SE | (10,744 | ) | (1,737,558 | ) | 118,064 | |||||||
Natixis SA | (240,864 | ) | (1,208,533 | ) | 302,194 | |||||||
Orpea | (17,024 | ) | (1,316,427 | ) | (79,486 | ) | ||||||
Pernod Ricard SA | (26,496 | ) | (3,049,912 | ) | 116,371 | |||||||
Plastic Omnium SA | (30,914 | ) | (975,203 | ) | 110,970 | |||||||
Remy Cointreau SA | (23,443 | ) | (1,785,017 | ) | (232,982 | ) | ||||||
Vallourec SA | (489,814 | ) | (1,720,930 | ) | (11,517 | ) | ||||||
Zodiac Aerospace | (251,678 | ) | (5,795,787 | ) | (75,479 | ) | ||||||
|
| |||||||||||
404,153 | ||||||||||||
|
| |||||||||||
Luxembourg | ||||||||||||
SES SA | (43,123 | ) | (1,077,167 | ) | 154,009 | |||||||
|
| |||||||||||
Total of Short Equity Positions | 558,162 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (4,394,973 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 111,892 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (4,283,081 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||
BARC | ||||||||
Cash | $— | $40,606,988 | $40,606,988 | |||||
| ||||||||
CITI | ||||||||
Investment Companies | 2,000,673 | — | 2,000,673 | |||||
| ||||||||
DTBK | ||||||||
Investment Companies | 58,128,508 | — | 58,128,508 | |||||
| ||||||||
GSIN | ||||||||
Investment Companies | 198,050,000 | — | 198,050,000 | |||||
| ||||||||
JPMC | ||||||||
Cash | 7,860,000 | — | 7,860,000 | |||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
95
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
SHORT-TERM INVESTMENTS - 97.2% | SHARES | (Note 5) | ||||||
Investment Companies - 16.2% | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(a) | 50,474,771 | $ | 50,474,771 | |||||
Dreyfus Treasury Cash Management, Class I, 0.240% ^(a) | 201,899,082 | 201,899,082 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(a)(b) | 1,582,831,433 | 1,582,831,433 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(a)(b) | 64,802,948 | 64,802,948 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(a) | 252,373,853 | 252,373,853 | ||||||
|
| |||||||
Total Investment Companies | 2,152,382,087 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT (000’s | ) | ||||||
U.S. Treasury Obligations - 81.0% | ||||||||
U.S. Treasury Bill, 0.401%, 12/15/2016 ^(c)(d) | $ | 760,008 | 759,036,710 | |||||
U.S. Treasury Bill, 0.498%, 07/07/2016 (c)(d) | 434,577 | 434,572,654 | ||||||
U.S. Treasury Bill, 0.422%, 08/11/2016 ^(c) | 418,594 | 418,496,886 | ||||||
U.S. Treasury Bill, 0.480%, 11/25/2016 ^(c) | 637,415 | 636,741,890 | ||||||
U.S. Treasury Bill, 0.471%, 07/14/2016 (c) | 152,110 | 152,103,555 | ||||||
U.S. Treasury Bill, 0.477%, 12/01/2016 ^(c)(d) | 1,032,664 | 1,031,413,444 | ||||||
U.S. Treasury Bill, 0.384%, 10/06/2016 ^(c)(d) | 391,847 | 391,576,626 | ||||||
U.S. Treasury Bill, 0.455%, 09/29/2016 ^(c) | 704,042 | 703,582,964 | ||||||
U.S. Treasury Bill, 0.431%, 12/08/2016 ^(c)(d) | 928,964 | 927,781,429 | ||||||
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(c) | 599,562 | 599,378,534 | ||||||
U.S. Treasury Bill, 0.370%, 07/21/2016 ^(c) | 336,723 | 336,688,654 | ||||||
U.S. Treasury Bill, 0.511%, 09/15/2016 ^(c) | 928,892 | 928,492,577 | ||||||
U.S. Treasury Bill, 0.465%, 08/04/2016 ^(c) | 685,787 | 685,647,785 | ||||||
U.S. Treasury Bill, 0.410%, 07/28/2016 ^(c)(d) | 987,354 | 987,223,669 | ||||||
U.S. Treasury Bill, 0.479%, 09/01/2016 ^(c)(d) | 625,447 | 625,196,821 | ||||||
U.S. Treasury Bill, 0.401%, 10/27/2016 ^(c)(d) | 14,152 | 14,141,782 | ||||||
U.S. Treasury Bill, 0.476%, 09/08/2016 (c)(d) | 404,000 | 403,842,844 | ||||||
U.S. Treasury Bill, 0.401%, 12/22/2016 ^(c)(d) | 455,261 | 454,637,292 |
PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||
U.S. Treasury Obligations - 81.0% (continued) | ||||||||
U.S. Treasury Bill, 0.341%, 10/13/2016 ^(c) | $ | 244,828 | $ | 244,663,476 | ||||
U.S. Treasury Bill, 0.441%, 09/22/2016 (c) | 24,784 | 24,770,220 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (cost $10,754,981,879) | 10,759,989,812 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (cost $12,907,363,966) | 12,912,371,899 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN |
| 12,912,371,899 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.8% (e) | 376,718,812 | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 13,289,090,711 | |||||
|
|
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | All or a portion of the security is pledged as collateral to the brokers for futures contracts. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
96
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
Total return swap contracts outstanding as of June 30, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
BANA | Bovespa Index August Futures | 08/2016 | BRL | (183,737,297 | ) | $(1,836,823 | ) | |||||||||
SOCG | Cocoa September Futures^ | 08/2016 | USD | (60,873 | ) | (910 | ) | |||||||||
SOCG | Cocoa September Futures^ | 08/2016 | USD | 60,873 | 1,613 | |||||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | 43,592,802 | (6,841,777 | ) | ||||||||||
MLIN | Corn September Futures^ | 09/2016 | USD | 112,358,912 | (17,328,913 | ) | ||||||||||
CITI | Cotton No. 2 December Futures^ | 11/2016 | USD | 359,700 | (6,765 | ) | ||||||||||
SOCG | Cotton No. 2 December Futures^ | 11/2016 | USD | 7,351,658 | (164,618 | ) | ||||||||||
MACQ | Cotton No. 2 December Futures^ | 11/2016 | USD | 16,933,968 | (378,108 | ) | ||||||||||
MSCS | H-SHARES Index July Futures | 07/2016 | HKD | (308,264,524 | ) | (1,932,854 | ) | |||||||||
MSCS | KOSPI Index 200 September Futures | 09/2016 | KRW | 59,769,232,992 | (638,827 | ) | ||||||||||
SOCG | Lean Hogs August Futures^ | 08/2016 | USD | 36,311,474 | (2,235,344 | ) | ||||||||||
MLIN | Lean Hogs July Futures^ | 07/2016 | USD | 3,829,040 | (17,940 | ) | ||||||||||
MLIN | Lean Hogs July Futures^ | 07/2016 | USD | (3,829,040 | ) | (178,250 | ) | |||||||||
MLIN | Lean Hogs August Futures^ | 08/2016 | USD | 31,892,670 | (1,813,740 | ) | ||||||||||
MACQ | Live Cattle August Futures^ | 08/2016 | USD | (165,701,262 | ) | 5,910,792 | ||||||||||
MLIN | Live Cattle August Futures^ | 08/2016 | USD | (13,445,830 | ) | 447,640 | ||||||||||
SOCG | Live Cattle August Futures^ | 08/2016 | USD | (67,692,317 | ) | 2,242,067 | ||||||||||
MSCS | MSCI Singapore Index July Futures | 07/2016 | SGD | (2,323,949 | ) | (41,423 | ) | |||||||||
MSCS | SGX FTSE China A50 Index July Futures | 07/2016 | USD | (26,018,354 | ) | (421,451 | ) | |||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | (158,586,197 | ) | (191,194 | ) | |||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | 230,638,915 | 1,740,960 | |||||||||||
MACQ | Soybean November Futures^ | 10/2016 | USD | 101,871,851 | 479,087 | |||||||||||
SOCG | Soybean November Futures^ | 10/2016 | USD | 57,505,959 | 271,866 | |||||||||||
MLIN | Soybean November Futures^ | 11/2016 | USD | 139,731,612 | 734,238 | |||||||||||
CITI | Soybean Meal December Futures^ | 11/2016 | USD | 9,275,980 | 187,620 | |||||||||||
MACQ | Soybean Meal December Futures^ | 11/2016 | USD | 78,963,548 | (487,848 | ) | ||||||||||
MLIN | Soybean Meal December Futures^ | 11/2016 | USD | 40,987,280 | (85,280 | ) | ||||||||||
MACQ | Soybean Oil December Futures^ | 11/2016 | USD | (11,802,504 | ) | (89,052 | ) | |||||||||
BANA | Swiss Market Index September Futures | 09/2016 | CHF | (96,388,786 | ) | (4,139,397 | ) | |||||||||
BANA | Taiwan Stock Exchange July Futures | 07/2016 | TWD | (1,354,584,477 | ) | (843,452 | ) | |||||||||
CITI | Wheat September Futures^ | 08/2016 | USD | (64,112,239 | ) | (5,985,021 | ) | |||||||||
CITI | Wheat September Futures^ | 08/2016 | USD | 38,462,745 | 5,518,020 | |||||||||||
|
| |||||||||||||||
$(28,125,084 | ) | |||||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
2,150 | GSCO | Cocoa Futures^ | 09/2016 | $65,903,313 | $67,290,026 | $1,386,713 | ||||||||||||||
116 | MSCL | Cocoa Futures^ | 09/2016 | 3,474,084 | 3,437,080 | (37,004 | ) | |||||||||||||
1,586 | MSCL | Coffee ‘C’ Futures^ | 09/2016 | 83,325,686 | 86,625,337 | 3,299,651 | ||||||||||||||
32 | MSCL | Corn Futures^ | 09/2016 | 685,267 | 584,800 | (100,467 | ) | |||||||||||||
694 | MSCL | Cotton No. 2 Futures^ | 12/2016 | 22,722,670 | 22,266,990 | (455,680 | ) | |||||||||||||
165 | GSCO | Gas Oil Futures^ | 08/2016 | 7,417,050 | 7,363,125 | (53,925 | ) | |||||||||||||
10,192 | MSCL | Gold 100 OZ Futures^ | 08/2016 | 1,312,270,321 | 1,345,955,520 | 33,685,199 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
97
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
77 | MSCL | Lean Hogs Futures^ | 08/2016 | $ 2,682,338 | $ 2,564,870 | $ (117,468 | ) | |||||||||||||
30 | JPPC | LME Aluminum Futures^ | 07/2016 | 1,146,628 | 1,232,250 | 85,622 | ||||||||||||||
144 | JPPC | LME Aluminum Futures^ | 07/2016 | 5,431,683 | 5,915,448 | 483,765 | ||||||||||||||
33 | JPPC | LME Aluminum Futures^ | 07/2016 | 1,242,210 | 1,355,780 | 113,570 | ||||||||||||||
194 | JPPC | LME Aluminum Futures^ | 07/2016 | 7,574,860 | 7,976,553 | 401,693 | ||||||||||||||
208 | JPPC | LME Aluminum Futures^ | 07/2016 | 8,069,389 | 8,553,116 | 483,727 | ||||||||||||||
112 | JPPC | LME Aluminum Futures^ | 07/2016 | 4,364,438 | 4,607,064 | 242,626 | ||||||||||||||
100 | JPPC | LME Aluminum Futures^ | 07/2016 | 3,934,769 | 4,113,925 | 179,156 | ||||||||||||||
116 | JPPC | LME Aluminum Futures^ | 07/2016 | 4,651,271 | 4,772,675 | 121,404 | ||||||||||||||
144 | JPPC | LME Aluminum Futures^ | 07/2016 | 5,881,068 | 5,921,100 | 40,032 | ||||||||||||||
211 | JPPC | LME Aluminum Futures^ | 07/2016 | 8,686,146 | 8,674,738 | (11,408 | ) | |||||||||||||
160 | JPPC | LME Aluminum Futures^ | 07/2016 | 6,592,222 | 6,579,600 | (12,622 | ) | |||||||||||||
28 | JPPC | LME Aluminum Futures^ | 07/2016 | 1,155,579 | 1,151,717 | (3,862 | ) | |||||||||||||
22 | JPPC | LME Aluminum Futures^ | 08/2016 | 899,130 | 905,438 | 6,308 | ||||||||||||||
421 | JPPC | LME Aluminum Futures^ | 08/2016 | 16,313,263 | 17,338,148 | 1,024,885 | ||||||||||||||
214 | JPPC | LME Aluminum Futures^ | 08/2016 | 8,246,693 | 8,816,104 | 569,411 | ||||||||||||||
212 | JPPC | LME Aluminum Futures^ | 08/2016 | 8,232,744 | 8,734,400 | 501,656 | ||||||||||||||
213 | JPPC | LME Aluminum Futures^ | 08/2016 | 8,185,153 | 8,771,606 | 586,453 | ||||||||||||||
475 | JPPC | LME Aluminum Futures^ | 08/2016 | 18,526,533 | 19,552,188 | 1,025,655 | ||||||||||||||
237 | JPPC | LME Aluminum Futures^ | 08/2016 | 9,145,226 | 9,761,438 | 616,212 | ||||||||||||||
227 | JPPC | LME Aluminum Futures^ | 08/2016 | 8,796,806 | 9,350,981 | 554,175 | ||||||||||||||
205 | JPPC | LME Aluminum Futures^ | 08/2016 | 7,954,502 | 8,446,000 | 491,498 | ||||||||||||||
331 | JPPC | LME Aluminum Futures^ | 08/2016 | 12,888,469 | 13,639,268 | 750,799 | ||||||||||||||
221 | JPPC | LME Aluminum Futures^ | 09/2016 | 8,587,773 | 9,114,869 | 527,096 | ||||||||||||||
184 | JPPC | LME Aluminum Futures^ | 09/2016 | 7,231,651 | 7,590,000 | 358,349 | ||||||||||||||
117 | JPPC | LME Aluminum Futures^ | 09/2016 | 4,683,444 | 4,830,637 | 147,193 | ||||||||||||||
404 | JPPC | LME Aluminum Futures^ | 09/2016 | 16,050,895 | 16,682,675 | 631,780 | ||||||||||||||
209 | JPPC | LME Aluminum Futures^ | 09/2016 | 8,296,006 | 8,631,909 | 335,903 | ||||||||||||||
211 | JPPC | LME Aluminum Futures^ | 09/2016 | 8,474,529 | 8,714,880 | 240,351 | ||||||||||||||
225 | JPPC | LME Aluminum Futures^ | 09/2016 | 9,128,424 | 9,293,513 | 165,089 | ||||||||||||||
431 | JPPC | LME Aluminum Futures^ | 09/2016 | 17,352,230 | 17,802,993 | 450,763 | ||||||||||||||
3,009 | JPPC | LME Aluminum Futures^ | 09/2016 | 121,371,046 | 124,215,281 | 2,844,235 | ||||||||||||||
225 | JPPC | LME Aluminum Futures^ | 09/2016 | 9,133,668 | 9,293,906 | 160,238 | ||||||||||||||
211 | JPPC | LME Aluminum Futures^ | 09/2016 | 8,623,774 | 8,706,387 | 82,613 | ||||||||||||||
210 | JPPC | LME Aluminum Futures^ | 09/2016 | 8,436,780 | 8,659,613 | 222,833 | ||||||||||||||
212 | JPPC | LME Aluminum Futures^ | 09/2016 | 8,568,332 | 8,741,290 | 172,958 | ||||||||||||||
184 | JPPC | LME Aluminum Futures^ | 09/2016 | 7,482,429 | 7,586,090 | 103,661 | ||||||||||||||
157 | JPPC | LME Aluminum Futures^ | 09/2016 | 6,436,221 | 6,472,325 | 36,104 | ||||||||||||||
44 | JPPC | LME Copper Futures^ | 07/2016 | 5,252,608 | 5,324,000 | 71,392 | ||||||||||||||
39 | JPPC | LME Copper Futures^ | 07/2016 | 4,638,171 | 4,719,332 | 81,161 | ||||||||||||||
6 | JPPC | LME Copper Futures^ | 07/2016 | 703,215 | 726,104 | 22,889 | ||||||||||||||
54 | JPPC | LME Copper Futures^ | 07/2016 | 6,262,782 | 6,535,390 | 272,608 | ||||||||||||||
49 | JPPC | LME Copper Futures^ | 07/2016 | 5,684,145 | 5,931,524 | 247,379 | ||||||||||||||
103 | JPPC | LME Copper Futures^ | 07/2016 | 12,082,152 | 12,469,206 | 387,054 | ||||||||||||||
11 | JPPC | LME Copper Futures^ | 07/2016 | 1,325,046 | 1,331,757 | 6,711 | ||||||||||||||
4 | JPPC | LME Copper Futures^ | 07/2016 | 493,837 | 484,175 | (9,662 | ) | |||||||||||||
75 | JPPC | LME Copper Futures^ | 07/2016 | 9,383,106 | 9,078,750 | (304,356 | ) | |||||||||||||
84 | JPPC | LME Copper Futures^ | 07/2016 | 10,550,198 | 10,168,725 | (381,473 | ) | |||||||||||||
57 | JPPC | LME Copper Futures^ | 07/2016 | 7,123,040 | 6,901,275 | (221,765 | ) | |||||||||||||
24 | JPPC | LME Copper Futures^ | 07/2016 | 2,967,339 | 2,905,950 | (61,389 | ) | |||||||||||||
13 | JPPC | LME Copper Futures^ | 07/2016 | 1,599,650 | 1,574,138 | (25,512 | ) | |||||||||||||
53 | JPPC | LME Copper Futures^ | 08/2016 | 6,554,240 | 6,420,023 | (134,217 | ) | |||||||||||||
17 | JPPC | LME Copper Futures^ | 08/2016 | 2,076,708 | 2,059,380 | (17,328 | ) | |||||||||||||
180 | JPPC | LME Copper Futures^ | 08/2016 | 21,285,441 | 21,814,650 | 529,209 | ||||||||||||||
238 | JPPC | LME Copper Futures^ | 08/2016 | 27,662,851 | 28,845,600 | 1,182,749 | ||||||||||||||
143 | JPPC | LME Copper Futures^ | 08/2016 | 16,559,750 | 17,329,204 | 769,454 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
98
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
37 | JPPC | LME Copper Futures^ | 08/2016 | $ 4,292,174 | $ 4,483,475 | $ 191,301 | ||||||||||||||
51 | JPPC | LME Copper Futures^ | 08/2016 | 5,848,550 | 6,179,708 | 331,158 | ||||||||||||||
217 | JPPC | LME Copper Futures^ | 08/2016 | 25,018,232 | 26,293,185 | 1,274,953 | ||||||||||||||
119 | JPPC | LME Copper Futures^ | 08/2016 | 13,560,342 | 14,417,832 | 857,490 | ||||||||||||||
103 | JPPC | LME Copper Futures^ | 08/2016 | 11,849,347 | 12,478,888 | 629,541 | ||||||||||||||
56 | JPPC | LME Copper Futures^ | 08/2016 | 6,482,137 | 6,784,400 | 302,263 | ||||||||||||||
88 | JPPC | LME Copper Futures^ | 08/2016 | 10,321,003 | 10,661,398 | 340,395 | ||||||||||||||
239 | JPPC | LME Copper Futures^ | 09/2016 | 27,515,461 | 28,958,495 | 1,443,034 | ||||||||||||||
295 | JPPC | LME Copper Futures^ | 09/2016 | 34,172,873 | 35,744,339 | 1,571,466 | ||||||||||||||
54 | JPPC | LME Copper Futures^ | 09/2016 | 6,143,118 | 6,544,665 | 401,547 | ||||||||||||||
833 | JPPC | LME Copper Futures^ | 09/2016 | 98,219,966 | 100,959,600 | 2,739,634 | ||||||||||||||
130 | JPPC | LME Copper Futures^ | 09/2016 | 15,336,129 | 15,747,875 | 411,746 | ||||||||||||||
211 | JPPC | LME Copper Futures^ | 09/2016 | 24,848,105 | 25,558,694 | 710,589 | ||||||||||||||
161 | JPPC | LME Copper Futures^ | 09/2016 | 19,367,774 | 19,501,447 | 133,673 | ||||||||||||||
89 | JPPC | LME Copper Futures^ | 09/2016 | 10,748,987 | 10,780,125 | 31,138 | ||||||||||||||
21 | JPPC | LME Nickel Futures^ | 07/2016 | 1,166,043 | 1,185,660 | 19,617 | ||||||||||||||
40 | JPPC | LME Nickel Futures^ | 07/2016 | 2,244,229 | 2,258,537 | 14,308 | ||||||||||||||
45 | JPPC | LME Nickel Futures^ | 07/2016 | 2,475,556 | 2,541,008 | 65,452 | ||||||||||||||
12 | JPPC | LME Nickel Futures^ | 07/2016 | 654,526 | 677,726 | 23,200 | ||||||||||||||
63 | JPPC | LME Nickel Futures^ | 08/2016 | 3,619,255 | 3,560,004 | (59,251 | ) | |||||||||||||
26 | JPPC | LME Nickel Futures^ | 08/2016 | 1,475,568 | 1,469,297 | (6,271 | ) | |||||||||||||
70 | JPPC | LME Nickel Futures^ | 08/2016 | 3,891,921 | 3,956,039 | 64,118 | ||||||||||||||
22 | JPPC | LME Nickel Futures^ | 08/2016 | 1,140,402 | 1,244,157 | 103,755 | ||||||||||||||
18 | JPPC | LME Nickel Futures^ | 08/2016 | 937,277 | 1,018,008 | 80,731 | ||||||||||||||
25 | JPPC | LME Nickel Futures^ | 08/2016 | 1,293,061 | 1,413,969 | 120,908 | ||||||||||||||
130 | JPPC | LME Nickel Futures^ | 08/2016 | 6,681,833 | 7,352,990 | 671,157 | ||||||||||||||
58 | JPPC | LME Nickel Futures^ | 08/2016 | 2,905,942 | 3,281,201 | 375,259 | ||||||||||||||
53 | JPPC | LME Nickel Futures^ | 08/2016 | 2,661,816 | 2,998,485 | 336,669 | ||||||||||||||
38 | JPPC | LME Nickel Futures^ | 08/2016 | 1,911,550 | 2,149,962 | 238,412 | ||||||||||||||
107 | JPPC | LME Nickel Futures^ | 08/2016 | 5,415,175 | 6,054,130 | 638,955 | ||||||||||||||
39 | JPPC | LME Nickel Futures^ | 09/2016 | 1,965,696 | 2,207,290 | 241,594 | ||||||||||||||
108 | JPPC | LME Nickel Futures^ | 09/2016 | 5,490,698 | 6,112,785 | 622,087 | ||||||||||||||
53 | JPPC | LME Nickel Futures^ | 09/2016 | 2,766,730 | 3,000,375 | 233,645 | ||||||||||||||
47 | JPPC | LME Nickel Futures^ | 09/2016 | 2,433,775 | 2,660,839 | 227,064 | ||||||||||||||
20 | JPPC | LME Nickel Futures^ | 09/2016 | 1,046,449 | 1,132,327 | 85,878 | ||||||||||||||
69 | JPPC | LME Nickel Futures^ | 09/2016 | 3,682,264 | 3,908,040 | 225,776 | ||||||||||||||
386 | JPPC | LME Nickel Futures^ | 09/2016 | 21,239,106 | 21,867,672 | 628,566 | ||||||||||||||
57 | JPPC | LME Nickel Futures^ | 09/2016 | 3,152,301 | 3,229,007 | 76,706 | ||||||||||||||
27 | JPPC | LME Nickel Futures^ | 09/2016 | 1,499,363 | 1,529,657 | 30,294 | ||||||||||||||
54 | JPPC | LME Nickel Futures^ | 09/2016 | 2,923,152 | 3,059,856 | 136,704 | ||||||||||||||
52 | JPPC | LME Nickel Futures^ | 09/2016 | 2,876,872 | 2,946,631 | 69,759 | ||||||||||||||
30 | JPPC | LME Nickel Futures^ | 09/2016 | 1,681,990 | 1,700,040 | 18,050 | ||||||||||||||
42 | JPPC | LME Nickel Futures^ | 09/2016 | 9,889,449 | 9,917,250 | 27,801 | ||||||||||||||
14 | JPPC | LME Zinc Futures^ | 07/2016 | 660,408 | 735,542 | 75,134 | ||||||||||||||
24 | JPPC | LME Zinc Futures^ | 07/2016 | 1,125,349 | 1,260,840 | 135,491 | ||||||||||||||
21 | JPPC | LME Zinc Futures^ | 07/2016 | 993,917 | 1,103,156 | 109,239 | ||||||||||||||
19 | JPPC | LME Zinc Futures^ | 07/2016 | 897,760 | 998,112 | 100,352 | ||||||||||||||
10 | JPPC | LME Zinc Futures^ | 07/2016 | 485,079 | 525,333 | 40,254 | ||||||||||||||
26 | JPPC | LME Zinc Futures^ | 08/2016 | 1,195,089 | 1,368,205 | 173,116 | ||||||||||||||
43 | JPPC | LME Zinc Futures^ | 08/2016 | 1,958,648 | 2,262,875 | 304,227 | ||||||||||||||
86 | JPPC | LME Zinc Futures^ | 08/2016 | 3,945,246 | 4,525,987 | 580,741 | ||||||||||||||
175 | JPPC | LME Zinc Futures^ | 08/2016 | 8,208,215 | 9,210,294 | 1,002,079 | ||||||||||||||
266 | JPPC | LME Zinc Futures^ | 09/2016 | 13,269,212 | 14,004,634 | 735,422 | ||||||||||||||
114 | JPPC | LME Zinc Futures^ | 09/2016 | 5,766,166 | 6,003,211 | 237,045 | ||||||||||||||
13 | JPPC | LME Zinc Futures^ | 09/2016 | 665,474 | 684,648 | 19,174 | ||||||||||||||
49 | JPPC | LME Zinc Futures^ | 09/2016 | 2,531,295 | 2,580,720 | 49,425 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
99
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
50 | JPPC | LME Zinc Futures^ | 09/2016 | $ 2,588,695 | $ 2,633,925 | $ 45,230 | ||||||||||||||
30 | JPPC | LME Zinc Futures^ | 09/2016 | 1,524,611 | 1,580,437 | 55,826 | ||||||||||||||
45 | JPPC | LME Zinc Futures^ | 09/2016 | 2,301,780 | 2,370,431 | 68,651 | ||||||||||||||
81 | JPPC | LME Zinc Futures^ | 09/2016 | 4,047,134 | 4,266,372 | 219,238 | ||||||||||||||
842 | JPPC | LME Zinc Futures^ | 09/2016 | 42,497,010 | 44,336,562 | 1,839,552 | ||||||||||||||
37 | JPPC | LME Zinc Futures^ | 09/2016 | 1,850,951 | 1,948,467 | 97,516 | ||||||||||||||
8 | JPPC | LME Zinc Futures^ | 09/2016 | 409,824 | 420,950 | 11,126 | ||||||||||||||
106 | JPPC | LME Zinc Futures^ | 09/2016 | 5,313,158 | 5,576,633 | 263,475 | ||||||||||||||
38 | JPPC | LME Zinc Futures^ | 09/2016 | 1,950,426 | 1,999,208 | 48,782 | ||||||||||||||
1,077 | MSCL | Natural Gas Futures^ | 07/2016 | 27,963,098 | 31,491,480 | 3,528,382 | ||||||||||||||
3,062 | MSCL | Silver Futures^ | 09/2016 | 267,175,356 | 285,118,130 | 17,942,774 | ||||||||||||||
1,852 | MSCL | Soybean Futures^ | 11/2016 | 102,605,999 | 106,790,950 | 4,184,951 | ||||||||||||||
418 | MSCL | Soybean Meal Futures^ | 12/2016 | 16,990,282 | 16,761,800 | (228,482 | ) | |||||||||||||
10,181 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2016 | 224,335,218 | 231,817,298 | 7,482,080 | ||||||||||||||
535 | BARC | S&P MID 400 E-Mini Futures | 09/2016 | 79,049,093 | 79,875,500 | 826,407 | ||||||||||||||
750 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2016 | 93,981,533 | 94,543,132 | 561,599 | ||||||||||||||
3,852 | BARC | SGX S&P CNX Nifty Index Futures | 07/2016 | 62,742,734 | 64,216,692 | 1,473,958 | ||||||||||||||
565 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | 832,374,650 | 836,680,385 | 4,305,735 | ||||||||||||||
5,212 | JPMS | 3-Month Euro Euribor Futures | 12/2016 | 1,450,614,109 | 1,450,992,952 | 378,843 | ||||||||||||||
4,992 | JPMS | 3-Month Euro Euribor Futures | 03/2017 | 1,389,517,721 | 1,389,884,625 | 366,904 | ||||||||||||||
4,444 | JPMS | 3-Month Euro Euribor Futures | 06/2017 | 1,236,900,774 | 1,237,494,088 | 593,314 | ||||||||||||||
8,349 | JPMS | 3-Month Euro Euribor Futures | 09/2017 | 2,323,800,961 | 2,325,127,705 | 1,326,744 | ||||||||||||||
9,790 | JPMS | 3-Month Euro Euribor Futures | 12/2017 | 2,724,500,276 | 2,726,570,137 | 2,069,861 | ||||||||||||||
10,839 | JPMS | 3-Month Euro Euribor Futures | 03/2018 | 3,016,150,616 | 3,018,572,188 | 2,421,572 | ||||||||||||||
6,702 | JPMS | 3-Month Euro Euribor Futures | 06/2018 | 1,864,904,762 | 1,866,358,806 | 1,454,044 | ||||||||||||||
7,195 | JPMS | 90-Day EURODollar Futures | 12/2016 | 1,784,605,170 | 1,786,608,437 | 2,003,267 | ||||||||||||||
7,155 | JPMS | 90-Day EURODollar Futures | 03/2017 | 1,774,016,596 | 1,776,318,187 | 2,301,591 | ||||||||||||||
6,658 | JPMS | 90-Day EURODollar Futures | 06/2017 | 1,649,747,162 | 1,652,349,150 | 2,601,988 | ||||||||||||||
6,003 | JPMS | 90-Day EURODollar Futures | 09/2017 | 1,486,239,451 | 1,489,194,225 | 2,954,774 | ||||||||||||||
5,666 | JPMS | 90-Day EURODollar Futures | 12/2017 | 1,401,901,748 | 1,404,813,875 | 2,912,127 | ||||||||||||||
5,371 | JPMS | 90-Day EURODollar Futures | 03/2018 | 1,328,161,524 | 1,331,135,213 | 2,973,689 | ||||||||||||||
5,184 | JPMS | 90-Day EURODollar Futures | 06/2018 | 1,281,205,435 | 1,284,206,400 | 3,000,965 | ||||||||||||||
5,532 | JPMS | 90-Day Sterling Futures | 12/2016 | 915,945,067 | 917,429,448 | 1,484,381 | ||||||||||||||
6,805 | JPMS | 90-Day Sterling Futures | 03/2017 | 1,126,017,826 | 1,128,657,711 | 2,639,885 | ||||||||||||||
7,258 | JPMS | 90-Day Sterling Futures | 06/2017 | 1,199,846,546 | 1,203,790,987 | 3,944,441 | ||||||||||||||
5,146 | JPMS | 90-Day Sterling Futures | 09/2017 | 850,391,236 | 853,586,380 | 3,195,144 | ||||||||||||||
4,525 | JPMS | 90-Day Sterling Futures | 12/2017 | 747,303,014 | 750,503,474 | 3,200,460 | ||||||||||||||
4,172 | JPMS | 90-Day Sterling Futures | 03/2018 | 688,728,304 | 691,886,416 | 3,158,112 | ||||||||||||||
3,928 | JPMS | 90-Day Sterling Futures | 06/2018 | 648,815,552 | 651,290,680 | 2,475,128 | ||||||||||||||
4,530 | JPMS | Australia 10-Year Bond Futures | 09/2016 | 455,144,341 | 460,146,607 | 5,002,266 | ||||||||||||||
14,545 | JPMS | Australia 3-Year Bond Futures | 09/2016 | 1,225,546,594 | 1,227,782,664 | 2,236,070 | ||||||||||||||
3,277 | GSCO | Canadian 10-Year Bond Futures | 09/2016 | 368,546,897 | 375,499,888 | 6,952,991 | ||||||||||||||
2,186 | MSCL | CME Ultra Long Term U.S. Treasury Bond Futures | 09/2016 | 386,164,654 | 407,415,750 | 21,251,096 | ||||||||||||||
3,877 | GSCO | Euro - OAT Futures | 09/2016 | 674,381,828 | 691,799,089 | 17,417,261 | ||||||||||||||
19,946 | GSCO | Euro - SCHATZ Futures | 09/2016 | 2,476,186,956 | 2,480,566,990 | 4,380,034 | ||||||||||||||
84 | JPMS | Euro CHF 3-Month LIFFE Futures | 06/2017 | 21,729,339 | 21,739,785 | 10,446 | ||||||||||||||
15,731 | GSCO | Euro-Bobl Futures | 09/2016 | 2,311,533,560 | 2,332,318,940 | 20,785,380 | ||||||||||||||
1,594 | GSCO | Euro-BTP Italian Government Bond Futures | 09/2016 | 249,170,216 | 252,268,745 | 3,098,529 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
100
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
4,705 | GSCO | Euro-Bund Futures | 09/2016 | $ 851,955,695 | $ 872,595,973 | $ 20,640,278 | ||||||||||||||
379 | GSCO | Euro-Buxl 30-Year Bond Futures | 09/2016 | 75,062,964 | 82,503,964 | 7,441,000 | ||||||||||||||
4,062 | GSCO | Long Gilt Futures | 09/2016 | 667,052,799 | 694,814,474 | 27,761,675 | ||||||||||||||
6,699 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2016 | 873,186,532 | 890,862,328 | 17,675,796 | ||||||||||||||
19,078 | MSCL | U.S. Treasury 2-Year Note Futures | 09/2016 | 4,170,612,916 | 4,184,341,968 | 13,729,052 | ||||||||||||||
13,640 | MSCL | U.S. Treasury 5-Year Note Futures | 09/2016 | 1,642,748,351 | 1,666,317,813 | 23,569,462 | ||||||||||||||
2,863 | MSCL | U.S. Treasury Long Bond Futures | 09/2016 | 471,129,151 | 493,420,156 | 22,291,005 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
52,082,177,242 | 52,461,598,031 | 379,420,789 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
297 | GSCO | Brent Crude Futures^ | 07/2016 | $(14,569,896 | ) | $(14,763,870 | ) | $(193,974 | ) | |||||||||||
2,957 | MSCL | Copper Futures^ | 09/2016 | (159,331,752 | ) | (162,302,337 | ) | (2,970,585 | ) | |||||||||||
1,158 | MSCL | Gasoline RBOB Futures^ | 07/2016 | (73,461,108 | ) | (73,017,226 | ) | 443,882 | ||||||||||||
2,715 | MSCL | Hard Red Winter Wheat Futures^ | 09/2016 | (65,263,647 | ) | (57,354,375 | ) | 7,909,272 | ||||||||||||
88 | MSCL | Heating Oil ULSD Futures^ | 07/2016 | (5,438,653 | ) | (5,502,235 | ) | (63,582 | ) | |||||||||||
1,710 | MSCL | Live Cattle Futures^ | 08/2016 | (78,376,030 | ) | (78,540,300 | ) | (164,270 | ) | |||||||||||
30 | JPPC | LME Aluminum Futures^ | 07/2016 | (1,150,801 | ) | (1,232,249 | ) | (81,448 | ) | |||||||||||
144 | JPPC | LME Aluminum Futures^ | 07/2016 | (5,424,847 | ) | (5,915,448 | ) | (490,601 | ) | |||||||||||
33 | JPPC | LME Aluminum Futures^ | 07/2016 | (1,241,132 | ) | (1,355,781 | ) | (114,649 | ) | |||||||||||
194 | JPPC | LME Aluminum Futures^ | 07/2016 | (7,575,225 | ) | (7,976,553 | ) | (401,328 | ) | |||||||||||
208 | JPPC | LME Aluminum Futures^ | 07/2016 | (8,056,890 | ) | (8,553,116 | ) | (496,226 | ) | |||||||||||
112 | JPPC | LME Aluminum Futures^ | 07/2016 | (4,356,526 | ) | (4,607,064 | ) | (250,538 | ) | |||||||||||
100 | JPPC | LME Aluminum Futures^ | 07/2016 | (3,918,455 | ) | (4,113,925 | ) | (195,470 | ) | |||||||||||
116 | JPPC | LME Aluminum Futures^ | 07/2016 | (4,644,066 | ) | (4,772,675 | ) | (128,609 | ) | |||||||||||
144 | JPPC | LME Aluminum Futures^ | 07/2016 | (5,903,575 | ) | (5,921,100 | ) | (17,525 | ) | |||||||||||
211 | JPPC | LME Aluminum Futures^ | 07/2016 | (8,676,753 | ) | (8,674,738 | ) | 2,015 | ||||||||||||
160 | JPPC | LME Aluminum Futures^ | 07/2016 | (6,599,528 | ) | (6,579,600 | ) | 19,928 | ||||||||||||
28 | JPPC | LME Aluminum Futures^ | 07/2016 | (1,154,231 | ) | (1,151,717 | ) | 2,514 | ||||||||||||
22 | JPPC | LME Aluminum Futures^ | 08/2016 | (900,571 | ) | (905,437 | ) | (4,866 | ) | |||||||||||
421 | JPPC | LME Aluminum Futures^ | 08/2016 | (16,289,982 | ) | (17,338,148 | ) | (1,048,166 | ) | |||||||||||
214 | JPPC | LME Aluminum Futures^ | 08/2016 | (8,254,612 | ) | (8,816,105 | ) | (561,493 | ) | |||||||||||
212 | JPPC | LME Aluminum Futures^ | 08/2016 | (8,203,238 | ) | (8,734,400 | ) | (531,162 | ) | |||||||||||
213 | JPPC | LME Aluminum Futures^ | 08/2016 | (8,219,241 | ) | (8,771,606 | ) | (552,365 | ) | |||||||||||
475 | JPPC | LME Aluminum Futures^ | 08/2016 | (18,473,888 | ) | (19,552,187 | ) | (1,078,299 | ) | |||||||||||
237 | JPPC | LME Aluminum Futures^ | 08/2016 | (9,137,032 | ) | (9,761,438 | ) | (624,406 | ) | |||||||||||
227 | JPPC | LME Aluminum Futures^ | 08/2016 | (8,851,664 | ) | (9,350,982 | ) | (499,318 | ) | |||||||||||
205 | JPPC | LME Aluminum Futures^ | 08/2016 | (7,936,298 | ) | (8,446,000 | ) | (509,702 | ) | |||||||||||
331 | JPPC | LME Aluminum Futures^ | 08/2016 | (12,887,271 | ) | (13,639,269 | ) | (751,998 | ) | |||||||||||
221 | JPPC | LME Aluminum Futures^ | 09/2016 | (8,598,148 | ) | (9,114,869 | ) | (516,721 | ) | |||||||||||
184 | JPPC | LME Aluminum Futures^ | 09/2016 | (7,188,343 | ) | (7,590,000 | ) | (401,657 | ) | |||||||||||
117 | JPPC | LME Aluminum Futures^ | 09/2016 | (4,659,238 | ) | (4,830,637 | ) | (171,399 | ) | |||||||||||
404 | JPPC | LME Aluminum Futures^ | 09/2016 | (16,060,360 | ) | (16,682,675 | ) | (622,315 | ) | |||||||||||
209 | JPPC | LME Aluminum Futures^ | 09/2016 | (8,234,088 | ) | (8,631,909 | ) | (397,821 | ) | |||||||||||
211 | JPPC | LME Aluminum Futures^ | 09/2016 | (8,476,408 | ) | (8,714,880 | ) | (238,472 | ) | |||||||||||
225 | JPPC | LME Aluminum Futures^ | 09/2016 | (9,072,461 | ) | (9,293,512 | ) | (221,051 | ) | |||||||||||
431 | JPPC | LME Aluminum Futures^ | 09/2016 | (17,416,737 | ) | (17,802,994 | ) | (386,257 | ) | |||||||||||
2,668 | JPPC | LME Aluminum Futures^ | 09/2016 | (104,124,564 | ) | (110,138,375 | ) | (6,013,811 | ) | |||||||||||
225 | JPPC | LME Aluminum Futures^ | 09/2016 | (9,111,949 | ) | (9,293,907 | ) | (181,958 | ) | |||||||||||
211 | JPPC | LME Aluminum Futures^ | 09/2016 | (8,629,278 | ) | (8,706,388 | ) | (77,110 | ) | |||||||||||
210 | JPPC | LME Aluminum Futures^ | 09/2016 | (8,486,950 | ) | (8,659,612 | ) | (172,662 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
101
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
212 | JPPC | LME Aluminum Futures^ | 09/2016 | $ (8,537,781 | ) | $ (8,741,290 | ) | $ (203,509 | ) | |||||||||||
184 | JPPC | LME Aluminum Futures^ | 09/2016 | (7,484,899 | ) | (7,586,090 | ) | (101,191 | ) | |||||||||||
157 | JPPC | LME Aluminum Futures^ | 09/2016 | (6,409,062 | ) | (6,472,325 | ) | (63,263 | ) | |||||||||||
44 | JPPC | LME Copper Futures^ | 07/2016 | (5,248,793 | ) | (5,324,000 | ) | (75,207 | ) | |||||||||||
39 | JPPC | LME Copper Futures^ | 07/2016 | (4,648,067 | ) | (4,719,332 | ) | (71,265 | ) | |||||||||||
6 | JPPC | LME Copper Futures^ | 07/2016 | (706,252 | ) | (726,104 | ) | (19,852 | ) | |||||||||||
54 | JPPC | LME Copper Futures^ | 07/2016 | (6,286,273 | ) | (6,535,391 | ) | (249,118 | ) | |||||||||||
49 | JPPC | LME Copper Futures^ | 07/2016 | (5,703,795 | ) | (5,931,523 | ) | (227,728 | ) | |||||||||||
103 | JPPC | LME Copper Futures^ | 07/2016 | (12,121,943 | ) | (12,469,206 | ) | (347,263 | ) | |||||||||||
11 | JPPC | LME Copper Futures^ | 07/2016 | (1,326,262 | ) | (1,331,756 | ) | (5,494 | ) | |||||||||||
4 | JPPC | LME Copper Futures^ | 07/2016 | (492,990 | ) | (484,175 | ) | 8,815 | ||||||||||||
75 | JPPC | LME Copper Futures^ | 07/2016 | (9,418,879 | ) | (9,078,750 | ) | 340,129 | ||||||||||||
84 | JPPC | LME Copper Futures^ | 07/2016 | (10,541,794 | ) | (10,168,725 | ) | 373,069 | ||||||||||||
57 | JPPC | LME Copper Futures^ | 07/2016 | (7,136,617 | ) | (6,901,275 | ) | 235,342 | ||||||||||||
24 | JPPC | LME Copper Futures^ | 07/2016 | (2,957,287 | ) | (2,905,950 | ) | 51,337 | ||||||||||||
13 | JPPC | LME Copper Futures^ | 07/2016 | (1,605,358 | ) | (1,574,138 | ) | 31,220 | ||||||||||||
53 | JPPC | LME Copper Futures^ | 08/2016 | (6,505,620 | ) | (6,420,022 | ) | 85,598 | ||||||||||||
17 | JPPC | LME Copper Futures^ | 08/2016 | (2,073,533 | ) | (2,059,380 | ) | 14,153 | ||||||||||||
180 | JPPC | LME Copper Futures^ | 08/2016 | (21,229,892 | ) | (21,814,650 | ) | (584,758 | ) | |||||||||||
238 | JPPC | LME Copper Futures^ | 08/2016 | (27,619,858 | ) | (28,845,600 | ) | (1,225,742 | ) | |||||||||||
143 | JPPC | LME Copper Futures^ | 08/2016 | (16,608,297 | ) | (17,329,204 | ) | (720,907 | ) | |||||||||||
37 | JPPC | LME Copper Futures^ | 08/2016 | (4,291,318 | ) | (4,483,475 | ) | (192,157 | ) | |||||||||||
51 | JPPC | LME Copper Futures^ | 08/2016 | (5,853,148 | ) | (6,179,708 | ) | (326,560 | ) | |||||||||||
217 | JPPC | LME Copper Futures^ | 08/2016 | (24,932,628 | ) | (26,293,184 | ) | (1,360,556 | ) | |||||||||||
119 | JPPC | LME Copper Futures^ | 08/2016 | (13,581,363 | ) | (14,417,832 | ) | (836,469 | ) | |||||||||||
103 | JPPC | LME Copper Futures^ | 08/2016 | (11,851,154 | ) | (12,478,888 | ) | (627,734 | ) | |||||||||||
56 | JPPC | LME Copper Futures^ | 08/2016 | (6,499,766 | ) | (6,784,400 | ) | (284,634 | ) | |||||||||||
88 | JPPC | LME Copper Futures^ | 08/2016 | (10,315,216 | ) | (10,661,398 | ) | (346,182 | ) | |||||||||||
239 | JPPC | LME Copper Futures^ | 09/2016 | (27,419,041 | ) | (28,958,494 | ) | (1,539,453 | ) | |||||||||||
295 | JPPC | LME Copper Futures^ | 09/2016 | (34,132,063 | ) | (35,744,339 | ) | (1,612,276 | ) | |||||||||||
54 | JPPC | LME Copper Futures^ | 09/2016 | (6,169,368 | ) | (6,544,665 | ) | (375,297 | ) | |||||||||||
1,745 | JPPC | LME Copper Futures^ | 09/2016 | (202,529,230 | ) | (211,494,000 | ) | (8,964,770 | ) | |||||||||||
130 | JPPC | LME Copper Futures^ | 09/2016 | (15,333,181 | ) | (15,747,875 | ) | (414,694 | ) | |||||||||||
211 | JPPC | LME Copper Futures^ | 09/2016 | (24,846,898 | ) | (25,558,694 | ) | (711,796 | ) | |||||||||||
161 | JPPC | LME Copper Futures^ | 09/2016 | (19,364,481 | ) | (19,501,447 | ) | (136,966 | ) | |||||||||||
89 | JPPC | LME Copper Futures^ | 09/2016 | (10,750,982 | ) | (10,780,125 | ) | (29,143 | ) | |||||||||||
21 | JPPC | LME Nickel Futures^ | 07/2016 | (1,162,614 | ) | (1,185,660 | ) | (23,046 | ) | |||||||||||
40 | JPPC | LME Nickel Futures^ | 07/2016 | (2,277,982 | ) | (2,258,537 | ) | 19,445 | ||||||||||||
45 | JPPC | LME Nickel Futures^ | 07/2016 | (2,473,090 | ) | (2,541,008 | ) | (67,918 | ) | |||||||||||
12 | JPPC | LME Nickel Futures^ | 07/2016 | (654,451 | ) | (677,726 | ) | (23,275 | ) | |||||||||||
63 | JPPC | LME Nickel Futures^ | 08/2016 | (3,598,374 | ) | (3,560,004 | ) | 38,370 | ||||||||||||
26 | JPPC | LME Nickel Futures^ | 08/2016 | (1,468,676 | ) | (1,469,297 | ) | (621 | ) | |||||||||||
70 | JPPC | LME Nickel Futures^ | 08/2016 | (3,918,813 | ) | (3,956,038 | ) | (37,225 | ) | |||||||||||
22 | JPPC | LME Nickel Futures^ | 08/2016 | (1,145,371 | ) | (1,244,157 | ) | (98,786 | ) | |||||||||||
18 | JPPC | LME Nickel Futures^ | 08/2016 | (940,127 | ) | (1,018,008 | ) | (77,881 | ) | |||||||||||
25 | JPPC | LME Nickel Futures^ | 08/2016 | (1,293,922 | ) | (1,413,969 | ) | (120,047 | ) | |||||||||||
130 | JPPC | LME Nickel Futures^ | 08/2016 | (6,670,995 | ) | (7,352,990 | ) | (681,995 | ) | |||||||||||
58 | JPPC | LME Nickel Futures^ | 08/2016 | (2,917,546 | ) | (3,281,202 | ) | (363,656 | ) | |||||||||||
53 | JPPC | LME Nickel Futures^ | 08/2016 | (2,664,670 | ) | (2,998,485 | ) | (333,815 | ) | |||||||||||
38 | JPPC | LME Nickel Futures^ | 08/2016 | (1,913,706 | ) | (2,149,962 | ) | (236,256 | ) | |||||||||||
107 | JPPC | LME Nickel Futures^ | 08/2016 | (5,408,806 | ) | (6,054,131 | ) | (645,325 | ) | |||||||||||
39 | JPPC | LME Nickel Futures^ | 09/2016 | (1,960,635 | ) | (2,207,289 | ) | (246,654 | ) | |||||||||||
108 | JPPC | LME Nickel Futures^ | 09/2016 | (5,491,055 | ) | (6,112,784 | ) | (621,729 | ) | |||||||||||
53 | JPPC | LME Nickel Futures^ | 09/2016 | (2,763,167 | ) | (3,000,375 | ) | (237,208 | ) | |||||||||||
47 | JPPC | LME Nickel Futures^ | 09/2016 | (2,425,323 | ) | (2,660,839 | ) | (235,516 | ) | |||||||||||
20 | JPPC | LME Nickel Futures^ | 09/2016 | (1,057,741 | ) | (1,132,327 | ) | (74,586 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
102
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
69 | JPPC | LME Nickel Futures^ | 09/2016 | $ (3,687,131 | ) | $ (3,908,040 | ) | $ (220,909 | ) | |||||||||||
763 | JPPC | LME Nickel Futures^ | 09/2016 | (38,931,300 | ) | (43,225,476 | ) | (4,294,176 | ) | |||||||||||
57 | JPPC | LME Nickel Futures^ | 09/2016 | (3,139,392 | ) | (3,229,007 | ) | (89,615 | ) | |||||||||||
27 | JPPC | LME Nickel Futures^ | 09/2016 | (1,501,674 | ) | (1,529,658 | ) | (27,984 | ) | |||||||||||
54 | JPPC | LME Nickel Futures^ | 09/2016 | (2,945,568 | ) | (3,059,856 | ) | (114,288 | ) | |||||||||||
52 | JPPC | LME Nickel Futures^ | 09/2016 | (2,867,621 | ) | (2,946,631 | ) | (79,010 | ) | |||||||||||
30 | JPPC | LME Nickel Futures^ | 09/2016 | (1,679,326 | ) | (1,700,040 | ) | (20,714 | ) | |||||||||||
42 | JPPC | LME Nickel Futures^ | 09/2016 | (9,936,940 | ) | (9,917,250 | ) | 19,690 | ||||||||||||
14 | JPPC | LME Zinc Futures^ | 07/2016 | (660,591 | ) | (735,543 | ) | (74,952 | ) | |||||||||||
24 | JPPC | LME Zinc Futures^ | 07/2016 | (1,122,541 | ) | (1,260,840 | ) | (138,299 | ) | |||||||||||
21 | JPPC | LME Zinc Futures^ | 07/2016 | (998,940 | ) | (1,103,157 | ) | (104,217 | ) | |||||||||||
19 | JPPC | LME Zinc Futures^ | 07/2016 | (892,003 | ) | (998,112 | ) | (106,109 | ) | |||||||||||
10 | JPPC | LME Zinc Futures^ | 07/2016 | (484,940 | ) | (525,332 | ) | (40,392 | ) | |||||||||||
26 | JPPC | LME Zinc Futures^ | 08/2016 | (1,196,983 | ) | (1,368,205 | ) | (171,222 | ) | |||||||||||
43 | JPPC | LME Zinc Futures^ | 08/2016 | (1,963,365 | ) | (2,262,875 | ) | (299,510 | ) | |||||||||||
86 | JPPC | LME Zinc Futures^ | 08/2016 | (3,946,291 | ) | (4,525,987 | ) | (579,696 | ) | |||||||||||
175 | JPPC | LME Zinc Futures^ | 08/2016 | (8,222,163 | ) | (9,210,293 | ) | (988,130 | ) | |||||||||||
266 | JPPC | LME Zinc Futures^ | 09/2016 | (13,266,293 | ) | (14,004,634 | ) | (738,341 | ) | |||||||||||
114 | JPPC | LME Zinc Futures^ | 09/2016 | (5,770,971 | ) | (6,003,212 | ) | (232,241 | ) | |||||||||||
13 | JPPC | LME Zinc Futures^ | 09/2016 | (658,012 | ) | (684,648 | ) | (26,636 | ) | |||||||||||
49 | JPPC | LME Zinc Futures^ | 09/2016 | (2,537,115 | ) | (2,580,719 | ) | (43,604 | ) | |||||||||||
50 | JPPC | LME Zinc Futures^ | 09/2016 | (2,587,352 | ) | (2,633,925 | ) | (46,573 | ) | |||||||||||
30 | JPPC | LME Zinc Futures^ | 09/2016 | (1,530,676 | ) | (1,580,437 | ) | (49,761 | ) | |||||||||||
45 | JPPC | LME Zinc Futures^ | 09/2016 | (2,290,390 | ) | (2,370,432 | ) | (80,042 | ) | |||||||||||
81 | JPPC | LME Zinc Futures^ | 09/2016 | (4,074,577 | ) | (4,266,372 | ) | (191,795 | ) | |||||||||||
312 | JPPC | LME Zinc Futures^ | 09/2016 | (15,315,632 | ) | (16,428,750 | ) | (1,113,118 | ) | |||||||||||
37 | JPPC | LME Zinc Futures^ | 09/2016 | (1,851,759 | ) | (1,948,466 | ) | (96,707 | ) | |||||||||||
8 | JPPC | LME Zinc Futures^ | 09/2016 | (409,180 | ) | (420,950 | ) | (11,770 | ) | |||||||||||
106 | JPPC | LME Zinc Futures^ | 09/2016 | (5,312,990 | ) | (5,576,633 | ) | (263,643 | ) | |||||||||||
38 | JPPC | LME Zinc Futures^ | 09/2016 | (1,926,982 | ) | (1,999,209 | ) | (72,227 | ) | |||||||||||
963 | MSCL | NYME Palladium Futures^ | 09/2016 | (52,445,214 | ) | (57,524,805 | ) | (5,079,591 | ) | |||||||||||
232 | MSCL | Platinum Futures^ | 10/2016 | (11,451,590 | ) | (11,881,880 | ) | (430,290 | ) | |||||||||||
928 | MSCL | Soybean Oil Futures^ | 12/2016 | (18,239,289 | ) | (17,856,576 | ) | 382,713 | ||||||||||||
4,382 | MSCL | Wheat Futures^ | 09/2016 | (102,309,207 | ) | (97,609,050 | ) | 4,700,157 | ||||||||||||
696 | MSCL | WTI Crude Futures^ | 07/2016 | (32,985,765 | ) | (33,637,680 | ) | (651,915 | ) | |||||||||||
669 | BARC | Amsterdam Index Futures | 07/2016 | (62,230,279 | ) | (64,635,324 | ) | (2,405,045 | ) | |||||||||||
2,542 | BARC | CAC40 Index Futures | 07/2016 | (117,170,120 | ) | (119,440,483 | ) | (2,270,363 | ) | |||||||||||
540 | BARC | DAX Index Futures | 09/2016 | (143,237,698 | ) | (144,849,840 | ) | (1,612,142 | ) | |||||||||||
656 | BARC | E-Mini DJIA CBOT Futures | 09/2016 | (56,642,152 | ) | (58,446,320 | ) | (1,804,168 | ) | |||||||||||
231 | JPMS | E-Mini MSCI EAFE Index Futures | 09/2016 | (18,068,769 | ) | (18,655,560 | ) | (586,791 | ) | |||||||||||
1,998 | JPMS | E-Mini MSCI Emerging Markets Index Futures | 09/2016 | (81,079,317 | ) | (83,386,530 | ) | (2,307,213 | ) | |||||||||||
983 | BARC | E-Mini Russell 2000 Futures | 09/2016 | (108,287,438 | ) | (112,789,419 | ) | (4,501,981 | ) | |||||||||||
4,120 | BARC | Euro Stoxx 50 Index Futures | 09/2016 | (128,696,933 | ) | (130,535,453 | ) | (1,838,520 | ) | |||||||||||
549 | BARC | FTSE 100 Index Futures | 09/2016 | (44,497,606 | ) | (46,939,241 | ) | (2,441,635 | ) | |||||||||||
2,505 | JPMS | FTSE China A50 Index Fut Jul16 | 07/2016 | (22,688,668 | ) | (23,133,675 | ) | (445,007 | ) | |||||||||||
935 | JPMS | FTSE/JSE Top 40 Index Futures | 09/2016 | (29,491,288 | ) | (29,486,020 | ) | 5,268 | ||||||||||||
525 | BARC | FTSE/MIB Index Futures | 09/2016 | (47,142,574 | ) | (47,165,901 | ) | (23,327 | ) | |||||||||||
935 | BARC | Hang Seng Index Futures | 07/2016 | (120,614,413 | ) | (126,225,783 | ) | (5,611,370 | ) | |||||||||||
770 | BARC | H-SHARES Index Futures | 07/2016 | (41,787,554 | ) | (43,298,295 | ) | (1,510,741 | ) | |||||||||||
1,379 | BARC | IBEX 35 Index Futures | 07/2016 | (123,854,319 | ) | (124,375,748 | ) | (521,429 | ) | |||||||||||
1,538 | BARC | MSCI Singapore Index Futures | 07/2016 | (34,808,502 | ) | (36,226,516 | ) | (1,418,014 | ) | |||||||||||
2,144 | BARC | NASDAQ 100 E-Mini Futures | 09/2016 | (181,679,034 | ) | (188,972,160 | ) | (7,293,126 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
103
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
1,920 | JPMS | Nikkei 225 Futures | 09/2016 | $ (306,396,713 | ) | $ (289,492,083 | ) | $ 16,904,630 | ||||||||||||
2,761 | JPMS | OMXS30 Index Futures | 07/2016 | (41,928,965 | ) | (43,026,918 | ) | (1,097,953 | ) | |||||||||||
914 | BARC | S&P 500 E-Mini Futures | 09/2016 | (92,210,788 | ) | (95,522,140 | ) | (3,311,352 | ) | |||||||||||
216 | BARC | SPI 200 Index Futures | 09/2016 | (20,843,322 | ) | (20,845,407 | ) | (2,085 | ) | |||||||||||
2,244 | BARC | TOPIX Index Futures | 09/2016 | (287,791,601 | ) | (270,653,368 | ) | 17,138,233 | ||||||||||||
1,807 | JPMS | Canadian 3-Month Bank Acceptance Futures | 09/2016 | (346,182,841 | ) | (346,588,181 | ) | (405,340 | ) | |||||||||||
2,072 | JPMS | Canadian 3-Month Bank Acceptance Futures | 12/2016 | (397,188,763 | ) | (397,476,141 | ) | (287,378 | ) | |||||||||||
591 | JPMS | Canadian 3-Month Bank Acceptance Futures | 03/2017 | (113,343,327 | ) | (113,384,215 | ) | (40,888 | ) | |||||||||||
256 | JPMS | Euro CHF 3-Month Futures | 03/2017 | (66,098,616 | ) | (66,248,029 | ) | (149,413 | ) | |||||||||||
461 | JPMS | Euro CHF 3-Month LIFFE Futures | 09/2016 | (118,973,196 | ) | (119,191,987 | ) | (218,791 | ) | |||||||||||
480 | JPMS | Euro CHF 3-Month LIFFE Futures | 12/2016 | (123,902,596 | ) | (124,178,188 | ) | (275,592 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(5,035,072,744 | ) | (5,092,115,442 | ) | (57,042,698 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$47,047,104,498 | $47,369,482,589 | $322,378,091 | ||||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | 726,756,800 | $535,970,548 | $540,449,743 | $4,479,195 | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | 1,090,135,200 | 803,959,880 | 810,674,613 | 6,714,733 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | 280,419,200 | 77,804,780 | 85,201,450 | 7,396,670 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | 420,628,800 | 116,707,318 | 127,802,172 | 11,094,854 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | 432,636,800 | 337,741,546 | 334,923,791 | (2,817,755 | ) | |||||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | 648,955,200 | 506,608,416 | 502,385,684 | (4,222,732 | ) | |||||||||||||
Chilean Peso, Expiring 09/21/16* | CITI | CLP | 15,544,790,800 | 22,841,870 | 23,318,788 | 476,918 | ||||||||||||||
Chilean Peso, Expiring 09/21/16* | JPMC | CLP | 23,317,186,200 | 34,262,850 | 34,978,180 | 715,330 | ||||||||||||||
Colombian Peso, Expiring 09/21/16* | CITI | COP | 13,088,470,000 | 4,379,920 | 4,406,365 | 26,445 | ||||||||||||||
Colombian Peso, Expiring 09/21/16* | JPMC | COP | 14,672,499,000 | 4,887,599 | 4,939,644 | 52,045 | ||||||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | 839,472,389 | 941,175,414 | 934,330,229 | (6,845,185 | ) | |||||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | 1,259,208,583 | 1,411,767,848 | 1,401,495,343 | (10,272,505 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
104
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | 165,609,000 | $ 243,461,451 | $ 220,637,215 | $ (22,824,236 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | 248,145,000 | 364,798,208 | 330,598,105 | (34,200,103 | ) | |||||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | 20,446,548,000 | 74,003,725 | 71,851,070 | (2,152,655 | ) | |||||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | 30,304,857,000 | 109,682,222 | 106,494,084 | (3,188,138 | ) | |||||||||||||
Indonesian Rupiah, Expiring 09/21/16* | CITI | IDR | 965,547,784,156 | 69,918,056 | 72,054,003 | 2,135,947 | ||||||||||||||
Indonesian Rupiah, Expiring 09/21/16* | JPMC | IDR | 1,399,965,417,736 | 101,296,571 | 104,472,419 | 3,175,848 | ||||||||||||||
Israeli Shekel, Expiring 09/21/16 | CITI | ILS | 96,868,001 | 25,320,193 | 25,146,745 | (173,448 | ) | |||||||||||||
Israeli Shekel, Expiring 09/21/16 | JPMC | ILS | 131,922,000 | 34,491,500 | 34,246,694 | (244,806 | ) | |||||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | 3,843,826,800 | 56,083,838 | 56,168,287 | 84,449 | ||||||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | 5,744,026,200 | 83,807,006 | 83,935,135 | 128,129 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | 194,304,883,601 | 1,782,602,644 | 1,886,763,568 | 104,160,924 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | 291,457,325,399 | 2,673,907,309 | 2,830,145,354 | 156,238,045 | ||||||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | 182,226,725,600 | 156,657,344 | 158,077,310 | 1,419,966 | ||||||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | 273,340,088,400 | 234,986,308 | 237,115,968 | 2,129,660 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | 1,675,718,800 | 88,997,131 | 90,927,830 | 1,930,699 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | 2,513,578,200 | 133,478,722 | 136,391,742 | 2,913,020 | ||||||||||||||
Malaysian Ringgit, Expiring 09/21/16* | CITI | MYR | 79,419,400 | 19,513,137 | 19,594,169 | 81,032 | ||||||||||||||
Malaysian Ringgit, Expiring 09/21/16* | JPMC | MYR | 103,455,600 | 25,417,793 | 25,524,325 | 106,532 | ||||||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | 471,380,800 | 57,401,400 | 56,317,708 | (1,083,692 | ) | |||||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | 707,071,200 | 86,102,207 | 84,476,563 | (1,625,644 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | 1,230,143,200 | 846,133,909 | 874,781,816 | 28,647,907 | ||||||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | 1,845,214,800 | 1,269,202,451 | 1,312,172,721 | 42,970,270 | ||||||||||||||
Philippine Peso, Expiring 09/21/16* | CITI | PHP | 2,056,921,600 | 43,841,552 | 43,572,859 | (268,693 | ) | |||||||||||||
Philippine Peso, Expiring 09/21/16* | JPMC | PHP | 3,085,382,400 | 65,762,415 | 65,359,289 | (403,126 | ) | |||||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | 392,096,000 | 101,392,882 | 99,203,236 | (2,189,646 | ) | |||||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | 588,144,000 | 152,102,369 | 148,804,853 | (3,297,516 | ) | |||||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | 725,106,800 | 89,554,818 | 86,002,915 | (3,551,903 | ) | |||||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | 1,087,660,200 | 134,332,394 | 129,004,375 | (5,328,019 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
105
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | 64,687,600 | $ 47,686,315 | $ 47,979,756 | $ 293,441 | ||||||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | 97,031,400 | 71,527,069 | 71,969,633 | 442,564 | ||||||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | 342,567,000 | 113,813,824 | 116,907,968 | 3,094,144 | ||||||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | 511,785,000 | 169,961,574 | 174,657,059 | 4,695,485 | ||||||||||||||
New Taiwan Dollar, Expiring 09/21/16* | CITI | TWD | 644,074,000 | 19,859,029 | 20,001,244 | 142,215 | ||||||||||||||
New Taiwan Dollar, Expiring 09/21/16* | JPMC | TWD | 689,517,000 | 21,309,263 | 21,412,443 | 103,180 | ||||||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | 2,052,425,200 | 134,545,397 | 137,112,708 | 2,567,311 | ||||||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | 3,078,637,800 | 201,784,669 | 205,669,065 | 3,884,396 | ||||||||||||||
|
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|
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| |||||||||||||||
$14,702,844,684 | $14,990,456,236 | $287,611,552 | ||||||||||||||||||
|
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| |||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | (1,272,764,000 | ) | $(916,060,923 | ) | $(946,485,777 | ) | $(30,424,854 | ) | ||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | (1,909,146,000 | ) | (1,374,089,666 | ) | (1,419,728,667 | ) | (45,639,001 | ) | ||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | (490,700,801 | ) | (376,873,738 | ) | (379,873,770 | ) | (3,000,032 | ) | ||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | (736,051,200 | ) | (565,322,791 | ) | (569,810,653 | ) | (4,487,862 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | (5,764,800 | ) | (5,881,331 | ) | (5,930,716 | ) | (49,385 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | (6,697,200 | ) | (6,810,893 | ) | (6,889,951 | ) | (79,058 | ) | ||||||||||
Chilean Peso, Expiring 09/21/16* | CITI | CLP | (17,695,970,800 | ) | (25,339,014 | ) | (26,545,779 | ) | (1,206,765 | ) | ||||||||||
Chilean Peso, Expiring 09/21/16* | JPMC | CLP | (23,755,318,200 | ) | (34,000,957 | ) | (35,635,424 | ) | (1,634,467 | ) | ||||||||||
Colombian Peso, Expiring 09/21/16* | CITI | COP | (6,557,264,000 | ) | (2,065,853 | ) | (2,207,568 | ) | (141,715 | ) | ||||||||||
Colombian Peso, Expiring 09/21/16* | JPMC | COP | (5,513,199,000 | ) | (1,742,430 | ) | (1,856,074 | ) | (113,644 | ) | ||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (944,031,600 | ) | (1,066,826,103 | ) | (1,050,704,315 | ) | 16,121,788 | |||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | (1,416,047,400 | ) | (1,600,237,154 | ) | (1,576,056,470 | ) | 24,180,684 | |||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | (431,920,000 | ) | (618,185,362 | ) | (575,437,479 | ) | 42,747,883 | |||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | (647,880,000 | ) | (927,263,061 | ) | (863,156,221 | ) | 64,106,840 | |||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | (92,357,000 | ) | (11,911,389 | ) | (11,916,133 | ) | (4,744 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | (16,647,000 | ) | (2,146,104 | ) | (2,147,838 | ) | (1,734 | ) | ||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | (21,584,494,400 | ) | (76,504,637 | ) | (75,849,920 | ) | 654,717 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
106
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | (32,376,741,598 | ) | $ (114,772,184 | ) | $ (113,774,881 | ) | $ 997,303 | |||||||||||
Indonesian Rupiah, Expiring 09/21/16* | CITI | IDR | (180,148,251,000 | ) | (12,972,438 | ) | (13,443,562 | ) | (471,124 | ) | ||||||||||
Indonesian Rupiah, Expiring 09/21/16* | JPMC | IDR | (237,319,743,000 | ) | (17,015,633 | ) | (17,709,986 | ) | (694,353 | ) | ||||||||||
Israeli Shekel, Expiring 09/21/16 | CITI | ILS | (172,525,600 | ) | (44,734,223 | ) | (44,787,308 | ) | (53,085 | ) | ||||||||||
Israeli Shekel, Expiring 09/21/16 | JPMC | ILS | (258,788,400 | ) | (67,093,191 | ) | (67,180,963 | ) | (87,772 | ) | ||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | (3,141,891,400 | ) | (45,781,393 | ) | (45,911,189 | ) | (129,796 | ) | ||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | (2,864,616,600 | ) | (41,690,032 | ) | (41,859,485 | ) | (169,453 | ) | ||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | (81,417,933,202 | ) | (785,104,008 | ) | (790,594,591 | ) | (5,490,583 | ) | ||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | (122,126,899,798 | ) | (1,177,654,544 | ) | (1,185,891,889 | ) | (8,237,345 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | (372,006,210,400 | ) | (314,299,596 | ) | (322,706,460 | ) | (8,406,864 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | (558,009,315,600 | ) | (471,448,806 | ) | (484,059,688 | ) | (12,610,882 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | (3,878,785,200 | ) | (207,046,255 | ) | (210,470,586 | ) | (3,424,331 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | (5,818,177,800 | ) | (310,574,391 | ) | (315,705,877 | ) | (5,131,486 | ) | ||||||||||
Malaysian Ringgit, Expiring 09/21/16* | CITI | MYR | (161,492,600 | ) | (39,143,052 | ) | (39,843,077 | ) | (700,025 | ) | ||||||||||
Malaysian Ringgit, Expiring 09/21/16* | JPMC | MYR | (235,190,400 | ) | (57,025,847 | ) | (58,025,627 | ) | (999,780 | ) | ||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | (1,354,705,602 | ) | (162,351,658 | ) | (161,851,980 | ) | 499,678 | |||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | (2,008,640,402 | ) | (240,661,085 | ) | (239,980,128 | ) | 680,957 | |||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | (399,378,000 | ) | (269,667,480 | ) | (284,006,456 | ) | (14,338,976 | ) | ||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | (599,066,998 | ) | (404,504,847 | ) | (426,009,683 | ) | (21,504,836 | ) | ||||||||||
Philippine Peso, Expiring 09/21/16* | CITI | PHP | (1,295,423,600 | ) | (27,657,501 | ) | (27,441,644 | ) | 215,857 | |||||||||||
Philippine Peso, Expiring 09/21/16* | JPMC | PHP | (1,855,733,400 | ) | (39,611,231 | ) | (39,310,985 | ) | 300,246 | |||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | (936,134,000 | ) | (236,819,204 | ) | (236,848,938 | ) | (29,734 | ) | ||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | (1,404,201,000 | ) | (355,232,058 | ) | (355,273,408 | ) | (41,350 | ) | ||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | (2,347,130,400 | ) | (282,084,361 | ) | (278,386,658 | ) | 3,697,703 | |||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | (3,520,695,599 | ) | (423,125,148 | ) | (417,579,987 | ) | 5,545,161 | |||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | (62,561,200 | ) | (45,512,292 | ) | (46,402,573 | ) | (890,281 | ) | ||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | (86,851,800 | ) | (63,221,263 | ) | (64,419,275 | ) | (1,198,012 | ) | ||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | (34,675,600 | ) | (11,391,416 | ) | (11,833,755 | ) | (442,339 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
107
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | (52,013,400 | ) | $ (17,087,102 | ) | $ (17,750,632 | ) | $ (663,530 | ) | ||||||||||
New Taiwan Dollar, Expiring 09/21/16* | CITI | TWD | (1,576,599,401 | ) | (48,393,718 | ) | (48,960,134 | ) | (566,416 | ) | ||||||||||
New Taiwan Dollar, Expiring 09/21/16* | JPMC | TWD | (2,231,016,600 | ) | (68,459,742 | ) | (69,282,578 | ) | (822,836 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | (2,052,425,200 | ) | (128,768,094 | ) | (137,112,709 | ) | (8,344,615 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | (3,078,637,800 | ) | (193,173,516 | ) | (205,669,064 | ) | (12,495,548 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(14,335,338,715 | ) | (14,370,318,511 | ) | (34,979,796 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$367,505,969 | $620,137,725 | $252,631,756 | ||||||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
108
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
BANA | ||||||||||
Investment Companies | $7,750,000 | $— | $7,750,000 | |||||||
| ||||||||||
BARC | ||||||||||
Cash | — | 121,476,834 | 121,476,834 | |||||||
| ||||||||||
CITI | ||||||||||
Cash | (35,070,000 | ) | — | (35,070,000 | ) | |||||
| ||||||||||
GSCO | ||||||||||
Cash | — | (108,426,642) | (108,426,642 | ) | ||||||
U.S. Treasury Bills | — | 77,289,133 | 77,289,133 | |||||||
| ||||||||||
JPMC | ||||||||||
Cash | (17,670,000 | ) | — | (17,670,000 | ) | |||||
| ||||||||||
JPMS | ||||||||||
Cash | — | (62,206,112) | (62,206,112 | ) | ||||||
U.S. Treasury Bills | — | 151,815,928 | 151,815,928 | |||||||
| ||||||||||
MSCS | ||||||||||
Investment Companies | 20,994,219 | — | 20,994,219 | |||||||
| ||||||||||
MSCL | ||||||||||
Cash | — | (99,181,894) | (99,181,894 | ) | ||||||
U.S. Treasury Bills | — | 61,289,760 | 61,289,760 | |||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
CITI | ||||||||||
Cash | $(3,630,000 | ) | $— | $(3,630,000 | ) | |||||
| ||||||||||
DBTK | ||||||||||
Investment Companies | 1,861,414 | — | 1,861,414 | |||||||
| ||||||||||
GSCO | ||||||||||
Cash | — | (873,376) | (873,376 | ) | ||||||
U.S. Treasury Bills | — | 3,565,401 | 3,565,401 | |||||||
| ||||||||||
JPPC | ||||||||||
Cash | — | 98,302 | 98,302 | |||||||
U.S. Treasury Bills | — | 43,944,199 | 43,944,199 | |||||||
| ||||||||||
MACQ | ||||||||||
Investment Companies | 28,940,000 | — | 28,940,000 | |||||||
| ||||||||||
MLIN | ||||||||||
Investment Companies | 34,190,000 | — | 34,190,000 | |||||||
| ||||||||||
MSCL | ||||||||||
Cash | — | (79,229,855) | (79,229,855 | ) | ||||||
U.S. Treasury Bills | — | 136,296,148 | 136,296,148 | |||||||
| ||||||||||
SOCG | ||||||||||
Investment Companies | 11,730,000 | — | 11,730,000 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
109
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
SHORT-TERM INVESTMENTS - 93.3% | SHARES | (Note 5) | ||||||
Investment Companies - 18.1% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(a)(b) | 128,285,225 | $ | 128,285,225 | |||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(a)(b) | 1,531,104 | 1,531,104 | ||||||
|
| |||||||
Total Investment Companies | 129,816,329 | |||||||
|
| |||||||
PRINCIPAL AMOUNT (000’s) | ||||||||
U.S. Treasury Obligations - 75.2% | ||||||||
U.S. Treasury Bill, 0.479%, 09/01/2016 ^(c) | $ | 34,309 | 34,295,276 | |||||
U.S. Treasury Bill, 0.480%, 11/25/2016 (c) | 10,872 | 10,860,519 | ||||||
U.S. Treasury Bill, 0.465%, 08/04/2016 ^(c) | 5,095 | 5,093,966 | ||||||
U.S. Treasury Bill, 0.401%, 12/15/2016 ^(c)(d) | 5,753 | 5,745,648 | ||||||
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(c)(d) | 43,531 | 43,488,296 | ||||||
U.S. Treasury Bill, 0.384%, 10/06/2016 ^(c) | 24,188 | 24,171,310 | ||||||
U.S. Treasury Bill, 0.422%, 08/11/2016 ^(c)(d) | 148,407 | 148,372,570 | ||||||
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(c) | 42,750 | 42,736,918 | ||||||
U.S. Treasury Bill, 0.370%, 07/21/2016 ^(c) | 24,833 | 24,830,467 | ||||||
U.S. Treasury Bill, 0.410%, 07/28/2016 (c) | 102,595 | 102,581,457 | ||||||
U.S. Treasury Bill, 0.471%, 07/14/2016 ^(c) | 34,484 | 34,482,448 | ||||||
U.S. Treasury Bill, 0.498%, 07/07/2016 ^(c) | 11,785 | 11,784,882 |
PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||
U.S. Treasury Obligations - 75.2% (continued) | ||||||||
U.S. Treasury Bill, 0.341%, 10/13/2016 ^(c) | $ | 27,714 | $ | 27,695,376 | ||||
U.S. Treasury Bill, 0.441%, 09/22/2016 ^(c) | 2,031 | 2,029,871 | ||||||
U.S. Treasury Bill, 0.401%, 12/22/2016 ^(c)(d) | 22,639 | 22,607,985 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 540,776,989 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (cost $670,441,975) | 670,593,318 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 93.3% | 670,593,318 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.7% (e) | 47,912,269 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 718,505,587 | ||||||
|
|
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | All or a portion of the security is pledged as collateral to the brokers for futures contracts. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Total return swap contracts outstanding as of June 30, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
BANA | Bovespa Index August Futures | 08/2016 | BRL | (14,697,104 | ) | $(147,483 | ) | |||||||
MACQ | Cocoa September Futures^ | 08/2016 | USD | (212,870 | ) | 4,487 | ||||||||
MACQ | Cocoa September Futures^ | 08/2016 | USD | 212,870 | (5,460 | ) | ||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | 11,857,486 | (1,861,061 | ) | ||||||||
CITI | Cotton No. 2 December Futures^ | 11/2016 | USD | 98,175 | (1,920 | ) | ||||||||
MACQ | Cotton No. 2 December Futures^ | 11/2016 | USD | 1,838,045 | (41,285 | ) | ||||||||
SOCG | Cotton No. 2 December Futures^ | 12/2016 | USD | 525,030 | (11,670 | ) | ||||||||
GSIN | H-SHARES Index July Futures | 07/2016 | HKD | (24,133,373 | ) | (150,683 | ) | |||||||
BANA | KOSPI Index 200 September Futures | 09/2016 | KRW | 4,827,902,739 | (53,130 | ) | ||||||||
SOCG | Lean Hogs July Futures^ | 07/2016 | USD | 332,420 | (1,020 | ) | ||||||||
SOCG | Lean Hogs July Futures^ | 07/2016 | USD | (332,420 | ) | (14,830 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
110
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
SOCG | Lean Hogs August Futures^ | 08/2016 | USD | 5,625,770 | $ (329,480 | ) | ||||||||||
SOCG | Live Cattle August Futures^ | 08/2016 | USD | (7,053,809 | ) | 210,239 | ||||||||||
MACQ | Live Cattle August Futures^ | 08/2016 | USD | 517,506 | 12,276 | |||||||||||
MACQ | Live Cattle August Futures^ | 08/2016 | USD | (15,575,070 | ) | 522,025 | ||||||||||
GSIN | MSCI Singapore Index July Futures | 07/2016 | SGD | (278,955 | ) | (4,910 | ) | |||||||||
GSIN | SGX FTSE China A50 Index July Futures | 07/2016 | USD | (1,853,924 | ) | (39,251 | ) | |||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | (12,048,734 | ) | (7,532 | ) | |||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | 27,470,640 | 207,360 | |||||||||||
SOCG | Soybean November Futures^ | 10/2016 | USD | 4,131,830 | 19,870 | |||||||||||
MACQ | Soybean November Futures^ | 10/2016 | USD | 10,389,434 | 47,478 | |||||||||||
CITI | Soybean Meal December Futures^ | 11/2016 | USD | 2,358,300 | 47,700 | |||||||||||
MACQ | Soybean Meal December Futures^ | 11/2016 | USD | 5,850,924 | (36,424 | ) | ||||||||||
SOCG | Soybean Meal December Futures^ | 11/2016 | USD | 3,088,347 | 79,553 | |||||||||||
MACQ | Soybean Oil December Futures^ | 11/2016 | USD | (1,031,498 | ) | (7,570 | ) | |||||||||
BANA | Swiss Market Index September Futures | 09/2016 | CHF | (7,663,218 | ) | (327,844 | ) | |||||||||
BANA | Taiwan Stock Exchange July Futures | 07/2016 | TWD | (108,567,190 | ) | (67,601 | ) | |||||||||
CITI | Wheat September Futures^ | 08/2016 | USD | (4,726,354 | ) | (394,270 | ) | |||||||||
CITI | Wheat September Futures^ | 08/2016 | USD | 2,627,784 | 378,009 | |||||||||||
|
| |||||||||||||||
$(1,974,427 | ) | |||||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
9 | MSCL | Cocoa Futures^ | 09/2016 | $269,541 | $266,670 | $(2,871 | ) | |||||||||||||
175 | GSCO | Cocoa Futures^ | 09/2016 | 5,362,601 | 5,477,096 | 114,495 | ||||||||||||||
130 | MSCL | Coffee ‘C’ Futures^ | 09/2016 | 6,829,482 | 7,100,437 | 270,955 | ||||||||||||||
34 | MSCL | Corn Futures^ | 09/2016 | 728,096 | 621,350 | (106,746 | ) | |||||||||||||
40 | MSCL | Cotton No. 2 Futures^ | 12/2016 | 1,310,225 | 1,283,400 | (26,825 | ) | |||||||||||||
13 | GSCO | Gas Oil Futures^ | 08/2016 | 584,374 | 580,125 | (4,249 | ) | |||||||||||||
833 | MSCL | Gold 100 OZ Futures^ | 08/2016 | 107,281,463 | 110,005,980 | 2,724,517 | ||||||||||||||
4 | MSCL | Lean Hogs Futures^ | 08/2016 | 138,614 | 133,240 | (5,374 | ) | |||||||||||||
10 | JPPC | LME Aluminum Futures^ | 07/2016 | 377,200 | 410,795 | 33,595 | ||||||||||||||
3 | JPPC | LME Aluminum Futures^ | 07/2016 | 112,928 | 123,253 | 10,325 | ||||||||||||||
16 | JPPC | LME Aluminum Futures^ | 07/2016 | 624,731 | 657,860 | 33,129 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 07/2016 | 698,313 | 740,174 | 41,861 | ||||||||||||||
9 | JPPC | LME Aluminum Futures^ | 07/2016 | 350,714 | 370,211 | 19,497 | ||||||||||||||
8 | JPPC | LME Aluminum Futures^ | 07/2016 | 314,782 | 329,115 | 14,333 | ||||||||||||||
10 | JPPC | LME Aluminum Futures^ | 07/2016 | 400,972 | 411,438 | 10,466 | ||||||||||||||
12 | JPPC | LME Aluminum Futures^ | 07/2016 | 490,089 | 493,425 | 3,336 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 07/2016 | 740,998 | 740,025 | (973 | ) | |||||||||||||
18 | JPPC | LME Aluminum Futures^ | 07/2016 | 741,625 | 740,205 | (1,420 | ) | |||||||||||||
8 | JPPC | LME Aluminum Futures^ | 08/2016 | 332,582 | 329,224 | (3,358 | ) | |||||||||||||
4 | JPPC | LME Aluminum Futures^ | 08/2016 | �� | 157,687 | 164,719 | 7,032 | |||||||||||||
37 | JPPC | LME Aluminum Futures^ | 08/2016 | 1,434,175 | 1,523,781 | 89,606 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | 693,647 | 741,541 | 47,894 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | 699,007 | 741,600 | 42,593 | ||||||||||||||
19 | JPPC | LME Aluminum Futures^ | 08/2016 | 730,131 | 782,444 | 52,313 | ||||||||||||||
35 | JPPC | LME Aluminum Futures^ | 08/2016 | 1,365,345 | 1,440,688 | 75,343 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
111
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | $ 694,574 | $ 741,375 | $ 46,801 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | 697,544 | 741,487 | 43,943 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 08/2016 | 659,642 | 700,400 | 40,758 | ||||||||||||||
26 | JPPC | LME Aluminum Futures^ | 08/2016 | 1,012,368 | 1,071,362 | 58,994 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | 660,598 | 701,144 | 40,546 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | 668,142 | 701,250 | 33,108 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 09/2016 | 38,869 | 41,281 | 2,412 | ||||||||||||||
10 | JPPC | LME Aluminum Futures^ | 09/2016 | 400,294 | 412,875 | 12,581 | ||||||||||||||
32 | JPPC | LME Aluminum Futures^ | 09/2016 | 1,271,349 | 1,321,400 | 50,051 | ||||||||||||||
16 | JPPC | LME Aluminum Futures^ | 09/2016 | 635,101 | 660,816 | 25,715 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | 682,782 | 702,147 | 19,365 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 09/2016 | 730,274 | 743,481 | 13,207 | ||||||||||||||
34 | JPPC | LME Aluminum Futures^ | 09/2016 | 1,368,831 | 1,404,412 | 35,581 | ||||||||||||||
242 | JPPC | LME Aluminum Futures^ | 09/2016 | 9,760,721 | 9,990,062 | 229,341 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 09/2016 | 730,693 | 743,512 | 12,819 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | 694,806 | 701,462 | 6,656 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | 682,977 | 701,016 | 18,039 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | 687,083 | 700,952 | 13,869 | ||||||||||||||
15 | JPPC | LME Aluminum Futures^ | 09/2016 | 609,981 | 618,432 | 8,451 | ||||||||||||||
13 | JPPC | LME Aluminum Futures^ | 09/2016 | 532,935 | 535,925 | 2,990 | ||||||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | 596,887 | 605,000 | 8,113 | ||||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | 237,855 | 242,017 | 4,162 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | 117,202 | 121,017 | 3,815 | ||||||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | 579,887 | 605,129 | 25,242 | ||||||||||||||
4 | JPPC | LME Copper Futures^ | 07/2016 | 464,012 | 484,206 | 20,194 | ||||||||||||||
9 | JPPC | LME Copper Futures^ | 07/2016 | 1,055,722 | 1,089,542 | 33,820 | ||||||||||||||
6 | JPPC | LME Copper Futures^ | 07/2016 | 750,648 | 726,300 | (24,348 | ) | |||||||||||||
8 | JPPC | LME Copper Futures^ | 07/2016 | 1,004,781 | 968,450 | (36,331 | ) | |||||||||||||
11 | JPPC | LME Copper Futures^ | 07/2016 | 1,374,622 | 1,331,825 | (42,797 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | 123,665 | 121,133 | (2,532 | ) | |||||||||||||
2 | JPPC | LME Copper Futures^ | 08/2016 | 244,319 | 242,280 | (2,039 | ) | |||||||||||||
16 | JPPC | LME Copper Futures^ | 08/2016 | 1,892,039 | 1,939,080 | 47,041 | ||||||||||||||
20 | JPPC | LME Copper Futures^ | 08/2016 | 2,323,175 | 2,424,000 | 100,825 | ||||||||||||||
13 | JPPC | LME Copper Futures^ | 08/2016 | 1,505,432 | 1,575,382 | 69,950 | ||||||||||||||
3 | JPPC | LME Copper Futures^ | 08/2016 | 348,014 | 363,525 | 15,511 | ||||||||||||||
4 | JPPC | LME Copper Futures^ | 08/2016 | 458,710 | 484,683 | 25,973 | ||||||||||||||
14 | JPPC | LME Copper Futures^ | 08/2016 | 1,615,934 | 1,696,334 | 80,400 | ||||||||||||||
9 | JPPC | LME Copper Futures^ | 08/2016 | 1,025,572 | 1,090,424 | 64,852 | ||||||||||||||
8 | JPPC | LME Copper Futures^ | 08/2016 | 920,338 | 969,234 | 48,896 | ||||||||||||||
5 | JPPC | LME Copper Futures^ | 08/2016 | 578,762 | 605,750 | 26,988 | ||||||||||||||
6 | JPPC | LME Copper Futures^ | 08/2016 | 703,699 | 726,914 | 23,215 | ||||||||||||||
19 | JPPC | LME Copper Futures^ | 09/2016 | 2,187,422 | 2,302,140 | 114,718 | ||||||||||||||
23 | JPPC | LME Copper Futures^ | 09/2016 | 2,662,281 | 2,786,846 | 124,565 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | 113,761 | 121,197 | 7,436 | ||||||||||||||
63 | JPPC | LME Copper Futures^ | 09/2016 | 7,435,818 | 7,635,600 | 199,782 | ||||||||||||||
11 | JPPC | LME Copper Futures^ | 09/2016 | 1,297,672 | 1,332,512 | 34,840 | ||||||||||||||
16 | JPPC | LME Copper Futures^ | 09/2016 | 1,884,216 | 1,938,100 | 53,884 | ||||||||||||||
12 | JPPC | LME Copper Futures^ | 09/2016 | 1,443,561 | 1,453,524 | 9,963 | ||||||||||||||
7 | JPPC | LME Copper Futures^ | 09/2016 | 845,426 | 847,875 | 2,449 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | 55,526 | 56,460 | 934 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 07/2016 | 168,317 | 169,390 | 1,073 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 07/2016 | 220,049 | 225,867 | 5,818 | ||||||||||||||
12 | JPPC | LME Nickel Futures^ | 07/2016 | 654,526 | 677,726 | 23,200 | ||||||||||||||
5 | JPPC | LME Nickel Futures^ | 08/2016 | 287,242 | 282,540 | (4,702 | ) | |||||||||||||
4 | JPPC | LME Nickel Futures^ | 08/2016 | 207,346 | 226,211 | 18,865 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 08/2016 | 52,071 | 56,556 | 4,485 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
112
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | $ 103,445 | $ 113,118 | $ 9,673 | ||||||||||||||
8 | JPPC | LME Nickel Futures^ | 08/2016 | 411,262 | 452,492 | 41,230 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 08/2016 | 200,410 | 226,290 | 25,880 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 08/2016 | 200,892 | 226,301 | 25,409 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | 150,912 | 169,734 | 18,822 | ||||||||||||||
8 | JPPC | LME Nickel Futures^ | 08/2016 | 404,864 | 452,646 | 47,782 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | 151,207 | 169,791 | 18,584 | ||||||||||||||
9 | JPPC | LME Nickel Futures^ | 09/2016 | 457,080 | 509,399 | 52,319 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | 208,810 | 226,444 | 17,634 | ||||||||||||||
5 | JPPC | LME Nickel Futures^ | 09/2016 | 258,912 | 283,068 | 24,156 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | 156,967 | 169,849 | 12,882 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | 159,403 | 169,914 | 10,511 | ||||||||||||||
28 | JPPC | LME Nickel Futures^ | 09/2016 | 1,544,796 | 1,586,256 | 41,460 | ||||||||||||||
5 | JPPC | LME Nickel Futures^ | 09/2016 | 276,518 | 283,247 | 6,729 | ||||||||||||||
2 | JPPC | LME Nickel Futures^ | 09/2016 | 111,064 | 113,308 | 2,244 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | 216,530 | 226,656 | 10,126 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | 221,298 | 226,664 | 5,366 | ||||||||||||||
2 | JPPC | LME Nickel Futures^ | 09/2016 | 112,133 | 113,336 | 1,203 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | 941,852 | 944,500 | 2,648 | ||||||||||||||
10 | JPPC | LME Zinc Futures^ | 07/2016 | 471,720 | 525,387 | 53,667 | ||||||||||||||
6 | JPPC | LME Zinc Futures^ | 08/2016 | 286,091 | 315,267 | 29,176 | ||||||||||||||
3 | JPPC | LME Zinc Futures^ | 08/2016 | 141,495 | 157,848 | 16,353 | ||||||||||||||
6 | JPPC | LME Zinc Futures^ | 08/2016 | 275,790 | 315,740 | 39,950 | ||||||||||||||
4 | JPPC | LME Zinc Futures^ | 08/2016 | 182,200 | 210,500 | 28,300 | ||||||||||||||
7 | JPPC | LME Zinc Futures^ | 08/2016 | 321,125 | 368,395 | 47,270 | ||||||||||||||
14 | JPPC | LME Zinc Futures^ | 08/2016 | 656,552 | 736,824 | 80,272 | ||||||||||||||
20 | JPPC | LME Zinc Futures^ | 09/2016 | 997,380 | 1,052,980 | 55,600 | ||||||||||||||
9 | JPPC | LME Zinc Futures^ | 09/2016 | 455,224 | 473,938 | 18,714 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | 51,190 | 52,665 | 1,475 | ||||||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | 206,431 | 210,671 | 4,240 | ||||||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | 207,096 | 210,714 | 3,618 | ||||||||||||||
3 | JPPC | LME Zinc Futures^ | 09/2016 | 152,461 | 158,044 | 5,583 | ||||||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | 204,603 | 210,705 | 6,102 | ||||||||||||||
7 | JPPC | LME Zinc Futures^ | 09/2016 | 349,833 | 368,698 | 18,865 | ||||||||||||||
68 | JPPC | LME Zinc Futures^ | 09/2016 | 3,433,905 | 3,580,625 | 146,720 | ||||||||||||||
2 | JPPC | LME Zinc Futures^ | 09/2016 | 100,051 | 105,322 | 5,271 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | 51,228 | 52,619 | 1,391 | ||||||||||||||
9 | JPPC | LME Zinc Futures^ | 09/2016 | 451,117 | 473,488 | 22,371 | ||||||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | 205,308 | 210,443 | 5,135 | ||||||||||||||
87 | MSCL | Natural Gas Futures^ | 07/2016 | 2,258,749 | 2,543,880 | 285,131 | ||||||||||||||
250 | MSCL | Silver Futures^ | 09/2016 | 21,818,442 | 23,278,750 | 1,460,308 | ||||||||||||||
154 | MSCL | Soybean Futures^ | 11/2016 | 8,543,845 | 8,880,025 | 336,180 | ||||||||||||||
13 | MSCL | Soybean Meal Futures^ | 12/2016 | 531,916 | 521,300 | (10,616 | ) | |||||||||||||
824 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2016 | 18,157,009 | 18,762,150 | 605,141 | ||||||||||||||
43 | BARC | S&P MID 400 E-Mini Futures | 09/2016 | 6,352,312 | 6,419,900 | 67,588 | ||||||||||||||
60 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2016 | 7,518,523 | 7,563,451 | 44,928 | ||||||||||||||
314 | BARC | SGX S&P CNX Nifty Index Futures | 07/2016 | 5,114,444 | 5,234,694 | 120,250 | ||||||||||||||
46 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | 67,771,648 | 68,119,111 | 347,463 | ||||||||||||||
423 | JPMS | 3-Month Euro Euribor Futures | 12/2016 | 117,730,714 | 117,760,940 | 30,226 | ||||||||||||||
406 | JPMS | 3-Month Euro Euribor Futures | 03/2017 | 113,011,639 | 113,039,494 | 27,855 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
113
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
362 | JPMS | 3-Month Euro Euribor Futures | 06/2017 | $ 100,758,029 | $ 100,803,974 | $ 45,945 | ||||||||||||||
678 | JPMS | 3-Month Euro Euribor Futures | 09/2017 | 188,713,908 | 188,817,414 | 103,506 | ||||||||||||||
795 | JPMS | 3-Month Euro Euribor Futures | 12/2017 | 221,244,786 | 221,411,977 | 167,191 | ||||||||||||||
880 | JPMS | 3-Month Euro Euribor Futures | 03/2018 | 244,876,689 | 245,072,749 | 196,060 | ||||||||||||||
544 | JPMS | 3-Month Euro Euribor Futures | 06/2018 | 151,374,996 | 151,491,971 | 116,975 | ||||||||||||||
584 | JPMS | 90-Day EURODollar Futures | 12/2016 | 144,852,180 | 145,014,500 | 162,320 | ||||||||||||||
581 | JPMS | 90-Day EURODollar Futures | 03/2017 | 144,053,970 | 144,240,513 | 186,543 | ||||||||||||||
541 | JPMS | 90-Day EURODollar Futures | 06/2017 | 134,052,581 | 134,262,675 | 210,094 | ||||||||||||||
488 | JPMS | 90-Day EURODollar Futures | 09/2017 | 120,822,404 | 121,060,600 | 238,196 | ||||||||||||||
460 | JPMS | 90-Day EURODollar Futures | 12/2017 | 113,815,813 | 114,051,250 | 235,437 | ||||||||||||||
437 | JPMS | 90-Day EURODollar Futures | 03/2018 | 108,062,441 | 108,304,988 | 242,547 | ||||||||||||||
423 | JPMS | 90-Day EURODollar Futures | 06/2018 | 104,542,865 | 104,787,675 | 244,810 | ||||||||||||||
450 | JPMS | 90-Day Sterling Futures | 12/2016 | 74,511,111 | 74,628,209 | 117,098 | ||||||||||||||
553 | JPMS | 90-Day Sterling Futures | 03/2017 | 91,509,992 | 91,718,988 | 208,996 | ||||||||||||||
584 | JPMS | 90-Day Sterling Futures | 06/2017 | 96,547,943 | 96,860,559 | 312,616 | ||||||||||||||
418 | JPMS | 90-Day Sterling Futures | 09/2017 | 69,084,228 | 69,335,232 | 251,004 | ||||||||||||||
368 | JPMS | 90-Day Sterling Futures | 12/2017 | 60,784,768 | 61,035,420 | 250,652 | ||||||||||||||
342 | JPMS | 90-Day Sterling Futures | 03/2018 | 56,468,158 | 56,717,438 | 249,280 | ||||||||||||||
321 | JPMS | 90-Day Sterling Futures | 06/2018 | 53,022,691 | 53,224,111 | 201,420 | ||||||||||||||
367 | JPMS | Australia 10-Year Bond Futures | 09/2016 | 36,873,144 | 37,278,985 | 405,841 | ||||||||||||||
1,180 | JPMS | Australia 3-Year Bond Futures | 09/2016 | 99,425,243 | 99,606,981 | 181,738 | ||||||||||||||
266 | GSCO | Canadian 10-Year Bond Futures | 09/2016 | 29,913,101 | 30,480,003 | 566,902 | ||||||||||||||
179 | MSCL | CME Ultra Long Term U.S. Treasury Bond Futures | 09/2016 | 31,606,048 | 33,361,125 | 1,755,077 | ||||||||||||||
315 | GSCO | Euro - OAT Futures | 09/2016 | 54,788,667 | 56,207,561 | 1,418,894 | ||||||||||||||
1,607 | GSCO | Euro - SCHATZ Futures | 09/2016 | 199,500,025 | 199,853,161 | 353,136 | ||||||||||||||
6 | JPMS | Euro CHF 3-Month LIFFE Futures | 06/2017 | 1,552,090 | 1,552,842 | 752 | ||||||||||||||
1,276 | GSCO | Euro-Bobl Futures | 09/2016 | 187,519,454 | 189,183,076 | 1,663,622 | ||||||||||||||
130 | GSCO | Euro-BTP Italian Government Bond Futures | 09/2016 | 20,320,372 | 20,573,988 | 253,616 | ||||||||||||||
382 | GSCO | Euro-Bund Futures | 09/2016 | 69,163,435 | 70,846,262 | 1,682,827 | ||||||||||||||
31 | GSCO | Euro-Buxl 30-Year Bond Futures | 09/2016 | 6,139,111 | 6,748,346 | 609,235 | ||||||||||||||
330 | GSCO | Long Gilt Futures | 09/2016 | 54,204,068 | 56,447,262 | 2,243,194 | ||||||||||||||
547 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2016 | 71,282,889 | 72,742,453 | 1,459,564 | ||||||||||||||
1,549 | MSCL | U.S. Treasury 2-Year Note Futures | 09/2016 | 338,626,911 | 339,739,265 | 1,112,354 | ||||||||||||||
1,114 | MSCL | U.S. Treasury 5-Year Note Futures | 09/2016 | 134,161,243 | 136,090,765 | 1,929,522 | ||||||||||||||
233 | MSCL | U.S. Treasury Long Bond Futures | 09/2016 | 38,331,868 | 40,156,093 | 1,824,225 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
4,230,231,013 | 4,260,954,348 | 30,723,335 | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
114
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: | ||||||||||||||||||||
24 | GSCO | Brent Crude Futures^ | 07/2016 | $(1,176,503 | ) | $(1,193,040 | ) | $(16,537 | ) | |||||||||||
238 | MSCL | Copper Futures^ | 09/2016 | (12,824,697 | ) | (13,063,225 | ) | (238,528 | ) | |||||||||||
93 | MSCL | Gasoline RBOB Futures^ | 07/2016 | (5,897,453 | ) | (5,864,078 | ) | 33,375 | ||||||||||||
222 | MSCL | Hard Red Winter Wheat Futures^ | 09/2016 | (5,330,441 | ) | (4,689,750 | ) | 640,691 | ||||||||||||
8 | MSCL | Heating Oil ULSD Futures^ | 07/2016 | (494,423 | ) | (500,203 | ) | (5,780 | ) | |||||||||||
93 | MSCL | Live Cattle Futures^ | 08/2016 | (4,233,227 | ) | (4,271,490 | ) | (38,263 | ) | |||||||||||
10 | JPPC | LME Aluminum Futures^ | 07/2016 | (376,725 | ) | (410,794 | ) | (34,069 | ) | |||||||||||
3 | JPPC | LME Aluminum Futures^ | 07/2016 | (112,830 | ) | (123,253 | ) | (10,423 | ) | |||||||||||
16 | JPPC | LME Aluminum Futures^ | 07/2016 | (624,761 | ) | (657,860 | ) | (33,099 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 07/2016 | (697,231 | ) | (740,174 | ) | (42,943 | ) | |||||||||||
9 | JPPC | LME Aluminum Futures^ | 07/2016 | (350,078 | ) | (370,211 | ) | (20,133 | ) | |||||||||||
8 | JPPC | LME Aluminum Futures^ | 07/2016 | (313,476 | ) | (329,114 | ) | (15,638 | ) | |||||||||||
10 | JPPC | LME Aluminum Futures^ | 07/2016 | (400,350 | ) | (411,437 | ) | (11,087 | ) | |||||||||||
12 | JPPC | LME Aluminum Futures^ | 07/2016 | (491,965 | ) | (493,425 | ) | (1,460 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 07/2016 | (740,197 | ) | (740,025 | ) | 172 | ||||||||||||
18 | JPPC | LME Aluminum Futures^ | 07/2016 | (742,447 | ) | (740,205 | ) | 2,242 | ||||||||||||
8 | JPPC | LME Aluminum Futures^ | 08/2016 | (326,980 | ) | (329,224 | ) | (2,244 | ) | |||||||||||
4 | JPPC | LME Aluminum Futures^ | 08/2016 | (157,150 | ) | (164,719 | ) | (7,569 | ) | |||||||||||
37 | JPPC | LME Aluminum Futures^ | 08/2016 | (1,431,975 | ) | (1,523,780 | ) | (91,805 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | (694,313 | ) | (741,541 | ) | (47,228 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | (696,501 | ) | (741,600 | ) | (45,099 | ) | |||||||||||
19 | JPPC | LME Aluminum Futures^ | 08/2016 | (733,172 | ) | (782,444 | ) | (49,272 | ) | |||||||||||
35 | JPPC | LME Aluminum Futures^ | 08/2016 | (1,361,447 | ) | (1,440,688 | ) | (79,241 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | (693,952 | ) | (741,375 | ) | (47,423 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | (701,894 | ) | (741,487 | ) | (39,593 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 08/2016 | (658,132 | ) | (700,400 | ) | (42,268 | ) | |||||||||||
26 | JPPC | LME Aluminum Futures^ | 08/2016 | (1,012,298 | ) | (1,071,362 | ) | (59,064 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | (661,396 | ) | (701,144 | ) | (39,748 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | (664,140 | ) | (701,250 | ) | (37,110 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 09/2016 | (38,848 | ) | (41,282 | ) | (2,434 | ) | |||||||||||
10 | JPPC | LME Aluminum Futures^ | 09/2016 | (398,225 | ) | (412,874 | ) | (14,649 | ) | |||||||||||
32 | JPPC | LME Aluminum Futures^ | 09/2016 | (1,272,097 | ) | (1,321,400 | ) | (49,303 | ) | |||||||||||
16 | JPPC | LME Aluminum Futures^ | 09/2016 | (630,361 | ) | (660,816 | ) | (30,455 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | (682,933 | ) | (702,146 | ) | (19,213 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 09/2016 | (725,797 | ) | (743,481 | ) | (17,684 | ) | |||||||||||
34 | JPPC | LME Aluminum Futures^ | 09/2016 | (1,373,933 | ) | (1,404,412 | ) | (30,479 | ) | |||||||||||
215 | JPPC | LME Aluminum Futures^ | 09/2016 | (8,391,506 | ) | (8,875,469 | ) | (483,963 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 09/2016 | (728,956 | ) | (743,513 | ) | (14,557 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | (695,250 | ) | (701,463 | ) | (6,213 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | (687,039 | ) | (701,016 | ) | (13,977 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | (684,633 | ) | (700,952 | ) | (16,319 | ) | |||||||||||
15 | JPPC | LME Aluminum Futures^ | 09/2016 | (610,182 | ) | (618,431 | ) | (8,249 | ) | |||||||||||
13 | JPPC | LME Aluminum Futures^ | 09/2016 | (530,687 | ) | (535,925 | ) | (5,238 | ) | |||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | (596,454 | ) | (605,000 | ) | (8,546 | ) | |||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | (238,362 | ) | (242,017 | ) | (3,655 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (117,709 | ) | (121,018 | ) | (3,309 | ) | |||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | (582,062 | ) | (605,128 | ) | (23,066 | ) | |||||||||||
4 | JPPC | LME Copper Futures^ | 07/2016 | (465,616 | ) | (484,206 | ) | (18,590 | ) | |||||||||||
9 | JPPC | LME Copper Futures^ | 07/2016 | (1,059,199 | ) | (1,089,542 | ) | (30,343 | ) | |||||||||||
6 | JPPC | LME Copper Futures^ | 07/2016 | (753,510 | ) | (726,300 | ) | 27,210 | ||||||||||||
8 | JPPC | LME Copper Futures^ | 07/2016 | (1,003,980 | ) | (968,450 | ) | 35,530 | ||||||||||||
11 | JPPC | LME Copper Futures^ | 07/2016 | (1,377,242 | ) | (1,331,825 | ) | 45,417 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | (122,748 | ) | (121,133 | ) | 1,615 | ||||||||||||
2 | JPPC | LME Copper Futures^ | 08/2016 | (243,945 | ) | (242,280 | ) | 1,665 | ||||||||||||
16 | JPPC | LME Copper Futures^ | 08/2016 | (1,887,101 | ) | (1,939,080 | ) | (51,979 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
115
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
20 | JPPC | LME Copper Futures^ | 08/2016 | $ (2,319,817 | ) | $ (2,424,000 | ) | $ (104,183 | ) | |||||||||||
13 | JPPC | LME Copper Futures^ | 08/2016 | (1,509,845 | ) | (1,575,382 | ) | (65,537 | ) | |||||||||||
3 | JPPC | LME Copper Futures^ | 08/2016 | (347,945 | ) | (363,525 | ) | (15,580 | ) | |||||||||||
4 | JPPC | LME Copper Futures^ | 08/2016 | (459,070 | ) | (484,683 | ) | (25,613 | ) | |||||||||||
14 | JPPC | LME Copper Futures^ | 08/2016 | (1,609,817 | ) | (1,696,335 | ) | (86,518 | ) | |||||||||||
9 | JPPC | LME Copper Futures^ | 08/2016 | (1,027,162 | ) | (1,090,424 | ) | (63,262 | ) | |||||||||||
8 | JPPC | LME Copper Futures^ | 08/2016 | (920,478 | ) | (969,234 | ) | (48,756 | ) | |||||||||||
5 | JPPC | LME Copper Futures^ | 08/2016 | (580,336 | ) | (605,750 | ) | (25,414 | ) | |||||||||||
6 | JPPC | LME Copper Futures^ | 08/2016 | (703,252 | ) | (726,913 | ) | (23,661 | ) | |||||||||||
19 | JPPC | LME Copper Futures^ | 09/2016 | (2,179,756 | ) | (2,302,139 | ) | (122,383 | ) | |||||||||||
23 | JPPC | LME Copper Futures^ | 09/2016 | (2,656,890 | ) | (2,786,846 | ) | (129,956 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | (114,248 | ) | (121,198 | ) | (6,950 | ) | |||||||||||
138 | JPPC | LME Copper Futures^ | 09/2016 | (16,013,672 | ) | (16,725,600 | ) | (711,928 | ) | |||||||||||
11 | JPPC | LME Copper Futures^ | 09/2016 | (1,297,423 | ) | (1,332,512 | ) | (35,089 | ) | |||||||||||
16 | JPPC | LME Copper Futures^ | 09/2016 | (1,884,108 | ) | (1,938,100 | ) | (53,992 | ) | |||||||||||
12 | JPPC | LME Copper Futures^ | 09/2016 | (1,443,308 | ) | (1,453,524 | ) | (10,216 | ) | |||||||||||
7 | JPPC | LME Copper Futures^ | 09/2016 | (845,583 | ) | (847,875 | ) | (2,292 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | (55,363 | ) | (56,460 | ) | (1,097 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 07/2016 | (170,849 | ) | (169,391 | ) | 1,458 | ||||||||||||
4 | JPPC | LME Nickel Futures^ | 07/2016 | (219,830 | ) | (225,867 | ) | (6,037 | ) | |||||||||||
12 | JPPC | LME Nickel Futures^ | 07/2016 | (654,451 | ) | (677,726 | ) | (23,275 | ) | |||||||||||
5 | JPPC | LME Nickel Futures^ | 08/2016 | (285,585 | ) | (282,540 | ) | 3,045 | ||||||||||||
4 | JPPC | LME Nickel Futures^ | 08/2016 | (208,249 | ) | (226,210 | ) | (17,961 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 08/2016 | (52,229 | ) | (56,556 | ) | (4,327 | ) | |||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | (103,514 | ) | (113,118 | ) | (9,604 | ) | |||||||||||
8 | JPPC | LME Nickel Futures^ | 08/2016 | (410,544 | ) | (452,491 | ) | (41,947 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 08/2016 | (201,210 | ) | (226,290 | ) | (25,080 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 08/2016 | (201,107 | ) | (226,301 | ) | (25,194 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | (151,082 | ) | (169,734 | ) | (18,652 | ) | |||||||||||
8 | JPPC | LME Nickel Futures^ | 08/2016 | (404,387 | ) | (452,645 | ) | (48,258 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | (150,818 | ) | (169,791 | ) | (18,973 | ) | |||||||||||
9 | JPPC | LME Nickel Futures^ | 09/2016 | (457,219 | ) | (509,399 | ) | (52,180 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | (208,541 | ) | (226,443 | ) | (17,902 | ) | |||||||||||
5 | JPPC | LME Nickel Futures^ | 09/2016 | (258,013 | ) | (283,068 | ) | (25,055 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | (158,661 | ) | (169,849 | ) | (11,188 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | (159,743 | ) | (169,915 | ) | (10,172 | ) | |||||||||||
60 | JPPC | LME Nickel Futures^ | 09/2016 | (3,064,068 | ) | (3,399,120 | ) | (335,052 | ) | |||||||||||
5 | JPPC | LME Nickel Futures^ | 09/2016 | (275,385 | ) | (283,246 | ) | (7,861 | ) | |||||||||||
2 | JPPC | LME Nickel Futures^ | 09/2016 | (111,235 | ) | (113,308 | ) | (2,073 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | (218,190 | ) | (226,656 | ) | (8,466 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | (220,586 | ) | (226,664 | ) | (6,078 | ) | |||||||||||
2 | JPPC | LME Nickel Futures^ | 09/2016 | (111,955 | ) | (113,336 | ) | (1,381 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | (946,375 | ) | (944,500 | ) | 1,875 | ||||||||||||
10 | JPPC | LME Zinc Futures^ | 07/2016 | (471,850 | ) | (525,387 | ) | (53,537 | ) | |||||||||||
6 | JPPC | LME Zinc Futures^ | 08/2016 | (284,535 | ) | (315,267 | ) | (30,732 | ) | |||||||||||
3 | JPPC | LME Zinc Futures^ | 08/2016 | (141,099 | ) | (157,848 | ) | (16,749 | ) | |||||||||||
6 | JPPC | LME Zinc Futures^ | 08/2016 | (276,227 | ) | (315,740 | ) | (39,513 | ) | |||||||||||
4 | JPPC | LME Zinc Futures^ | 08/2016 | (182,639 | ) | (210,500 | ) | (27,861 | ) | |||||||||||
7 | JPPC | LME Zinc Futures^ | 08/2016 | (321,210 | ) | (368,395 | ) | (47,185 | ) | |||||||||||
14 | JPPC | LME Zinc Futures^ | 08/2016 | (657,678 | ) | (736,823 | ) | (79,145 | ) | |||||||||||
20 | JPPC | LME Zinc Futures^ | 09/2016 | (997,247 | ) | (1,052,980 | ) | (55,733 | ) | |||||||||||
9 | JPPC | LME Zinc Futures^ | 09/2016 | (455,603 | ) | (473,938 | ) | (18,335 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | (50,616 | ) | (52,665 | ) | (2,049 | ) | |||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | (207,064 | ) | (210,671 | ) | (3,607 | ) | |||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | (206,988 | ) | (210,714 | ) | (3,726 | ) | |||||||||||
3 | JPPC | LME Zinc Futures^ | 09/2016 | (153,068 | ) | (158,044 | ) | (4,976 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
116
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | $ (203,590 | ) | $ (210,705 | ) | $ (7,115 | ) | |||||||||||
7 | JPPC | LME Zinc Futures^ | 09/2016 | (352,108 | ) | (368,699 | ) | (16,591 | ) | |||||||||||
24 | JPPC | LME Zinc Futures^ | 09/2016 | (1,177,338 | ) | (1,263,750 | ) | (86,412 | ) | |||||||||||
2 | JPPC | LME Zinc Futures^ | 09/2016 | (100,095 | ) | (105,322 | ) | (5,227 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | (51,148 | ) | (52,619 | ) | (1,471 | ) | |||||||||||
9 | JPPC | LME Zinc Futures^ | 09/2016 | (451,103 | ) | (473,488 | ) | (22,385 | ) | |||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | (202,840 | ) | (210,443 | ) | (7,603 | ) | |||||||||||
79 | MSCL | NYMEX Palladium Futures^ | 09/2016 | (4,300,165 | ) | (4,719,065 | ) | (418,900 | ) | |||||||||||
19 | MSCL | Platinum Futures^ | 10/2016 | (937,846 | ) | (973,085 | ) | (35,239 | ) | |||||||||||
75 | MSCL | Soybean Oil Futures^ | 12/2016 | (1,472,929 | ) | (1,443,150 | ) | 29,779 | ||||||||||||
355 | MSCL | Wheat Futures^ | 09/2016 | (8,287,272 | ) | (7,907,625 | ) | 379,647 | ||||||||||||
56 | MSCL | WTI Crude Futures^ | 07/2016 | (2,654,027 | ) | (2,706,480 | ) | (52,453 | ) | |||||||||||
53 | BARC | Amsterdam Index Futures | 07/2016 | (4,930,447 | ) | (5,120,586 | ) | (190,139 | ) | |||||||||||
206 | BARC | CAC40 Index Futures | 07/2016 | (9,495,830 | ) | (9,679,284 | ) | (183,454 | ) | |||||||||||
44 | BARC | DAX Index Futures | 09/2016 | (11,671,176 | ) | (11,802,580 | ) | (131,404 | ) | |||||||||||
53 | BARC | E-Mini DJIA CBOT Futures | 09/2016 | (4,575,637 | ) | (4,722,035 | ) | (146,398 | ) | |||||||||||
17 | JPMS | E-Mini MSCI EAFE Index Futures | 09/2016 | (1,325,119 | ) | (1,372,920 | ) | (47,801 | ) | |||||||||||
163 | JPMS | E-Mini MSCI Emerging Markets Index Futures | 09/2016 | (6,613,751 | ) | (6,802,805 | ) | (189,054 | ) | |||||||||||
80 | BARC | E-Mini Russell 2000 Futures | 09/2016 | (8,812,492 | ) | (9,179,200 | ) | (366,708 | ) | |||||||||||
334 | BARC | Euro Stoxx 50 Index Futures | 09/2016 | (10,432,314 | ) | (10,582,243 | ) | (149,929 | ) | |||||||||||
45 | BARC | FTSE 100 Index Futures | 09/2016 | (3,644,985 | ) | (3,847,479 | ) | (202,494 | ) | |||||||||||
224 | JPMS | SGX FTSE China A50 Index Futures | 07/2016 | (2,028,847 | ) | (2,068,640 | ) | (39,793 | ) | |||||||||||
78 | JPMS | FTSE/JSE Top 40 Index Futures | 09/2016 | (2,459,892 | ) | (2,459,797 | ) | 95 | ||||||||||||
44 | BARC | FTSE/MIB Index Futures | 09/2016 | (3,950,997 | ) | (3,952,952 | ) | (1,955 | ) | |||||||||||
75 | BARC | Hang Seng Index Futures | 07/2016 | (9,679,462 | ) | (10,125,063 | ) | (445,601 | ) | |||||||||||
66 | BARC | H-SHARES Index Futures | 07/2016 | (3,581,672 | ) | (3,711,283 | ) | (129,611 | ) | |||||||||||
111 | BARC | IBEX 35 Index Futures | 07/2016 | (9,970,444 | ) | (10,011,391 | ) | (40,947 | ) | |||||||||||
121 | BARC | MSCI Singapore Index Futures | 07/2016 | (2,739,916 | ) | (2,850,070 | ) | (110,154 | ) | |||||||||||
174 | BARC | NASDAQ 100 E-Mini Futures | 09/2016 | (14,737,758 | ) | (15,336,360 | ) | (598,602 | ) | |||||||||||
158 | JPMS | Nikkei 225 Futures | 09/2016 | (25,217,419 | ) | (23,822,786 | ) | 1,394,633 | ||||||||||||
225 | JPMS | OMXS30 Index Futures | 07/2016 | (3,416,810 | ) | (3,506,359 | ) | (89,549 | ) | |||||||||||
74 | BARC | S&P 500 E-Mini Futures | 09/2016 | (7,465,015 | ) | (7,733,740 | ) | (268,725 | ) | |||||||||||
17 | BARC | SPI 200 Index Futures | 09/2016 | (1,640,447 | ) | (1,640,611 | ) | (164 | ) | |||||||||||
184 | BARC | TOPIX Index Futures | 09/2016 | (23,599,474 | ) | (22,192,611 | ) | 1,406,863 | ||||||||||||
149 | JPMS | Canadian 3-Month Bank Acceptance Futures | 09/2016 | (28,552,870 | ) | (28,578,661 | ) | (25,791 | ) | |||||||||||
168 | JPMS | Canadian 3-Month Bank Acceptance Futures | 12/2016 | (32,205,298 | ) | (32,227,795 | ) | (22,497 | ) | |||||||||||
47 | JPMS | Canadian 3-Month Bank Acceptance Futures | 03/2017 | (9,013,748 | ) | (9,017,019 | ) | (3,271 | ) | |||||||||||
20 | JPMS | Euro CHF 3-Month Futures | 03/2017 | (5,163,204 | ) | (5,175,628 | ) | (12,424 | ) | |||||||||||
42 | JPMS | Euro CHF 3-Month LIFFE Futures | 09/2016 | (10,839,005 | ) | (10,859,140 | ) | (20,135 | ) | |||||||||||
38 | JPMS | Euro CHF 3-Month LIFFE Futures | 12/2016 | (9,808,255 | ) | (9,830,773 | ) | (22,518 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(408,038,997 | ) | (412,666,335 | ) | (4,627,338 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$3,822,192,016 | $3,848,288,013 | $26,095,997 | ||||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
117
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | 57,052,800 | $42,088,475 | $42,427,082 | $338,607 | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | 85,579,200 | 63,133,161 | 63,640,624 | 507,463 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | 23,237,600 | 6,449,831 | 7,060,421 | 610,590 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | 34,856,400 | 9,674,756 | 10,590,629 | 915,873 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | 34,597,600 | 27,007,021 | 26,783,574 | (223,447 | ) | |||||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | 51,896,400 | 40,510,201 | 40,175,359 | (334,842 | ) | |||||||||||||
Chilean Peso, Expiring 09/21/16* | CITI | CLP | 1,230,968,000 | 1,809,113 | 1,846,579 | 37,466 | ||||||||||||||
Chilean Peso, Expiring 09/21/16* | JPMC | CLP | 1,846,452,000 | 2,713,673 | 2,769,867 | 56,194 | ||||||||||||||
Colombian Peso, Expiring 09/21/16* | CITI | COP | 1,077,371,200 | 360,644 | 362,708 | 2,064 | ||||||||||||||
Colombian Peso, Expiring 09/21/16* | JPMC | COP | 1,179,748,800 | 392,990 | 397,174 | 4,184 | ||||||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | 67,328,799 | 75,486,019 | 74,936,752 | (549,267 | ) | |||||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | 100,993,198 | 113,229,391 | 112,405,124 | (824,267 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | 13,899,600 | 20,433,145 | 18,518,129 | (1,915,016 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | 20,546,400 | 30,204,649 | 27,373,514 | (2,831,135 | ) | |||||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | 1,643,337,800 | 5,947,458 | 5,774,843 | (172,615 | ) | |||||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | 2,435,278,200 | 8,813,399 | 8,557,795 | (255,604 | ) | |||||||||||||
Indonesian Rupiah, Expiring 09/21/16* | CITI | IDR | 79,318,430,400 | 5,745,207 | 5,919,137 | 173,930 | ||||||||||||||
Indonesian Rupiah, Expiring 09/21/16* | JPMC | IDR | 112,287,495,600 | 8,122,819 | 8,379,454 | 256,635 | ||||||||||||||
Israeli Shekel, Expiring 09/21/16 | CITI | ILS | 7,786,600 | 2,035,385 | 2,021,385 | (14,000 | ) | |||||||||||||
Israeli Shekel, Expiring 09/21/16 | JPMC | ILS | 10,718,400 | 2,802,369 | 2,782,476 | (19,893 | ) | |||||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | 311,897,600 | 4,550,801 | 4,557,634 | 6,833 | ||||||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | 465,764,400 | 6,795,638 | 6,806,026 | 10,388 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | 15,370,512,002 | 140,938,534 | 149,252,668 | 8,314,134 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | 23,055,768,002 | 211,408,065 | 223,879,001 | 12,470,936 | ||||||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | 14,558,127,200 | 12,517,062 | 12,628,825 | 111,763 | ||||||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | 21,837,190,800 | 18,775,615 | 18,943,241 | 167,626 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
118
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | 131,122,400 | $6,969,292 | $7,114,962 | $145,670 | ||||||||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | 196,683,600 | 10,452,382 | 10,672,442 | 220,060 | ||||||||||||||||
Malaysian Ringgit, Expiring 09/21/16* | CITI | MYR | 6,497,200 | 1,596,745 | 1,602,974 | 6,229 | ||||||||||||||||
Malaysian Ringgit, Expiring 09/21/16* | JPMC | MYR | 8,542,800 | 2,099,468 | 2,107,660 | 8,192 | ||||||||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | 38,238,000 | 4,652,872 | 4,568,444 | (84,428 | ) | |||||||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | 57,357,000 | 6,979,317 | 6,852,665 | (126,652 | ) | |||||||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | 99,273,600 | 68,279,076 | 70,595,636 | 2,316,560 | ||||||||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | 148,910,400 | 102,418,740 | 105,893,453 | 3,474,713 | ||||||||||||||||
Philippine Peso, Expiring 09/21/16* | CITI | PHP | 165,182,400 | 3,520,736 | 3,499,146 | (21,590 | ) | |||||||||||||||
Philippine Peso, Expiring 09/21/16* | JPMC | PHP | 247,773,600 | 5,281,113 | 5,248,719 | (32,394 | ) | |||||||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | 31,277,200 | 8,090,297 | 7,913,367 | (176,930 | ) | |||||||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | 46,915,800 | 12,136,132 | 11,870,049 | (266,083 | ) | |||||||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | 57,824,400 | 7,141,602 | 6,858,392 | (283,210 | ) | |||||||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | 86,736,600 | 10,712,417 | 10,287,588 | (424,829 | ) | |||||||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | 5,187,200 | 3,823,760 | 3,847,422 | 23,662 | ||||||||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | 7,780,800 | 5,735,447 | 5,771,134 | 35,687 | ||||||||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | 27,878,600 | 9,264,152 | 9,514,140 | 249,988 | ||||||||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | 41,651,400 | 13,834,859 | 14,214,388 | 379,529 | ||||||||||||||||
New Taiwan Dollar, Expiring 09/21/16* | CITI | TWD | 53,970,800 | 1,663,560 | 1,676,024 | 12,464 | ||||||||||||||||
New Taiwan Dollar, Expiring 09/21/16* | JPMC | TWD | 54,382,200 | 1,680,686 | 1,688,799 | 8,113 | ||||||||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | 163,681,600 | 10,729,938 | 10,934,782 | 204,844 | ||||||||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | 245,522,400 | 16,092,252 | 16,402,179 | 309,927 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 1,175,100,264 | $ | 1,197,924,386 | $ | 22,824,122 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | (101,346,800 | ) | $(72,932,534) | $(75,366,134) | $(2,433,600) | |||||||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | (152,020,200 | ) | (109,398,663 | ) | (113,049,204 | ) | (3,650,541 | ) | ||||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | (162,800 | ) | (43,952 | ) | (49,464 | ) | (5,512 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
119
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | (244,200 | ) | $ (65,928) | $ (74,197) | $ (8,269) | |||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | (39,376,400 | ) | (30,241,692 | ) | (30,483,059 | ) | (241,367 | ) | ||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | (59,064,600 | ) | (45,363,601 | ) | (45,724,587 | ) | (360,986 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | (495,400 | ) | (505,189 | ) | (509,659 | ) | (4,470 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | (579,600 | ) | (589,439 | ) | (596,282 | ) | (6,843 | ) | ||||||||||
Chilean Peso, Expiring 09/21/16* | CITI | CLP | (1,391,503,600 | ) | (1,992,014 | ) | (2,087,398 | ) | (95,384 | ) | ||||||||||
Chilean Peso, Expiring 09/21/16* | JPMC | CLP | (1,888,070,400 | ) | (2,701,700 | ) | (2,832,299 | ) | (130,599 | ) | ||||||||||
Colombian Peso, Expiring 09/21/16* | CITI | COP | (511,323,000 | ) | (161,159 | ) | (172,142 | ) | (10,983 | ) | ||||||||||
Colombian Peso, Expiring 09/21/16* | JPMC | COP | (473,691,000 | ) | (149,709 | ) | (159,472 | ) | (9,763 | ) | ||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (75,874,800 | ) | (85,739,232 | ) | (84,448,425 | ) | 1,290,807 | |||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | (113,812,200 | ) | (128,608,687 | ) | (126,672,636 | ) | 1,936,051 | |||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | (35,647,001 | ) | (50,981,215 | ) | (47,491,710 | ) | 3,489,505 | |||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | (53,274,001 | ) | (76,194,006 | ) | (70,975,776 | ) | 5,218,230 | |||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | (8,254,200 | ) | (1,064,356 | ) | (1,064,979 | ) | (623 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | (1,870,800 | ) | (241,181 | ) | (241,376 | ) | (195 | ) | ||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | (1,737,739,200 | ) | (6,158,760 | ) | (6,106,577 | ) | 52,183 | |||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | (2,606,608,800 | ) | (9,239,355 | ) | (9,159,866 | ) | 79,489 | |||||||||||
Indonesian Rupiah, Expiring 09/21/16* | CITI | IDR | (15,196,714,200 | ) | (1,094,492 | ) | (1,134,055 | ) | (39,563 | ) | ||||||||||
Indonesian Rupiah, Expiring 09/21/16* | JPMC | IDR | (19,621,585,800 | ) | (1,406,227 | ) | (1,464,260 | ) | (58,033 | ) | ||||||||||
Israeli Shekel, Expiring 09/21/16 | CITI | ILS | (14,030,800 | ) | (3,638,004 | ) | (3,642,368 | ) | (4,364 | ) | ||||||||||
Israeli Shekel, Expiring 09/21/16 | JPMC | ILS | (21,046,200 | ) | (5,456,342 | ) | (5,463,554 | ) | (7,212 | ) | ||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | (249,986,000 | ) | (3,642,591 | ) | (3,652,945 | ) | (10,354 | ) | ||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | (235,662,000 | ) | (3,429,717 | ) | (3,443,633 | ) | (13,916 | ) | ||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | (6,204,735,200 | ) | (59,853,731 | ) | (60,249,997 | ) | (396,266 | ) | ||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | (9,307,102,800 | ) | (89,780,483 | ) | (90,374,993 | ) | (594,510 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | (30,082,037,200 | ) | (25,417,006 | ) | (26,095,445 | ) | (678,439 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | (45,123,055,799 | ) | (38,125,460 | ) | (39,143,166 | ) | (1,017,706 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | (309,770,800 | ) | (16,534,834 | ) | (16,808,780 | ) | (273,946 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
120
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | (464,656,200 | ) | $ (24,802,720) | $ (25,213,167) | $ (410,447) | |||||||||||||||
Malaysian Ringgit, Expiring 09/21/16* | CITI | MYR | (13,113,200 | ) | (3,178,974 | ) | (3,235,258 | ) | (56,284 | ) | ||||||||||||
Malaysian Ringgit, Expiring 09/21/16* | JPMC | MYR | (19,246,800 | ) | (4,667,119 | ) | (4,748,525 | ) | (81,406 | ) | ||||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | (109,550,000 | ) | (13,125,385 | ) | (13,088,368 | ) | 37,017 | |||||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | (164,325,000 | ) | (19,687,101 | ) | (19,632,549 | ) | 54,552 | |||||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | (31,723,200 | ) | (21,399,597 | ) | (22,559,064 | ) | (1,159,467 | ) | ||||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | (47,584,800 | ) | (32,099,355 | ) | (33,838,595 | ) | (1,739,240 | ) | ||||||||||||
Philippine Peso, Expiring 09/21/16* | CITI | PHP | (104,888,200 | ) | (2,239,418 | ) | (2,221,903 | ) | 17,515 | |||||||||||||
Philippine Peso, Expiring 09/21/16* | JPMC | PHP | (147,310,800 | ) | (3,144,140 | ) | (3,120,563 | ) | 23,577 | |||||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | (75,516,800 | ) | (19,103,339 | ) | (19,106,319 | ) | (2,980 | ) | ||||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | (113,275,199 | ) | (28,655,253 | ) | (28,659,478 | ) | (4,225 | ) | ||||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | (189,957,600 | ) | (22,826,793 | ) | (22,530,346 | ) | 296,447 | |||||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | (284,936,400 | ) | (34,240,084 | ) | (33,795,518 | ) | 444,566 | |||||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | (5,012,000 | ) | (3,646,463 | ) | (3,717,474 | ) | (71,011 | ) | ||||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | (6,972,000 | ) | (5,075,453 | ) | (5,171,236 | ) | (95,783 | ) | ||||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | (2,873,200 | ) | (943,886 | ) | (980,538 | ) | (36,652 | ) | ||||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | (4,309,800 | ) | (1,415,827 | ) | (1,470,807 | ) | (54,980 | ) | ||||||||||||
New Taiwan Dollar, Expiring 09/21/16* | CITI | TWD | (129,275,600 | ) | (3,969,165 | ) | (4,014,558 | ) | (45,393 | ) | ||||||||||||
New Taiwan Dollar, Expiring 09/21/16* | JPMC | TWD | (181,472,400 | ) | (5,569,072 | ) | (5,635,490 | ) | (66,418 | ) | ||||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | (163,334,800 | ) | (10,246,510 | ) | (10,911,616 | ) | (665,106 | ) | ||||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | (245,002,200 | ) | (15,371,168 | ) | (16,367,425 | ) | (996,257 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||||
(1,146,158,081 | ) | (1,148,757,235 | ) | (2,599,154 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 28,942,183 | $ | 49,167,151 | $ | 20,224,968 | |||||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward (See Note 4). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
121
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
AUD - Australian Dollar
BRL - Brazilian Real
CAD- Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
BANA | ||||||||||
Investment Companies | $760,349 | $— | $760,349 | |||||||
| ||||||||||
BARC | ||||||||||
Cash | — | 9,964,650 | 9,964,650 | |||||||
| ||||||||||
CITI | ||||||||||
Cash | (2,700,000 | ) | — | (2,700,000 | ) | |||||
| ||||||||||
GSCO | ||||||||||
Cash | — | (2,679,523) | (2,679,523 | ) | ||||||
| ||||||||||
GSIN | ||||||||||
Investment Companies | 580,000 | — | 580,000 | |||||||
| ||||||||||
JPMC | ||||||||||
Cash | (1,220,000 | ) | — | (1,220,000 | ) | |||||
| ||||||||||
JPMS | ||||||||||
Cash | — | 3,098,743 | 3,098,743 | |||||||
| ||||||||||
MSCL | ||||||||||
Cash | — | (3,185,870) | (3,185,870 | ) | ||||||
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
122
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
CITI | ||||||||||
Cash | $(930,000 | ) | $— | $(930,000 | ) | |||||
| ||||||||||
DTBK | ||||||||||
Investment Companies | 190,121 | — | 190,121 | |||||||
| ||||||||||
GSCO | ||||||||||
Cash | — | 191,643 | 191,643 | |||||||
| ||||||||||
JPPC | ||||||||||
Cash | — | 2,634,409 | 2,634,409 | |||||||
| ||||||||||
MACQ | ||||||||||
Investment Companies | 4,190,100 | — | 4,190,100 | |||||||
| ||||||||||
MSCL | ||||||||||
Cash | — | (6,259,265) | (6,259,265 | ) | ||||||
U.S. Treasury Bills | — | 10,991,136 | 10,991,136 | |||||||
| ||||||||||
SOCG | ||||||||||
Investment Companies | 920,461 | — | 920,461 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
123
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
LONG INVESTMENTS - 96.5% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 15.9% | ||||||||
Canada - 0.4% | ||||||||
Manitoba Telecom Services, Inc. (1) | 438,923 | $ | 12,886,218 | |||||
Waste Connections, Inc. (1) | 24 | 1,729 | ||||||
|
| |||||||
12,887,947 | ||||||||
|
| |||||||
France - 0.0% (a) | ||||||||
Technip SA | 17,442 | 944,048 | ||||||
|
| |||||||
Germany - 0.4% | ||||||||
KUKA AG | 77,820 | 9,230,325 | ||||||
Wincor Nixdorf AG † | 56,314 | 3,022,269 | ||||||
|
| |||||||
12,252,594 | ||||||||
|
| |||||||
Italy - 0.1% | ||||||||
Italcementi SpA † | 419,903 | 4,921,946 | ||||||
|
| |||||||
Spain - 0.1% | ||||||||
Fomento de Construcciones y Contratas SA † | 326,201 | 2,759,613 | ||||||
|
| |||||||
United States - 14.9% | ||||||||
AGL Resources, Inc. (1) | 161,984 | 10,686,084 | ||||||
Alere, Inc. (1)† | 451,897 | 18,835,066 | ||||||
American Capital Ltd. (1)† | 193,803 | 3,067,901 | ||||||
Apollo Education Group, Inc. (1)† | 615,475 | 5,613,132 | ||||||
Astoria Financial Corp. (1) | 215,873 | 3,309,333 | ||||||
Axiall Corp. (1) | 135,629 | 4,422,862 | ||||||
Carmike Cinemas, Inc. (1)†(m) | 281,056 | 8,465,407 | ||||||
Celator Pharmaceuticals, Inc. (1)† | 212,243 | 6,405,494 | ||||||
Charter Communications, Inc. (1)† | 89 | 20,349 | ||||||
Columbia Pipeline Group, Inc. (1) | 410,069 | 10,452,659 | ||||||
Cvent, Inc. (1)† | 219,219 | 7,830,503 | ||||||
Demandware, Inc. (1)† | 156,873 | 11,749,788 | ||||||
Diamond Resorts International, Inc. (1)† | 212,660 | 6,371,294 | ||||||
DreamWorks Animation SKG, Inc., Class A (1)† | 225,707 | 9,224,645 | ||||||
EI du Pont de Nemours & Co. (1) | 321,685 | 20,845,188 | ||||||
EMC Corp. (1) | 440,800 | 11,976,536 | ||||||
Empire District Electric Co. (The) (1) | 332,351 | 11,289,963 | ||||||
Envision Healthcare Holdings, Inc. (1)† | 128,600 | 3,262,582 | ||||||
Equinix, Inc. REIT (1) | 1 | 388 | ||||||
ExamWorks Group, Inc. (1)† | 110,196 | 3,840,331 | ||||||
Fairchild Semiconductor International, Inc. (1)† | 211,711 | 4,202,463 | ||||||
FEI Co. (1) | 86,757 | 9,272,588 | ||||||
First Niagara Financial Group, Inc. (1) | 581,362 | 5,662,466 | ||||||
FirstMerit Corp. (1) | 961,017 | 19,479,815 | ||||||
Global Payments, Inc. (1) | 1 | 71 | ||||||
Hatteras Financial Corp. REIT (1) | 587,785 | 9,639,674 | ||||||
Hawaiian Electric Industries, Inc. (1) | 75,862 | 2,487,515 | ||||||
HeartWare International, Inc. (1)† | 151,626 | 8,756,401 | ||||||
Herbalife Ltd. (1)† | 3,839 | 224,697 | ||||||
Humana, Inc. (1) | 21,694 | 3,902,317 | ||||||
IHS, Inc., Class A (1)† | 26,209 | 3,030,023 | ||||||
inContact, Inc. † | 503,968 | 6,979,957 | ||||||
Ingram Micro, Inc., Class A (1) | 200,449 | 6,971,616 |
SHARES | VALUE (Note 5) | |||||||
United States - 14.9% (continued) | ||||||||
Interval Leisure Group, Inc. (1) | 16,791 | $ | 266,977 | |||||
ITC Holdings Corp. (1) | 444,744 | 20,822,914 | ||||||
KLA-Tencor Corp. (1) | 144,492 | 10,584,039 | ||||||
Krispy Kreme Doughnuts, Inc. (1)† | 136,744 | 2,866,154 | ||||||
LDR Holding Corp. (1)† | 86,637 | 3,201,237 | ||||||
Lexmark International, Inc., Class A (1) | 163,328 | 6,165,632 | ||||||
LinkedIn Corp., Class A (1)† | 43,835 | 8,295,774 | ||||||
Marketo, Inc. (1)† | 170,134 | 5,924,066 | ||||||
Medivation, Inc. (1)† | 59,718 | 3,600,995 | ||||||
Memorial Resource Development Corp. (1)† | 152,639 | 2,423,907 | ||||||
Monsanto Co. (1) | 29,300 | 3,029,913 | ||||||
NorthStar Asset Management Group, Inc. (1) | 306,023 | 3,124,495 | ||||||
NorthStar Realty Finance Corp. REIT (1) | 285,069 | 3,258,339 | ||||||
Parkway Properties, Inc. REIT (1) | 215,944 | 3,612,743 | ||||||
Piedmont Natural Gas Co., Inc. (1) | 118,838 | 7,144,541 | ||||||
PrivateBancorp, Inc. (1) | 179,506 | 7,903,649 | ||||||
Qlik Technologies, Inc. (1)† | 419,936 | 12,421,707 | ||||||
QLogic Corp. (1)† | 444,195 | 6,547,434 | ||||||
Questar Corp. (1) | 317,307 | 8,050,079 | ||||||
Quintiles Transnational Holdings, Inc. (1)† | 189,992 | 12,410,277 | ||||||
Rite Aid Corp. (1)† | 2,984,369 | 22,352,923 | ||||||
Rofin-Sinar Technologies, Inc. (1)† | 289,234 | 9,238,134 | ||||||
Southwestern Energy Co. (1)† | 23,111 | 290,736 | ||||||
St. Jude Medical, Inc. (1) | 94,378 | 7,361,484 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. (1) | 261,356 | 19,327,276 | ||||||
Starz, Class A (1)† | 102,305 | 3,060,966 | ||||||
Talen Energy Corp. (1)† | 414,776 | 5,620,215 | ||||||
Talmer Bancorp, Inc., Class A (1) | 107,809 | 2,066,699 | ||||||
TECO Energy, Inc. (1) | 247,988 | 6,854,388 | ||||||
TiVo, Inc. (1)† | 1,143,571 | 11,321,353 | ||||||
Tumi Holdings, Inc. (1)† | 215,035 | 5,750,036 | ||||||
Tyco International plc (1) | 679,547 | 28,948,702 | ||||||
Valspar Corp. (The) (1) | 126,028 | 13,614,805 | ||||||
Virgin America, Inc. (1)† | 79,092 | 4,445,761 | ||||||
Westar Energy, Inc. (1) | 292,243 | 16,391,910 | ||||||
Western Digital Corp. (1) | 21,963 | 1,037,971 | ||||||
Xura, Inc. (1)† | 60,166 | 1,469,855 | ||||||
|
| |||||||
529,087,194 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 562,853,342 | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
124
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
CONVERTIBLE PREFERRED STOCKS - 12.7% | SHARES | VALUE (Note 5) | ||||||||||||||
Israel - 2.0% | ||||||||||||||||
Teva Pharmaceutical Industries Ltd., $1,000.00 par, 7.000% 12/15/18 (1) | 85,700 | $ | 70,873,900 | |||||||||||||
|
| |||||||||||||||
Netherlands - 0.6% | ||||||||||||||||
Fiat Chrysler Automobiles NV, Series FCAU, $100.00 par, 7.875% 12/15/16 (b) | 36,930,000 | 22,111,838 | ||||||||||||||
|
| |||||||||||||||
United States - 10.1% | ||||||||||||||||
Allergan plc, Series A, $1,000.00 par, 5.500% 03/01/18 (1) | 32,175 | 26,821,724 | ||||||||||||||
Anthem, Inc., $50.00 par, 5.250% 05/01/18 (1) | 633,300 | 28,327,509 | ||||||||||||||
Black Hills Corp., $50.00 par, 7.750% 11/01/18 (1)(c) | 134,716 | 9,446,286 | ||||||||||||||
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875% 12/31/49 (1)(d) | 59,900 | 5,541,349 | ||||||||||||||
Crown Castle International Corp., Series A, $100.00 par, 4.500% 11/01/16 (c) | 204,600 | 24,727,956 | ||||||||||||||
Dominion Resources, Inc., Series B, $49.00 par, 6.000% 07/01/16 (1) | 652,475 | 39,213,747 | ||||||||||||||
Dynegy, Inc., $100.00 par, 7.000% 07/01/19 (1) † | 58,650 | 6,317,778 | ||||||||||||||
Exelon Corp., $50.00 par, 6.500% 06/01/17 (1) | 527,025 | 26,003,413 | ||||||||||||||
Frontier Communications Corp., Series A, $100.00 par, 11.125% 06/29/18 (1) | 344,400 | 32,656,008 | ||||||||||||||
Mandatory Exchangeable Trust 144A, $100.00 par, 5.750% 06/01/19 †(e) | 257,818 | 26,325,796 | ||||||||||||||
Post Holdings, Inc., Perpetual Preferred Stock, $100.00 par, 2.500% 12/31/49 (d) | 44,502 | 6,964,563 | ||||||||||||||
Southwestern Energy Co., Series B, $50.00 par, 6.250% 01/15/18 (1) | 379,300 | 11,416,930 | ||||||||||||||
T-Mobile US, Inc., $50.00 par, 5.500% 12/15/17 (1) | 559,425 | 41,168,086 | ||||||||||||||
Tyson Foods, Inc., $50.00 par, 4.750% 07/15/17 (1) | 596,175 | 44,045,409 | ||||||||||||||
Welltower, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500% 12/31/49 (1)(d) | 221,875 | 15,043,125 | ||||||||||||||
Weyerhaeuser Co., Series A, $50.00 par, 6.375% 07/01/16 (1) | 230,253 | 11,597,844 | ||||||||||||||
WPX Energy, Inc., Series A, $50.00 par, 6.250% 07/31/18 (1)(c) | 65,450 | 3,021,826 | ||||||||||||||
|
| |||||||||||||||
358,639,349 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | 451,625,087 | |||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS – 0.0% (a) | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | |||||||||||||
United States - 0.0% (a) | ||||||||||||||||
Sabine Oil & Gas Corp. (b) | ||||||||||||||||
(cost $3,965,812) | 7.250 | % | 06/15/19 | $ | 3,950 | 79,000 | ||||||||||
|
| |||||||||||||||
CONVERTIBLE BONDS - 19.0% | ||||||||||||||||
Canada - 0.2% | ||||||||||||||||
Element Financial Corp. 144A (e) | 4.250 | % | 06/30/20 | 7,675 | 6,015,484 | |||||||||||
Element Financial Corp. 144A (c)(e) | 5.125 | % | 06/30/19 | 3,281 | 2,721,558 | |||||||||||
|
| |||||||||||||||
8,737,042 | ||||||||||||||||
|
| |||||||||||||||
Mexico - 0.5% | ||||||||||||||||
Cemex SAB de CV (c) | 3.720 | % | 03/15/20 | 7,050 | 6,569,719 | |||||||||||
Cemex SAB de CV | 3.750 | % | 03/15/18 | 9,400 | 9,646,750 | |||||||||||
|
| |||||||||||||||
16,216,469 | ||||||||||||||||
|
| |||||||||||||||
Monaco - 0.1% | ||||||||||||||||
Scorpio Tankers, Inc. 144A (c)(e) | 2.375 | % | 07/01/19 | 5,475 | 4,126,781 | |||||||||||
|
| |||||||||||||||
Netherlands - 0.2% | ||||||||||||||||
Wright Medical Group NV 144A (c)(e) | 2.250 | % | 11/15/21 | 5,625 | 5,786,719 | |||||||||||
|
| |||||||||||||||
Norway - 0.2% | ||||||||||||||||
Ship Finance International Ltd. | 3.250 | % | 02/01/18 | 5,500 | 5,799,063 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
125
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||
United States - 17.8% | ||||||||||||||||
Acorda Therapeutics, Inc. (c) | 1.750 | % | 06/15/21 | $ | 4,100 | $ | 3,582,375 | |||||||||
Allegheny Technologies, Inc. | 4.750 | % | 07/01/22 | 975 | 1,028,625 | |||||||||||
Allscripts Healthcare Solutions, Inc. | 1.250 | % | 07/01/20 | 5,575 | 5,575,000 | |||||||||||
Alpha Natural Resources, Inc. (b) | 4.875 | % | 12/15/20 | 200 | 500 | |||||||||||
Anthem, Inc. | 2.750 | % | 10/15/42 | 13,475 | 24,532,922 | |||||||||||
CalAtlantic Group, Inc. (c) | 1.250 | % | 08/01/32 | 4,325 | 4,649,375 | |||||||||||
Cheniere Energy, Inc. (c) | 4.250 | % | 03/15/45 | 10,500 | 5,932,500 | |||||||||||
Ciena Corp. (c) | 4.000 | % | 12/15/20 | 1,166 | 1,457,500 | |||||||||||
Ciena Corp. 144A (e) | 3.750 | % | 10/15/18 | 275 | 320,891 | |||||||||||
Colony Capital, Inc. | 3.875 | % | 01/15/21 | 3,150 | 2,984,625 | |||||||||||
Dycom Industries, Inc. 144A (c)(e) | 0.750 | % | 09/15/21 | 6,375 | 7,259,531 | |||||||||||
Emergent BioSolutions, Inc. | 2.875 | % | 01/15/21 | 4,525 | 5,121,734 | |||||||||||
Euronet Worldwide, Inc. (c) | 1.500 | % | 10/01/44 | 7,000 | 8,028,125 | |||||||||||
Exelixis, Inc. (c) | 4.250 | % | 08/15/19 | 1,875 | 2,778,516 | |||||||||||
General Cable Corp. (c)(f) | 4.500 | % | 11/15/29 | 1,595 | 914,134 | |||||||||||
Herbalife Ltd. | 2.000 | % | 08/15/19 | 13,625 | 13,463,203 | |||||||||||
Hologic, Inc., Series 2010 (f) | 2.000 | % | 12/15/37 | 1,650 | 2,478,094 | |||||||||||
Horizon Pharma Investment Ltd. (c) | 2.500 | % | 03/15/22 | 5,300 | 4,803,125 | |||||||||||
Huron Consulting Group, Inc. (c) | 1.250 | % | 10/01/19 | 2,050 | 2,082,031 | |||||||||||
Intel Corp. | 2.950 | % | 12/15/35 | 3,450 | 4,461,282 | |||||||||||
Intel Corp. | 3.250 | % | 08/01/39 | 30,250 | 49,175,156 | |||||||||||
Lennar Corp. (c) | 3.250 | % | 11/15/21 | 3,325 | 6,537,781 | |||||||||||
LinkedIn Corp. (c) | 0.500 | % | 11/01/19 | 14,000 | 13,816,250 | |||||||||||
Medicines Co. (The) | 2.500 | % | 01/15/22 | 7,875 | 9,277,734 | |||||||||||
Medidata Solutions, Inc. (c) | 1.000 | % | 08/01/18 | 1,525 | 1,652,719 | |||||||||||
Mentor Graphics Corp. (c) | 4.000 | % | 04/01/31 | 3,875 | 4,250,391 | |||||||||||
Meritor, Inc. | 7.875 | % | 03/01/26 | 1,600 | 1,796,000 | |||||||||||
MGIC Investment Corp. (c) | 2.000 | % | 04/01/20 | 13,700 | 15,207,000 | |||||||||||
Microchip Technology, Inc. | 2.125 | % | 12/15/37 | 17,525 | 36,879,172 | |||||||||||
Micron Technology, Inc., Series C (c) | 2.375 | % | 05/01/32 | 7,775 | 11,643,063 | |||||||||||
Micron Technology, Inc., Series F | 2.125 | % | 02/15/33 | 4,400 | 6,366,250 | |||||||||||
Molina Healthcare, Inc. | 1.125 | % | 01/15/20 | 18,775 | 25,404,922 | |||||||||||
Novellus Systems, Inc. | 2.625 | % | 05/15/41 | 13,650 | 33,920,250 | |||||||||||
NRG Yield, Inc. 144A (c)(e) | 3.500 | % | 02/01/19 | 6,450 | 6,260,531 | |||||||||||
NRG Yield, Inc. 144A (c)(e) | 3.250 | % | 06/01/20 | 4,575 | 4,209,000 | |||||||||||
NuVasive, Inc. 144A (c)(e) | 2.250 | % | 03/15/21 | 1,175 | 1,390,906 | |||||||||||
NVIDIA Corp. | 1.000 | % | 12/01/18 | 30,700 | 71,531,000 | |||||||||||
ON Semiconductor Corp., Series B (c) | 2.625 | % | 12/15/26 | 5,439 | 5,649,761 | |||||||||||
Palo Alto Networks, Inc. | 0.000 | % | 07/01/19 | 15,225 | 19,402,359 | |||||||||||
Pandora Media, Inc. 144A (c)(e) | 1.750 | % | 12/01/20 | 5,000 | 4,984,375 | |||||||||||
Priceline Group, Inc. (The) (c) | 1.000 | % | 03/15/18 | 16,500 | 22,904,063 | |||||||||||
Prospect Capital Corp. (c) | 4.750 | % | 04/15/20 | 1,100 | 1,040,188 | |||||||||||
SEACOR Holdings, Inc. | 2.500 | % | 12/15/27 | 2,375 | 2,321,563 | |||||||||||
SL Green Operating Partnership LP 144A (c)(e) | 3.000 | % | 10/15/17 | 8,275 | 11,233,313 | |||||||||||
Spirit Realty Capital, Inc. | 3.750 | % | 05/15/21 | 2,525 | 2,823,265 | |||||||||||
Spirit Realty Capital, Inc. | 2.875 | % | 05/15/19 | 4,025 | 4,341,969 | |||||||||||
Starwood Property Trust, Inc. (c) | 4.550 | % | 03/01/18 | 5,925 | 6,173,110 | |||||||||||
Starwood Property Trust, Inc. (c) | 3.750 | % | 10/15/17 | 1,650 | 1,663,406 | |||||||||||
Starwood Property Trust, Inc. | 4.000 | % | 01/15/19 | 4,350 | 4,581,094 | |||||||||||
SunEdison, Inc. (b)(c) | 2.000 | % | 10/01/18 | 5,950 | 297,500 | |||||||||||
SunEdison, Inc. (b)(c) | 2.750 | % | 01/01/21 | 4,925 | 246,250 | |||||||||||
SunEdison, Inc. 144A (b)(e) | 0.250 | % | 01/15/20 | 8,325 | 416,250 | |||||||||||
SunPower Corp. (c) | 0.750 | % | 06/01/18 | 2,825 | 2,681,984 | |||||||||||
SunPower Corp. 144A (e) | 4.000 | % | 01/15/23 | 6,975 | 6,138,000 | |||||||||||
Take-Two Interactive Software, Inc. | 1.750 | % | 12/01/16 | 2,450 | 4,858,656 | |||||||||||
Tesla Motors, Inc. (m) | 1.500 | % | 06/01/18 | 10,725 | 18,131,953 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
126
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||
United States - 17.8% (continued) | ||||||||||||||||
Trinity Industries, Inc. (c) | 3.875 | % | 06/01/36 | $ | 6,300 | $ | 6,811,875 | |||||||||
TTM Technologies, Inc. | 1.750 | % | 12/15/20 | 4,725 | 4,683,656 | |||||||||||
Vector Group Ltd. (g) | 1.750 | % | 04/15/20 | 1,900 | 2,106,625 | |||||||||||
VeriSign, Inc. | 4.345 | % | 08/15/37 | 22,869 | 57,558,414 | |||||||||||
Vishay Intertechnology, Inc. (c) | 2.250 | % | 11/15/40 | 5,325 | 5,318,344 | |||||||||||
Weatherford International Ltd. (c) | 5.875 | % | 07/01/21 | 14,794 | 16,079,229 | |||||||||||
WebMD Health Corp. | 2.500 | % | 01/31/18 | 4,775 | 5,246,531 | |||||||||||
WebMD Health Corp. (c) | 1.500 | % | 12/01/20 | 1,675 | 2,126,203 | |||||||||||
Whiting Petroleum Corp., Series 1 | 1.250 | % | 06/05/20 | 4,950 | 4,417,875 | |||||||||||
Workday, Inc. | 0.750 | % | 07/15/18 | 5,975 | 6,632,250 | |||||||||||
Wright Medical Group, Inc. (c) | 2.000 | % | 02/15/20 | 4,175 | 3,814,906 | |||||||||||
|
| |||||||||||||||
635,457,180 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE BONDS | 676,123,254 | |||||||||||||||
|
|
SHORT-TERM INVESTMENTS - 48.9% | SHARES | VALUE (Note 5) | ||||||
Investment Companies - 44.4% | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(h) | 1,562,182 | $ | 1,562,182 | |||||
Dreyfus Treasury Cash Management, Class I, 0.240% ^(h) | 6,248,730 | 6,248,730 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(h)(i) | 865,600,590 | 865,600,590 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(h)(i) | 695,479,807 | 695,479,807 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(i) | 7,810,975 | 7,810,975 | ||||||
|
| |||||||
Total Investment Companies | 1,576,702,284 | |||||||
|
| |||||||
PRINCIPAL AMOUNT (000’s) | ||||||||
U.S. Treasury Obligations - 4.5% | ||||||||
U.S. Treasury Bill, 0.351%, 10/20/2016 ^(j)(k) | $ | 4,430 | 4,426,793 | |||||
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(j) | 31,209 | 31,178,384 | ||||||
U.S. Treasury Bill, 0.384%, 10/06/2016 ^(j)(k) | 9,982 | 9,975,112 | ||||||
U.S. Treasury Bill, 0.396%, 11/03/2016 ^(j)(k) | 1,712 | 1,710,560 | ||||||
U.S. Treasury Bill, 0.400%, 12/15/2016 ^(j)(k) | 2,147 | 2,144,256 | ||||||
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(j) | 12,298 | 12,294,237 | ||||||
U.S. Treasury Bill, 0.410%, 07/28/2016 ^(j) | 25,758 | 25,754,600 | ||||||
U.S. Treasury Bill, 0.422%, 08/11/2016 ^(j) | 5,402 | 5,400,747 |
PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||
U.S. Treasury Obligations - 4.5% (continued) | ||||||||
U.S. Treasury Bill, 0.431%, 12/08/2016 ^(j)(k) | $ | 4,662 | $ | 4,656,065 | ||||
U.S. Treasury Bill, 0.456%, 08/25/2016 ^(j) | 12,512 | 12,507,233 | ||||||
U.S. Treasury Bill, 0.465%, 08/04/2016 ^(j)(k) | 16,427 | 16,423,665 | ||||||
U.S. Treasury Bill, 0.471%, 07/14/2016 ^(j) | 7,548 | 7,547,160 | ||||||
U.S. Treasury Bill, 0.480%, 11/25/2016 ^(j)(k) | 9,946 | 9,935,497 | ||||||
U.S. Treasury Bill, 0.498%, 07/07/2016 ^(j) | 3,328 | 3,327,967 | ||||||
U.S. Treasury Bill, 0.511%, 09/15/2016 ^(j) | 11,698 | 11,692,970 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 158,975,246 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 1,735,677,530 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE | $ | 3,426,358,213 | ||||||
|
| |||||||
SECURITIES SOLD SHORT - (27.4)% | SHARES | |||||||
COMMON STOCKS - (27.4)% | ||||||||
Canada - (0.7)% | ||||||||
BCE, Inc. (1) | (158,860 | ) | (7,517,861 | ) | ||||
Canadian Imperial Bank of Commerce (1) | (65,628 | ) | (4,929,402 | ) | ||||
Element Financial Corp. (1) | (198,633 | ) | (2,106,329 | ) | ||||
Fortis, Inc. (1) | (334,314 | ) | (11,300,354 | ) | ||||
|
| |||||||
(25,853,946 | ) | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
127
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
China - (0.4)% | ||||||||
Alibaba Group Holding Ltd. ADR (1)† | (188,269 | ) | $ | (14,973,034 | ) | |||
|
| |||||||
Ireland - 0.0% (a) | ||||||||
Shire plc ADR (1) | (2 | ) | (368 | ) | ||||
|
| |||||||
Israel - (1.5)% | ||||||||
Teva Pharmaceutical Industries Ltd. ADR (1) | (1,066,986 | ) | (53,594,706 | ) | ||||
|
| |||||||
Italy - 0.0% (a) | ||||||||
Ferrari NV (1) | (1 | ) | (20 | ) | ||||
|
| |||||||
Mexico - (0.2)% | ||||||||
Cemex SAB de CV ADR (1)† | (767,364 | ) | (4,734,636 | ) | ||||
|
| |||||||
Monaco - 0.0% (a) | ||||||||
Scorpio Tankers, Inc. (1) | (159,584 | ) | (670,253 | ) | ||||
|
| |||||||
Netherlands - (0.1)% | ||||||||
Wright Medical Group NV (1)† | (257,615 | ) | (4,474,773 | ) | ||||
|
| |||||||
Norway - (0.1)% | ||||||||
Ship Finance International Ltd. (1) | (212,564 | ) | (3,133,193 | ) | ||||
|
| |||||||
Switzerland - (0.2)% | ||||||||
Weatherford International plc (1)† | (1,478,431 | ) | (8,205,292 | ) | ||||
|
| |||||||
United Kingdom - (0.6)% | ||||||||
Fiat Chrysler Automobiles NV (1) | (2,591,487 | ) | (15,859,900 | ) | ||||
Markit Ltd. (1)† | (93,215 | ) | (3,038,809 | ) | ||||
|
| |||||||
(18,898,709 | ) | |||||||
|
| |||||||
United States - (23.6)% | ||||||||
Abbott Laboratories (1) | (82,185 | ) | (3,230,692 | ) | ||||
Acorda Therapeutics, Inc. (1)† | (46,242 | ) | (1,179,402 | ) | ||||
Aetna, Inc. (1) | (18,169 | ) | (2,218,980 | ) | ||||
Allegheny Technologies, Inc. (1) | (49,256 | ) | (628,014 | ) | ||||
Allergan plc (1)† | (89,374 | ) | (20,653,438 | ) | ||||
Allscripts Healthcare Solutions, Inc. (1)† | (175,172 | ) | (2,224,684 | ) | ||||
Amsurg Corp. (1)† | (42,953 | ) | (3,330,575 | ) | ||||
Annaly Capital Management, Inc. REIT (1) | (600,553 | ) | (6,648,122 | ) | ||||
Anthem, Inc. (1) | (296,393 | ) | (38,928,257 | ) | ||||
Ares Capital Corp. (1) | (93,507 | ) | (1,327,799 | ) | ||||
Black Hills Corp. (1) | (122,161 | ) | (7,701,029 | ) | ||||
Brocade Communications Systems, Inc. (1) | (2 | ) | (18 | ) | ||||
Bunge Ltd. (1) | (38,981 | ) | (2,305,726 | ) | ||||
CalAtlantic Group, Inc. (1) | (51,388 | ) | (1,886,453 | ) | ||||
Cavium, Inc. (1)† | (43,529 | ) | (1,680,219 | ) | ||||
Centene Corp. (1)† | (1 | ) | (71 | ) | ||||
Chemical Financial Corp. (1) | (50,968 | ) | (1,900,597 | ) | ||||
Cheniere Energy, Inc. (1)† | (41,354 | ) | (1,552,843 | ) | ||||
Ciena Corp. (1)† | (39,042 | ) | (732,037 | ) | ||||
Colony Capital, Inc., Class A REIT (1) | (448,450 | ) | (6,883,707 | ) | ||||
Cousins Properties, Inc. REIT (1) | (351,975 | ) | (3,660,540 | ) | ||||
Crown Castle International Corp. REIT (1) | (220,641 | ) | (22,379,617 | ) |
SHARES | VALUE (Note 5) | |||||||
United States - (23.6)% (continued) | ||||||||
Diebold, Inc. (1) | (24,440 | ) | $ | (606,845 | ) | |||
Dominion Resources, Inc. (1) | (506,415 | ) | (39,464,921 | ) | ||||
Dow Chemical Co. (The) (1) | (412,367 | ) | (20,498,764 | ) | ||||
Dycom Industries, Inc. (1)† | (49,348 | ) | (4,429,476 | ) | ||||
Emergent BioSolutions, Inc. (1)† | (94,326 | ) | (2,652,447 | ) | ||||
Euronet Worldwide, Inc. (1)† | (62,063 | ) | (4,294,139 | ) | ||||
Exelixis, Inc. (1)† | (303,529 | ) | (2,370,561 | ) | ||||
Exelon Corp. (1) | (439,801 | ) | (15,991,164 | ) | ||||
FMC Technologies, Inc. (1)† | (34,884 | ) | (930,356 | ) | ||||
Frontier Communications Corp. (1) | (4,890,480 | ) | (24,158,971 | ) | ||||
General Cable Corp. (1) | (39,436 | ) | (501,232 | ) | ||||
Great Plains Energy, Inc. (1) | (62,439 | ) | (1,898,146 | ) | ||||
Hologic, Inc. (1)† | (69,496 | ) | (2,404,562 | ) | ||||
Horizon Pharma plc (1)† | (132,246 | ) | (2,178,092 | ) | ||||
Huntington Bancshares, Inc. (1) | (1,652,165 | ) | (14,770,355 | ) | ||||
Huron Consulting Group, Inc. (1)† | (13,600 | ) | (821,712 | ) | ||||
IMS Health Holdings, Inc. (1)† | (494,610 | ) | (12,543,310 | ) | ||||
Intel Corp. (1) | (1,170,587 | ) | (38,395,254 | ) | ||||
Johnson Controls, Inc. (1) | (783,853 | ) | (34,693,334 | ) | ||||
KeyCorp. (1) | (395,325 | ) | (4,368,341 | ) | ||||
Lam Research Corp. (1) | (452,296 | ) | (38,020,002 | ) | ||||
Lennar Corp., Class A (1) | (141,497 | ) | (6,523,012 | ) | ||||
Lions Gate Entertainment Corp., Class R (1) | (69,404 | ) | (1,404,043 | ) | ||||
Marriott International, Inc., Class A (1) | (209,085 | ) | (13,895,789 | ) | ||||
Medicines Co. (The) (1)† | (183,542 | ) | (6,172,517 | ) | ||||
Medidata Solutions, Inc. (1)† | (13,137 | ) | (615,731 | ) | ||||
Mentor Graphics Corp. (1) | (140,446 | ) | (2,985,882 | ) | ||||
Meritor, Inc. (1)† | (85,333 | ) | (614,398 | ) | ||||
MGIC Investment Corp. (1)† | (995,110 | ) | (5,920,904 | ) | ||||
Microchip Technology, Inc. (1) | (697,242 | ) | (35,392,004 | ) | ||||
Micron Technology, Inc. (1)† | (1,018,663 | ) | (14,016,803 | ) | ||||
Molina Healthcare, Inc. (1)† | (377,616 | ) | (18,843,038 | ) | ||||
New York Community Bancorp, Inc. (1) | (215,831 | ) | (3,235,307 | ) | ||||
NextEra Energy, Inc. (1) | (18,302 | ) | (2,386,581 | ) | ||||
NRG Yield, Inc., Class A (1) | (101,149 | ) | (1,539,488 | ) | ||||
NRG Yield, Inc., Class C (1) | (59,891 | ) | (933,701 | ) | ||||
NuVasive, Inc. (1)† | (14,534 | ) | (867,970 | ) | ||||
NVIDIA Corp. (1) | (1,467,169 | ) | (68,971,615 | ) | ||||
ON Semiconductor Corp. (1)† | (160,580 | ) | (1,416,316 | ) | ||||
Palo Alto Networks, Inc. (1)† | (104,926 | ) | (12,868,125 | ) | ||||
Pandora Media, Inc. (1)† | (217,735 | ) | (2,710,801 | ) | ||||
Post Holdings, Inc. (1)† | (77,293 | ) | (6,391,358 | ) | ||||
Priceline Group, Inc. (The) (1)† | (14,323 | ) | (17,880,976 | ) | ||||
Prospect Capital Corp. (1) | (8,430 | ) | (65,923 | ) | ||||
Range Resources Corp. (1) | (57,239 | ) | (2,469,290 | ) | ||||
Rovi Corp. (1)† | (192,435 | ) | (3,009,683 | ) | ||||
SEACOR Holdings, Inc. (1)† | (8,266 | ) | (479,015 | ) | ||||
SL Green Realty Corp. REIT (1) | (87,829 | ) | (9,351,154 | ) | ||||
Southwestern Energy Co. (1)† | (725,616 | ) | (9,128,249 | ) | ||||
Spirit Realty Capital, Inc. REIT (1) | (230,475 | ) | (2,943,166 | ) | ||||
Starwood Property Trust, Inc. REIT (1) | (247,062 | ) | (5,119,125 | ) | ||||
SunPower Corp. (1)† | (210,896 | ) | (3,266,779 | ) | ||||
Take-Two Interactive Software, Inc. (1)† | (128,318 | ) | (4,865,819 | ) | ||||
Tesla Motors, Inc. (1)† | (2,688 | ) | (570,609 | ) | ||||
T-Mobile US, Inc. (1)† | (843,991 | ) | (36,519,491 | ) | ||||
Trinity Industries, Inc. (1) | (111,984 | ) | (2,079,543 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
128
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
United States - (23.6)% (continued) | ||||||||
TTM Technologies, Inc. (1)† | (344,156 | ) | $ | (2,591,495 | ) | |||
Tyson Foods, Inc., Class A (1) | (579,392 | ) | (38,697,592 | ) | ||||
Vector Group Ltd. (1) | (26,221 | ) | (587,875 | ) | ||||
VeriSign, Inc. (1)† | (665,415 | ) | (57,531,781 | ) | ||||
Vishay Intertechnology, Inc. (1) | (349,585 | ) | (4,331,358 | ) | ||||
WebMD Health Corp. (1)† | (64,794 | ) | (3,765,179 | ) | ||||
Welltower, Inc. REIT (1) | (120,701 | ) | (9,193,795 | ) | ||||
Weyerhaeuser Co. REIT (1) | (390,169 | ) | (11,615,331 | ) | ||||
Whiting Petroleum Corp. (1)† | (115,281 | ) | (1,067,502 | ) | ||||
Workday, Inc., Class A (1)† | (42,001 | ) | (3,136,215 | ) | ||||
WPX Energy, Inc. (1)† | (268,928 | ) | (2,503,720 | ) | ||||
|
| |||||||
(837,520,852 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT |
| (972,059,782 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT, AT VALUE | (972,059,782 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS, NET OF |
| 2,454,298,431 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 30.9% (l) | 1,097,960,600 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 3,552,259,031 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 42,587,108 | 1.2 | % | ||||
Consumer Staples | 46,716,218 | 1.3 | ||||||
Energy | 37,166,903 | 1.0 | ||||||
Financials | 78,146,910 | 2.2 | ||||||
Health Care | 115,314,814 | 3.2 | ||||||
Industrials | 58,833,364 | 1.7 | ||||||
Information Technology | 183,540,219 | 5.2 | ||||||
Materials | 38,218,394 | 1.1 | ||||||
Telecommunication Services | 18,513,989 | 0.5 | ||||||
Utilities | 99,582,982 | 2.8 | ||||||
Investment Companies | 1,576,702,284 | 44.4 | ||||||
U.S. Treasury Obligations | 158,975,246 | 4.5 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 2,454,298,431 | 69.1 | ||||||
Other Assets in Excess of Liabilities (l) | 1,097,960,600 | 30.9 | ||||||
|
|
|
| |||||
Net Assets | $ | 3,552,259,031 | 100.0 | % | ||||
|
|
|
|
† | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Defaulted security. |
(c) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $227,520,118. In addition, $973,641,248 of cash collateral was pledged. |
(d) | Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next |
call date. The rate shown represents the variable dividend rate in effect as of the close of the reporting period. |
(e) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(f) | Represents a step bond. The rate shown reflects the rate as of close of the reporting period. |
(g) | Indicates a variable rate security. The interest rate shown represents the rate as of the close of the reporting period. |
(h) | Represents annualized seven-day yield as of the close of the reporting period. |
(i) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(j) | The rate shown is the effective yield at the date of purchase. |
(k) | All or a portion of the security is pledged as collateral to the brokers for futures contracts. |
(l) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
(m) | All or a portion of this security has been segregated for covered call option written. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
129
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Credit default swap contracts buy protection as of June 30, 2016:
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE PAID BY FUND | CURRENCY | CREDIT SPREAD | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||||
CITG | Markit CDX North America High Yield Index Series 26 | 5.000% | USD | 4.288% | 5,400,000 | $(129,821 | ) | 06/20/2021 | $(41,765 | ) | ||||||||||||||||||
|
|
|
|
Open written options contracts outstanding at June 30, 2016:
Exchange Traded
Call options written
NUMBER OF CONTRACTS | ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
356 | Anacor Pharmaceuticals, Inc. (Exercise price $100) | JPMS | 08/19/2016 | $(5,556 | ) | $(1,780 | ) | $3,776 | ||||||||||||
282 | Carmike Cinemas, Inc. (Exercise price $30) (1) | JPMS | 09/16/2016 | (37,776 | ) | (36,660 | ) | 1,116 | ||||||||||||
861 | Tesla Motors, Inc. (Exercise price $125) (1) | JPMS | 01/19/2018 | (4,387,152 | ) | (7,749,000 | ) | (3,361,848 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
$(4,430,484 | ) | $(7,787,440 | ) | $(3,356,956 | ) | |||||||||||||||
|
|
|
|
|
|
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 5). |
Total return swap contracts outstanding as of June 30, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
MSCS | BIST 30 August Futures | 08/2016 | TRY | 8,692,082 | $(7,766 | ) | ||||||||
MSCS | Bovespa Index August Futures | 08/2016 | BRL | (86,013,589 | ) | (753,774 | ) | |||||||
MACQ | Cocoa September Futures^ | 08/2016 | USD | (60,820 | ) | 1,282 | ||||||||
MACQ | Cocoa September Futures^ | 08/2016 | USD | 60,820 | (1,560 | ) | ||||||||
CITI | Corn September Futures^ | 08/2016 | USD | (1,046,493 | ) | 14,884 | ||||||||
CITI | Corn September Futures^ | 08/2016 | USD | 17,848,296 | (2,698,321 | ) | ||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | 43,436 | (6,886 | ) | ||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | (43,436 | ) | 376 | ||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | (3,012,855 | ) | 41,318 | ||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | 3,012,855 | (472,630 | ) | ||||||||
MLIN | Corn September Futures^ | 09/2016 | USD | 9,399,263 | (1,449,638 | ) | ||||||||
MLIN | Corn September Futures^ | 09/2016 | USD | (9,399,262 | ) | 734,212 | ||||||||
SOCG | Cotton No. 2 December Futures^ | 11/2016 | USD | 590,969 | (13,439 | ) | ||||||||
MACQ | Cotton No. 2 December Futures^ | 11/2016 | USD | 1,378,697 | (31,127 | ) | ||||||||
MSCS | H-SHARES Index July Futures | 07/2016 | HKD | 35,337,720 | 224,715 | |||||||||
MSCS | KOSPI Index 200 September Futures | 09/2016 | KRW | 86,743,262,077 | (1,235,546 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
130
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
MLIN | Lean Hogs July Futures^ | 07/2016 | USD | (333,430 | ) | $ (15,500 | ) | |||||||||
MLIN | Lean Hogs July Futures^ | 07/2016 | USD | 333,430 | (2,030 | ) | ||||||||||
SOCG | Lean Hogs August Futures^ | 08/2016 | USD | 2,878,059 | (179,949 | ) | ||||||||||
MLIN | Lean Hogs August Futures^ | 08/2016 | USD | 2,578,320 | (146,690 | ) | ||||||||||
SOCG | Live Cattle August Futures^ | 08/2016 | USD | (4,750,778 | ) | 157,778 | ||||||||||
MACQ | Live Cattle August Futures^ | 08/2016 | USD | (15,145,788 | ) | 540,048 | ||||||||||
MLIN | Live Cattle August Futures^ | 08/2016 | USD | (855,150 | ) | 28,410 | ||||||||||
MSCS | MSCI Singapore Index July Futures | 07/2016 | SGD | (495,776 | ) | (8,837 | ) | |||||||||
MSCS | MSCI Taiwan Stock Index July Futures | 07/2016 | USD | (891,030 | ) | (29,720 | ) | |||||||||
GSIN | NSE Nifty 50 Index July Futures | 07/2016 | INR | (1,028,815,825 | ) | (290,503 | ) | |||||||||
MSCS | SGX FTSE China A50 Index July Futures | 07/2016 | USD | (1,599,452 | ) | (25,908 | ) | |||||||||
MSCS | SGX S&P CNX Nifty Index July Futures | 07/2016 | USD | (14,053,987 | ) | (366,428 | ) | |||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | 38,058,283 | 287,280 | |||||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | (13,636,162 | ) | (4,833 | ) | |||||||||
SOCG | Soybean November Futures^ | 10/2016 | USD | 11,307,137 | 52,375 | |||||||||||
MACQ | Soybean November Futures^ | 10/2016 | USD | 38,969,492 | 183,346 | |||||||||||
CITI | Soybean Meal December Futures^ | 11/2016 | USD | 943,320 | 19,080 | |||||||||||
MACQ | Soybean Meal December Futures^ | 11/2016 | USD | 6,940,052 | (42,852 | ) | ||||||||||
MLIN | Soybean Meal December Futures^ | 11/2016 | USD | 3,456,160 | (7,560 | ) | ||||||||||
MACQ | Soybean Oil December Futures^ | 11/2016 | USD | (821,605 | ) | (5,801 | ) | |||||||||
MSCS | Swiss Market Index September Futures | 09/2016 | CHF | (156,453,179 | ) | (7,063,411 | ) | |||||||||
MSCS | Taiwan Stock Exchange July Futures | 07/2016 | TWD | (119,823,379 | ) | (88,300 | ) | |||||||||
BANA | Tel Aviv 25 Index July Futures | 07/2016 | ILS | (16,194,357 | ) | 101,914 | ||||||||||
CITI | Wheat September Futures^ | 08/2016 | USD | (5,181,619 | ) | (525,626 | ) | |||||||||
CITI | Wheat September Futures^ | 08/2016 | USD | 3,328,820 | 477,620 | |||||||||||
GSIN | WIG20 Index September Futures | 09/2016 | PLN | 25,623,642 | 23,054 | |||||||||||
|
| |||||||||||||||
$(12,586,943 | ) | |||||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
249 | GSCO | Brent Crude Futures^ | 07/2016 | $12,169,560 | $12,377,790 | $208,230 | ||||||||||||||
161 | GSCO | Cocoa Futures^ | 09/2016 | 4,926,649 | 5,038,928 | 112,279 | ||||||||||||||
9 | MSCL | Cocoa Futures^ | 09/2016 | 269,541 | 266,670 | (2,871 | ) | |||||||||||||
118 | MSCL | Coffee ‘C’ Futures^ | 09/2016 | 6,196,027 | 6,445,013 | 248,986 | ||||||||||||||
56 | MSCL | Cotton No. 2 Futures^ | 12/2016 | 1,834,443 | 1,796,760 | (37,683 | ) | |||||||||||||
13 | GSCO | Gas Oil Futures^ | 08/2016 | 584,374 | 580,125 | (4,249 | ) | |||||||||||||
984 | MSCL | Gold 100 OZ Futures^ | 08/2016 | 126,431,958 | 129,947,040 | 3,515,082 | ||||||||||||||
4 | MSCL | Lean Hogs Futures^ | 08/2016 | 138,614 | 133,240 | (5,374 | ) | |||||||||||||
4 | JPPC | LME Aluminum Futures^ | 07/2016 | 152,884 | 164,300 | 11,416 | ||||||||||||||
14 | JPPC | LME Aluminum Futures^ | 07/2016 | 528,080 | 575,113 | 47,033 | ||||||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | 75,285 | 82,168 | 6,883 | ||||||||||||||
16 | JPPC | LME Aluminum Futures^ | 07/2016 | 624,731 | 657,860 | 33,129 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 07/2016 | 698,312 | 740,173 | 41,861 | ||||||||||||||
10 | JPPC | LME Aluminum Futures^ | 07/2016 | 389,682 | 411,345 | 21,663 | ||||||||||||||
9 | JPPC | LME Aluminum Futures^ | 07/2016 | 354,129 | 370,253 | 16,124 | ||||||||||||||
10 | JPPC | LME Aluminum Futures^ | 07/2016 | 400,972 | 411,438 | 10,466 | ||||||||||||||
13 | JPPC | LME Aluminum Futures^ | 07/2016 | 530,930 | 534,544 | 3,614 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
131
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 07/2016 | $ 740,998 | $ 740,025 | $ (973 | ) | |||||||||||||
14 | JPPC | LME Aluminum Futures^ | 07/2016 | 576,819 | 575,715 | (1,104 | ) | |||||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | 82,541 | 82,265 | (276 | ) | |||||||||||||
2 | JPPC | LME Aluminum Futures^ | 08/2016 | 81,739 | 82,312 | 573 | ||||||||||||||
37 | JPPC | LME Aluminum Futures^ | 08/2016 | 1,433,525 | 1,523,780 | 90,255 | ||||||||||||||
19 | JPPC | LME Aluminum Futures^ | 08/2016 | 732,183 | 782,738 | 50,555 | ||||||||||||||
19 | JPPC | LME Aluminum Futures^ | 08/2016 | 737,840 | 782,800 | 44,960 | ||||||||||||||
19 | JPPC | LME Aluminum Futures^ | 08/2016 | 730,131 | 782,444 | 52,313 | ||||||||||||||
35 | JPPC | LME Aluminum Futures^ | 08/2016 | 1,365,345 | 1,440,688 | 75,343 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | 694,574 | 741,375 | 46,801 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | 697,544 | 741,487 | 43,943 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | 698,444 | 741,600 | 43,156 | ||||||||||||||
28 | JPPC | LME Aluminum Futures^ | 08/2016 | 1,090,274 | 1,153,775 | 63,501 | ||||||||||||||
19 | JPPC | LME Aluminum Futures^ | 09/2016 | 738,315 | 783,631 | 45,316 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | 668,142 | 701,250 | 33,108 | ||||||||||||||
5 | JPPC | LME Aluminum Futures^ | 09/2016 | 194,344 | 206,406 | 12,062 | ||||||||||||||
11 | JPPC | LME Aluminum Futures^ | 09/2016 | 440,324 | 454,163 | 13,839 | ||||||||||||||
33 | JPPC | LME Aluminum Futures^ | 09/2016 | 1,310,991 | 1,362,694 | 51,703 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | 674,795 | 702,117 | 27,322 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | 682,782 | 702,147 | 19,365 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 09/2016 | 730,274 | 743,481 | 13,207 | ||||||||||||||
35 | JPPC | LME Aluminum Futures^ | 09/2016 | 1,409,185 | 1,445,719 | 36,534 | ||||||||||||||
247 | JPPC | LME Aluminum Futures^ | 09/2016 | 9,953,823 | 10,196,469 | 242,646 | ||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 09/2016 | 730,693 | 743,512 | 12,819 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | 694,806 | 701,462 | 6,656 | ||||||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | 682,977 | 701,016 | 18,039 | ||||||||||||||
16 | JPPC | LME Aluminum Futures^ | 09/2016 | 646,667 | 659,720 | 13,053 | ||||||||||||||
14 | JPPC | LME Aluminum Futures^ | 09/2016 | 569,315 | 577,202 | 7,887 | ||||||||||||||
12 | JPPC | LME Aluminum Futures^ | 09/2016 | 491,940 | 494,700 | 2,760 | ||||||||||||||
4 | JPPC | LME Copper Futures^ | 07/2016 | 477,510 | 484,000 | 6,490 | ||||||||||||||
3 | JPPC | LME Copper Futures^ | 07/2016 | 356,782 | 363,025 | 6,243 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | 117,202 | 121,017 | 3,815 | ||||||||||||||
4 | JPPC | LME Copper Futures^ | 07/2016 | 463,910 | 484,103 | 20,193 | ||||||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | 580,015 | 605,258 | 25,243 | ||||||||||||||
9 | JPPC | LME Copper Futures^ | 07/2016 | 1,055,722 | 1,089,542 | 33,820 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | 120,459 | 121,069 | 610 | ||||||||||||||
54 | JPPC | LME Copper Futures^ | 07/2016 | 6,472,212 | 6,537,173 | 64,961 | ||||||||||||||
26 | JPPC | LME Copper Futures^ | 07/2016 | 3,119,128 | 3,147,398 | 28,270 | ||||||||||||||
25 | JPPC | LME Copper Futures^ | 07/2016 | 3,028,156 | 3,026,218 | (1,938 | ) | |||||||||||||
7 | JPPC | LME Copper Futures^ | 07/2016 | 875,757 | 847,350 | (28,407 | ) | |||||||||||||
7 | JPPC | LME Copper Futures^ | 07/2016 | 879,183 | 847,394 | (31,789 | ) | |||||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | 624,828 | 605,375 | (19,453 | ) | |||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | 247,278 | 242,162 | (5,116 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | 123,050 | 121,088 | (1,962 | ) | |||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | 244,555 | 242,188 | (2,367 | ) | |||||||||||||
24 | JPPC | LME Copper Futures^ | 08/2016 | 2,927,459 | 2,907,360 | (20,099 | ) | |||||||||||||
16 | JPPC | LME Copper Futures^ | 08/2016 | 1,892,039 | 1,939,080 | 47,041 | ||||||||||||||
32 | JPPC | LME Copper Futures^ | 08/2016 | 3,744,710 | 3,878,400 | 133,690 | ||||||||||||||
13 | JPPC | LME Copper Futures^ | 08/2016 | 1,505,432 | 1,575,382 | 69,950 | ||||||||||||||
3 | JPPC | LME Copper Futures^ | 08/2016 | 348,014 | 363,525 | 15,511 | ||||||||||||||
4 | JPPC | LME Copper Futures^ | 08/2016 | 458,710 | 484,683 | 25,973 | ||||||||||||||
13 | JPPC | LME Copper Futures^ | 08/2016 | 1,500,182 | 1,575,168 | 74,986 | ||||||||||||||
9 | JPPC | LME Copper Futures^ | 08/2016 | 1,025,572 | 1,090,424 | 64,852 | ||||||||||||||
10 | JPPC | LME Copper Futures^ | 08/2016 | 1,150,422 | 1,211,543 | 61,121 | ||||||||||||||
5 | JPPC | LME Copper Futures^ | 08/2016 | 578,762 | 605,750 | 26,988 | ||||||||||||||
8 | JPPC | LME Copper Futures^ | 08/2016 | 938,268 | 969,218 | 30,950 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
132
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
21 | JPPC | LME Copper Futures^ | 09/2016 | $ 2,417,676 | $ 2,544,470 | $ 126,794 | ||||||||||||||
35 | JPPC | LME Copper Futures^ | 09/2016 | 4,060,786 | 4,240,854 | 180,068 | ||||||||||||||
60 | JPPC | LME Copper Futures^ | 09/2016 | 6,913,647 | 7,270,695 | 357,048 | ||||||||||||||
31 | JPPC | LME Copper Futures^ | 09/2016 | 3,560,426 | 3,756,588 | 196,162 | ||||||||||||||
37 | JPPC | LME Copper Futures^ | 09/2016 | 4,180,402 | 4,483,753 | 303,351 | ||||||||||||||
27 | JPPC | LME Copper Futures^ | 09/2016 | 3,066,929 | 3,272,218 | 205,289 | ||||||||||||||
9 | JPPC | LME Copper Futures^ | 09/2016 | 1,024,682 | 1,090,778 | 66,096 | ||||||||||||||
241 | JPPC | LME Copper Futures^ | 09/2016 | 28,049,764 | 29,209,200 | 1,159,436 | ||||||||||||||
9 | JPPC | LME Copper Futures^ | 09/2016 | 1,061,732 | 1,090,237 | 28,505 | ||||||||||||||
19 | JPPC | LME Copper Futures^ | 09/2016 | 2,237,507 | 2,301,494 | 63,987 | ||||||||||||||
16 | JPPC | LME Copper Futures^ | 09/2016 | 1,924,748 | 1,938,032 | 13,284 | ||||||||||||||
6 | JPPC | LME Copper Futures^ | 09/2016 | 724,651 | 726,750 | 2,099 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | 55,526 | 56,460 | 934 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 07/2016 | 224,423 | 225,854 | 1,431 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 07/2016 | 165,037 | 169,400 | 4,363 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | 54,544 | 56,477 | 1,933 | ||||||||||||||
6 | JPPC | LME Nickel Futures^ | 08/2016 | 344,691 | 339,048 | (5,643 | ) | |||||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | 113,505 | 113,023 | (482 | ) | |||||||||||||
7 | JPPC | LME Nickel Futures^ | 08/2016 | 389,192 | 395,604 | 6,412 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | 155,509 | 169,657 | 14,148 | ||||||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | 104,142 | 113,112 | 8,970 | ||||||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | 103,445 | 113,118 | 9,673 | ||||||||||||||
8 | JPPC | LME Nickel Futures^ | 08/2016 | 411,262 | 452,492 | 41,230 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 08/2016 | 200,410 | 226,290 | 25,880 | ||||||||||||||
5 | JPPC | LME Nickel Futures^ | 08/2016 | 251,115 | 282,876 | 31,761 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | 150,912 | 169,734 | 18,822 | ||||||||||||||
10 | JPPC | LME Nickel Futures^ | 08/2016 | 506,079 | 565,806 | 59,727 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | 151,207 | 169,791 | 18,584 | ||||||||||||||
9 | JPPC | LME Nickel Futures^ | 09/2016 | 457,080 | 509,399 | 52,319 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | 208,810 | 226,444 | 17,634 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | 207,130 | 226,455 | 19,325 | ||||||||||||||
2 | JPPC | LME Nickel Futures^ | 09/2016 | 104,645 | 113,233 | 8,588 | ||||||||||||||
8 | JPPC | LME Nickel Futures^ | 09/2016 | 427,207 | 453,106 | 25,899 | ||||||||||||||
33 | JPPC | LME Nickel Futures^ | 09/2016 | 1,812,087 | 1,869,516 | 57,429 | ||||||||||||||
5 | JPPC | LME Nickel Futures^ | 09/2016 | 276,518 | 283,247 | 6,729 | ||||||||||||||
2 | JPPC | LME Nickel Futures^ | 09/2016 | 111,064 | 113,308 | 2,244 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | 216,530 | 226,656 | 10,126 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | 221,298 | 226,664 | 5,366 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | 168,199 | 170,004 | 1,805 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | 706,389 | 708,375 | 1,986 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | 46,890 | 52,535 | 5,645 | ||||||||||||||
2 | JPPC | LME Zinc Futures^ | 07/2016 | 94,659 | 105,063 | 10,404 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | 47,251 | 52,533 | 5,282 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | 48,508 | 52,533 | 4,025 | ||||||||||||||
5 | JPPC | LME Zinc Futures^ | 08/2016 | 227,750 | 263,125 | 35,375 | ||||||||||||||
7 | JPPC | LME Zinc Futures^ | 08/2016 | 321,125 | 368,395 | 47,270 | ||||||||||||||
15 | JPPC | LME Zinc Futures^ | 08/2016 | 703,354 | 789,454 | 86,100 | ||||||||||||||
22 | JPPC | LME Zinc Futures^ | 09/2016 | 1,097,077 | 1,158,278 | 61,201 | ||||||||||||||
10 | JPPC | LME Zinc Futures^ | 09/2016 | 505,804 | 526,597 | 20,793 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | 51,190 | 52,665 | 1,475 | ||||||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | 206,756 | 210,671 | 3,915 | ||||||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | 207,096 | 210,714 | 3,618 | ||||||||||||||
2 | JPPC | LME Zinc Futures^ | 09/2016 | 101,641 | 105,363 | 3,722 | ||||||||||||||
3 | JPPC | LME Zinc Futures^ | 09/2016 | 153,452 | 158,029 | 4,577 | ||||||||||||||
6 | JPPC | LME Zinc Futures^ | 09/2016 | 299,966 | 316,028 | 16,062 | ||||||||||||||
67 | JPPC | LME Zinc Futures^ | 09/2016 | 3,382,316 | 3,527,969 | 145,653 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
133
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
3 | JPPC | LME Zinc Futures^ | 09/2016 | $ 150,077 | $ 157,984 | $ 7,907 | ||||||||||||||
2 | JPPC | LME Zinc Futures^ | 09/2016 | 102,456 | 105,238 | 2,782 | ||||||||||||||
7 | JPPC | LME Zinc Futures^ | 09/2016 | 350,869 | 368,268 | 17,399 | ||||||||||||||
3 | JPPC | LME Zinc Futures^ | 09/2016 | 153,981 | 157,832 | 3,851 | ||||||||||||||
662 | MSCL | Silver Futures^ | 09/2016 | 57,735,061 | 61,642,130 | 3,907,069 | ||||||||||||||
108 | MSCL | Soybean Futures^ | 11/2016 | 5,960,543 | 6,227,550 | 267,007 | ||||||||||||||
762 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2016 | 16,786,345 | 17,350,435 | 564,090 | ||||||||||||||
233 | BARC | Amsterdam Index Futures | 07/2016 | 21,495,394 | 22,511,256 | 1,015,862 | ||||||||||||||
565 | JPMS | BIST 30 Futures | 08/2016 | 1,890,963 | 1,881,697 | (9,266 | ) | |||||||||||||
10 | BARC | DAX Index Futures | 09/2016 | 2,624,682 | 2,682,405 | 57,723 | ||||||||||||||
1,274 | BARC | Euro Stoxx 50 Index Futures | 09/2016 | 39,213,863 | 40,364,604 | 1,150,741 | ||||||||||||||
109 | BARC | FTSE 100 Index Futures | 09/2016 | 9,163,863 | 9,319,449 | 155,586 | ||||||||||||||
22 | BARC | FTSE Bursa Malaysia KLCI Index Futures | 07/2016 | 444,995 | 451,159 | 6,164 | ||||||||||||||
98 | BARC | IBEX 35 Index Futures | 07/2016 | 8,728,477 | 8,838,886 | 110,409 | ||||||||||||||
50 | BARC | KOSPI Index 200 Futures | 09/2016 | 5,412,205 | 5,301,254 | (110,951 | ) | |||||||||||||
84 | JPMS | KOSPI Index 200 Futures | 09/2016 | 8,802,670 | 8,906,108 | 103,438 | ||||||||||||||
33 | BARC | S&P MID 400 E-Mini Futures | 09/2016 | 4,873,729 | 4,926,900 | 53,171 | ||||||||||||||
46 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2016 | 5,764,201 | 5,798,646 | 34,445 | ||||||||||||||
103 | BARC | SET50 Index Futures | 09/2016 | 521,325 | 529,187 | 7,862 | ||||||||||||||
880 | BARC | SPI 200 Index Futures | 09/2016 | 84,089,852 | 84,925,732 | 835,880 | ||||||||||||||
277 | BARC | TOPIX Index Futures | 09/2016 | 35,176,899 | 33,409,528 | (1,767,371 | ) | |||||||||||||
394 | JPMS | 3-Month Euro Euribor Futures | 09/2016 | 109,613,945 | 109,654,702 | 40,757 | ||||||||||||||
2,606 | JPMS | 3-Month Euro Euribor Futures | 12/2016 | 725,234,224 | 725,496,476 | 262,252 | ||||||||||||||
2,594 | JPMS | 3-Month Euro Euribor Futures | 03/2017 | 721,919,682 | 722,227,708 | 308,026 | ||||||||||||||
1,999 | JPMS | 3-Month Euro Euribor Futures | 06/2017 | 556,418,047 | 556,649,569 | 231,522 | ||||||||||||||
510 | JPMS | 3-Month Euro Euribor Futures | 09/2017 | 141,945,686 | 142,030,798 | 85,112 | ||||||||||||||
598 | JPMS | 3-Month Euro Euribor Futures | 12/2017 | 166,412,690 | 166,546,368 | 133,678 | ||||||||||||||
662 | JPMS | 3-Month Euro Euribor Futures | 03/2018 | 184,204,020 | 184,361,545 | 157,525 | ||||||||||||||
411 | JPMS | 3-Month Euro Euribor Futures | 06/2018 | 114,358,975 | 114,454,412 | 95,437 | ||||||||||||||
370 | JPMS | 90-Day EURODollar Futures | 09/2017 | 91,601,099 | 91,787,750 | 186,651 | ||||||||||||||
349 | JPMS | 90-Day EURODollar Futures | 12/2017 | 86,348,336 | 86,530,187 | 181,851 | ||||||||||||||
333 | JPMS | 90-Day EURODollar Futures | 03/2018 | 82,345,416 | 82,529,887 | 184,471 | ||||||||||||||
322 | JPMS | 90-Day EURODollar Futures | 06/2018 | 79,581,380 | 79,767,450 | 186,070 | ||||||||||||||
749 | JPMS | 90-Day Sterling Futures | 12/2016 | 123,959,545 | 124,214,507 | 254,962 | ||||||||||||||
830 | JPMS | 90-Day Sterling Futures | 03/2017 | 137,237,556 | 137,661,411 | 423,855 | ||||||||||||||
780 | JPMS | 90-Day Sterling Futures | 06/2017 | 128,978,767 | 129,368,555 | 389,788 | ||||||||||||||
316 | JPMS | 90-Day Sterling Futures | 09/2017 | 52,218,449 | 52,416,109 | 197,660 | ||||||||||||||
282 | JPMS | 90-Day Sterling Futures | 12/2017 | 46,572,796 | 46,771,708 | 198,912 | ||||||||||||||
258 | JPMS | 90-Day Sterling Futures | 03/2018 | 42,596,006 | 42,786,839 | 190,833 | ||||||||||||||
238 | JPMS | 90-Day Sterling Futures | 06/2018 | 39,317,719 | 39,462,114 | 144,395 | ||||||||||||||
919 | JPMS | Australia 3-Year Bond Futures | 09/2016 | 77,434,808 | 77,575,268 | 140,460 | ||||||||||||||
134 | MSCL | CME Ultra Long Term U.S. Treasury Bond Futures | 09/2016 | 23,680,363 | 24,974,250 | 1,293,887 | ||||||||||||||
237 | GSCO | Euro - OAT Futures | 09/2016 | 41,218,613 | 42,289,498 | 1,070,885 | ||||||||||||||
1,308 | GSCO | Euro - SCHATZ Futures | 09/2016 | 162,378,763 | 162,668,285 | 289,522 | ||||||||||||||
963 | GSCO | Euro - Bobl Futures | 09/2016 | 141,493,026 | 142,776,882 | 1,283,856 | ||||||||||||||
97 | GSCO | Euro - BTP Italian Government Bond Futures | 09/2016 | 15,155,635 | 15,351,361 | 195,726 | ||||||||||||||
1,452 | GSCO | Euro - Bund Futures | 09/2016 | 264,135,137 | 269,289,979 | 5,154,842 | ||||||||||||||
23 | GSCO | Euro - Buxl 30-Year Bond Futures | 09/2016 | 4,553,262 | 5,006,837 | 453,575 | ||||||||||||||
902 | GSCO | Long Gilt Futures | 09/2016 | 148,141,292 | 154,289,181 | 6,147,889 | ||||||||||||||
838 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2016 | 111,177,297 | 111,440,906 | 263,609 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
134
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
120 | MSCL | U.S. Treasury 2-Year Note Futures | 09/2016 | $ 26,298,399 | $ 26,319,375 | $ 20,976 | ||||||||||||||
767 | MSCL | U.S. Treasury 5-Year Note Futures | 09/2016 | 92,416,059 | 93,699,836 | 1,283,777 | ||||||||||||||
176 | MSCL | U.S. Treasury Long Bond Futures | 09/2016 | 28,963,188 | 30,332,500 | 1,369,312 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
5,373,811,189 | 5,412,573,017 | 38,761,828 | ||||||||||||||||||
|
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| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
222 | MSCL | Copper Futures^ | 09/2016 | $(11,966,125 | ) | $(12,185,025 | ) | $(218,900 | ) | |||||||||||
89 | MSCL | Gasoline RBOB Futures^ | 07/2016 | (5,642,641 | ) | (5,611,859 | ) | 30,782 | ||||||||||||
200 | MSCL | Hard Red Winter Wheat Futures^ | 09/2016 | (4,855,424 | ) | (4,225,000 | ) | 630,424 | ||||||||||||
7 | MSCL | Heating Oil ULSD Futures^ | 07/2016 | (432,620 | ) | (437,678 | ) | (5,058 | ) | |||||||||||
80 | MSCL | Live Cattle Futures^ | 08/2016 | (3,643,206 | ) | (3,674,400 | ) | (31,194 | ) | |||||||||||
4 | JPPC | LME Aluminum Futures^ | 07/2016 | (153,440 | ) | (164,300 | ) | (10,860 | ) | |||||||||||
14 | JPPC | LME Aluminum Futures^ | 07/2016 | (527,416 | ) | (575,113 | ) | (47,697 | ) | |||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | (75,220 | ) | (82,168 | ) | (6,948 | ) | |||||||||||
16 | JPPC | LME Aluminum Futures^ | 07/2016 | (624,761 | ) | (657,860 | ) | (33,099 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 07/2016 | (697,231 | ) | (740,174 | ) | (42,943 | ) | |||||||||||
10 | JPPC | LME Aluminum Futures^ | 07/2016 | (388,976 | ) | (411,346 | ) | (22,370 | ) | |||||||||||
9 | JPPC | LME Aluminum Futures^ | 07/2016 | (352,661 | ) | (370,253 | ) | (17,592 | ) | |||||||||||
10 | JPPC | LME Aluminum Futures^ | 07/2016 | (400,351 | ) | (411,438 | ) | (11,087 | ) | |||||||||||
13 | JPPC | LME Aluminum Futures^ | 07/2016 | (532,962 | ) | (534,544 | ) | (1,582 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 07/2016 | (740,197 | ) | (740,025 | ) | �� | 172 | |||||||||||
14 | JPPC | LME Aluminum Futures^ | 07/2016 | (577,459 | ) | (575,715 | ) | 1,744 | ||||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | (82,445 | ) | (82,265 | ) | 180 | ||||||||||||
2 | JPPC | LME Aluminum Futures^ | 08/2016 | (81,870 | ) | (82,312 | ) | (442 | ) | |||||||||||
37 | JPPC | LME Aluminum Futures^ | 08/2016 | (1,431,539 | ) | (1,523,781 | ) | (92,242 | ) | |||||||||||
19 | JPPC | LME Aluminum Futures^ | 08/2016 | (732,886 | ) | (782,738 | ) | (49,852 | ) | |||||||||||
19 | JPPC | LME Aluminum Futures^ | 08/2016 | (735,196 | ) | (782,800 | ) | (47,604 | ) | |||||||||||
19 | JPPC | LME Aluminum Futures^ | 08/2016 | (733,172 | ) | (782,444 | ) | (49,272 | ) | |||||||||||
35 | JPPC | LME Aluminum Futures^ | 08/2016 | (1,361,447 | ) | (1,440,688 | ) | (79,241 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | (693,952 | ) | (741,375 | ) | (47,423 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | (701,894 | ) | (741,487 | ) | (39,593 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 08/2016 | (696,846 | ) | (741,600 | ) | (44,754 | ) | |||||||||||
28 | JPPC | LME Aluminum Futures^ | 08/2016 | (1,090,159 | ) | (1,153,775 | ) | (63,616 | ) | |||||||||||
19 | JPPC | LME Aluminum Futures^ | 09/2016 | (739,207 | ) | (783,631 | ) | (44,424 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | (664,140 | ) | (701,250 | ) | (37,110 | ) | |||||||||||
5 | JPPC | LME Aluminum Futures^ | 09/2016 | (194,238 | ) | (206,407 | ) | (12,169 | ) | |||||||||||
11 | JPPC | LME Aluminum Futures^ | 09/2016 | (438,048 | ) | (454,162 | ) | (16,114 | ) | |||||||||||
33 | JPPC | LME Aluminum Futures^ | 09/2016 | (1,311,744 | ) | (1,362,694 | ) | (50,950 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | (669,758 | ) | (702,117 | ) | (32,359 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | (682,933 | ) | (702,146 | ) | (19,213 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 09/2016 | (725,797 | ) | (743,481 | ) | (17,684 | ) | |||||||||||
35 | JPPC | LME Aluminum Futures^ | 09/2016 | (1,414,381 | ) | (1,445,719 | ) | (31,338 | ) | |||||||||||
223 | JPPC | LME Aluminum Futures^ | 09/2016 | (8,703,393 | ) | (9,205,718 | ) | (502,325 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 09/2016 | (728,956 | ) | (743,513 | ) | (14,557 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | (695,250 | ) | (701,463 | ) | (6,213 | ) | |||||||||||
17 | JPPC | LME Aluminum Futures^ | 09/2016 | (687,039 | ) | (701,016 | ) | (13,977 | ) | |||||||||||
16 | JPPC | LME Aluminum Futures^ | 09/2016 | (644,361 | ) | (659,720 | ) | (15,359 | ) | |||||||||||
14 | JPPC | LME Aluminum Futures^ | 09/2016 | (569,503 | ) | (577,202 | ) | (7,699 | ) | |||||||||||
12 | JPPC | LME Aluminum Futures^ | 09/2016 | (489,865 | ) | (494,700 | ) | (4,835 | ) | |||||||||||
4 | JPPC | LME Copper Futures^ | 07/2016 | (477,163 | ) | (484,000 | ) | (6,837 | ) | |||||||||||
3 | JPPC | LME Copper Futures^ | 07/2016 | (357,544 | ) | (363,026 | ) | (5,482 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (117,709 | ) | (121,018 | ) | (3,309 | ) | |||||||||||
4 | JPPC | LME Copper Futures^ | 07/2016 | (465,650 | ) | (484,103 | ) | (18,453 | ) | |||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | (582,020 | ) | (605,258 | ) | (23,238 | ) | |||||||||||
9 | JPPC | LME Copper Futures^ | 07/2016 | (1,059,199 | ) | (1,089,542 | ) | (30,343 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (120,569 | ) | (121,068 | ) | (499 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
135
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
54 | JPPC | LME Copper Futures^ | 07/2016 | $ (6,466,368 | ) | $ (6,537,173 | ) | $ (70,805 | ) | |||||||||||
26 | JPPC | LME Copper Futures^ | 07/2016 | (3,105,623 | ) | (3,147,397 | ) | (41,774 | ) | |||||||||||
25 | JPPC | LME Copper Futures^ | 07/2016 | (3,018,189 | ) | (3,026,219 | ) | (8,030 | ) | |||||||||||
7 | JPPC | LME Copper Futures^ | 07/2016 | (879,095 | ) | (847,350 | ) | 31,745 | ||||||||||||
7 | JPPC | LME Copper Futures^ | 07/2016 | (878,483 | ) | (847,394 | ) | 31,089 | ||||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | (626,019 | ) | (605,375 | ) | 20,644 | ||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | (246,441 | ) | (242,163 | ) | 4,278 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (123,489 | ) | (121,087 | ) | 2,402 | ||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | (245,373 | ) | (242,187 | ) | 3,186 | ||||||||||||
24 | JPPC | LME Copper Futures^ | 08/2016 | (2,931,345 | ) | (2,907,360 | ) | 23,985 | ||||||||||||
16 | JPPC | LME Copper Futures^ | 08/2016 | (1,887,101 | ) | (1,939,080 | ) | (51,979 | ) | |||||||||||
32 | JPPC | LME Copper Futures^ | 08/2016 | (3,734,429 | ) | (3,878,400 | ) | (143,971 | ) | |||||||||||
13 | JPPC | LME Copper Futures^ | 08/2016 | (1,509,845 | ) | (1,575,382 | ) | (65,537 | ) | |||||||||||
3 | JPPC | LME Copper Futures^ | 08/2016 | (347,945 | ) | (363,525 | ) | (15,580 | ) | |||||||||||
4 | JPPC | LME Copper Futures^ | 08/2016 | (459,070 | ) | (484,683 | ) | (25,613 | ) | |||||||||||
13 | JPPC | LME Copper Futures^ | 08/2016 | (1,494,607 | ) | (1,575,168 | ) | (80,561 | ) | |||||||||||
9 | JPPC | LME Copper Futures^ | 08/2016 | (1,027,162 | ) | (1,090,424 | ) | (63,262 | ) | |||||||||||
10 | JPPC | LME Copper Futures^ | 08/2016 | (1,150,597 | ) | (1,211,542 | ) | (60,945 | ) | |||||||||||
5 | JPPC | LME Copper Futures^ | 08/2016 | (580,336 | ) | (605,750 | ) | (25,414 | ) | |||||||||||
8 | JPPC | LME Copper Futures^ | 08/2016 | (937,702 | ) | (969,218 | ) | (31,516 | ) | |||||||||||
21 | JPPC | LME Copper Futures^ | 09/2016 | (2,409,204 | ) | (2,544,470 | ) | (135,266 | ) | |||||||||||
35 | JPPC | LME Copper Futures^ | 09/2016 | (4,062,836 | ) | (4,240,854 | ) | (178,018 | ) | |||||||||||
60 | JPPC | LME Copper Futures^ | 09/2016 | (6,885,769 | ) | (7,270,695 | ) | (384,926 | ) | |||||||||||
31 | JPPC | LME Copper Futures^ | 09/2016 | (3,559,734 | ) | (3,756,588 | ) | (196,854 | ) | |||||||||||
37 | JPPC | LME Copper Futures^ | 09/2016 | (4,176,770 | ) | (4,483,753 | ) | (306,983 | ) | |||||||||||
27 | JPPC | LME Copper Futures^ | 09/2016 | (3,056,403 | ) | (3,272,218 | ) | (215,815 | ) | |||||||||||
9 | JPPC | LME Copper Futures^ | 09/2016 | (1,028,553 | ) | (1,090,778 | ) | (62,225 | ) | |||||||||||
211 | JPPC | LME Copper Futures^ | 09/2016 | (24,202,483 | ) | (25,573,200 | ) | (1,370,717 | ) | |||||||||||
9 | JPPC | LME Copper Futures^ | 09/2016 | (1,061,528 | ) | (1,090,238 | ) | (28,710 | ) | |||||||||||
19 | JPPC | LME Copper Futures^ | 09/2016 | (2,237,400 | ) | (2,301,494 | ) | (64,094 | ) | |||||||||||
16 | JPPC | LME Copper Futures^ | 09/2016 | (1,924,411 | ) | (1,938,032 | ) | (13,621 | ) | |||||||||||
6 | JPPC | LME Copper Futures^ | 09/2016 | (724,785 | ) | (726,750 | ) | (1,965 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | (55,363 | ) | (56,460 | ) | (1,097 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 07/2016 | (227,798 | ) | (225,853 | ) | 1,945 | ||||||||||||
3 | JPPC | LME Nickel Futures^ | 07/2016 | (164,873 | ) | (169,401 | ) | (4,528 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | (54,538 | ) | (56,478 | ) | (1,940 | ) | |||||||||||
6 | JPPC | LME Nickel Futures^ | 08/2016 | (342,702 | ) | (339,048 | ) | 3,654 | ||||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | (112,975 | ) | (113,023 | ) | (48 | ) | |||||||||||
7 | JPPC | LME Nickel Futures^ | 08/2016 | (391,881 | ) | (395,604 | ) | (3,723 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | (156,187 | ) | (169,658 | ) | (13,471 | ) | |||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | (104,459 | ) | (113,112 | ) | (8,653 | ) | |||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | (103,514 | ) | (113,118 | ) | (9,604 | ) | |||||||||||
8 | JPPC | LME Nickel Futures^ | 08/2016 | (410,544 | ) | (452,491 | ) | (41,947 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 08/2016 | (201,210 | ) | (226,290 | ) | (25,080 | ) | |||||||||||
5 | JPPC | LME Nickel Futures^ | 08/2016 | (251,384 | ) | (282,876 | ) | (31,492 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | (151,082 | ) | (169,734 | ) | (18,652 | ) | |||||||||||
10 | JPPC | LME Nickel Futures^ | 08/2016 | (505,484 | ) | (565,807 | ) | (60,323 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | (150,818 | ) | (169,791 | ) | (18,973 | ) | |||||||||||
9 | JPPC | LME Nickel Futures^ | 09/2016 | (457,219 | ) | (509,399 | ) | (52,180 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | (208,541 | ) | (226,443 | ) | (17,902 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | (206,411 | ) | (226,455 | ) | (20,044 | ) | |||||||||||
2 | JPPC | LME Nickel Futures^ | 09/2016 | (105,774 | ) | (113,233 | ) | (7,459 | ) | |||||||||||
8 | JPPC | LME Nickel Futures^ | 09/2016 | (427,720 | ) | (453,106 | ) | (25,386 | ) | |||||||||||
62 | JPPC | LME Nickel Futures^ | 09/2016 | (3,163,507 | ) | (3,512,424 | ) | (348,917 | ) | |||||||||||
5 | JPPC | LME Nickel Futures^ | 09/2016 | (275,385 | ) | (283,246 | ) | (7,861 | ) | |||||||||||
2 | JPPC | LME Nickel Futures^ | 09/2016 | (111,235 | ) | (113,308 | ) | (2,073 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
136
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | $ (218,190 | ) | $ (226,656 | ) | $ (8,466 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | (220,586 | ) | (226,664 | ) | (6,078 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | (167,933 | ) | (170,004 | ) | (2,071 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | (709,781 | ) | (708,375 | ) | 1,406 | ||||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | (46,773 | ) | (52,535 | ) | (5,762 | ) | |||||||||||
2 | JPPC | LME Zinc Futures^ | 07/2016 | (95,137 | ) | (105,062 | ) | (9,925 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | (46,948 | ) | (52,533 | ) | (5,585 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | (48,494 | ) | (52,533 | ) | (4,039 | ) | |||||||||||
5 | JPPC | LME Zinc Futures^ | 08/2016 | (228,298 | ) | (263,125 | ) | (34,827 | ) | |||||||||||
7 | JPPC | LME Zinc Futures^ | 08/2016 | (321,210 | ) | (368,395 | ) | (47,185 | ) | |||||||||||
15 | JPPC | LME Zinc Futures^ | 08/2016 | (704,570 | ) | (789,453 | ) | (84,883 | ) | |||||||||||
22 | JPPC | LME Zinc Futures^ | 09/2016 | (1,096,941 | ) | (1,158,278 | ) | (61,337 | ) | |||||||||||
10 | JPPC | LME Zinc Futures^ | 09/2016 | (506,226 | ) | (526,598 | ) | (20,372 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | (50,616 | ) | (52,665 | ) | (2,049 | ) | |||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | (207,139 | ) | (210,671 | ) | (3,532 | ) | |||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | (206,988 | ) | (210,714 | ) | (3,726 | ) | |||||||||||
2 | JPPC | LME Zinc Futures^ | 09/2016 | (102,045 | ) | (105,362 | ) | (3,317 | ) | |||||||||||
3 | JPPC | LME Zinc Futures^ | 09/2016 | (152,693 | ) | (158,029 | ) | (5,336 | ) | |||||||||||
6 | JPPC | LME Zinc Futures^ | 09/2016 | (301,785 | ) | (316,027 | ) | (14,242 | ) | |||||||||||
26 | JPPC | LME Zinc Futures^ | 09/2016 | (1,276,037 | ) | (1,369,062 | ) | (93,025 | ) | |||||||||||
3 | JPPC | LME Zinc Futures^ | 09/2016 | (150,143 | ) | (157,984 | ) | (7,841 | ) | |||||||||||
2 | JPPC | LME Zinc Futures^ | 09/2016 | (102,295 | ) | (105,237 | ) | (2,942 | ) | |||||||||||
7 | JPPC | LME Zinc Futures^ | 09/2016 | (350,858 | ) | (368,268 | ) | (17,410 | ) | |||||||||||
3 | JPPC | LME Zinc Futures^ | 09/2016 | (152,130 | ) | (157,832 | ) | (5,702 | ) | |||||||||||
1,424 | MSCL | Natural Gas Futures^ | 07/2016 | (37,349,355 | ) | (41,637,760 | ) | (4,288,405 | ) | |||||||||||
73 | MSCL | NYMEX Palladium Futures^ | 09/2016 | (3,976,695 | ) | (4,360,655 | ) | (383,960 | ) | |||||||||||
18 | MSCL | Platinum Futures^ | 10/2016 | (888,485 | ) | (921,870 | ) | (33,385 | ) | |||||||||||
71 | MSCL | Soybean Oil Futures^ | 12/2016 | (1,397,105 | ) | (1,366,182 | ) | 30,923 | ||||||||||||
335 | MSCL | Wheat Futures^ | 09/2016 | (7,827,770 | ) | (7,462,125 | ) | 365,645 | ||||||||||||
939 | MSCL | WTI Crude Futures^ | 07/2016 | (46,737,213 | ) | (45,381,870 | ) | 1,355,343 | ||||||||||||
16 | BARC | CAC40 Index Futures | 07/2016 | (745,755 | ) | (751,789 | ) | (6,034 | ) | |||||||||||
37 | BARC | E-Mini DJIA CBOT Futures | 09/2016 | (3,191,334 | ) | (3,296,515 | ) | (105,181 | ) | |||||||||||
12 | JPMS | E-Mini MSCI EAFE Index Futures | 09/2016 | (936,753 | ) | (969,120 | ) | (32,367 | ) | |||||||||||
124 | BARC | E-Mini MSCI Emerging Markets Index Futures | 09/2016 | (5,030,892 | ) | (5,175,140 | ) | (144,248 | ) | |||||||||||
964 | BARC | E-Mini Russell 2000 Futures | 09/2016 | (110,686,296 | ) | (110,609,360 | ) | 76,936 | ||||||||||||
1,076 | JPMS | FTSE/JSE Top 40 Index Futures | 09/2016 | (33,890,556 | ) | (33,932,575 | ) | (42,019 | ) | |||||||||||
770 | BARC | FTSE/MIB Index Futures | 09/2016 | (69,142,442 | ) | (69,176,655 | ) | (34,213 | ) | |||||||||||
54 | BARC | Hang Seng Index Futures | 07/2016 | (6,970,298 | ) | (7,290,045 | ) | (319,747 | ) | |||||||||||
142 | BARC | H-SHARES Index Futures | 07/2016 | (7,689,556 | ) | (7,984,881 | ) | (295,325 | ) | |||||||||||
664 | BARC | MSCI Singapore Index Futures | 07/2016 | (14,989,678 | ) | (15,640,056 | ) | (650,378 | ) | |||||||||||
159 | BARC | MSCI Taiwan Stock Index Futures | 07/2016 | (4,890,388 | ) | (5,048,250 | ) | (157,862 | ) | |||||||||||
132 | BARC | NASDAQ 100 E-Mini Futures | 09/2016 | (11,185,191 | ) | (11,634,480 | ) | (449,289 | ) | |||||||||||
119 | JPMS | Nikkei 225 Futures | 09/2016 | (18,990,652 | ) | (17,942,478 | ) | 1,048,174 | ||||||||||||
173 | JPMS | OMXS30 Index Futures | 07/2016 | (2,627,052 | ) | (2,696,000 | ) | (68,948 | ) | |||||||||||
1,368 | BARC | S&P 500 E-Mini Futures | 09/2016 | (138,574,456 | ) | (142,969,680 | ) | (4,395,224 | ) | |||||||||||
178 | JPMS | SGX FTSE China A50 Index Futures | 07/2016 | (1,612,209 | ) | (1,643,830 | ) | (31,621 | ) | |||||||||||
259 | BARC | SGX S&P CNX Nifty Index Futures | 07/2016 | (4,211,447 | ) | (4,317,789 | ) | (106,342 | ) | |||||||||||
271 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | (399,221,973 | ) | (401,310,415 | ) | (2,088,442 | ) | |||||||||||
1,149 | JPMS | 90-Day EURODollar Futures | 12/2016 | (284,925,357 | ) | (285,311,063 | ) | (385,706 | ) | |||||||||||
1,153 | JPMS | 90-Day EURODollar Futures | 03/2017 | (285,779,151 | ) | (286,246,663 | ) | (467,512 | ) | |||||||||||
1,191 | JPMS | 90-Day EURODollar Futures | 06/2017 | (295,251,934 | ) | (295,576,425 | ) | (324,491 | ) | |||||||||||
2,116 | JPMS | Australia 10-Year Bond Futures | 09/2016 | (212,720,207 | ) | (214,938,238 | ) | (2,218,031 | ) | |||||||||||
2,143 | GSCO | Canadian 10-Year Bond Futures | 09/2016 | (239,870,950 | ) | (245,558,822 | ) | (5,687,872 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
137
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
128 | JPMS | Canadian 3-Month Bank Acceptance Futures | 09/2016 | $ (24,549,422 | ) | $ (24,550,796 | ) | $ (1,374 | ) | |||||||||||
146 | JPMS | Canadian 3-Month Bank Acceptance Futures | 12/2016 | (28,003,493 | ) | (28,007,489 | ) | (3,996 | ) | |||||||||||
94 | JPMS | Canadian 3-Month Bank Acceptance Futures | 03/2017 | (18,030,821 | ) | (18,034,038 | ) | (3,217 | ) | |||||||||||
60 | JPMS | Canadian 3-Month Bank Acceptance Futures | 06/2017 | (11,507,175 | ) | (11,511,668 | ) | (4,493 | ) | |||||||||||
28 | JPMS | Euro CHF 3-Month Futures | 03/2017 | (7,231,401 | ) | (7,245,878 | ) | (14,477 | ) | |||||||||||
34 | JPMS | Euro CHF 3-Month LIFFE Futures | 09/2016 | (8,774,503 | ) | (8,790,732 | ) | (16,229 | ) | |||||||||||
40 | JPMS | Euro CHF 3-Month LIFFE Futures | 12/2016 | (10,326,640 | ) | (10,348,183 | ) | (21,543 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(2,525,008,683 | ) | (2,550,818,999 | ) | (25,810,316 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$2,848,802,506 | $2,861,754,018 | $12,951,512 | ||||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | 121,602,400 | $88,950,361 | $90,429,132 | $1,478,771 | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | 182,403,600 | 133,425,821 | 135,643,696 | 2,217,875 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | 88,757,400 | 25,489,835 | 26,967,695 | 1,477,860 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | 112,545,600 | 32,462,284 | 34,195,404 | 1,733,120 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | 108,059,981 | 83,267,515 | 83,654,137 | 386,622 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | 162,517,106 | 125,236,161 | 125,811,869 | 575,708 | ||||||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | 3,308,000 | 3,352,847 | 3,403,207 | 50,360 | ||||||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | 4,962,000 | 5,029,332 | 5,104,811 | 75,479 | ||||||||||||||
Chilean Peso, Expiring 09/21/16* | CITI | CLP | 6,709,487,200 | 9,941,842 | 10,064,923 | 123,081 | ||||||||||||||
Chilean Peso, Expiring 09/21/16* | JPMC | CLP | 10,064,230,800 | 14,912,780 | 15,097,382 | 184,602 | ||||||||||||||
Colombian Peso, Expiring 09/21/16* | CITI | COP | 1,144,218,000 | 382,791 | 385,213 | 2,422 | ||||||||||||||
Colombian Peso, Expiring 09/21/16* | JPMC | COP | 944,448,000 | 314,608 | 317,958 | 3,350 | ||||||||||||||
Czech Republic Koruna, Expiring 09/21/16 | CITI | CZK | 371,188,000 | 15,399,224 | 15,257,342 | (141,882 | ) | |||||||||||||
Czech Republic Koruna, Expiring 09/21/16 | JPMC | CZK | 556,782,000 | 23,098,864 | 22,886,012 | (212,852 | ) | |||||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | 39,402,090 | 44,224,589 | 43,854,407 | (370,182 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
138
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Euro, Expiring 04/05/17 | CITI | EUR | 3,562 | $ 3,963 | $ 3,996 | $ 33 | ||||||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | 59,596,571 | 66,901,623 | 66,330,802 | (570,821 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | 44,879,800 | 65,229,978 | 59,792,367 | (5,437,611 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | 65,692,200 | 95,454,306 | 87,520,267 | (7,934,039 | ) | |||||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | 1,355,792,600 | 4,907,543 | 4,764,381 | (143,162 | ) | |||||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | 2,013,827,400 | 7,289,304 | 7,076,776 | (212,528 | ) | |||||||||||||
Indonesian Rupiah, Expiring 09/21/16* | CITI | IDR | 94,155,668,200 | 6,888,826 | 7,026,366 | 137,540 | ||||||||||||||
Indonesian Rupiah, Expiring 09/21/16* | JPMC | IDR | 117,561,967,800 | 8,582,560 | 8,773,062 | 190,502 | ||||||||||||||
Israeli Shekel, Expiring 09/21/16 | CITI | ILS | 647,000 | 168,705 | 167,960 | (745 | ) | |||||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | 700,757,200 | 10,224,239 | 10,239,882 | 15,643 | ||||||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | 1,051,135,800 | 15,336,375 | 15,359,823 | 23,448 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | 27,167,401,202 | 248,635,928 | 263,804,295 | 15,168,367 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | 40,751,101,800 | 372,954,354 | 395,706,439 | 22,752,085 | ||||||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | 35,825,172,400 | 30,410,831 | 31,077,479 | 666,648 | ||||||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | 43,134,018,600 | 36,545,480 | 37,417,726 | 872,246 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | 387,077,200 | 20,502,817 | 21,003,578 | 500,761 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | 580,615,800 | 30,749,138 | 31,505,366 | 756,228 | ||||||||||||||
Malaysian Ringgit, Expiring 09/21/16* | CITI | MYR | 62,673,000 | 15,220,113 | 15,462,538 | 242,425 | ||||||||||||||
Malaysian Ringgit, Expiring 09/21/16* | JPMC | MYR | 92,364,000 | 22,426,456 | 22,787,830 | 361,374 | ||||||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | 56,310,400 | 6,834,595 | 6,727,624 | (106,971 | ) | |||||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | 84,465,600 | 10,251,904 | 10,091,435 | (160,469 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | 165,105,200 | 112,025,507 | 117,409,931 | 5,384,424 | ||||||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | 247,657,798 | 168,038,467 | 176,114,892 | 8,076,425 | ||||||||||||||
Philippine Peso, Expiring 09/21/16* | CITI | PHP | 135,658,800 | 2,890,273 | 2,873,733 | (16,540 | ) | |||||||||||||
Philippine Peso, Expiring 09/21/16* | JPMC | PHP | 203,488,200 | 4,335,413 | 4,310,600 | (24,813 | ) | |||||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | 56,536,400 | 14,611,691 | 14,304,135 | (307,556 | ) | |||||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | 84,804,600 | 21,918,951 | 21,456,200 | (462,751 | ) | |||||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | 48,114,400 | 5,942,430 | 5,706,716 | (235,714 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
139
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | 72,171,600 | $ 8,913,656 | $ 8,560,074 | $ (353,582 | ) | |||||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | 44,640,800 | 32,677,461 | 33,110,747 | 433,286 | ||||||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | 66,961,200 | 49,016,001 | 49,666,120 | 650,119 | ||||||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | 203,610,000 | 67,256,279 | 69,486,061 | 2,229,782 | ||||||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | 305,415,000 | 100,880,913 | 104,229,091 | 3,348,178 | ||||||||||||||
New Taiwan Dollar, Expiring 09/21/16* | CITI | TWD | 74,708,000 | 2,304,003 | 2,320,003 | 16,000 | ||||||||||||||
New Taiwan Dollar, Expiring 09/21/16* | JPMC | TWD | 96,450,000 | 2,977,404 | 2,995,184 | 17,780 | ||||||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | 381,551,399 | 24,490,953 | 25,489,625 | 998,672 | ||||||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | 536,928,599 | 34,454,902 | 35,869,630 | 1,414,728 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$2,333,742,196 | $2,389,615,922 | $55,873,726 | ||||||||||||||||||
|
|
|
|
|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | (66,612,800 | ) | $(47,926,373 | ) | $(49,536,339 | ) | $(1,609,966 | ) | ||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | (99,919,200 | ) | (71,889,470 | ) | (74,304,508 | ) | (2,415,038 | ) | ||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | (13,800,000 | ) | (3,797,493 | ) | (4,192,937 | ) | (395,444 | ) | ||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | (13,200,000 | ) | (3,647,902 | ) | (4,010,635 | ) | (362,733 | ) | ||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | (46,525,600 | ) | (35,859,890 | ) | (36,017,580 | ) | (157,690 | ) | ||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | (69,788,400 | ) | (53,790,016 | ) | (54,026,367 | ) | (236,351 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | (155,692,400 | ) | (158,366,057 | ) | (160,173,362 | ) | (1,807,305 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | (232,377,600 | ) | (236,340,020 | ) | (239,065,626 | ) | (2,725,606 | ) | ||||||||||
Chilean Peso, Expiring 09/21/16* | CITI | CLP | (22,456,952,200 | ) | (32,162,315 | ) | (33,687,741 | ) | (1,525,426 | ) | ||||||||||
Chilean Peso, Expiring 09/21/16* | JPMC | CLP | (29,321,008,800 | ) | (41,941,191 | ) | (43,984,532 | ) | (2,043,341 | ) | ||||||||||
Colombian Peso, Expiring 09/21/16* | CITI | COP | (497,173,200 | ) | (156,542 | ) | (167,379 | ) | (10,837 | ) | ||||||||||
Colombian Peso, Expiring 09/21/16* | JPMC | COP | (357,742,800 | ) | (113,064 | ) | (120,437 | ) | (7,373 | ) | ||||||||||
Czech Republic Koruna, Expiring 09/21/16 | CITI | CZK | (208,000,000 | ) | (8,634,343 | ) | (8,549,649 | ) | 84,694 | |||||||||||
Czech Republic Koruna, Expiring 09/21/16 | JPMC | CZK | (312,000,000 | ) | (12,949,531 | ) | (12,824,474 | ) | 125,057 | |||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (78,824,385 | ) | (88,922,391 | ) | (87,731,303 | ) | 1,191,088 | |||||||||||
Euro, Expiring 04/05/17 | CITI | EUR | (3,562 | ) | (4,751 | ) | (3,996 | ) | 755 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
140
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | (111,367,800 | ) | $ (125,662,840 | ) | $ (123,952,024 | ) | $ 1,710,816 | |||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | (92,834,000 | ) | (135,132,495 | ) | (123,680,689 | ) | 11,451,806 | |||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | (139,250,998 | ) | (202,697,574 | ) | (185,521,030 | ) | 17,176,544 | |||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | (14,769,400 | ) | (1,904,398 | ) | (1,905,586 | ) | (1,188 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | (15,117,600 | ) | (1,948,936 | ) | (1,950,511 | ) | (1,575 | ) | ||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | (8,245,369,600 | ) | (29,360,952 | ) | (28,974,995 | ) | 385,957 | |||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | (12,368,054,400 | ) | (44,042,079 | ) | (43,462,493 | ) | 579,586 | |||||||||||
Indonesian Rupiah, Expiring 09/21/16* | CITI | IDR | (68,307,232,800 | ) | (4,994,198 | ) | (5,097,426 | ) | (103,228 | ) | ||||||||||
Indonesian Rupiah, Expiring 09/21/16* | JPMC | IDR | (50,696,485,200 | ) | (3,655,790 | ) | (3,783,225 | ) | (127,435 | ) | ||||||||||
Israeli Shekel, Expiring 09/21/16 | CITI | ILS | (86,994,801 | ) | (22,696,116 | ) | (22,583,681 | ) | 112,435 | |||||||||||
Israeli Shekel, Expiring 09/21/16 | JPMC | ILS | (130,492,200 | ) | (34,042,008 | ) | (33,875,521 | ) | 166,487 | |||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | (227,554,000 | ) | (3,316,454 | ) | (3,325,155 | ) | (8,701 | ) | ||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | (192,405,000 | ) | (2,800,462 | ) | (2,811,536 | ) | (11,074 | ) | ||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | (8,094,052,800 | ) | (78,220,945 | ) | (78,595,885 | ) | (374,940 | ) | ||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | (12,141,079,200 | ) | (117,331,268 | ) | (117,893,825 | ) | (562,557 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | (105,760,047,601 | ) | (89,417,052 | ) | (91,744,304 | ) | (2,327,252 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | (158,608,451,400 | ) | (134,098,456 | ) | (137,589,023 | ) | (3,490,567 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | (1,007,595,001 | ) | (53,770,470 | ) | (54,674,105 | ) | (903,635 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | (1,492,395,001 | ) | (79,659,606 | ) | (80,980,314 | ) | (1,320,708 | ) | ||||||||||
Malaysian Ringgit, Expiring 09/21/16* | CITI | MYR | (16,333,600 | ) | (3,958,765 | ) | (4,029,788 | ) | (71,023 | ) | ||||||||||
Malaysian Ringgit, Expiring 09/21/16* | JPMC | MYR | (23,456,400 | ) | (5,686,409 | ) | (5,787,108 | ) | (100,699 | ) | ||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | (240,874,001 | ) | (28,917,932 | ) | (28,778,159 | ) | 139,773 | |||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | (361,311,000 | ) | (43,375,990 | ) | (43,167,241 | ) | 208,749 | |||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | (6,718,400 | ) | (4,737,776 | ) | (4,777,601 | ) | (39,825 | ) | ||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | (10,077,600 | ) | (7,107,311 | ) | (7,166,403 | ) | (59,092 | ) | ||||||||||
Philippine Peso, Expiring 09/21/16* | CITI | PHP | (86,234,200 | ) | (1,841,361 | ) | (1,826,746 | ) | 14,615 | |||||||||||
Philippine Peso, Expiring 09/21/16* | JPMC | PHP | (123,991,800 | ) | (2,647,060 | ) | (2,626,584 | ) | 20,476 | |||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | (79,656,000 | ) | (20,111,018 | ) | (20,153,566 | ) | (42,548 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
141
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | (119,484,000 | ) | $ (30,167,228 | ) | $ (30,230,349 | ) | $ (63,121 | ) | ||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | (709,005,200 | ) | (85,637,361 | ) | (84,093,152 | ) | 1,544,209 | |||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | (1,063,507,798 | ) | (128,452,137 | ) | (126,139,724 | ) | 2,312,413 | |||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | (8,439,000 | ) | (6,217,980 | ) | (6,259,331 | ) | (41,351 | ) | ||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | (12,132,000 | ) | (8,946,772 | ) | (8,998,484 | ) | (51,712 | ) | ||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | (4,420,000 | ) | (1,469,151 | ) | (1,508,415 | ) | (39,264 | ) | ||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | (6,630,000 | ) | (2,203,766 | ) | (2,262,622 | ) | (58,856 | ) | ||||||||||
New Taiwan Dollar, Expiring 09/21/16* | CITI | TWD | (251,939,202 | ) | (7,757,040 | ) | (7,823,788 | ) | (66,748 | ) | ||||||||||
New Taiwan Dollar, Expiring 09/21/16* | JPMC | TWD | (175,828,801 | ) | (5,394,257 | ) | (5,460,233 | ) | (65,976 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | (122,508,000 | ) | (7,668,913 | ) | (8,184,174 | ) | (515,261 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | (183,762,000 | ) | (11,504,231 | ) | (12,276,261 | ) | (772,030 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(2,375,055,906 | ) | (2,362,347,922 | ) | 12,707,984 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(41,313,710 | ) | $27,268,000 | $68,581,710 | |||||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
142
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2016
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
BANA | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 43-67 months maturity 08/12/2019 | $213,130 | |||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swaps
The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stock | ||||||||||||
United States | ||||||||||||
Herbalife Ltd. | (89,908 | ) | $ | (5,509,562 | ) | $ | 247,247 | |||||
|
| |||||||||||
Net Cash and Other Receivables/(Payables) (b) | (34,117 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 213,130 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 49 months maturity 12/21/2016 | $4,411,898 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
BHP Billiton plc | 293,794 | $ | 3,096,073 | $ | 622,460 | |||||||
|
| |||||||||||
Germany | ||||||||||||
TUI AG | 179,605 | 2,668,393 | (624,141 | ) | ||||||||
|
| |||||||||||
Ireland | ||||||||||||
DCC plc | 68,168 | 3,200,710 | 2,798,049 | |||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Luxembourg | ||||||||||||
Regus plc | 467,801 | $ | 1,922,136 | $ | (113,315 | ) | ||||||
|
| |||||||||||
Netherlands | ||||||||||||
Royal Dutch Shell plc | 77,396 | 1,709,485 | 416,209 | |||||||||
|
| |||||||||||
South Africa | ||||||||||||
Investec plc | 595,286 | 3,956,973 | (256,816 | ) | ||||||||
Mondi plc | 164,730 | 2,414,741 | 669,412 | |||||||||
|
| |||||||||||
412,596 | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
143
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Switzerland | ||||||||||||
Coca-Cola HBC AG | 56,771 | $ | 1,094,297 | $ | 54,436 | |||||||
Glencore plc | 382,014 | 729,631 | 57,746 | |||||||||
Wolseley plc | 48,299 | 2,662,074 | (160,977 | ) | ||||||||
|
| |||||||||||
(48,795 | ) | |||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
AA plc | 72,118 | 271,038 | (40,143 | ) | ||||||||
Amec Foster Wheeler plc | 314,717 | 1,886,056 | 183,241 | |||||||||
AstraZeneca plc | 21,778 | 1,103,855 | 198,110 | |||||||||
Aviva plc | 366,999 | 2,262,068 | (327,511 | ) | ||||||||
BAE Systems plc | 258,708 | 1,594,674 | 216,428 | |||||||||
Balfour Beatty plc | 76,955 | 246,947 | (25,752 | ) | ||||||||
Barclays plc | 1,896,776 | 4,495,636 | (967,848 | ) | ||||||||
Barratt Developments plc | 711,918 | 3,710,236 | 158,345 | |||||||||
Bellway plc | 21,757 | 711,117 | (159,195 | ) | ||||||||
Berkeley Group Holdings plc | 87,839 | 3,326,320 | (360,199 | ) | ||||||||
Booker Group plc | 402,422 | 947,351 | (15,428 | ) | ||||||||
BP plc | 1,401,481 | 6,763,366 | 1,440,228 | |||||||||
Britvic plc | 124,543 | 1,199,085 | (224,507 | ) | ||||||||
BT Group plc | 842,833 | 5,207,636 | (574,921 | ) | ||||||||
Close Brothers Group plc | 153,059 | 3,005,413 | (685,306 | ) | ||||||||
Direct Line Insurance Group plc | 1,101,822 | 4,900,021 | 193,872 | |||||||||
Dixons Carphone plc | 243,338 | 1,422,890 | (378,466 | ) | ||||||||
DS Smith plc | 655,950 | 2,898,446 | 495,252 | |||||||||
GKN plc | 504,802 | 2,316,004 | (490,915 | ) | ||||||||
GlaxoSmithKline plc | 8,402 | 157,433 | 23,000 | |||||||||
Halma plc | 21,426 | 192,419 | 98,996 | |||||||||
Hays plc | 1,656,417 | 3,100,358 | (936,087 | ) | ||||||||
Henderson Group plc | 301 | 985 | (129 | ) | ||||||||
Howden Joinery Group plc | 385,703 | 2,498,578 | (517,582 | ) | ||||||||
ICAP plc | 12,274 | 62,370 | 6,692 | |||||||||
Imperial Brands plc | 243,471 | 10,540,379 | 2,663,730 | |||||||||
Inchcape plc | 621,551 | 5,269,292 | (43,085 | ) | ||||||||
Indivior plc | 53,421 | 111,865 | 67,887 | |||||||||
Informa plc | 229,891 | 1,893,696 | 348,050 | |||||||||
Intermediate Capital Group plc | 575,738 | 4,299,914 | (527,751 | ) | ||||||||
John Wood Group plc | 240,449 | 1,986,786 | 226,582 | |||||||||
Johnson Matthey plc | 242 | 9,255 | (178 | ) | ||||||||
Jupiter Fund Management plc | 169,609 | 940,956 | (108,088 | ) | ||||||||
Kingfisher plc | 1,363,528 | 6,424,042 | (567,574 | ) | ||||||||
Legal & General Group plc | 94,919 | 279,125 | (36,123 | ) | ||||||||
Lloyds Banking Group plc | 3,102,362 | 2,830,486 | (583,475 | ) | ||||||||
Man Group plc | 1,695,440 | 3,567,872 | (933,688 | ) | ||||||||
Melrose Industries plc | 166,760 | 1,240,733 | (293,353 | ) | ||||||||
Merlin Entertainments plc | 45,706 | 262,369 | 6,793 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Micro Focus International plc | 3,242 | $ | 66,617 | $ | 3,326 | |||||||
National Grid plc | 171,226 | 2,193,615 | 324,320 | |||||||||
Persimmon plc | 125,204 | 2,925,735 | (497,817 | ) | ||||||||
Provident Financial plc | 27,683 | 953,938 | (100,364 | ) | ||||||||
Reckitt Benckiser Group plc | 27,069 | 2,107,871 | 606,382 | |||||||||
Rentokil Initial plc | 1,372,455 | 2,361,371 | 1,182,871 | |||||||||
Rightmove plc | 5,187 | 273,160 | (19,822 | ) | ||||||||
Rio Tinto plc | 78,780 | 2,175,803 | 271,619 | |||||||||
Royal Mail plc | 252,011 | 1,583,252 | 109,895 | |||||||||
Sage Group plc (The) | 344,091 | 2,302,019 | 672,152 | |||||||||
Sky plc | 105,922 | 1,334,652 | (131,013 | ) | ||||||||
Smith & Nephew plc | 228,379 | 3,421,543 | 456,601 | |||||||||
Spectris plc | 18,787 | 438,910 | 18,397 | |||||||||
SSE plc | 20,543 | 401,898 | 25,667 | |||||||||
Tate & Lyle plc | 143,259 | 1,124,948 | 155,925 | |||||||||
Taylor Wimpey plc | 2,033,673 | 4,759,955 | (1,152,043 | ) | ||||||||
Travis Perkins plc | 108,515 | 2,647,174 | (506,178 | ) | ||||||||
UBM plc | 109,041 | 910,408 | 24,761 | |||||||||
Vedanta Resources plc | 133,055 | 574,195 | 169,318 | |||||||||
Vodafone Group plc | 1,404,315 | 4,321,394 | (39,835 | ) | ||||||||
William Hill plc | 750,535 | 3,447,077 | (861,823 | ) | ||||||||
WM Morrison Supermarkets plc | 452,614 | 1,080,123 | 56,121 | |||||||||
Worldpay Group plc | 49,078 | 165,386 | 13,243 | |||||||||
WPP plc | 254,345 | 4,524,377 | 776,531 | |||||||||
|
| |||||||||||
(911,864 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | 2,551,199 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Chile | ||||||||||||
Antofagasta plc | (643,477 | ) | (4,127,633 | ) | 103,966 | |||||||
|
| |||||||||||
Ireland | ||||||||||||
Experian plc | (170,146 | ) | (2,528,808 | ) | (699,214 | ) | ||||||
Shire plc | (114,014 | ) | (6,372,326 | ) | (674,026 | ) | ||||||
|
| |||||||||||
(1,373,240 | ) | |||||||||||
|
| |||||||||||
Luxembourg | ||||||||||||
B&M European Value Retail SA | (22,528 | ) | (77,881 | ) | 1,116 | |||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aberdeen Asset Management plc | (2,330,738 | ) | (10,984,332 | ) | 2,239,654 | |||||||
Admiral Group plc | (475,385 | ) | (8,688,541 | ) | (4,237,210 | ) | ||||||
Aggreko plc | (343,443 | ) | (6,751,458 | ) | 877,542 | |||||||
Anglo American plc | (1,860 | ) | (13,813 | ) | (4,419 | ) | ||||||
ARM Holdings plc | (161,143 | ) | (2,087,657 | ) | (360,061 | ) | ||||||
Ashtead Group plc | (303,327 | ) | (3,822,790 | ) | (509,911 | ) | ||||||
ASOS plc | (30,398 | ) | (1,287,836 | ) | (335,999 | ) | ||||||
Associated British Foods plc | (16,359 | ) | (718,375 | ) | 122,280 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
144
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Auto Trader Group plc | (38,212 | ) | $ | (197,971 | ) | $ | 17,333 | |||||
Babcock International Group plc | (8,986 | ) | (118,757 | ) | 10,114 | |||||||
British American Tobacco plc | (86,249 | ) | (4,215,425 | ) | (1,376,016 | ) | ||||||
BTG plc | (340,538 | ) | (2,774,619 | ) | (514,396 | ) | ||||||
Bunzl plc | (35,406 | ) | (884,078 | ) | (205,313 | ) | ||||||
Burberry Group plc | (265,232 | ) | (5,439,049 | ) | 1,313,252 | |||||||
Capita plc | (374,564 | ) | (5,300,618 | ) | 474,168 | |||||||
Centrica plc | (982,824 | ) | (3,356,862 | ) | 384,809 | |||||||
Cobham plc | (51,160 | ) | (176,841 | ) | 69,056 | |||||||
Compass Group plc | (5,517 | ) | (88,623 | ) | (16,340 | ) | ||||||
Croda International plc | (73,010 | ) | (2,343,299 | ) | (721,543 | ) | ||||||
Daily Mail & General Trust plc | (45,317 | ) | (414,118 | ) | 52,355 | |||||||
Diageo plc | (129,050 | ) | (3,078,418 | ) | (526,679 | ) | ||||||
Drax Group plc | (598,146 | ) | (2,795,713 | ) | 199,656 | |||||||
easyJet plc | (108,817 | ) | (2,138,968 | ) | 557,681 | |||||||
Essentra plc | (138,433 | ) | (1,473,184 | ) | 523,395 | |||||||
G4S plc | (192,989 | ) | (491,469 | ) | 18,576 | |||||||
Greene King plc | (28,584 | ) | (323,096 | ) | 25,425 | |||||||
Hargreaves Lansdown plc | (650,545 | ) | (8,752,222 | ) | (2,099,540 | ) | ||||||
Hiscox Ltd. | (22,748 | ) | (282,863 | ) | (31,229 | ) | ||||||
HSBC Holdings plc | (50,207 | ) | (325,994 | ) | 14,934 | |||||||
IMI plc | (150,298 | ) | (2,547,422 | ) | 599,665 | |||||||
Inmarsat plc | (64,436 | ) | (642,865 | ) | (51,554 | ) | ||||||
InterContinental Hotels Group plc | (65,906 | ) | (2,421,159 | ) | (9,472 | ) | ||||||
International Consolidated Airlines Group SA | (138,771 | ) | (876,628 | ) | 188,366 | |||||||
Intertek Group plc | (114,399 | ) | (3,932,271 | ) | (1,397,956 | ) | ||||||
ITV plc | (929,259 | ) | (2,583,036 | ) | 354,974 | |||||||
J Sainsbury plc | (971,804 | ) | (3,392,998 | ) | 365,643 | |||||||
Just Eat plc | (322,191 | ) | (1,639,277 | ) | (199,963 | ) | ||||||
Marks & Spencer Group plc | (188,254 | ) | (1,307,757 | ) | 501,554 | |||||||
Meggitt plc | (10,956 | ) | (54,722 | ) | (4,829 | ) | ||||||
Next plc | (34,882 | ) | (2,675,287 | ) | 370,428 | |||||||
Ocado Group plc | (109,868 | ) | (390,644 | ) | 51,646 | |||||||
Old Mutual plc | (1,340,412 | ) | (3,648,207 | ) | 27,128 | |||||||
Pearson plc | (104,839 | ) | (1,229,390 | ) | (134,368 | ) | ||||||
Pennon Group plc | (208,241 | ) | (2,261,911 | ) | (371,774 | ) | ||||||
Petrofac Ltd. | (145,875 | ) | (1,722,551 | ) | 206,238 | |||||||
Playtech plc | (136 | ) | (1,394 | ) | (52 | ) | ||||||
Prudential plc | (140,490 | ) | (2,612,438 | ) | 228,476 | |||||||
Rolls-Royce Holdings plc (3) | (13,370,578 | ) | 1,735 | (19,535 | ) | |||||||
Rolls-Royce Holdings plc | (205,720 | ) | (1,699,462 | ) | (264,130 | ) | ||||||
Rotork plc | (674,708 | ) | (1,685,404 | ) | (267,898 | ) | ||||||
Royal Bank of Scotland Group plc | (950,647 | ) | (3,062,142 | ) | 907,829 | |||||||
RSA Insurance Group plc | (122,933 | ) | (764,426 | ) | (59,516 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Schroders plc | (53,061 | ) | $ | (1,830,694 | ) | $ | 153,931 | |||||
Serco Group plc | (427,536 | ) | (618,274 | ) | (17,988 | ) | ||||||
Severn Trent plc | (17,235 | ) | (504,972 | ) | (57,392 | ) | ||||||
Smiths Group plc | (42,530 | ) | (585,821 | ) | (71,405 | ) | ||||||
Spirax-Sarco Engineering plc | (14,458 | ) | (587,785 | ) | (136,192 | ) | ||||||
Sports Direct International plc | (480,842 | ) | (4,478,495 | ) | 2,419,695 | |||||||
St. James’s Place plc | (265,105 | ) | (3,254,697 | ) | 458,958 | |||||||
Stagecoach Group plc | (74,270 | ) | (242,254 | ) | 12,565 | |||||||
Standard Chartered plc | (833,088 | ) | (9,381,175 | ) | 3,060,557 | |||||||
Standard Life plc | (776,361 | ) | (4,673,219 | ) | 1,610,196 | |||||||
Tesco plc | (2,249,174 | ) | (5,534,689 | ) | 252,287 | |||||||
Thomas Cook Group plc | (254,808 | ) | (269,878 | ) | 55,745 | |||||||
United Utilities Group plc | (178,740 | ) | (2,194,841 | ) | (282,554 | ) | ||||||
Weir Group plc (The) | (117,360 | ) | (2,566,978 | ) | 300,350 | |||||||
Whitbread plc | (31,289 | ) | (1,616,349 | ) | 152,360 | |||||||
|
| |||||||||||
4,893,587 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 3,625,429 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 6,176,628 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (1,764,730 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 4,411,898 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
(3) | Level 3 security (See Note 5). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
145
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward FX Swap rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 24-49 months maturity ranging from 12/21/2016 - 12/22/2016 | $(2,975,423 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Aeroports de Paris | 6,673 | $ | 716,622 | $ | 14,543 | |||||||
Air France-KLM | 195,904 | 1,484,815 | (248,499 | ) | ||||||||
Atos SE | 131,887 | 9,835,662 | 1,038,283 | |||||||||
BNP Paribas SA | 96,265 | 4,763,895 | (542,142 | ) | ||||||||
Bouygues SA | 21,770 | 768,275 | (144,601 | ) | ||||||||
Capgemini SA | 65,461 | 5,937,733 | (288,919 | ) | ||||||||
Casino Guichard Perrachon SA | 23,562 | 1,335,757 | (27,865 | ) | ||||||||
Christian Dior SE | 4,713 | 827,880 | (72,896 | ) | ||||||||
Cie Generale des Etablissements Michelin | 75,127 | 6,675,805 | 404,210 | |||||||||
CNP Assurances | 118,626 | 1,890,466 | (140,287 | ) | ||||||||
Dassault Systemes | 2,722 | 215,826 | (10,598 | ) | ||||||||
Eiffage SA | 44,763 | 2,749,291 | 432,913 | |||||||||
Engie SA | 191,872 | 2,898,722 | 182,102 | |||||||||
Faurecia | 101,702 | 3,791,741 | (562,953 | ) | ||||||||
Iliad SA | 16,018 | 3,560,757 | (327,297 | ) | ||||||||
Imerys SA | 11,204 | 727,860 | (12,978 | ) | ||||||||
Ipsen SA | 19,992 | 1,235,403 | (10,475 | ) | ||||||||
Lagardere SCA | 295,664 | 8,216,398 | (1,785,098 | ) | ||||||||
Numericable-SFR SA | 27,140 | 949,137 | (270,913 | ) | ||||||||
Orange SA | 312,652 | 5,370,251 | (286,371 | ) | ||||||||
Orpea | 490 | 39,902 | 277 | |||||||||
Peugeot SA | 715,669 | 12,411,241 | (3,833,167 | ) | ||||||||
Renault SA | 30,826 | 2,592,661 | (265,374 | ) | ||||||||
Rexel SA | 120,490 | 2,101,502 | (586,654 | ) | ||||||||
Safran SA | 27,624 | 1,892,886 | (32,636 | ) | ||||||||
Sanofi | 75,326 | 7,377,344 | (1,119,054 | ) | ||||||||
SCOR SE | 69,396 | 2,270,982 | (219,286 | ) | ||||||||
SEB SA | 5,784 | 572,858 | 124,555 | |||||||||
Societe BIC SA | 19,555 | 2,034,945 | 720,244 | |||||||||
Societe Generale SA | 123,377 | 4,736,933 | (876,971 | ) | ||||||||
Sodexo SA | 10,061 | 1,008,423 | 69,406 | |||||||||
Suez | 230,708 | 3,375,454 | 223,018 | |||||||||
Teleperformance | 27,969 | 2,286,653 | 95,804 | |||||||||
Television Francaise 1 | 112,934 | 1,664,749 | (468,742 | ) | ||||||||
Thales SA | 55,109 | 3,750,425 | 826,061 | |||||||||
Valeo SA | 133,770 | 3,760,985 | 2,177,612 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Veolia Environnement SA | 155,502 | $ | 3,553,411 | $ | (195,404 | ) | ||||||
Vinci SA | 28,102 | 1,796,450 | 186,620 | |||||||||
|
| |||||||||||
(5,833,532 | ) | |||||||||||
|
| |||||||||||
Portugal | ||||||||||||
Galp Energia SGPS SA | 192,776 | 2,258,119 | 423,073 | |||||||||
NOS SGPS SA | 57,293 | 448,018 | (101,299 | ) | ||||||||
Sonae SGPS SA | 399,218 | 441,445 | (127,842 | ) | ||||||||
|
| |||||||||||
193,932 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | (5,639,600 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Accor SA | (143,586 | ) | (5,337,622 | ) | (164,040 | ) | ||||||
Air Liquide SA | (29,239 | ) | (3,095,972 | ) | 49,804 | |||||||
Airbus Group SE | (7,130 | ) | (444,600 | ) | 35,909 | |||||||
Alstom SA | (49,537 | ) | (1,277,448 | ) | 133,711 | |||||||
Arkema SA | (4,792 | ) | (330,549 | ) | (35,812 | ) | ||||||
AXA SA | (10,564 | ) | (266,161 | ) | 57,283 | |||||||
BioMerieux | (866 | ) | (109,520 | ) | (7,823 | ) | ||||||
Bollore SA | (303,963 | ) | (1,565,056 | ) | 541,759 | |||||||
Bureau Veritas SA | (154,117 | ) | (3,335,195 | ) | 99,503 | |||||||
Carrefour SA | (93,548 | ) | (2,782,725 | ) | 481,852 | |||||||
Cie de Saint-Gobain | (6,420 | ) | (221,664 | ) | (21,690 | ) | ||||||
Credit Agricole SA | (251,274 | ) | (2,254,552 | ) | 142,108 | |||||||
Danone SA | (22,425 | ) | (1,560,551 | ) | (8,810 | ) | ||||||
Edenred | (322,789 | ) | (6,600,642 | ) | (8,819 | ) | ||||||
Electricite de France SA | (433,660 | ) | (7,427,911 | ) | 2,169,686 | |||||||
Essilor International SA | (26,905 | ) | (2,925,787 | ) | (610,313 | ) | ||||||
Eutelsat Communications SA | (56,841 | ) | (1,516,819 | ) | 443,939 | |||||||
Groupe Eurotunnel SE | (134,710 | ) | (1,536,857 | ) | 113,956 | |||||||
Hermes International | (15,046 | ) | (5,293,659 | ) | (315,163 | ) | ||||||
Ingenico Group SA | (8,745 | ) | (952,708 | ) | (60,880 | ) | ||||||
JCDecaux SA | (55,031 | ) | (2,167,471 | ) | 312,000 | |||||||
Kering | (40,407 | ) | (7,038,233 | ) | 533,431 | |||||||
Legrand SA | (21,389 | ) | (1,014,333 | ) | (80,598 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
146
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
L’Oreal SA | (44,432 | ) | $ | (7,657,872 | ) | $ | (848,786 | ) | ||||
LVMH Moet Hennessy Louis Vuitton SE | (26,672 | ) | (4,373,727 | ) | 353,330 | |||||||
Natixis SA | (24,974 | ) | (106,958 | ) | 12,984 | |||||||
Pernod Ricard SA | (37,057 | ) | (4,138,619 | ) | 35,802 | |||||||
Plastic Omnium SA | (18,154 | ) | (561,007 | ) | 53,493 | |||||||
Publicis Groupe SA | (30,511 | ) | (1,923,572 | ) | (117,688 | ) | ||||||
Remy Cointreau SA | (80,716 | ) | (5,519,247 | ) | (1,428,872 | ) | ||||||
Schneider Electric SE | (41,992 | ) | (2,877,377 | ) | 427,534 | |||||||
Technip SA | (118,687 | ) | (5,730,377 | ) | (693,555 | ) | ||||||
TOTAL SA | (23,727 | ) | (1,069,985 | ) | (67,868 | ) | ||||||
Vallourec SA | (635,462 | ) | (2,335,132 | ) | 87,536 | |||||||
Vivendi SA | (112,198 | ) | (2,260,300 | ) | 161,220 | |||||||
Zodiac Aerospace | (354,872 | ) | (8,741,934 | ) | 463,310 | |||||||
|
| |||||||||||
2,239,433 | ||||||||||||
|
| |||||||||||
Luxembourg | ||||||||||||
Eurofins Scientific SE | (3,162 | ) | (1,136,100 | ) | (35,334 | ) | ||||||
SES SA | (91,499 | ) | (2,092,622 | ) | 133,852 | |||||||
|
| |||||||||||
98,518 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET APPRECIATION (DEPRECIATION) | |||||||||
Portugal | ||||||||||||
EDP - Energias de Portugal SA | (561,999 | ) | $ | (2,018,220 | ) | $ | 297,620 | |||||
Jeronimo Martins SGPS SA | (62,972 | ) | (868,976 | ) | (124,203 | ) | ||||||
|
| |||||||||||
173,417 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 2,511,368 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (3,128,232 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 152,809 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (2,975,423 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 37 months maturity 10/19/2016 | $(292,157 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
Asciano Ltd. | 5,930,301 | $ | 39,575,244 | $ | (228,960 | ) | ||||||
|
| |||||||||||
United States | ||||||||||||
Iron Mountain, Inc. | 2 | 56 | 23 | |||||||||
|
| |||||||||||
Total of Long Equity Positions | (228,937) | |||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
Oil Search Ltd. | (188,486 | ) | $ | (913,087 | ) | $ | (38,686 | ) | ||||
|
| |||||||||||
Total of Long and Short Equity Positions | (267,623 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (24,534 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (292,157 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
147
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 49 months maturity 12/21/2016 | $5,606,149 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
United Kingdom | ||||||||||||
Home Retail Group plc | 3,221,224 | $ | 7,067,009 | $ | (470,482 | ) | ||||||
London Stock Exchange Group plc | 171,252 | 5,767,364 | 51,517 | |||||||||
Rexam plc | 3,485,864 | 27,621,155 | 2,776,954 | |||||||||
SABMiller plc | 692,096 | 37,020,618 | 3,341,815 | |||||||||
|
| |||||||||||
5,699,804 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 5,699,804 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
United Kingdom | ||||||||||||
J Sainsbury plc | (1,034,160 | ) | (3,660,866 | ) | 439,261 | |||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 6,139,065 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (532,916 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 5,606,149 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
148
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 25 months maturity 11/22/2016 | $(99,789 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Singapore | ||||||||||||
InterOil Corp. | 30,099 | $ | 1,305,357 | $ | 49,097 | |||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Liberty Global plc, Series C | 2 | 146 | (89 | ) | ||||||||
Liberty Global plc | 1 | 37 | (8 | ) | ||||||||
|
| |||||||||||
(97 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | 49,000 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
United States | ||||||||||||
Ball Corp. | (149,154 | ) | (10,606,278 | ) | (176,064 | ) | ||||||
Diebold, Inc. | (32,032 | ) | (808,961 | ) | 13,607 | |||||||
VMware, Inc. | (24,674 | ) | (1,535,377 | ) | 123,531 | |||||||
|
| |||||||||||
(38,926 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (38,926 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 10,074 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (109,863 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (99,789 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
149
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the CHF/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | 12 months maturity 09/05/2016 | $(2,174,068 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Switzerland | ||||||||||||
Syngenta AG | 81,072 | $ | 33,328,968 | $ | (2,209,595 | ) | ||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 35,527 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (2,174,068 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 13-24 months maturity ranging from 03/21/2017 - 04/20/2017 | $99,006 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Finland | ||||||||||||
Nokia OYJ | 11,551 | $ | 83,205 | $ | (18,186 | ) | ||||||
|
| |||||||||||
Germany | ||||||||||||
Wincor Nixdorf AG | 73,807 | 3,847,310 | 113,777 | |||||||||
|
| |||||||||||
Total of Long Equity Positions | 95,591 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 3,415 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 99,006 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
150
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Hong Kong Interbank Offered Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | 55-60 months maturity 12/21/2020 | $2,077,596 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
China | ||||||||||||
Agricultural Bank of China Ltd. | 1,447,000 | $ | 523,273 | $ | 8,391 | |||||||
Air China Ltd. | 2,350,000 | 1,511,107 | 104,497 | |||||||||
ANTA Sports Products Ltd. | 1,105,000 | 2,842,467 | (615,735 | ) | ||||||||
AviChina Industry & Technology Co. Ltd. | 921,000 | 618,552 | 24,915 | |||||||||
Beijing Capital International Airport Co. Ltd. | 1,618,000 | 1,550,006 | 212,176 | |||||||||
Belle International Holdings Ltd. | 935,000 | 633,967 | (83,659 | ) | ||||||||
China Cinda Asset Management Co. Ltd. | 4,340,000 | 1,346,996 | 124,671 | |||||||||
China Communications Services Corp. Ltd. | 2,544,000 | 1,089,767 | 243,574 | |||||||||
China Everbright Bank Co. Ltd. | 135,000 | 61,573 | 442 | |||||||||
China Galaxy Securities Co. Ltd. | 4,102,000 | 3,281,404 | 420,488 | |||||||||
China Longyuan Power Group Corp. Ltd. | 1,660,000 | 1,039,295 | 346,476 | |||||||||
China Medical System Holdings Ltd. | 257,000 | 308,246 | 85,639 | |||||||||
China Petroleum & Chemical Corp. | 3,248,000 | 1,987,151 | 359,916 | |||||||||
China Shenhua Energy Co. Ltd. | 1,370,000 | 1,986,754 | 561,310 | |||||||||
China Southern Airlines Co. Ltd. | 666,000 | 407,638 | (30,846 | ) | ||||||||
Chongqing Rural Commercial Bank Co. Ltd. | 1,393,000 | 678,539 | 30,934 | |||||||||
CNOOC Ltd. | 932,000 | 865,474 | 297,867 | |||||||||
CSPC Pharmaceutical Group Ltd. | 1,558,000 | 1,467,105 | (75,089 | ) | ||||||||
Dongfeng Motor Group Co. Ltd. | 2,218,000 | 2,695,757 | (357,869 | ) | ||||||||
Geely Automobile Holdings Ltd. | 7,495,000 | 3,288,087 | 800,000 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
China (continued) | ||||||||||||
Great Wall Motor Co. Ltd. | 3,235,500 | $ | 2,506,139 | $ | 198,964 | |||||||
Huadian Power International Corp. Ltd. | 1,342,000 | 783,238 | (140,031 | ) | ||||||||
Jiangxi Copper Co. Ltd. | 530,000 | 546,873 | 47,916 | |||||||||
Kingsoft Corp. Ltd. | 25,000 | 48,905 | (331 | ) | ||||||||
People’s Insurance Co. Group of China Ltd. (The) | 7,072,000 | 2,813,871 | (91,270 | ) | ||||||||
PetroChina Co. Ltd. | 1,158,000 | 792,083 | 6,055 | |||||||||
Sinopec Engineering Group Co. Ltd. | 710,500 | 594,496 | 50,212 | |||||||||
Sinopec Shanghai Petrochemical Co. Ltd. | 8,245,000 | 3,270,272 | 523,378 | |||||||||
Sinopharm Group Co. Ltd. | 466,400 | 1,701,897 | 538,544 | |||||||||
Sinotrans Ltd. | 105,000 | 44,163 | 2,715 | |||||||||
Tencent Holdings Ltd. | 90,400 | 1,671,954 | 401,793 | |||||||||
TravelSky Technology Ltd. | 450,000 | 745,558 | 124,392 | |||||||||
Weichai Power Co. Ltd. | 1,265,000 | 1,225,445 | 77,034 | |||||||||
Zhuzhou CRRC Times Electric Co. Ltd. | 406,500 | 1,848,698 | 409,082 | |||||||||
Zijin Mining Group Co. Ltd. | 924,000 | 274,178 | 36,202 | |||||||||
ZTE Corp. | 458,000 | 622,580 | (40,025 | ) | ||||||||
|
| |||||||||||
4,602,728 | ||||||||||||
|
| |||||||||||
Hong Kong | ||||||||||||
Beijing Enterprises Holdings Ltd. | 187,000 | 959,802 | 100,334 | |||||||||
China Mobile Ltd. | 48,775 | 521,411 | 42,146 | |||||||||
China Power International Development Ltd. | 2,267,000 | 1,106,494 | (269,661 | ) | ||||||||
China Resources Power Holdings Co. Ltd. | 478,000 | 828,285 | (110,926 | ) | ||||||||
China Taiping Insurance Holdings Co. Ltd. | 235,200 | 487,628 | (45,014 | ) | ||||||||
CITIC Ltd. | 564,000 | 824,121 | 348 | |||||||||
Far East Horizon Ltd. | 214,000 | 157,803 | 9,340 | |||||||||
Guangdong Investment Ltd. | 1,072,000 | 1,312,578 | 323,918 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
151
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Hong Kong (continued) | ||||||||||||
Nine Dragons Paper Holdings Ltd. | 416,000 | $ | 286,359 | $ | 32,584 | |||||||
Sino Biopharmaceutical Ltd. | 4,775,999 | 3,402,337 | (267,735 | ) | ||||||||
Sun Art Retail Group Ltd. | 216,000 | 138,777 | 13,111 | |||||||||
|
| |||||||||||
(171,555 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | 4,431,173 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
China | ||||||||||||
AAC Technologies Holdings, Inc. | (236,594 | ) | (1,395,067 | ) | (627,608 | ) | ||||||
Aluminum Corp. of China Ltd. | (396,000 | ) | (119,188 | ) | (6,267 | ) | ||||||
Anhui Conch Cement Co. Ltd. | (316,000 | ) | (689,663 | ) | (75,444 | ) | ||||||
BYD Co. Ltd. | (356,500 | ) | (1,650,042 | ) | (502,621 | ) | ||||||
CGN Power Co. Ltd. | (13,807,000 | ) | (4,288,539 | ) | 429,600 | |||||||
China Conch Venture Holdings Ltd. | (116,000 | ) | (220,970 | ) | (9,701 | ) | ||||||
China Life Insurance Co. Ltd. | (1,510,000 | ) | (3,275,798 | ) | 20,053 | |||||||
China Mengniu Dairy Co. Ltd. | (201,000 | ) | (346,454 | ) | (5,178 | ) | ||||||
China Merchants Bank Co. Ltd. | (1,025,500 | ) | (2,018,989 | ) | (294,664 | ) | ||||||
China Minsheng Banking Corp. Ltd. | (2,247,000 | ) | (1,957,851 | ) | (224,976 | ) | ||||||
China National Building Material Co. Ltd. | (1,658,000 | ) | (691,286 | ) | (37,890 | ) | ||||||
China Oilfield Services Ltd. | (5,438,000 | ) | (3,742,591 | ) | (482,430 | ) | ||||||
China Pacific Insurance Group Co. Ltd. | (521,200 | ) | (1,763,409 | ) | (3,015 | ) | ||||||
China Railway Group Ltd. | (761,000 | ) | (463,987 | ) | (107,971 | ) | ||||||
China Shipping Container Lines Co. Ltd. | (7,533,000 | ) | (1,631,684 | ) | 58,920 | |||||||
CITIC Securities Co. Ltd. | (1,002,000 | ) | (1,948,172 | ) | (275,167 | ) | ||||||
CRRC Corp. Ltd. | (3,784,000 | ) | (3,521,474 | ) | 118,685 | |||||||
Datang International Power Generation Co. Ltd. | (3,804,000 | ) | (1,070,353 | ) | 4,638 | |||||||
ENN Energy Holdings Ltd. | (96,000 | ) | (495,354 | ) | 19,867 | |||||||
Fosun International Ltd. | (1,457,000 | ) | (1,908,542 | ) | 13,778 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
China (continued) | ||||||||||||
GF Securities Co. Ltd. | (1,026,600 | ) | $ | (2,064,804 | ) | $ | (289,746 | ) | ||||
Haitong Securities Co. Ltd. | (774,400 | ) | (1,181,418 | ) | (138,066 | ) | ||||||
Hengan International Group Co. Ltd. | (10,500 | ) | (74,354 | ) | (13,591 | ) | ||||||
Huaneng Power International, Inc. | (672,000 | ) | (545,612 | ) | 128,219 | |||||||
Huaneng Renewables Corp. Ltd. | (2,860,000 | ) | (669,433 | ) | (287,792 | ) | ||||||
Huatai Securities Co. Ltd. | (1,416,800 | ) | (2,660,512 | ) | (390,676 | ) | ||||||
Jiangsu Expressway Co. Ltd. | (270,000 | ) | (314,977 | ) | (62,074 | ) | ||||||
Lenovo Group Ltd. | (3,500,000 | ) | (2,914,257 | ) | 786,837 | |||||||
New China Life Insurance Co. Ltd. | (287,800 | ) | (996,382 | ) | (34,114 | ) | ||||||
Ping An Insurance Group Co. of China Ltd. | (666,500 | ) | (2,977,514 | ) | 24,469 | |||||||
Qinqin Foodstuffs Group Cayman Co. Ltd. (3) | (2,100 | ) | (14,869 | ) | 11,891 | |||||||
Shandong Weigao Group Medical Polymer Co. Ltd. | (1,048,000 | ) | (639,849 | ) | 39,324 | |||||||
Shanghai Fosun Pharmaceutical Group Co. Ltd. | (530,500 | ) | (1,284,448 | ) | (15,762 | ) | ||||||
Shanghai Pharmaceuticals Holding Co. Ltd. | (62,300 | ) | (130,868 | ) | (7,274 | ) | ||||||
Shenzhou International Group Holdings Ltd. | (146,000 | ) | (720,496 | ) | 14,488 | |||||||
Tingyi Cayman Islands Holding Corp. | (1,980,000 | ) | (2,300,809 | ) | 420,672 | |||||||
Yanzhou Coal Mining Co. Ltd. | (982,000 | ) | (512,023 | ) | (127,774 | ) | ||||||
|
| |||||||||||
(1,928,360 | ) | |||||||||||
|
| |||||||||||
Hong Kong | ||||||||||||
Beijing Enterprises Water Group Ltd. | (1,792,000 | ) | (1,011,216 | ) | (74,002 | ) | ||||||
Brilliance China Automotive Holdings Ltd. | (4,774,000 | ) | (4,715,637 | ) | (213,407 | ) | ||||||
China Gas Holdings Ltd. | (2,624,000 | ) | (3,396,365 | ) | (620,118 | ) | ||||||
China Resources Gas Group Ltd. | (484,000 | ) | (1,228,033 | ) | (243,879 | ) | ||||||
China State Construction International Holdings Ltd. | (530,000 | ) | (778,884 | ) | 75,642 | |||||||
China Unicom Hong Kong Ltd. | (484,000 | ) | (530,359 | ) | 25,672 | |||||||
COSCO Pacific Ltd. | (230,000 | ) | (252,395 | ) | 22,757 | |||||||
GCL-Poly Energy Holdings Ltd. | (6,097,000 | ) | (855,762 | ) | 54,393 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
152
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Hong Kong (continued) | ||||||||||||
Haier Electronics Group | (43,000 | ) | $ (66,388) | $ | 687 | |||||||
|
| |||||||||||
(972,255) | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | (2,900,615 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 1,530,558 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 547,038 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 2,077,596 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
(3) | Level 3 security (See Note 5). |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Warsaw Interbank Offered Rate plus or minus a specified spread, which is denominated in PLN based on the local currencies of the positions within the swaps. | 55-60 months maturity 12/21/2020 | $(319,565 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Poland | ||||||||||||
Energa SA | 141,285 | $ | 425,248 | $ | (83,781 | ) | ||||||
Eurocash SA | 160,355 | 2,076,851 | (197,875 | ) | ||||||||
KGHM Polska Miedz SA | 45,150 | 725,219 | 36,766 | |||||||||
PGE Polska Grupa Energetyczna SA | 633,102 | 2,028,180 | (121,185 | ) | ||||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 849,634 | 1,055,543 | 155,726 | |||||||||
|
| |||||||||||
(210,349) | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | (210,349 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Poland | ||||||||||||
Bank Pekao SA | (47,744 | ) | (1,664,150 | ) | (2,799 | ) | ||||||
Bank Zachodni WBK SA | (13,938 | ) | (927,115 | ) | (4,952 | ) | ||||||
LPP SA | (15 | ) | (20,029 | ) | 785 | |||||||
mBank SA | (10,021 | ) | (763,921 | ) | (24,403 | ) | ||||||
Orange Polska SA | (144,495 | ) | (202,875 | ) | 16,548 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Poland (continued) | ||||||||||||
Polski Koncern Naftowy Orlen SA | (5,923 | ) | $ | (96,609 | ) | $ | (7,431 | ) | ||||
Powszechna Kasa Oszczednosci Bank Polski SA | (207,740 | ) | (1,260,823 | ) | 29,472 | |||||||
|
| |||||||||||
7,220 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 7,220 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (203,129 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (116,436 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (319,565 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
153
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | 12-60 months maturity 12/22/2020 | $2,185,340 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Long Positions | ||||||||||||
Common Stocks | �� | |||||||||||
Brazil | ||||||||||||
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros | 275,800 | $ | 721,148 | $ | 808,832 | |||||||
BRF SA | 164,020 | 1,975,881 | 314,160 | |||||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 74,541 | 559,863 | 108,025 | |||||||||
Cia Energetica de Minas Gerais | 502,077 | 569,831 | 539,759 | |||||||||
Cia Paranaense de Energia | 5,779 | 40,577 | 11,319 | |||||||||
Cielo SA | 38,000 | 138,500 | 260,747 | |||||||||
EDP - Energias do Brasil SA | 190,700 | 521,745 | 286,814 | |||||||||
Embraer SA | 60,441 | 1,292,247 | 20,532 | |||||||||
Equatorial Energia SA | 99,400 | 917,939 | 589,940 | |||||||||
Hypermarcas SA | 4,800 | 40,650 | (5,909 | ) | ||||||||
Itau Unibanco Holding SA | 45,206 | 274,643 | 152,101 | |||||||||
JBS SA | 1,318,593 | 3,420,556 | 684,270 | |||||||||
Natura Cosmeticos SA | 19,600 | 123,603 | 31,925 | |||||||||
Odontoprev SA | 134,000 | 340,097 | 213,457 | |||||||||
Porto Seguro SA | 67,800 | 439,920 | 119,821 | |||||||||
Qualicorp SA | 195,300 | 614,507 | 521,799 | |||||||||
TOTVS SA | 26,500 | 215,402 | 34,642 | |||||||||
|
| |||||||||||
4,692,234 | ||||||||||||
|
| |||||||||||
Chile | ||||||||||||
Empresa Nacional de Electricidad SA | 9,269 | 239,178 | 17,851 | |||||||||
Enersis Americas SA | 56,741 | 461,004 | 25,834 | |||||||||
Latam Airlines Group SA | 24,445 | 151,263 | 10,074 | |||||||||
|
| |||||||||||
53,759 | ||||||||||||
|
| |||||||||||
China | ||||||||||||
Bank of China Ltd. | 2,235,000 | 875,636 | 22,628 | |||||||||
Bank of Communications Co. Ltd. | 2,008,000 | 1,222,435 | 54,879 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
China (continued) | ||||||||||||
China CITIC Bank Corp. Ltd. | 3,122,000 | $ | 1,779,776 | $ | 129,913 | |||||||
China Construction Bank Corp. | 3,632,000 | 2,213,543 | 207,686 | |||||||||
China Telecom Corp. Ltd. | 1,918,000 | 862,826 | (269 | ) | ||||||||
GOME Electrical Appliances Holding Ltd. | 13,325,000 | 1,854,739 | (261,042 | ) | ||||||||
Industrial & Commercial Bank of China Ltd. | 2,410,000 | 1,231,912 | 112,070 | |||||||||
PICC Property & Casualty Co. Ltd. | 2,386,000 | 4,091,364 | (329,492 | ) | ||||||||
Semiconductor Manufacturing International Corp. | 21,641,000 | 1,966,761 | (223,598 | ) | ||||||||
Zhejiang Expressway Co. Ltd. | 1,128,000 | 1,123,840 | (56,718 | ) | ||||||||
|
| |||||||||||
(343,943 | ) | |||||||||||
|
| |||||||||||
Indonesia | ||||||||||||
AKR Corporindo Tbk. PT | 45,600 | 26,168 | (4,025 | ) | ||||||||
Indofood CBP Sukses Makmur Tbk. PT | 110,700 | 135,053 | 10,475 | |||||||||
Indofood Sukses Makmur Tbk. PT | 1,549,900 | 676,257 | 176,527 | |||||||||
Matahari Department Store Tbk. PT | 89,500 | 126,007 | 10,400 | |||||||||
Media Nusantara Citra Tbk. PT | 822,900 | 141,453 | (3,397 | ) | ||||||||
Semen Indonesia Persero Tbk. PT | 40,600 | 30,620 | (1,702 | ) | ||||||||
Telekomunikasi Indonesia Persero Tbk. PT | 1,951,800 | 433,186 | 160,641 | |||||||||
United Tractors Tbk. PT | 1,232,000 | 1,442,004 | (51,978 | ) | ||||||||
|
| |||||||||||
296,941 | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
154
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Korea, Republic of | ||||||||||||
CJ CheilJedang Corp. | 5,425 | $ | 1,671,910 | $ | 165,453 | |||||||
CJ Corp. | 6,420 | 1,172,330 | (38,849 | ) | ||||||||
CJ E&M Corp. | 7,354 | 451,894 | (6,990 | ) | ||||||||
DGB Financial Group, Inc. | 14,313 | 109,111 | (728 | ) | ||||||||
Dongbu Insurance Co. Ltd. | 59,524 | 3,464,901 | 117,880 | |||||||||
Hana Financial Group, Inc. | 16,134 | 281,170 | 46,848 | |||||||||
Hanmi Pharm Co. Ltd. | 152 | 85,862 | 8,211 | |||||||||
Hanwha Chemical Corp. | 92,162 | 1,926,917 | (1,250 | ) | ||||||||
Hanwha Corp. | 115,258 | 3,229,575 | 351,040 | |||||||||
Hanwha Life Insurance Co. Ltd. | 230,621 | 1,287,108 | (125,031 | ) | ||||||||
Hyundai Department Store Co. Ltd. | 4,748 | 505,717 | 28,439 | |||||||||
Hyundai Development Co-Engineering & Construction | 47,465 | 1,635,222 | 11,464 | |||||||||
Hyundai Engineering & Construction Co. Ltd. | 15,971 | 406,711 | 60,550 | |||||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 84,337 | 2,280,107 | (129,552 | ) | ||||||||
Hyundai Mobis Co. Ltd. | 9,431 | 1,904,232 | 170,620 | |||||||||
Hyundai Wia Corp. | 7,664 | 707,407 | (109,931 | ) | ||||||||
KB Financial Group, Inc. | 26,186 | 645,549 | 99,075 | |||||||||
Kia Motors Corp. | 70,443 | 2,856,673 | (202,423 | ) | ||||||||
Korea Aerospace Industries Ltd. | 4,079 | 224,557 | 36,958 | |||||||||
Korea Electric Power Corp. | 56,274 | 2,465,303 | 488,632 | |||||||||
Korea Zinc Co. Ltd. | 1,829 | 756,962 | 54,107 | |||||||||
Korean Air Lines Co. Ltd. | 53,688 | 1,106,150 | 108,255 | |||||||||
KT Corp. | 15,906 | 355,898 | 54,906 | |||||||||
LG Chem Ltd. | 6,705 | 1,621,026 | (89,813 | ) | ||||||||
LG Corp. | 20,808 | 1,209,729 | (52,558 | ) | ||||||||
LG Display Co. Ltd. | 7,659 | 144,861 | 32,472 | |||||||||
LG Household & Health Care Ltd. | 706 | 504,787 | 184,661 | |||||||||
LG Uplus Corp. | 62,563 | 510,958 | 83,245 | |||||||||
Lotte Chemical Corp. | 12,687 | 2,598,252 | 559,385 | |||||||||
Mirae Asset Daewoo Co. Ltd. | 190,812 | 1,215,023 | 89,836 | |||||||||
NCSoft Corp. | 18,725 | 3,395,005 | 460,724 | |||||||||
POSCO | 680 | 141,578 | (21,116 | ) | ||||||||
Posco Daewoo Corp. | 99,410 | 1,783,476 | 400,172 | |||||||||
Samsung Electronics Co. Ltd. | 2,756 | 2,571,116 | 861,072 | |||||||||
Samsung Life Insurance Co. Ltd. | 3,575 | 305,382 | 7,469 | |||||||||
Samsung Securities Co. Ltd. | 4,325 | 130,456 | 3,751 | |||||||||
Shinhan Financial Group Co. Ltd. | 15,356 | 497,290 | 7,446 | |||||||||
Shinsegae Co. Ltd. | 5,892 | 1,087,694 | (85,048 | ) | ||||||||
SK Hynix, Inc. | 29,519 | 651,977 | 188,044 | |||||||||
SK Innovation Co. Ltd. | 46,889 | 5,761,952 | 15,440 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Korea, Republic of (continued) | ||||||||||||
SK Networks Co. Ltd. | 243,623 | $ | 1,095,188 | $ | 168,527 | |||||||
SK Telecom Co. Ltd. | 12,103 | 2,091,961 | 181,792 | |||||||||
S-Oil Corp. | 30,218 | 1,978,047 | 24,473 | |||||||||
Woori Bank | 167,336 | 1,371,882 | 19,411 | |||||||||
Yuhan Corp. | 3,667 | 917,167 | 62,760 | |||||||||
|
| |||||||||||
4,289,829 | ||||||||||||
|
| |||||||||||
Malaysia | ||||||||||||
AirAsia Bhd. | 1,037,300 | 429,016 | 242,598 | |||||||||
|
| |||||||||||
South Africa | ||||||||||||
Anglogold Ashanti Ltd. | 104,690 | 1,535,603 | 355,098 | |||||||||
Gold Fields Ltd. | 215,072 | 808,444 | 245,409 | |||||||||
|
| |||||||||||
600,507 | ||||||||||||
|
| |||||||||||
Taiwan | ||||||||||||
Casetek Holdings Ltd. | 109,000 | 546,281 | (161,959 | ) | ||||||||
Cathay Financial Holding Co. Ltd. | 790,000 | 851,963 | 13,936 | |||||||||
China Airlines Ltd. | 2,829,000 | 939,488 | (88,016 | ) | ||||||||
China Life Insurance Co. Ltd. | 1,124,000 | 784,895 | 90,113 | |||||||||
Compal Electronics, Inc. | 988,000 | 536,296 | 88,720 | |||||||||
Eva Airways Corp. | 789,000 | 418,293 | (58,051 | ) | ||||||||
Feng TAY Enterprise Co. Ltd. | 270,060 | 1,389,711 | (266,905 | ) | ||||||||
Foxconn Technology Co. Ltd. | 444,770 | 882,794 | 167,842 | |||||||||
Fubon Financial Holding Co. Ltd. | 2,262,297 | 2,515,582 | 151,736 | |||||||||
Hon Hai Precision Industry Co. Ltd. | 297,000 | 685,287 | 79,870 | |||||||||
Innolux Corp. | 7,302,000 | 2,059,566 | 407,678 | |||||||||
Inotera Memories, Inc. | 2,764,842 | 2,326,338 | (161,080 | ) | ||||||||
Inventec Corp. | 712,000 | 456,918 | 52,169 | |||||||||
Lite-On Technology Corp. | 380,000 | 480,950 | 42,420 | |||||||||
Nan Ya Plastics Corp. | 37,000 | 65,145 | 5,341 | |||||||||
Pegatron Corp. | 786,000 | 1,519,327 | 150,081 | |||||||||
Pou Chen Corp. | 850,000 | 1,086,240 | 57,870 | |||||||||
Powertech Technology, Inc. | 956,000 | 1,950,570 | 183,969 | |||||||||
Radiant Opto-Electronics Corp. | 772,000 | 1,133,533 | 84,381 | |||||||||
Realtek Semiconductor Corp. | 46,000 | 132,578 | 10,890 | |||||||||
Taiwan Fertilizer Co. Ltd. | 217,000 | 274,537 | 15,164 | |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 1,136 | 25,418 | 4,379 | |||||||||
Uni-President Enterprises Corp. | 443,000 | 828,024 | 46,919 | |||||||||
Zhen Ding Technology Holding Ltd. | 557,000 | 1,120,030 | (112,096 | ) | ||||||||
|
| |||||||||||
805,371 | ||||||||||||
|
| |||||||||||
Total of Long Common Stocks | 10,637,296 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
155
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Preferred Stocks | ||||||||||||
Brazil | ||||||||||||
Braskem SA | 346,000 | $ | 2,169,738 | $ | (123,229 | ) | ||||||
Centrais Eletricas Brasileiras SA | 372,900 | 1,059,709 | 974,101 | |||||||||
Cia Energetica de Sao Paulo | 252,100 | 726,129 | 199,930 | |||||||||
Gerdau SA | 384,372 | 381,760 | 323,016 | |||||||||
Itausa - Investimentos Itau SA | 221,210 | 315,727 | 200,749 | |||||||||
Suzano Papel e Celulose SA | 253,200 | 963,741 | (69,899 | ) | ||||||||
|
| |||||||||||
1,504,668 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | �� | 12,141,964 | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Brazil | ||||||||||||
Banco Bradesco SA | (103,221 | ) | (689,057 | ) | (117,099 | ) | ||||||
Banco do Brasil SA | (254,500 | ) | (1,275,525 | ) | (71,329 | ) | ||||||
BB Seguridade Participacoes SA | (239,600 | ) | (1,443,049 | ) | (638,711 | ) | ||||||
CCR SA | (176,700 | ) | (795,309 | ) | (128,814 | ) | ||||||
Cosan SA Industria e Comercio | (181,200 | ) | (1,305,522 | ) | (572,306 | ) | ||||||
Duratex SA | (9,700 | ) | (20,492 | ) | (5,145 | ) | ||||||
Fibria Celulose SA | (64,059 | ) | (551,682 | ) | 118,643 | |||||||
Kroton Educacional SA | (46,300 | ) | (95,471 | ) | (100,119 | ) | ||||||
Telefonica Brasil SA | (257,303 | ) | (2,254,213 | ) | (1,245,107 | ) | ||||||
Tim Participacoes SA | (408,312 | ) | (3,273,096 | ) | (1,034,595 | ) | ||||||
WEG SA | (7,400 | ) | (30,599 | ) | (1,030 | ) | ||||||
|
| |||||||||||
(3,795,612 | ) | |||||||||||
|
| |||||||||||
Chile | ||||||||||||
Banco Santander Chile | (40,295 | ) | (648,347 | ) | (132,168 | ) | ||||||
Sociedad Quimica y Minera de Chile SA | (81,412 | ) | (1,340,468 | ) | (672,037 | ) | ||||||
|
| |||||||||||
(804,205 | ) | |||||||||||
|
| |||||||||||
China | ||||||||||||
China Communications Construction Co. Ltd. | (337,000 | ) | (365,917 | ) | 579 | |||||||
China Railway Construction Corp. Ltd. | (181,500 | ) | (217,432 | ) | (11,220 | ) | ||||||
|
| |||||||||||
(10,641 | ) | |||||||||||
|
| |||||||||||
Indonesia | ||||||||||||
Astra International Tbk. PT | (749,900 | ) | (375,554 | ) | (47,211 | ) | ||||||
|
| |||||||||||
Korea, Republic of | ||||||||||||
Amorepacific Corp. | (557 | ) | (196,874 | ) | (13,109 | ) | ||||||
BNK Financial Group, Inc. | (96,019 | ) | (658,639 | ) | (18,039 | ) | ||||||
Cheil Worldwide, Inc. | (3,344 | ) | (56,634 | ) | 7,277 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Korea, Republic of (continued) | ||||||||||||
CJ Korea Express Corp. | (6,715 | ) | $ | (1,182,789 | ) | $ | (86,858 | ) | ||||
Daewoo Engineering & Construction Co. Ltd. | (361,151 | ) | (1,550,681 | ) | (223,037 | ) | ||||||
Dongsuh Cos., Inc. | (18,359 | ) | (490,678 | ) | (43,424 | ) | ||||||
Doosan Corp. | (20,372 | ) | (1,496,081 | ) | (158,615 | ) | ||||||
Doosan Heavy Industries & Construction Co. Ltd. | (33,585 | ) | (643,691 | ) | 20,307 | |||||||
E-MART, Inc. | (18,015 | ) | (2,569,492 | ) | (149,024 | ) | ||||||
GS Engineering & Construction Corp. | (54,720 | ) | (1,074,427 | ) | (261,165 | ) | ||||||
GS Holdings Corp. | (33,933 | ) | (1,344,367 | ) | (64,811 | ) | ||||||
GS Retail Co. Ltd. | (3,788 | ) | (177,020 | ) | (3,103 | ) | ||||||
Hankook Tire Co. Ltd. | (11,481 | ) | (441,868 | ) | (68,926 | ) | ||||||
Hanon Systems | (12,689 | ) | (122,663 | ) | 6,534 | |||||||
Hanssem Co. Ltd. | (3,940 | ) | (588,036 | ) | 39,291 | |||||||
Hotel Shilla Co. Ltd. | (22,625 | ) | (1,242,962 | ) | (99,405 | ) | ||||||
Hyosung Corp. | (12,666 | ) | (1,310,470 | ) | (75,875 | ) | ||||||
Hyundai Glovis Co. Ltd. | (20,429 | ) | (3,283,053 | ) | 222,899 | |||||||
Hyundai Heavy Industries Co. Ltd. | (61,809 | ) | (4,620,360 | ) | (1,102,194 | ) | ||||||
Hyundai Motor Co. | (36,698 | ) | (4,256,511 | ) | (84,550 | ) | ||||||
Industrial Bank of Korea | (240,355 | ) | (2,217,330 | ) | (124,568 | ) | ||||||
Kangwon Land, Inc. | (18,636 | ) | (593,994 | ) | (82,215 | ) | ||||||
KCC Corp. | (8,102 | ) | (2,721,281 | ) | 26,428 | |||||||
Korea Investment Holdings Co. Ltd. | (749 | ) | (26,975 | ) | (639 | ) | ||||||
Kumho Petrochemical Co. Ltd. | (29,713 | ) | (1,641,376 | ) | 88,930 | |||||||
LG Electronics, Inc. | (7,940 | ) | (401,999 | ) | 28,051 | |||||||
Lotte Chilsung Beverage Co. Ltd. | (230 | ) | (354,590 | ) | (2,972 | ) | ||||||
Lotte Shopping Co. | (15,948 | ) | (3,072,242 | ) | 251,325 | |||||||
NAVER Corp. | (603 | ) | (332,957 | ) | (40,611 | ) | ||||||
NH Investment & Securities Co. Ltd. | (259,654 | ) | (2,032,764 | ) | (50,733 | ) | ||||||
Orion Corp. | (659 | ) | (552,531 | ) | 11,607 | |||||||
Ottogi Corp. | (836 | ) | (711,056 | ) | 111,000 | |||||||
Samsung C&T Corp | (60,794 | ) | (6,780,086 | ) | 235,107 | |||||||
Samsung Electro-Mechanics Co. Ltd. | (53,052 | ) | (2,450,120 | ) | 125,589 | |||||||
Samsung Heavy Industries Co. Ltd. | (156,489 | ) | (1,288,489 | ) | 28,848 | |||||||
Samsung SDI Co. Ltd. | (46,965 | ) | (4,229,737 | ) | (216,884 | ) | ||||||
Samsung SDS Co. Ltd. | (15,448 | ) | (3,134,577 | ) | 1,199,828 | |||||||
|
| |||||||||||
(567,736 | ) | |||||||||||
|
| |||||||||||
Malaysia | ||||||||||||
SapuraKencana Petroleum Bhd. | (500,000 | ) | (196,467 | ) | 12,733 | |||||||
|
| |||||||||||
Mexico | ||||||||||||
America Movil SAB de CV | (88,793 | ) | (1,164,570 | ) | 75,968 | |||||||
Grupo Aeroportuario del Sureste SAB de CV | (2,960 | ) | (433,218 | ) | (39,050 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
156
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Mexico (continued) | ||||||||||||
Grupo Financiero Santander Mexico SAB de CV | (347,101 | ) | $ | (2,551,192 | ) | $ | (603,956 | ) | ||||
|
| |||||||||||
(567,038 | ) | |||||||||||
|
| |||||||||||
Poland | ||||||||||||
Powszechny Zaklad Ubezpieczen SA | (15,828 | ) | (132,314 | ) | 16,971 | |||||||
Tauron Polska Energia SA | (221,298 | ) | (147,665 | ) | (11,987 | ) | ||||||
|
| |||||||||||
4,984 | ||||||||||||
|
| |||||||||||
Taiwan | ||||||||||||
Advanced Semiconductor Engineering, Inc. | (1,852,000 | ) | (1,947,039 | ) | (159,974 | ) | ||||||
Asia Cement Corp. | (192,000 | ) | (143,684 | ) | (23,218 | ) | ||||||
Asustek Computer, Inc. | (5,000 | ) | (38,829 | ) | (2,555 | ) | ||||||
AU Optronics Corp. | (3,999,000 | ) | (1,062,524 | ) | (321,882 | ) | ||||||
Chang Hwa Commercial Bank Ltd. | (921,130 | ) | (417,012 | ) | (63,952 | ) | ||||||
Cheng Shin Rubber Industry Co. Ltd. | (269,000 | ) | (409,077 | ) | (158,091 | ) | ||||||
China Development Financial Holding Corp. | (2,387,000 | ) | (545,239 | ) | (33,716 | ) | ||||||
China Steel Corp. | (875,000 | ) | (454,765 | ) | (115,364 | ) | ||||||
Delta Electronics Inc. | (286,000 | ) | (1,230,506 | ) | (164,980 | ) | ||||||
E.Sun Financial Holding Co. Ltd. | (917,435 | ) | (449,495 | ) | (93,999 | ) | ||||||
Far Eastern New Century Corp. | (275,000 | ) | (185,496 | ) | (20,299 | ) | ||||||
Formosa Chemicals & Fibre Corp. | (795,000 | ) | (1,681,162 | ) | (325,987 | ) | ||||||
Formosa Plastics Corp. | (488,000 | ) | (1,099,028 | ) | (84,426 | ) | ||||||
Hotai Motor Co. Ltd. | (183,000 | ) | (1,799,990 | ) | (3,587 | ) | ||||||
Largan Precision Co. Ltd. | (8,000 | ) | (640,237 | ) | (99,629 | ) | ||||||
MediaTek, Inc. | (116,000 | ) | (708,265 | ) | (178,156 | ) | ||||||
President Chain Store Corp. | (16,000 | ) | (103,838 | ) | (21,176 | ) | ||||||
Quanta Computer, Inc. | (1,978,000 | ) | (3,016,868 | ) | (752,373 | ) | ||||||
Ruentex Industries Ltd. | (29,000 | ) | (47,418 | ) | 3,641 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Taiwan (continued) | ||||||||||||
Shin Kong Financial Holding Co. Ltd. | (2,607,000 | ) | $ | (485,923 | ) | $ | (27,254 | ) | ||||
SinoPac Financial Holdings Co. Ltd. | (641,135 | ) | (159,258 | ) | (31,012 | ) | ||||||
Taishin Financial Holding Co. Ltd. | (3,665,000 | ) | (1,127,765 | ) | (289,193 | ) | ||||||
Taiwan Cement Corp. | (748,000 | ) | (621,058 | ) | (127,083 | ) | ||||||
United Microelectronics Corp. | (299,000 | ) | (104,284 | ) | (12,979 | ) | ||||||
Wistron Corp. | (259,000 | ) | (125,739 | ) | (55,440 | ) | ||||||
Yuanta Financial Holding Co. Ltd. | (969,000 | ) | (299,435 | ) | (15,216 | ) | ||||||
|
| |||||||||||
(3,177,900 | ) | |||||||||||
|
| |||||||||||
Total of Short Common Stocks | (8,952,626 | ) | ||||||||||
|
| |||||||||||
Preferred Stocks | ||||||||||||
Brazil | ||||||||||||
Cia Brasileira de Distribuicao | (46,500 | ) | (578,667 | ) | (95,752 | ) | ||||||
Petroleo Brasileiro SA | (423,100 | ) | (902,956 | ) | (332,507 | ) | ||||||
Vale SA | (547,901 | ) | (1,330,463 | ) | (881,745 | ) | ||||||
|
| |||||||||||
(1,310,004 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (10,262,630 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 1,879,334 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 306,006 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 2,185,340 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
157
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread, which is denominated in ZAR based on the local currencies of the positions within the swaps. | 1-60 months maturity ranging from 07/25/2016 - 12/24/2020 | $(2,613,123 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Malta | ||||||||||||
Brait SE | 203,006 | $ | 2,133,196 | $ | (198,070 | ) | ||||||
|
| |||||||||||
South Africa | ||||||||||||
Anglo American Platinum Ltd. | 74,841 | 1,945,508 | (74,460 | ) | ||||||||
Barclays Africa Group Ltd. | 10,376 | 100,595 | 1,175 | |||||||||
Barloworld Ltd. | 185,779 | 914,984 | 10,738 | |||||||||
Bid Corp. Ltd. | 7,968 | 99,335 | 49,984 | |||||||||
Bidvest Group Ltd. (The) | 7,968 | 96,786 | (21,616 | ) | ||||||||
Exxaro Resources Ltd. | 64,242 | 294,371 | 1,606 | |||||||||
FirstRand Ltd. | 77,560 | 207,763 | 28,942 | |||||||||
Foschini Group Ltd. (The) | 70,288 | 558,670 | 104,926 | |||||||||
Imperial Holdings Ltd. | 68,671 | 672,734 | 28,516 | |||||||||
Investec Ltd. | 244,608 | 1,720,973 | (221,324 | ) | ||||||||
MMI Holdings Ltd. | 29,996 | 44,966 | 1,311 | |||||||||
Mondi Ltd. | 93,887 | 1,785,132 | (69,045 | ) | ||||||||
Netcare Ltd. | 416,014 | 896,912 | (13,471 | ) | ||||||||
Pick n Pay Stores Ltd. | 52,090 | 242,554 | 11,077 | |||||||||
PSG Group Ltd. | 51,734 | 654,279 | 29,303 | |||||||||
Rand Merchant Investment Holdings Ltd. | 22,111 | 55,494 | 6,511 | |||||||||
RMB Holdings Ltd. | 432,287 | 1,533,020 | 123,782 | |||||||||
Sibanye Gold Ltd. | 179,121 | 559,986 | 49,893 | |||||||||
Telkom SA SOC Ltd. | 116,503 | 455,801 | 69,883 | |||||||||
Truworths International Ltd. | 108,745 | 697,375 | (64,540 | ) | ||||||||
Vodacom Group Ltd. | 2,871 | 29,844 | 2,870 | |||||||||
Woolworths Holdings Ltd. | 256,821 | 1,492,832 | (22,259 | ) | ||||||||
|
| |||||||||||
33,802 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | (164,268 | ) | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
South Africa | ||||||||||||
Aspen Pharmacare Holdings Ltd. | (6,776 | ) | $ | (143,807 | ) | $ | (23,351 | ) | ||||
Coronation Fund Managers Ltd. | (617,986 | ) | (2,523,446 | ) | (279,863 | ) | ||||||
Discovery Ltd. | (340,358 | ) | (2,728,925 | ) | (114,306 | ) | ||||||
Impala Platinum Holdings Ltd. | (548,172 | ) | (1,044,218 | ) | (721,952 | ) | ||||||
Life Healthcare Group Holdings Ltd. | (174,526 | ) | (414,131 | ) | (15,261 | ) | ||||||
Massmart Holdings Ltd. | (64,507 | ) | (416,847 | ) | (134,180 | ) | ||||||
Mr Price Group Ltd. | (5,220 | ) | (69,712 | ) | (3,631 | ) | ||||||
MTN Group Ltd. | (51,565 | ) | (445,206 | ) | (55,923 | ) | ||||||
Naspers Ltd. | (14,620 | ) | (2,049,191 | ) | (183,211 | ) | ||||||
Nedbank Group Ltd. | (18,281 | ) | (210,203 | ) | (21,860 | ) | ||||||
Pioneer Foods Group Ltd. | (31,993 | ) | (293,709 | ) | (81,702 | ) | ||||||
Sanlam Ltd. | (1,042,596 | ) | (4,046,300 | ) | (260,881 | ) | ||||||
Sasol Ltd. | (32,299 | ) | (965,843 | ) | 92,034 | |||||||
Shoprite Holdings Ltd. | (83,439 | ) | (840,654 | ) | (104,369 | ) | ||||||
SPAR Group Ltd. (The) | (24,374 | ) | (278,118 | ) | (56,564 | ) | ||||||
Tiger Brands Ltd. | (65,581 | ) | (1,235,374 | ) | (380,299 | ) | ||||||
|
| |||||||||||
(2,345,319) | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | (2,345,319 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (2,509,587 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (103,536 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (2,613,123 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
158
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Mexico Equilibrium Interbank Interest Rate plus or minus a specified spread, which is denominated in MXN based on the local currencies of the positions within the swaps. | 55-60 months maturity 12/22/2020 | $293,155 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Mexico | ||||||||||||
Alfa SAB de CV | 158,800 | $ | 267,273 | $ | 6,159 | |||||||
Arca Continental SAB de CV | 150,800 | 908,967 | 171,973 | |||||||||
Gentera SAB de CV | 159,500 | 277,119 | 6,504 | |||||||||
Gruma SAB de CV | 267,570 | 3,707,201 | 153,582 | |||||||||
Grupo Lala SAB de CV | 413,800 | 985,908 | (77,848 | ) | ||||||||
Grupo Mexico SAB de CV | 709,100 | 1,318,013 | 353,260 | |||||||||
Industrias Penoles SAB de CV | 36,630 | 644,812 | 227,774 | |||||||||
Kimberly-Clark de Mexico SAB de CV | 359,900 | 805,557 | 43,476 | |||||||||
OHL Mexico SAB de CV | 332,400 | 406,880 | (1,438 | ) | ||||||||
Promotora y Operadora de Infraestructura SAB de CV | 4,000 | 45,415 | 4,138 | |||||||||
Wal-Mart de Mexico SAB de CV | 84,900 | 200,187 | 3,721 | |||||||||
|
| |||||||||||
891,301 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 891,301 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Mexico | ||||||||||||
Coca-Cola Femsa SAB de CV | (44,500 | ) | (299,468 | ) | (69,602 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Mexico (continued) | ||||||||||||
El Puerto de Liverpool SAB de CV | (39,140 | ) | $ | (426,702 | ) | $ | 13,477 | |||||
Grupo Bimbo SAB de CV | (22,300 | ) | (63,341 | ) | (6,452 | ) | ||||||
Grupo Financiero Banorte SAB de CV | (450,900 | ) | (2,102,347 | ) | (426,089 | ) | ||||||
Grupo Financiero Inbursa SAB de CV | (1,179,300 | ) | (1,886,167 | ) | (113,461 | ) | ||||||
Mexichem SAB de CV | (14,200 | ) | (31,045 | ) | 1,026 | |||||||
|
| |||||||||||
(601,101 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (601,101 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 290,200 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 2,955 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 293,155 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
159
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 55-61 months maturity 01/14/2021 | $1,405,921 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Belgium | ||||||||||||
Ageas | 144,325 | $ | 5,936,227 | $ | (919,595 | ) | ||||||
bpost SA | 137,690 | 3,201,039 | 323,643 | |||||||||
KBC Groep NV | 45,213 | 2,589,366 | (365,749 | ) | ||||||||
Proximus SADP | 147,220 | 4,705,572 | (27,145 | ) | ||||||||
Umicore SA | 10,307 | 511,071 | 21,330 | |||||||||
|
| |||||||||||
(967,516 | ) | |||||||||||
|
| |||||||||||
Finland | ||||||||||||
Amer Sports OYJ | 39,353 | 1,084,632 | (4,972 | ) | ||||||||
Huhtamaki OYJ | 10,152 | 379,978 | 41,329 | |||||||||
Kesko OYJ | 124,527 | 4,758,795 | 529,440 | |||||||||
Metso OYJ | 35,579 | 719,498 | 116,960 | |||||||||
Neste OYJ | 45,299 | 1,427,824 | 196,549 | |||||||||
Orion OYJ | 47,565 | 1,486,834 | 360,106 | |||||||||
Outokumpu OYJ | 477,365 | 1,460,750 | 545,909 | |||||||||
Stora Enso OYJ | 89,170 | 731,941 | (14,829 | ) | ||||||||
UPM-Kymmene OYJ | 252,489 | 4,238,336 | 400,081 | |||||||||
|
| |||||||||||
2,170,573 | ||||||||||||
|
| |||||||||||
Germany | ||||||||||||
adidas AG | 1,755 | 213,441 | 38,488 | |||||||||
Allianz SE | 16,136 | 2,335,123 | (33,202 | ) | ||||||||
Aurubis AG | 123,701 | 5,857,083 | (232,058 | ) | ||||||||
Beiersdorf AG | 2,069 | 179,704 | 16,177 | |||||||||
Brenntag AG | 57,613 | 2,732,938 | 57,949 | |||||||||
Commerzbank AG | 692,065 | 6,134,012 | (1,627,040 | ) | ||||||||
Covestro AG | 39,622 | 1,506,975 | 257,803 | |||||||||
Deutsche Lufthansa AG | 240,918 | 3,517,787 | (685,189 | ) | ||||||||
E.ON SE | 121,474 | 1,224,095 | 2,163 | |||||||||
Evonik Industries AG | 78,996 | 2,388,665 | (33,907 | ) | ||||||||
Freenet AG | 83,816 | 2,643,779 | (485,221 | ) | ||||||||
GEA Group AG | 23,119 | 905,690 | 185,559 | |||||||||
Hannover Rueck SE | 35,095 | 3,706,887 | (29,722 | ) | ||||||||
HeidelbergCement AG | 15,212 | 1,079,611 | 66,341 | |||||||||
Hella KGaA Hueck & Co. | 35,589 | 1,426,063 | (283,785 | ) | ||||||||
HOCHTIEF AG | 44,046 | 4,072,201 | 1,614,613 | |||||||||
Infineon Technologies AG | 68,076 | 948,835 | 36,661 | |||||||||
KION Group AG | 61,655 | 2,892,502 | 95,790 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Germany (continued) | ||||||||||||
Krones AG | 4,162 | $ | 445,856 | $ | (6,219 | ) | ||||||
LANXESS AG | 64,561 | 2,716,649 | 115,830 | |||||||||
Merck KGaA | 15,056 | 1,325,956 | 204,381 | |||||||||
METRO AG | 63,743 | 1,796,572 | 163,915 | |||||||||
MTU Aero Engines AG | 13,795 | 1,232,331 | 56,508 | |||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 15,476 | 2,924,519 | (329,270 | ) | ||||||||
OSRAM Licht AG | 144,923 | 6,206,899 | 1,322,846 | |||||||||
ProSiebenSat.1 Media SE | 144 | 7,211 | (912 | ) | ||||||||
Rheinmetall AG | 72,378 | 4,775,583 | (470,629 | ) | ||||||||
RHOEN-KLINIKUM AG | 103,340 | 2,932,003 | 92,897 | |||||||||
Rocket Internet SE | 488 | 13,355 | (3,827 | ) | ||||||||
Salzgitter AG | 73,172 | 1,622,882 | 311,794 | |||||||||
Software AG | 61,404 | 2,056,423 | 31,445 | |||||||||
STADA Arzneimittel AG | 34,382 | 1,439,976 | 341,946 | |||||||||
Suedzucker AG | 97,077 | 1,516,443 | 621,727 | |||||||||
Symrise AG | 12,020 | 769,126 | 50,772 | |||||||||
Talanx AG | 43,273 | 1,295,438 | (6,638 | ) | ||||||||
United Internet AG | 53,694 | 2,672,795 | (440,791 | ) | ||||||||
Zalando SE | 53,271 | 1,775,265 | (365,372 | ) | ||||||||
|
| |||||||||||
651,823 | ||||||||||||
|
| |||||||||||
Italy | ||||||||||||
A2A SpA | 3,095,858 | 3,832,615 | 226,862 | |||||||||
Atlantia SpA | 78,153 | 1,945,700 | 6,949 | |||||||||
Autogrill SpA | 182,123 | 1,524,480 | (52,077 | ) | ||||||||
Banca Monte dei Paschi di Siena SpA | 1,040,242 | 580,125 | (136,879 | ) | ||||||||
Enel SpA | 1,803,770 | 7,488,305 | 519,439 | |||||||||
FinecoBank Banca Fineco SpA | 1,620 | 12,304 | (1,724 | ) | ||||||||
Hera SpA | 895,370 | 2,446,796 | (2,993 | ) | ||||||||
Intesa Sanpaolo SpA | 694,014 | 1,504,624 | (182,728 | ) | ||||||||
Leonardo-Finmeccanica SpA | 416,981 | 5,214,638 | (997,844 | ) | ||||||||
Mediaset SpA | 875,183 | 3,676,790 | (616,228 | ) | ||||||||
Mediobanca SpA | 1,331,886 | 10,477,330 | (2,803,274 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
160
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Italy (continued) | ||||||||||||
Poste Italiane SpA | 372,986 | $ | 2,778,412 | $ | (301,809 | ) | ||||||
Prysmian SpA | 197,499 | 3,993,559 | 341,379 | |||||||||
Recordati SpA | 104,201 | 2,571,819 | 562,492 | |||||||||
Snam SpA | 818,463 | 4,658,379 | 234,744 | |||||||||
Terna Rete Elettrica Nazionale SpA | 438,504 | 2,345,596 | 94,724 | |||||||||
UniCredit SpA | 598,285 | 2,271,245 | (955,464 | ) | ||||||||
Unipol Gruppo Finanziario SpA | 923,273 | 3,759,060 | (1,585,006 | ) | ||||||||
|
| |||||||||||
(5,649,437 | ) | |||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
ABN AMRO Group NV | 19,061 | 396,133 | (82,757 | ) | ||||||||
Aegon NV | 147,324 | 728,071 | (144,325 | ) | ||||||||
Akzo Nobel NV | 12,594 | 805,386 | (23,037 | ) | ||||||||
ASM International NV | 49,182 | 2,002,457 | (104,109 | ) | ||||||||
Boskalis Westminster | 54,849 | 2,085,676 | (214,084 | ) | ||||||||
Delta Lloyd NV | 305,980 | 1,442,927 | (367,809 | ) | ||||||||
Heineken NV | 38,489 | 3,319,420 | 210,861 | |||||||||
Koninklijke Ahold NV | 240,014 | 5,072,452 | 227,675 | |||||||||
Koninklijke DSM NV | 19,366 | 928,866 | 188,367 | |||||||||
Koninklijke Philips NV | 82,652 | 2,090,422 | (37,654 | ) | ||||||||
NN Group NV | 298,695 | 9,814,821 | (1,592,218 | ) | ||||||||
Randstad Holding NV | 82,200 | 4,413,310 | (1,126,052 | ) | ||||||||
Wolters Kluwer NV | 134,194 | 4,409,741 | 1,023,938 | |||||||||
|
| |||||||||||
(2,041,204 | ) | |||||||||||
|
| |||||||||||
Spain | ||||||||||||
Abengoa SA | 5,747,307 | 1,320,381 | 264,348 | |||||||||
Acciona SA | 10,672 | 816,175 | (37,414 | ) | ||||||||
ACS Actividades de Construccion y Servicios SA | 179,823 | 4,599,243 | 333,155 | |||||||||
Almirall SA | 134,515 | 2,426,233 | (403,776 | ) | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 69,842 | 399,211 | 946 | |||||||||
Banco Santander SA | 675,468 | 3,070,237 | (448,963 | ) | ||||||||
Bankinter SA | 134,125 | 931,682 | (65,887 | ) | ||||||||
Ebro Foods SA | 114,876 | 2,269,731 | 374,496 | |||||||||
Enagas SA | 165,847 | 4,640,322 | 426,350 | |||||||||
Endesa SA | 419,960 | 8,032,295 | 394,409 | |||||||||
Ferrovial SA | 118,125 | 2,561,206 | (248,559 | ) | ||||||||
Gamesa Corp. Tecnologica SA | 346,527 | 5,753,376 | 1,150,841 | |||||||||
Iberdrola SA | 48,633 | 314,514 | 17,240 | |||||||||
Industria de Diseno Textil SA | 7,833 | 259,971 | 3,170 | |||||||||
Mediaset Espana Comunicacion SA | 142,227 | 1,389,499 | 216,047 | |||||||||
Obrascon Huarte Lain SA | 88,708 | 587,237 | (274,745 | ) | ||||||||
Prosegur Cia de Seguridad SA | 83,284 | 486,821 | 15,093 | |||||||||
Red Electrica Corp. SA | 20,386 | 1,663,734 | 157,832 | |||||||||
Repsol SA | 251,494 | 2,578,078 | 645,793 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Spain (continued) | ||||||||||||
Sacyr SA | 125,696 | $ | 200,186 | $ | 6,950 | |||||||
|
| |||||||||||
2,527,326 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Dialog Semiconductor plc | 48,733 | 1,520,964 | (60,756) | |||||||||
Fiat Chrysler Automobiles NV | 1,037,573 | 7,530,965 | (1,144,227 | ) | ||||||||
|
| |||||||||||
(1,204,983) | ||||||||||||
|
| |||||||||||
Total of Long Common Stocks | (4,513,418 | ) | ||||||||||
|
| |||||||||||
Rights | ||||||||||||
Spain | ||||||||||||
ACS Actividades de Construccion y Servicios SA | 179,823 | 896 | 125,424 | |||||||||
|
| |||||||||||
Total of Long Equity Positions and Rights | (4,387,994 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Belgium | ||||||||||||
Anheuser-Busch InBev SA/NV | (78,002 | ) | (9,448,740 | ) | (865,967 | ) | ||||||
Colruyt SA | (14,230 | ) | (727,380 | ) | (60,080 | ) | ||||||
Solvay SA | (4,082 | ) | (355,944 | ) | (25,347 | ) | ||||||
Telenet Group Holding NV | (27,401 | ) | (1,337,588 | ) | 84,640 | |||||||
UCB SA | (21,853 | ) | (1,759,116 | ) | 118,232 | |||||||
|
| |||||||||||
(748,522 | ) | |||||||||||
|
| |||||||||||
Finland | ||||||||||||
Cargotec OYJ | (23,135 | ) | (731,937 | ) | (210,931 | ) | ||||||
Elisa OYJ | (31,231 | ) | (1,148,854 | ) | (51,140 | ) | ||||||
Fortum OYJ | (99,460 | ) | (1,423,649 | ) | (174,319 | ) | ||||||
Kone OYJ | (72,816 | ) | (3,027,003 | ) | (333,481 | ) | ||||||
Nokia OYJ | (1,030,532 | ) | (6,548,574 | ) | 679,240 | |||||||
Nokian Renkaat OYJ | (131,720 | ) | (4,193,497 | ) | (527,598 | ) | ||||||
Sampo OYJ | (13,819 | ) | (611,417 | ) | 46,271 | |||||||
Wartsila OYJ Abp | (14,977 | ) | (679,942 | ) | 68,861 | |||||||
|
| |||||||||||
(503,097 | ) | |||||||||||
|
| |||||||||||
Germany | ||||||||||||
Axel Springer SE | (7,582 | ) | (405,333 | ) | 7,251 | |||||||
BASF SE | (28,540 | ) | (1,928,652 | ) | (259,759 | ) | ||||||
Bayer AG | (11,005 | ) | (1,125,965 | ) | 20,679 | |||||||
Bayerische Motoren Werke AG | (94,705 | ) | (8,270,824 | ) | 1,378,657 | |||||||
Bilfinger SE | (6,198 | ) | (276,383 | ) | 94,715 | |||||||
Continental AG | (4,305 | ) | (925,269 | ) | 110,648 | |||||||
Daimler AG | (129,938 | ) | (9,224,252 | ) | 1,448,978 | |||||||
Deutsche Bank AG | (45,449 | ) | (826,036 | ) | 197,789 | |||||||
Deutsche Post AG | (5,007 | ) | (144,435 | ) | 3,375 | |||||||
Deutsche Telekom AG | (179,295 | ) | (3,045,559 | ) | (11,829 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
161
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Germany (continued) | ||||||||||||
Duerr AG | (11,167 | ) | $ | (765,498 | ) | $ | (82,432 | ) | ||||
Fielmann AG | (4,996 | ) | (364,643 | ) | (761 | ) | ||||||
Fraport AG Frankfurt Airport Services Worldwide | (26,858 | ) | (1,591,288 | ) | 153,287 | |||||||
Fresenius Medical Care AG & Co. KGaA | (8,804 | ) | (722,976 | ) | (43,910 | ) | ||||||
HUGO BOSS AG | (23,641 | ) | (1,585,060 | ) | 241,020 | |||||||
K+S AG | (171,830 | ) | (3,843,431 | ) | 325,692 | |||||||
Linde AG | (9,051 | ) | (1,297,613 | ) | 36,477 | |||||||
MAN SE | (13,701 | ) | (1,387,168 | ) | (11,144 | ) | ||||||
RWE AG | (114,139 | ) | (1,400,305 | ) | (417,382 | ) | ||||||
SAP SE | (103,305 | ) | (8,148,339 | ) | 389,600 | |||||||
Siemens AG | (1,341 | ) | (121,279 | ) | (16,336 | ) | ||||||
Telefonica Deutschland Holding AG | (416,036 | ) | (2,064,889 | ) | 351,199 | |||||||
ThyssenKrupp AG | (60,124 | ) | (1,054,844 | ) | (153,670 | ) | ||||||
Wacker Chemie AG | (28,449 | ) | (2,097,072 | ) | (394,297 | ) | ||||||
|
| |||||||||||
3,367,847 | ||||||||||||
|
| |||||||||||
Italy | ||||||||||||
Assicurazioni Generali SpA | (54,639 | ) | (914,815 | ) | 270,491 | |||||||
Azimut Holding SpA | (268,292 | ) | (5,633,627 | ) | 1,256,209 | |||||||
Banca Generali SpA | (32,250 | ) | (865,363 | ) | 218,962 | |||||||
Banca Mediolanum SpA | (43,658 | ) | (290,068 | ) | (9,580 | ) | ||||||
Banca Popolare dell’Emilia Romagna SC | (45,792 | ) | (287,631 | ) | 119,509 | |||||||
Banco Popolare SC | (132,049 | ) | (367,665 | ) | 50,837 | |||||||
Buzzi Unicem SpA | (40,014 | ) | (652,889 | ) | (48,317 | ) | ||||||
Davide Campari-Milano SpA | (55,856 | ) | (468,275 | ) | (84,620 | ) | ||||||
Eni SpA | (93,556 | ) | (1,376,943 | ) | (129,980 | ) | ||||||
Luxottica Group SpA | (142,633 | ) | (7,608,071 | ) | 656,475 | |||||||
Moncler SpA | (2,813 | ) | (45,153 | ) | 743 | |||||||
Saipem SpA | (3,385,424 | ) | (1,314,687 | ) | (38,906 | ) | ||||||
Salvatore Ferragamo SpA | (292,450 | ) | (6,706,505 | ) | 745,239 | |||||||
Telecom Italia SpA | (3,927,302 | ) | (3,883,459 | ) | 657,930 | |||||||
Unione di Banche Italiane SpA | (183,356 | ) | (539,314 | ) | 32,966 | |||||||
UnipolSai SpA | (69,194 | ) | (141,334 | ) | 36,912 | |||||||
|
| |||||||||||
3,734,870 | ||||||||||||
|
| |||||||||||
Luxembourg | ||||||||||||
APERAM SA | (27,685 | ) | (859,802 | ) | (109,314 | ) | ||||||
ArcelorMittal | (1,034,119 | ) | (5,003,427 | ) | 288,671 | |||||||
Tenaris SA | (921,030 | ) | (9,656,205 | ) | (3,655,549 | ) | ||||||
|
| |||||||||||
(3,476,192 | ) | |||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Altice NV | (326,581 | ) | (4,769,542 | ) | (106,783 | ) | ||||||
ASML Holding NV | (41,875 | ) | (3,614,978 | ) | (507,122 | ) | ||||||
Fugro NV | (39,233 | ) | (544,651 | ) | (146,078 | ) | ||||||
Gemalto NV | (71,896 | ) | (4,554,932 | ) | 199,189 | |||||||
Koninklijke KPN NV | (936,204 | ) | (3,526,118 | ) | 189,077 | |||||||
Koninklijke Vopak NV | (86,150 | ) | (3,667,160 | ) | (621,342 | ) | ||||||
OCI NV | (20,785 | ) | (288,661 | ) | 7,091 | |||||||
QIAGEN NV | (101,481 | ) | (2,233,383 | ) | 21,882 | |||||||
SBM Offshore NV | (473,963 | ) | (5,568,197 | ) | 75,395 | |||||||
|
| |||||||||||
(888,691 | ) | |||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Spain | ||||||||||||
Abertis Infraestructuras SA | (135,515 | ) | $ | (2,016,264 | ) | $ | 13,678 | |||||
Acerinox SA | (32,934 | ) | (351,817 | ) | (14,521 | ) | ||||||
Aena SA | (25,674 | ) | (2,849,069 | ) | (554,034 | ) | ||||||
Amadeus IT Holding SA | (113,121 | ) | (4,660,882 | ) | (323,088 | ) | ||||||
Atresmedia Corp. de Medios de Comunicacion SA | (174,513 | ) | (1,789,437 | ) | 83,676 | |||||||
Banco de Sabadell SA | (3,096,178 | ) | (5,278,196 | ) | 1,178,064 | |||||||
Bankia SA | (2,317,837 | ) | (2,428,872 | ) | 741,555 | |||||||
CaixaBank SA | (2,790,347 | ) | (8,394,519 | ) | 2,244,671 | |||||||
Cellnex Telecom SAU | (189,643 | ) | (3,295,301 | ) | 319,318 | |||||||
Distribuidora Internacional de Alimentacion SA | (213,223 | ) | (1,228,341 | ) | (16,219 | ) | ||||||
Gas Natural SDG SA | (42,080 | ) | (793,345 | ) | (43,106 | ) | ||||||
Grifols SA | (10,889 | ) | (230,055 | ) | (17,304 | ) | ||||||
Mapfre SA | (88,221 | ) | (196,155 | ) | 2,407 | |||||||
Tecnicas Reunidas SA | (18,947 | ) | (560,942 | ) | (6,936 | ) | ||||||
Telefonica SA | (329,973 | ) | (3,511,555 | ) | 378,853 | |||||||
Zardoya Otis SA | (80,758 | ) | (852,557 | ) | 89,935 | |||||||
|
| |||||||||||
4,076,949 | ||||||||||||
|
| |||||||||||
Switzerland | ||||||||||||
STMicroelectronics NV | (300,961 | ) | (1,837,027 | ) | 69,598 | |||||||
|
| |||||||||||
United Kingdom | ||||||||||||
CNH Industrial NV | (732,740 | ) | (4,340,532 | ) | (974,511 | ) | ||||||
RELX NV | (65,853 | ) | (1,101,036 | ) | (38,263 | ) | ||||||
Unilever NV | (24,481 | ) | (1,071,103 | ) | (72,223 | ) | ||||||
|
| |||||||||||
(1,084,997 | ) | |||||||||||
|
| |||||||||||
Total of Short Common Stocks | 4,547,765 | |||||||||||
|
| |||||||||||
Preferred Stocks | ||||||||||||
Germany | ||||||||||||
FUCHS PETROLUB SE | (56,721 | ) | (2,373,081 | ) | 141,624 | |||||||
Henkel AG & Co. KGaA | (20,946 | ) | (2,260,916 | ) | (298,906 | ) | ||||||
Schaeffler AG | (13,229 | ) | (202,271 | ) | 27,536 | |||||||
Volkswagen AG | (45,487 | ) | (6,019,796 | ) | 510,395 | |||||||
|
| |||||||||||
380,649 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 4,928,414 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions and Rights | 540,420 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 865,501 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 1,405,921 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
162
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | 56-61 months maturity 01/14/2021 | $620,483 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Switzerland | ||||||||||||
Actelion Ltd. | 8,002 | $ | 1,264,320 | $ | 83,197 | |||||||
Adecco Group AG | 80,090 | 4,952,957 | (913,371 | ) | ||||||||
Baloise Holding AG | 19,000 | 2,377,295 | (261,068 | ) | ||||||||
Clariant AG | 64,176 | 1,083,997 | 537 | |||||||||
DKSH Holding AG | 6,122 | 379,877 | 21,162 | |||||||||
Flughafen Zurich AG | 23,431 | 3,471,814 | 674,793 | |||||||||
Galenica AG | 1,398 | 1,952,750 | (68,135 | ) | ||||||||
GAM Holding AG | 104,275 | 1,480,529 | (367,355 | ) | ||||||||
Geberit AG | 2,369 | 810,635 | 86,654 | |||||||||
Georg Fischer AG | 1,735 | 1,241,150 | 145,824 | |||||||||
Givaudan SA | 1,303 | 2,370,930 | 252,692 | |||||||||
Helvetia Holding AG | 2,615 | 1,428,794 | (68,344 | ) | ||||||||
Lonza Group AG | 66,499 | 10,130,375 | 915,893 | |||||||||
OC Oerlikon Corp. AG | 280,077 | 2,401,021 | 58,046 | |||||||||
Partners Group Holding AG | 7,280 | 2,662,085 | 457,872 | |||||||||
Schindler Holding AG | 2,154 | 339,826 | 50,152 | |||||||||
Sika AG | 762 | 2,740,831 | 454,282 | |||||||||
Straumann Holding AG | 6,410 | 1,897,775 | 631,026 | |||||||||
Sunrise Communications Group AG | 8,668 | 510,492 | 43,722 | |||||||||
Swiss Life Holding AG | 48,977 | 13,003,321 | (1,684,841 | ) | ||||||||
Swiss Re AG | 68,058 | 6,464,949 | (520,735 | ) | ||||||||
UBS Group AG | 347,476 | 5,899,801 | (1,391,093 | ) | ||||||||
Zurich Insurance Group AG | 11,101 | 2,594,297 | 151,899 | |||||||||
|
| |||||||||||
(1,247,191 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (1,247,191 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Austria | ||||||||||||
ams AG | (110,517 | ) | (3,205,502 | ) | 137,277 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Aryzta AG | (1,961 | ) | (74,754 | ) | 2,283 | |||||||
Barry Callebaut AG | (2,423 | ) | (2,656,166 | ) | (327,154 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Switzerland (continued) | ||||||||||||
Chocoladefabriken Lindt & Spruengli AG | (322 | ) | $ | (1,931,449 | ) | $ | 11,002 | |||||
Cie Financiere Richemont SA | (147,496 | ) | (9,542,875 | ) | 909,240 | |||||||
Credit Suisse Group AG | (707,598 | ) | (9,575,675 | ) | 2,038,044 | |||||||
Dufry AG | (10,784 | ) | (1,154,023 | ) | (135,777 | ) | ||||||
EMS-Chemie Holding AG | (1,807 | ) | (792,800 | ) | (140,168 | ) | ||||||
Julius Baer Group Ltd. | (70,999 | ) | (3,032,074 | ) | 174,484 | |||||||
Kuehne + Nagel International AG | (19,060 | ) | (2,563,509 | ) | (106,981 | ) | ||||||
LafargeHolcim Ltd. | (150,588 | ) | (6,572,351 | ) | 272,121 | |||||||
Nestle SA | (48,316 | ) | (3,602,488 | ) | (140,955 | ) | ||||||
Novartis AG | (17,933 | ) | (1,265,111 | ) | (215,053 | ) | ||||||
Roche Holding AG | (6,465 | ) | (1,701,244 | ) | (4,739 | ) | ||||||
SGS SA | (2,967 | ) | (5,750,513 | ) | (1,046,146 | ) | ||||||
Sonova Holding AG | (22,919 | ) | (2,827,449 | ) | (214,479 | ) | ||||||
Swatch Group AG (The) | (23,956 | ) | (7,906,638 | ) | 935,398 | |||||||
Swisscom AG | (2,476 | ) | (1,207,954 | ) | (22,137 | ) | ||||||
Syngenta AG | (109 | ) | (41,986 | ) | 146 | |||||||
|
| |||||||||||
1,989,129 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 2,126,406 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 879,215 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (258,732 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 620,483 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
163
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Copenhagen Interbank Rate plus or minus a specified spread, which is denominated in DKK based on the local currencies of the positions within the swap. | 56-61 months maturity 01/14/2021 | $253,527 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Denmark | ||||||||||||
AP Moeller - Maersk A/S | 133 | $ | 154,714 | $ | 19,004 | |||||||
Danske Bank A/S | 193,549 | 5,129,439 | (35,156 | ) | ||||||||
DSV A/S | 126,048 | 4,745,109 | 554,975 | |||||||||
Genmab A/S | 4,289 | 710,991 | 71,096 | |||||||||
H Lundbeck A/S | 48,697 | 1,611,387 | 214,134 | |||||||||
ISS A/S | 97,485 | 3,376,109 | 290,333 | |||||||||
Jyske Bank A/S | 35,046 | 1,461,028 | (130,605 | ) | ||||||||
Novo Nordisk A/S | 41,640 | 2,265,970 | (23,535 | ) | ||||||||
Pandora A/S | 14,945 | 1,914,628 | 120,873 | |||||||||
TDC A/S | 892,601 | 4,383,836 | (9,670 | ) | ||||||||
Vestas Wind Systems A/S | 42,435 | 2,711,363 | 172,921 | |||||||||
|
| |||||||||||
1,244,370 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 1,244,370 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Denmark | ||||||||||||
Carlsberg A/S | (19,953 | ) | (1,580,033 | ) | (323,643 | ) | ||||||
Chr Hansen Holding A/S | (48,196 | ) | (2,947,000 | ) | (218,287 | ) | ||||||
Coloplast A/S | (8,885 | ) | (708,019 | ) | 42,935 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Denmark (continued) | ||||||||||||
GN Store Nord A/S | (3,265 | ) | $ | (64,389 | ) | $ | 5,409 | |||||
Novozymes A/S | (96,513 | ) | (4,209,983 | ) | (424,657 | ) | ||||||
Topdanmark A/S | (26,193 | ) | (663,049 | ) | 38,809 | |||||||
Tryg A/S | (116,821 | ) | (2,146,236 | ) | 54,614 | |||||||
William Demant Holding A/S | (133,701 | ) | (2,428,484 | ) | (174,111 | ) | ||||||
|
| |||||||||||
(998,931) | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | (998,931 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 245,439 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 8,088 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 253,527 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
164
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 55-61 months maturity 01/14/2021 | $(15,825,662 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
Ajinomoto Co., Inc. | 387,700 | $ | 9,610,802 | $ | (476,216 | ) | ||||||
Alfresa Holdings Corp. | 197,200 | 4,119,609 | 312 | |||||||||
Amada Holdings Co. Ltd. | 519,200 | 5,547,921 | (276,934 | ) | ||||||||
Aozora Bank Ltd. | 267,000 | 1,045,045 | (118,825 | ) | ||||||||
Asahi Glass Co. Ltd. | 35,000 | 223,384 | (33,443 | ) | ||||||||
Astellas Pharma, Inc. | 294,800 | 4,479,603 | 143,552 | |||||||||
Bandai Namco Holdings, Inc. | 480,100 | 11,822,336 | 567,373 | |||||||||
Bank of Kyoto Ltd. (The) | 11,000 | 89,037 | (21,567 | ) | ||||||||
Benesse Holdings, Inc. | 16,600 | 519,121 | (129,423 | ) | ||||||||
Bridgestone Corp. | 54,100 | 2,139,639 | (401,030 | ) | ||||||||
Chiba Bank Ltd. (The) | 14,000 | 101,206 | (35,045 | ) | ||||||||
Chiyoda Corp. | 271,000 | 2,137,484 | (345,332 | ) | ||||||||
Chubu Electric Power Co., Inc. | 413,700 | 6,046,154 | (158,779 | ) | ||||||||
Chugoku Bank Ltd. (The) | 92,500 | 1,246,083 | (302,278 | ) | ||||||||
Citizen Holdings Co. Ltd. | 298,300 | 1,778,968 | (327,075 | ) | ||||||||
Concordia Financial Group Ltd. | 852,600 | 4,960,946 | (1,668,283 | ) | ||||||||
Dai Nippon Printing Co. Ltd. | 172,000 | 1,783,600 | 133,328 | |||||||||
Daicel Corp. | 308,700 | 4,700,072 | (1,501,301 | ) | ||||||||
Don Quijote Holdings Co. Ltd. | 86,300 | 3,257,272 | (50,128 | ) | ||||||||
East Japan Railway Co. | 35,400 | 3,648,862 | (368,226 | ) | ||||||||
Eisai Co. Ltd. | 4,500 | 262,563 | (11,301 | ) | ||||||||
Ezaki Glico Co. Ltd. | 16,000 | 959,130 | (23,133 | ) | ||||||||
FamilyMart Co. Ltd. | 7,700 | 428,406 | 40,842 | |||||||||
Fuji Electric Co. Ltd. | 700,000 | 3,015,159 | (100,686 | ) | ||||||||
Fuji Heavy Industries Ltd. | 199,800 | 8,335,132 | (1,467,329 | ) | ||||||||
FUJIFILM Holdings Corp. | 141,900 | 6,198,930 | (693,149 | ) | ||||||||
Fujitsu Ltd. | 541,000 | 2,765,724 | (776,295 | ) | ||||||||
Fukuoka Financial Group, Inc. | 1,263,000 | 6,208,760 | (2,044,333 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
GungHo Online Entertainment, Inc. | 542,100 | $ | 1,587,316 | $ | (118,420 | ) | ||||||
Gunma Bank Ltd. (The) | 252,000 | 1,424,356 | (509,224 | ) | ||||||||
Hachijuni Bank Ltd. (The) | 174,700 | 1,101,400 | (340,534 | ) | ||||||||
Hakuhodo DY Holdings, Inc. | 103,000 | 1,255,466 | (20,927 | ) | ||||||||
Hankyu Hanshin Holdings, Inc. | 89,000 | 624,422 | 39,211 | |||||||||
Haseko Corp. | 130,000 | 1,472,547 | (163,732 | ) | ||||||||
Hikari Tsushin, Inc. | 15,900 | 1,229,799 | 102,199 | |||||||||
Hirose Electric Co. Ltd. | 14,300 | 1,821,971 | (63,558 | ) | ||||||||
Hiroshima Bank Ltd. (The) | 184,000 | 820,989 | (206,178 | ) | ||||||||
Hisamitsu Pharmaceutical Co., Inc. | 35,900 | 1,918,075 | 151,970 | |||||||||
Hitachi Chemical Co. Ltd. | 176,700 | 3,376,229 | (76,109 | ) | ||||||||
Hitachi High-Technologies Corp. | 229,800 | 6,841,579 | (552,463 | ) | ||||||||
Hitachi Metals Ltd. | 254,500 | 3,115,496 | (529,987 | ) | ||||||||
Hokuhoku Financial Group, Inc. | 1,068,000 | 2,080,866 | (864,487 | ) | ||||||||
Hoshizaki Electric Co. Ltd. | 13,200 | 1,065,257 | 226,945 | |||||||||
Hoya Corp. | 195,900 | 8,523,251 | (1,526,488 | ) | ||||||||
Ibiden Co. Ltd. | 76,100 | 1,137,092 | (276,671 | ) | ||||||||
Idemitsu Kosan Co. Ltd. | 33,500 | 739,946 | (12,658 | ) | ||||||||
Isetan Mitsukoshi Holdings Ltd. | 134,800 | 1,744,364 | (544,536 | ) | ||||||||
Isuzu Motors Ltd. | 149,000 | 1,670,047 | 165,183 | |||||||||
ITOCHU Corp. | 60,300 | 780,447 | (42,784 | ) | ||||||||
Izumi Co. Ltd. | 9,500 | 396,736 | (26,649 | ) | ||||||||
J Front Retailing Co. Ltd. | 288,900 | 4,299,414 | (1,303,995 | ) | ||||||||
Japan Airlines Co. Ltd. | 360,000 | 14,956,246 | (3,374,104 | ) | ||||||||
Japan Petroleum Exploration Co. Ltd. | 23,100 | 616,360 | (150,732 | ) | ||||||||
Japan Tobacco, Inc. | 120,900 | 5,271,769 | (399,233 | ) | ||||||||
JSR Corp. | 27,000 | 433,813 | (76,249 | ) | ||||||||
JTEKT Corp. | 407,800 | 6,663,643 | (2,041,443 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
165
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Kajima Corp. | 965,000 | $ | 6,145,454 | $ | 558,140 | |||||||
Kaken Pharmaceutical Co. Ltd. | 60,600 | 4,239,051 | (265,990 | ) | ||||||||
Kamigumi Co. Ltd. | 241,000 | 2,337,708 | (110,189 | ) | ||||||||
Kaneka Corp. | 409,000 | 3,851,104 | (1,122,151 | ) | ||||||||
Kansai Electric Power Co., Inc. (The) | 72,500 | 807,487 | (101,391 | ) | ||||||||
Kao Corp. | 54,500 | 3,019,906 | 154,291 | |||||||||
Keisei Electric Railway Co. Ltd. | 81,000 | 1,196,936 | (152,864 | ) | ||||||||
Koito Manufacturing Co. Ltd. | 43,600 | 1,960,575 | 46,963 | |||||||||
Komatsu Ltd. | 80,900 | 1,450,194 | (44,825 | ) | ||||||||
Konami Holdings Corp. | 257,000 | 7,629,955 | 2,174,555 | |||||||||
Konica Minolta, Inc. | 599,400 | 6,057,316 | (1,690,949 | ) | ||||||||
Kose Corp. | 33,100 | 3,265,119 | (460,232 | ) | ||||||||
Kurita Water Industries Ltd. | 48,400 | 1,170,941 | (92,020 | ) | ||||||||
Kyocera Corp. | 33,700 | 1,674,968 | (71,427 | ) | ||||||||
Kyowa Hakko Kirin Co. Ltd. | 500 | 9,796 | (1,268 | ) | ||||||||
Kyushu Financial Group, Inc. | 54,000 | 311,729 | (44,071 | ) | ||||||||
Mabuchi Motor Co. Ltd. | 20,700 | 1,061,687 | (184,944 | ) | ||||||||
Mazda Motor Corp. | 89,300 | 1,604,483 | (422,750 | ) | ||||||||
Medipal Holdings Corp. | 295,200 | 5,357,100 | (503,767 | ) | ||||||||
MEIJI Holdings Co. Ltd. | 114,200 | 10,398,256 | 1,336,404 | |||||||||
Miraca Holdings, Inc. | 40,300 | 1,943,111 | (195,377 | ) | ||||||||
Mitsubishi Chemical Holdings Corp. | 956,100 | 5,663,348 | (1,280,595 | ) | ||||||||
Mitsubishi Corp. | 120,400 | 2,198,870 | (78,947 | ) | ||||||||
Mitsubishi Electric Corp. | 303,000 | 3,267,094 | 350,228 | |||||||||
Mitsubishi Gas Chemical Co., Inc. | 207,000 | 1,182,488 | (102,586 | ) | ||||||||
Mitsubishi Motors Corp. | 1,040,800 | 6,679,808 | (1,875,127 | ) | ||||||||
Mitsubishi Tanabe Pharma Corp. | 312,400 | 5,935,950 | (291,448 | ) | ||||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 301,700 | 1,559,515 | (400,211 | ) | ||||||||
Mitsui & Co. Ltd. | 94,500 | 1,187,248 | (59,185 | ) | ||||||||
Mitsui Chemicals, Inc. | 1,661,000 | 6,094,714 | 9,067 | |||||||||
Mixi, Inc. | 33,800 | 1,360,484 | 36,989 | |||||||||
MS&AD Insurance Group Holdings, Inc. | 161,700 | 4,845,020 | (655,353 | ) | ||||||||
Nankai Electric Railway Co. Ltd. | 165,000 | 991,930 | (61,527 | ) | ||||||||
Nexon Co. Ltd. | 574,000 | 9,932,997 | (1,437,773 | ) | ||||||||
NHK Spring Co. Ltd. | 514,000 | 5,402,190 | (1,230,629 | ) | ||||||||
Nintendo Co. Ltd. | 20,200 | 3,008,555 | (105,831 | ) | ||||||||
Nippon Express Co. Ltd. | 1,195,000 | 5,961,950 | (501,140 | ) | ||||||||
Nippon Shokubai Co. Ltd. | 77,400 | 5,111,105 | (659,340 | ) | ||||||||
Nippon Telegraph & Telephone Corp. | 149,800 | 7,002,684 | 22,175 | |||||||||
Nippon Yusen KK | 1,241,000 | 2,782,988 | (599,776 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Nisshin Seifun Group, Inc. | 154,000 | $ | 2,712,895 | $ | (237,363 | ) | ||||||
Nitori Holdings Co. Ltd. | 12,400 | 1,281,450 | 222,472 | |||||||||
Nitto Denko Corp. | 65,900 | 4,319,263 | (138,949 | ) | ||||||||
NOK Corp. | 179,400 | 4,051,461 | (1,000,651 | ) | ||||||||
Nomura Holdings, Inc. | 32,900 | 195,405 | (78,394 | ) | ||||||||
NSK Ltd. | 186,900 | 2,060,810 | (692,714 | ) | ||||||||
NTN Corp. | 873,000 | 3,389,959 | (1,034,293 | ) | ||||||||
NTT Data Corp. | 4,300 | 210,346 | (7,263 | ) | ||||||||
Obayashi Corp. | 667,000 | 6,700,839 | 400,648 | |||||||||
Obic Co. Ltd. | 8,800 | 498,810 | (14,402 | ) | ||||||||
Oji Holdings Corp. | 4,000 | 15,805 | (449 | ) | ||||||||
Oracle Corp. Japan | 37,100 | 2,025,047 | (46,762 | ) | ||||||||
ORIX Corp. | 202,600 | 3,113,105 | (491,367 | ) | ||||||||
Osaka Gas Co. Ltd. | 591,000 | 2,457,040 | (184,946 | ) | ||||||||
Otsuka Corp. | 80,200 | 4,632,857 | (882,597 | ) | ||||||||
Otsuka Holdings Co. Ltd. | 22,800 | 885,650 | 165,040 | |||||||||
Panasonic Corp. | 362,900 | 3,783,657 | (661,432 | ) | ||||||||
Pola Orbis Holdings, Inc. | 31,600 | 2,396,369 | 577,511 | |||||||||
Renesas Electronics Corp. | 121,800 | 861,530 | (164,879 | ) | ||||||||
Resona Holdings, Inc. | 1,420,900 | 7,090,815 | (1,897,550 | ) | ||||||||
Rohm Co. Ltd. | 65,500 | 3,274,629 | (689,338 | ) | ||||||||
Sankyo Co. Ltd. | 124,800 | 5,232,512 | (553,381 | ) | ||||||||
Sanrio Co. Ltd. | 20,100 | 469,119 | (111,232 | ) | ||||||||
Santen Pharmaceutical Co. Ltd. | 380,600 | 6,784,175 | (802,214 | ) | ||||||||
Secom Co. Ltd. | 39,800 | 3,170,676 | (228,150 | ) | ||||||||
Sega Sammy Holdings, Inc. | 98,700 | 1,048,178 | 14,831 | |||||||||
Seiko Epson Corp. | 39,000 | 672,429 | (47,195 | ) | ||||||||
Sekisui Chemical Co. Ltd. | 257,200 | 3,470,222 | (301,313 | ) | ||||||||
Seven & i Holdings Co. Ltd. | 85,200 | 4,184,882 | (612,607 | ) | ||||||||
Sharp Corp. | 99,000 | 124,694 | (17,488 | ) | ||||||||
Shimadzu Corp. | 321,000 | 5,427,635 | (601,951 | ) | ||||||||
Shimamura Co. Ltd. | 36,300 | 4,680,966 | 719,992 | |||||||||
Shimizu Corp. | 458,000 | 3,996,222 | 294,786 | |||||||||
Shin-Etsu Chemical Co. Ltd. | 17,600 | 1,049,318 | (18,160 | ) | ||||||||
Shionogi & Co. Ltd. | 151,700 | 7,989,025 | 303,818 | |||||||||
Shiseido Co. Ltd. | 42,600 | 1,040,776 | 69,285 | |||||||||
Sohgo Security Services Co. Ltd. | 4,600 | 255,376 | (27,975 | ) | ||||||||
Sojitz Corp. | 2,976,500 | 6,947,467 | 105,448 | |||||||||
Sompo Japan Nipponkoa Holdings, Inc. | 137,400 | 4,238,376 | (581,860 | ) | ||||||||
Sony Corp. | 72,800 | 1,969,383 | 175,449 | |||||||||
Sugi Holdings Co. Ltd. | 39,900 | 2,281,129 | (56,389 | ) | ||||||||
Sumitomo Chemical Co. Ltd. | 1,195,590 | 6,479,970 | (1,546,893 | ) | ||||||||
Sumitomo Corp. | 197,400 | 2,095,305 | (105,532 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
166
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Sumitomo Electric Industries Ltd. | 330,400 | $ | 4,818,586 | $ | (445,595 | ) | ||||||
Sumitomo Heavy Industries Ltd. | 994,000 | 4,702,033 | (335,493 | ) | ||||||||
Sundrug Co. Ltd. | 24,600 | 1,979,840 | 329,977 | |||||||||
Suntory Beverage & Food Ltd. | 22,600 | 1,070,313 | (47,638 | ) | ||||||||
Suzuken Co. Ltd. | 95,320 | 3,617,908 | (617,591 | ) | ||||||||
Suzuki Motor Corp. | 180,700 | 4,852,935 | 40,047 | |||||||||
Taisei Corp. | 726,000 | 5,051,152 | 914,171 | |||||||||
Takashimaya Co. Ltd. | 476,000 | 4,462,795 | (1,053,423 | ) | ||||||||
Takeda Pharmaceutical Co. Ltd. | 35,800 | 1,910,205 | (366,216 | ) | ||||||||
TDK Corp. | 90,200 | 5,996,608 | (947,546 | ) | ||||||||
Teijin Ltd. | 868,000 | 3,300,781 | (424,621 | ) | ||||||||
Toho Gas Co. Ltd. | 186,000 | 1,400,546 | 121,440 | |||||||||
Tohoku Electric Power Co., Inc. | 101,700 | 1,465,235 | (181,727 | ) | ||||||||
Tokio Marine Holdings, Inc. | 34,200 | 1,157,137 | (18,582 | ) | ||||||||
Tokyo Broadcasting System Holdings, Inc. | 29,900 | 487,581 | (83,151 | ) | ||||||||
Tokyo Electric Power Co. Holdings, Inc. | 497,200 | 2,909,018 | (803,357 | ) | ||||||||
Tokyo Gas Co. Ltd. | 77,000 | 381,834 | (63,919 | ) | ||||||||
Tokyu Corp. | 330,000 | 2,959,888 | (62,590 | ) | ||||||||
Toppan Printing Co. Ltd. | 427,000 | 4,088,259 | (416,602 | ) | ||||||||
Tosoh Corp. | 864,000 | 4,519,072 | (533,761 | ) | ||||||||
Toyo Seikan Group Holdings Ltd. | 136,700 | 2,763,303 | (151,232 | ) | ||||||||
Toyo Suisan Kaisha Ltd. | 93,300 | 3,634,539 | 149,994 | |||||||||
Toyoda Gosei Co. Ltd. | 103,200 | 2,379,562 | (541,638 | ) | ||||||||
Toyota Boshoku Corp. | 282,200 | 5,711,772 | 179,130 | |||||||||
Toyota Tsusho Corp. | 86,600 | 2,091,597 | (227,155 | ) | ||||||||
Trend Micro, Inc. | 24,300 | 1,046,690 | (177,626 | ) | ||||||||
USS Co. Ltd. | 286,300 | 4,775,791 | (44,229 | ) | ||||||||
West Japan Railway Co. | 108,800 | 7,924,402 | (1,029,386 | ) | ||||||||
Yamaguchi Financial Group, Inc. | 279,000 | 3,315,207 | (676,901 | ) | ||||||||
Yamaha Corp. | 93,400 | 2,478,969 | 38,479 | |||||||||
Yamazaki Baking Co. Ltd. | 327,000 | 7,826,586 | 1,302,491 | |||||||||
|
| |||||||||||
(50,055,887 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (50,055,887 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Japan | ||||||||||||
ABC-Mart, Inc. | (48,249 | ) | (3,007,982 | ) | (230,094 | ) | ||||||
Acom Co. Ltd. | (744,630 | ) | (3,798,176 | ) | 190,781 | |||||||
Advantest Corp. | (192,000 | ) | (1,822,168 | ) | (319,791 | ) | ||||||
Aeon Co. Ltd. | (437,000 | ) | (6,610,151 | ) | (174,959 | ) | ||||||
AEON Financial Service Co. Ltd. | (324,000 | ) | (7,570,980 | ) | 555,428 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Aisin Seiki Co. Ltd. | (34,200 | ) | $ | (1,414,307 | ) | $ | 21,228 | |||||
Alps Electric Co. Ltd. | (61,200 | ) | (1,343,563 | ) | 180,867 | |||||||
ANA Holdings, Inc. | (134,000 | ) | (425,337 | ) | 43,489 | |||||||
Asahi Group Holdings Ltd. | (400 | ) | (14,095 | ) | 1,161 | |||||||
Asahi Kasei Corp. | (561,000 | ) | (4,051,368 | ) | 147,350 | |||||||
Asics Corp. | (489,500 | ) | (10,370,534 | ) | 2,100,474 | |||||||
Brother Industries Ltd. | (166,100 | ) | (2,046,442 | ) | 264,799 | |||||||
Calbee, Inc. | (175,500 | ) | (7,429,212 | ) | 87,004 | |||||||
Canon, Inc. | (214,100 | ) | (6,485,640 | ) | 373,041 | |||||||
Casio Computer Co. Ltd. | (105,500 | ) | (2,177,171 | ) | 657,946 | |||||||
Central Japan Railway Co. | (18,500 | ) | (3,551,662 | ) | 261,186 | |||||||
Chugai Pharmaceutical Co. Ltd. | (167,400 | ) | (5,935,342 | ) | (30,496 | ) | ||||||
Chugoku Electric Power Co., Inc. (The) | (141,100 | ) | (2,052,652 | ) | 258,826 | |||||||
Credit Saison Co. Ltd. | (134,013 | ) | (2,707,458 | ) | 456,242 | |||||||
CYBERDYNE, Inc. | (16,900 | ) | (394,037 | ) | 13,104 | |||||||
Daido Steel Co. Ltd. | (111,000 | ) | (414,882 | ) | 34,696 | |||||||
Daihatsu Motor Co. Ltd. | (95,500 | ) | (1,480,448 | ) | 236,463 | |||||||
Dai-ichi Life Insurance Co. Ltd. (The) | (17,200 | ) | (231,663 | ) | 39,119 | |||||||
Daiichi Sankyo Co. Ltd. | (39,100 | ) | (876,314 | ) | (73,625 | ) | ||||||
Daikin Industries Ltd. | (19,500 | ) | (1,486,020 | ) | (152,853 | ) | ||||||
Daiwa Securities Group, Inc. | (398,000 | ) | (2,588,542 | ) | 491,731 | |||||||
DeNA Co. Ltd. | (291,900 | ) | (5,209,278 | ) | (1,619,288 | ) | ||||||
Denso Corp. | (87,700 | ) | (4,081,364 | ) | 995,611 | |||||||
Dentsu, Inc. | (100 | ) | (5,987 | ) | 1,299 | |||||||
Disco Corp. | (31,900 | ) | (3,156,907 | ) | 271,877 | |||||||
Electric Power Development Co. Ltd. | (61,300 | ) | (1,976,535 | ) | 548,351 | |||||||
FANUC Corp. | (23,700 | ) | (3,744,371 | ) | (110,985 | ) | ||||||
Fast Retailing Co. Ltd. | (15,600 | ) | (5,421,234 | ) | 1,232,939 | |||||||
Hamamatsu Photonics KK | (175,200 | ) | (5,047,211 | ) | 131,253 | |||||||
Hino Motors Ltd. | (163,500 | ) | (2,001,689 | ) | 373,236 | |||||||
Hitachi Capital Corp. | (5,500 | ) | (120,929 | ) | 11,770 | |||||||
Hitachi Construction Machinery Co. Ltd. | (109,595 | ) | (1,795,064 | ) | 195,411 | |||||||
Hitachi Ltd. | (850,000 | ) | (4,863,794 | ) | 1,302,417 | |||||||
Hokuriku Electric Power Co. | (56,600 | ) | (802,838 | ) | 101,499 | |||||||
Honda Motor Co. Ltd. | (103,000 | ) | (3,362,537 | ) | 778,755 | |||||||
IHI Corp. | (1,674,000 | ) | (4,175,681 | ) | (336,572 | ) | ||||||
Iida Group Holdings Co. Ltd. | (92,400 | ) | (1,899,088 | ) | 6,821 | |||||||
Inpex Corp. | (513,100 | ) | (4,829,953 | ) | 817,203 | |||||||
Itochu Techno-Solutions Corp. | (7,600 | ) | (177,058 | ) | 13,330 | |||||||
Iyo Bank Ltd. (The) | (132,700 | ) | (976,495 | ) | 163,752 | |||||||
Japan Airport Terminal Co. Ltd. | (51,700 | ) | (2,134,407 | ) | 258,666 | |||||||
Japan Display, Inc. | (1,082,500 | ) | (2,674,628 | ) | 913,598 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
167
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Japan Post Bank Co. Ltd. | (236,600 | ) | $ | (3,066,422 | ) | $ | 284,327 | |||||
Japan Post Holdings Co. Ltd. | (39,100 | ) | (540,533 | ) | 64,866 | |||||||
JFE Holdings, Inc. | (426,400 | ) | (5,969,214 | ) | 406,741 | |||||||
JGC Corp. | (14,000 | ) | (223,897 | ) | 23,479 | |||||||
JX Holdings, Inc. | (454,800 | ) | (1,902,483 | ) | 127,253 | |||||||
Kakaku.com, Inc. | (552,800 | ) | (11,398,088 | ) | 414,126 | |||||||
Kansai Paint Co. Ltd. | (267,300 | ) | (4,546,063 | ) | (850,637 | ) | ||||||
Kawasaki Heavy Industries Ltd. | (973,000 | ) | (3,002,753 | ) | 259,240 | |||||||
KDDI Corp. | (174,000 | ) | (5,051,327 | ) | (239,967 | ) | ||||||
Keikyu Corp. | (312,000 | ) | (2,969,086 | ) | (170,599 | ) | ||||||
Keio Corp. | (36,000 | ) | (357,752 | ) | 18,169 | |||||||
Kewpie Corp. | (85,500 | ) | (2,299,527 | ) | (427,648 | ) | ||||||
Keyence Corp. | (7,200 | ) | (4,522,007 | ) | (390,758 | ) | ||||||
Kikkoman Corp. | (190,000 | ) | (6,845,754 | ) | (165,245 | ) | ||||||
Kintetsu Group Holdings Co. Ltd. | (643,000 | ) | (2,925,692 | ) | 174,012 | |||||||
Kirin Holdings Co. Ltd. | (58,700 | ) | (955,664 | ) | (34,380 | ) | ||||||
Kobayashi Pharmaceutical Co. Ltd. | (1,800 | ) | (77,136 | ) | (2,796 | ) | ||||||
Kobe Steel Ltd. | (4,787,000 | ) | (4,259,887 | ) | 325,573 | |||||||
Kubota Corp. | (399,600 | ) | (6,391,705 | ) | 986,984 | |||||||
Kuraray Co. Ltd. | (243,300 | ) | (3,296,515 | ) | 393,585 | |||||||
Kyushu Electric Power Co., Inc. | (871,200 | ) | (10,315,426 | ) | 1,577,806 | |||||||
Lawson, Inc. | (7,600 | ) | (636,342 | ) | 29,598 | |||||||
LIXIL Group Corp. | (111,100 | ) | (2,638,768 | ) | 814,300 | |||||||
M3, Inc. | (415,300 | ) | (9,815,283 | ) | (4,678,681 | ) | ||||||
Makita Corp. | (69,300 | ) | (4,384,600 | ) | (216,717 | ) | ||||||
Marubeni Corp. | (332,500 | ) | (1,792,989 | ) | 290,843 | |||||||
Marui Group Co. Ltd. | (336,300 | ) | (5,503,609 | ) | 976,374 | |||||||
Maruichi Steel Tube Ltd. | (26,200 | ) | (853,835 | ) | (61,861 | ) | ||||||
Minebea Co. Ltd. | (910,500 | ) | (7,975,402 | ) | 1,789,548 | |||||||
MISUMI Group, Inc. | (239,300 | ) | (3,531,378 | ) | (789,115 | ) | ||||||
Mitsubishi Heavy Industries Ltd. | (733,000 | ) | (3,119,182 | ) | 171,627 | |||||||
Mitsubishi Logistics Corp. | (194,000 | ) | (2,802,212 | ) | 88,089 | |||||||
Mitsubishi Materials Corp. | (238,000 | ) | (709,144 | ) | 139,287 | |||||||
Mitsubishi UFJ Financial Group, Inc. | (652,400 | ) | (3,193,505 | ) | 268,891 | |||||||
Mitsui OSK Lines Ltd. | (1,775,000 | ) | (4,287,387 | ) | 512,841 | |||||||
Mizuho Financial Group, Inc. | (452,000 | ) | (925,681 | ) | 275,227 | |||||||
Murata Manufacturing Co. Ltd. | (21,200 | ) | (2,701,599 | ) | 324,768 | |||||||
Nabtesco Corp. | (99,700 | ) | (2,323,254 | ) | (55,604 | ) | ||||||
Nagoya Railroad Co. Ltd. | (182,000 | ) | (977,835 | ) | (47,632 | ) | ||||||
NGK Insulators Ltd. | (113,000 | ) | (2,580,943 | ) | 296,393 | |||||||
NGK Spark Plug Co. Ltd. | (447,500 | ) | (10,385,404 | ) | 3,630,489 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
NH Foods Ltd. | (59,000 | ) | $ | (1,400,962 | ) | $ | (44,184 | ) | ||||
Nidec Corp. | (102,900 | ) | (7,741,962 | ) | (91,097 | ) | ||||||
Nikon Corp. | (28,495 | ) | (469,351 | ) | 83,534 | |||||||
Nippon Electric Glass Co. Ltd. | (119,000 | ) | (570,100 | ) | 73,335 | |||||||
Nippon Paint Holdings Co. Ltd. | (435,500 | ) | (9,964,303 | ) | (802,033 | ) | ||||||
Nippon Steel & Sumitomo Metal Corp. | (279,600 | ) | (5,699,393 | ) | 286,439 | |||||||
Nissan Chemical Industries Ltd. | (90,000 | ) | (2,431,899 | ) | (194,057 | ) | ||||||
Nissan Motor Co. Ltd. | (679,500 | ) | (7,177,059 | ) | 1,112,984 | |||||||
Nissin Foods Holdings Co. Ltd. | (28,000 | ) | (1,550,463 | ) | 21,356 | |||||||
Nomura Research Institute Ltd. | (6,400 | ) | (254,448 | ) | 19,727 | |||||||
Odakyu Electric Railway Co. Ltd. | (358,000 | ) | (4,255,935 | ) | 58,048 | |||||||
Olympus Corp. | (39,300 | ) | (1,661,116 | ) | 193,591 | |||||||
Omron Corp. | (137,300 | ) | (4,364,075 | ) | (117,503 | ) | ||||||
Ono Pharmaceutical Co. Ltd. | (81,425 | ) | (3,255,203 | ) | (291,757 | ) | ||||||
Oriental Land Co. Ltd. | (35,900 | ) | (2,583,956 | ) | 259,453 | |||||||
Park24 Co. Ltd. | (33,900 | ) | (1,041,696 | ) | (123,257 | ) | ||||||
Pigeon Corp. | (178,200 | ) | (4,636,583 | ) | (690,610 | ) | ||||||
Rakuten, Inc. | (624,400 | ) | (7,264,327 | ) | 487,503 | |||||||
Recruit Holdings Co. Ltd. | (76,000 | ) | (2,724,882 | ) | (51,711 | ) | ||||||
Ricoh Co. Ltd. | (951,600 | ) | (10,396,748 | ) | 2,147,817 | |||||||
Rinnai Corp. | (29,800 | ) | (3,032,879 | ) | 399,661 | |||||||
Ryohin Keikaku Co. Ltd. | (15,400 | ) | (3,584,680 | ) | (168,264 | ) | ||||||
Seibu Holdings, Inc. | (291,400 | ) | (6,164,369 | ) | 1,228,844 | |||||||
Sekisui House Ltd. | (149,200 | ) | (2,758,446 | ) | 145,643 | |||||||
Seven Bank Ltd. | (510,200 | ) | (2,352,437 | ) | 768,821 | |||||||
Shikoku Electric Power Co., Inc. | (346,673 | ) | (5,619,392 | ) | 1,512,916 | |||||||
Shimano, Inc. | (31,600 | ) | (5,178,466 | ) | 346,902 | |||||||
Shinsei Bank Ltd. | (3,695,000 | ) | (6,702,221 | ) | 1,318,672 | |||||||
Shizuoka Bank Ltd. (The) | (139,000 | ) | (1,154,790 | ) | 175,866 | |||||||
SMC Corp. | (1,800 | ) | (458,378 | ) | 15,531 | |||||||
SoftBank Group Corp. | (6,800 | ) | (335,237 | ) | (49,317 | ) | ||||||
Sony Financial Holdings, Inc. | (360,800 | ) | (5,186,896 | ) | 1,107,376 | |||||||
Stanley Electric Co. Ltd. | (88,200 | ) | (2,157,995 | ) | 274,370 | |||||||
Sumco Corp. | (466,700 | ) | (3,565,255 | ) | 575,447 | |||||||
Sumitomo Dainippon Pharma Co. Ltd. | (77,600 | ) | (994,160 | ) | (350,867 | ) | ||||||
Sumitomo Metal Mining Co. Ltd. | (389,000 | ) | (4,579,293 | ) | 622,235 | |||||||
Sumitomo Mitsui Financial Group, Inc. | (59,500 | ) | (2,233,671 | ) | 515,605 | |||||||
Sumitomo Mitsui Trust Holdings, Inc. | (22,000 | ) | (85,159 | ) | 13,575 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
168
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Sumitomo Rubber Industries Ltd. | (98,400 | ) | $ | (1,480,501 | ) | $ | 163,131 | |||||
Suruga Bank Ltd. | (100,000 | ) | (2,125,537 | ) | (134,378 | ) | ||||||
Sysmex Corp. | (38,200 | ) | (2,686,649 | ) | 56,255 | |||||||
T&D Holdings, Inc. | (246,900 | ) | (2,468,000 | ) | 371,318 | |||||||
Taiheiyo Cement Corp. | (265,000 | ) | (682,347 | ) | 54,677 | |||||||
Taisho Pharmaceutical Holdings Co. Ltd. | (12,400 | ) | (1,071,506 | ) | (233,346 | ) | ||||||
Taiyo Nippon Sanso Corp. | (524,916 | ) | (5,203,887 | ) | 379,392 | |||||||
Terumo Corp. | (17,300 | ) | (616,775 | ) | (121,508 | ) | ||||||
THK Co. Ltd. | (90,900 | ) | (1,810,471 | ) | 261,134 | |||||||
Tobu Railway Co. Ltd. | (148,000 | ) | (801,205 | ) | (11,097 | ) | ||||||
Toho Co. Ltd. | (23,100 | ) | (664,806 | ) | 25,136 | |||||||
Toray Industries, Inc. | (486,000 | ) | (4,736,569 | ) | 589,581 | |||||||
TOTO Ltd. | (52,300 | ) | (1,890,948 | ) | (198,919 | ) | ||||||
Toyota Industries Corp. | (50,300 | ) | (2,375,781 | ) | 375,859 | |||||||
Toyota Motor Corp. | (110,600 | ) | (7,153,310 | ) | 1,700,892 | |||||||
Tsuruha Holdings, Inc. | (10,000 | ) | (1,117,392 | ) | (93,494 | ) | ||||||
Unicharm Corp. | (267,000 | ) | (5,679,878 | ) | (318,965 | ) | ||||||
Yahoo Japan Corp. | (3,327,900 | ) | (14,588,837 | ) | (168,276 | ) | ||||||
Yakult Honsha Co. Ltd. | (129,968 | ) | (6,645,456 | ) | (109,392 | ) | ||||||
Yamada Denki Co. Ltd. | (1,359,970 | ) | (7,308,667 | ) | 129,627 | |||||||
Yamaha Motor Co. Ltd. | (582,700 | ) | (11,163,921 | ) | 2,275,000 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Japan (continued) | ||||||||||||
Yamato Holdings Co. Ltd. | (240,100 | ) | $ | (5,532,961 | ) | $ | 20,026 | |||||
Yaskawa Electric Corp. | (733,900 | ) | (10,092,333 | ) | 510,226 | |||||||
Yokogawa Electric Corp. | (72,400 | ) | (871,566 | ) | 55,104 | |||||||
Yokohama Rubber Co. Ltd. (The) | (220,900 | ) | (3,617,798 | ) | 847,268 | |||||||
|
| |||||||||||
35,232,701 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 35,232,701 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (14,823,186 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (1,002,476 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (15,825,662 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Norway Interbank Offered Rate plus or minus a specified spread, which is denominated in NOK based on the local currencies of the positions within the swap. | 55-61 months maturity 01/14/2021 | $364,802 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Norway | ||||||||||||
DNB ASA | 45,225 | $ | 518,181 | $ | 23,153 | |||||||
Gjensidige Forsikring ASA | 14,279 | 233,549 | 4,352 | |||||||||
Norsk Hydro ASA | 285,153 | 1,178,302 | (134,405 | ) | ||||||||
Orkla ASA | 260,463 | 2,065,651 | 250,791 | |||||||||
Telenor ASA | 17,493 | 273,369 | 16,193 | |||||||||
Yara International ASA | 29,054 | 1,129,779 | (206,826 | ) | ||||||||
|
| |||||||||||
(46,742 | ) | |||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom | ||||||||||||
Subsea 7 SA | 300,586 | $ | 1,902,031 | $ | 1,052,576 | |||||||
|
| |||||||||||
Total of Long Equity Positions | 1,005,834 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Norway | ||||||||||||
Marine Harvest ASA | (111,352 | ) | (1,588,435 | ) | (289,768 | ) | ||||||
Schibsted ASA, Class A | (122,432 | ) | (3,727,498 | ) | 57,494 | |||||||
Schibsted ASA, Class B | (11,425 | ) | (347,721 | ) | 20,851 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
169
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Norway (continued) | ||||||||||||
Statoil ASA | (91,041 | ) | $ | (1,291,237 | ) | $ | (281,811 | ) | ||||
TGS Nopec Geophysical Co. ASA | (36,971 | ) | (498,249 | ) | (105,843 | ) | ||||||
|
| |||||||||||
(599,077 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (599,077 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 406,757 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (41,955 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 364,802 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 55-61 months maturity 01/14/2021 | $(15,199,543 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
Accenture plc | 3,368 | $ | 314,302 | $ | 67,259 | |||||||
Alkermes plc | 73,400 | 2,133,004 | 1,039,344 | |||||||||
Endo International plc | 161,028 | 2,690,402 | (179,975 | ) | ||||||||
XL Group plc | 50,343 | 1,749,923 | (72,997 | ) | ||||||||
|
| |||||||||||
853,631 | ||||||||||||
|
| |||||||||||
Singapore | ||||||||||||
Flextronics International Ltd. | 1,136,069 | 11,292,526 | 2,113,088 | |||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Allied World Assurance Co. Holdings AG | 187,318 | 6,004,832 | 577,523 | |||||||||
TE Connectivity Ltd. | 114,553 | 5,987,685 | 554,437 | |||||||||
|
| |||||||||||
1,131,960 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Ensco plc | 386,163 | 4,016,132 | (266,489 | ) | ||||||||
Liberty Global plc | 99,374 | 3,396,175 | (508,366 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Liberty Global plc LiLAC | 12,398 | $ | — | $ | 399,959 | |||||||
LivaNova plc | 13,112 | 652,975 | 5,641 | |||||||||
Michael Kors Holdings Ltd. | 24,184 | 1,331,180 | (134,556 | ) | ||||||||
Willis Towers Watson plc | 6,098 | 743,668 | 14,374 | |||||||||
|
| |||||||||||
(489,437 | ) | |||||||||||
|
| |||||||||||
United States | ||||||||||||
3M Co. | 29,971 | 4,814,737 | 433,784 | |||||||||
Aaron’s, Inc. | 85,168 | 1,915,456 | (51,128 | ) | ||||||||
Abbott Laboratories | 47,560 | 1,759,720 | 109,864 | |||||||||
Abercrombie & Fitch Co. | 377,309 | 9,803,597 | (3,083,724 | ) | ||||||||
Activision Blizzard, Inc. | 32,302 | 1,002,793 | 277,335 | |||||||||
Acxiom Corp. | 19,567 | 413,984 | 16,294 | |||||||||
Adobe Systems, Inc. | 97,414 | 8,281,456 | 1,049,831 | |||||||||
Advance Auto Parts, Inc. | 6,518 | 922,297 | 131,207 | |||||||||
Advanced Micro Devices, Inc. | 142,464 | 630,147 | 102,118 | |||||||||
AECOM | 16,855 | 509,642 | 25,842 | |||||||||
Aetna, Inc. | 101,915 | 9,906,138 | 2,540,741 | |||||||||
Aflac, Inc. | 167,464 | 10,498,343 | 1,585,859 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
170
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
AGCO Corp. | 154,023 | $ | 7,269,265 | $ | (10,161 | ) | ||||||
Agilent Technologies, Inc. | 223,813 | 7,940,478 | 1,987,867 | |||||||||
Agios Pharmaceuticals, Inc. | 2,015 | 100,839 | (16,421 | ) | ||||||||
Air Products & Chemicals, Inc. | 35,657 | 4,723,126 | 341,594 | |||||||||
Akamai Technologies, Inc. | 42,139 | 1,667,440 | 689,394 | |||||||||
Alleghany Corp. | 12,567 | 5,888,570 | 1,018,002 | |||||||||
Allegheny Technologies, Inc. | 47,159 | 762,781 | (161,504 | ) | ||||||||
Alliant Energy Corp. | 187,810 | 6,418,518 | 1,037,539 | |||||||||
Allison Transmission Holdings, Inc. | 65,871 | 1,750,617 | 108,921 | |||||||||
Allscripts Healthcare Solutions, Inc. | 161,674 | 2,082,072 | (28,812 | ) | ||||||||
Allstate Corp. (The) | 210,611 | 13,278,742 | 1,453,497 | |||||||||
Alphabet, Inc. | 3,950 | 2,769,029 | 9,914 | |||||||||
Amazon.com, Inc. | 11,890 | 5,783,407 | 2,725,315 | |||||||||
Amdocs Ltd. | 282,905 | 14,802,082 | 1,527,195 | |||||||||
AMERCO | 18,228 | 5,878,225 | 949,072 | |||||||||
Ameren Corp. | 193,302 | 9,001,144 | 1,355,978 | |||||||||
American Airlines Group, Inc. | 6,681 | 264,356 | (75,217 | ) | ||||||||
American Eagle Outfitters, Inc. | 212,398 | 2,833,389 | 550,111 | |||||||||
American Electric Power Co., Inc. | 326,119 | 20,498,547 | 2,359,134 | |||||||||
American Financial Group, Inc. | 112,590 | 7,513,614 | 810,164 | |||||||||
American International Group, Inc. | 246,202 | 13,118,978 | (97,354 | ) | ||||||||
Ameriprise Financial, Inc. | 35,622 | 3,468,724 | (268,087 | ) | ||||||||
AmerisourceBergen Corp. | 93,044 | 7,885,479 | (505,229 | ) | ||||||||
Amgen, Inc. | 66,841 | 9,575,013 | 594,845 | |||||||||
Analog Devices, Inc. | 43,109 | 2,128,899 | 312,795 | |||||||||
ANSYS, Inc. | 1,173 | 97,476 | 8,973 | |||||||||
Anthem, Inc. | 62,424 | 7,513,543 | 685,225 | |||||||||
AO Smith Corp. | 116,142 | 7,402,891 | 2,830,381 | |||||||||
Apollo Education Group, Inc. | 59,377 | 508,267 | 33,251 | |||||||||
Applied Materials, Inc. | 111,923 | 2,558,979 | 123,816 | |||||||||
AptarGroup, Inc. | 3,066 | 242,155 | 458 | |||||||||
Aramark | 48,621 | 1,560,164 | 64,750 | |||||||||
Archer-Daniels-Midland Co. | 230,319 | 7,890,330 | 1,988,052 | |||||||||
Armstrong World Industries, Inc. | 21,362 | 833,114 | 3,208 | |||||||||
Arrow Electronics, Inc. | 128,929 | 7,307,774 | 672,931 | |||||||||
Ashland, Inc. | 21,610 | 1,977,099 | 503,081 | |||||||||
Aspen Insurance Holdings Ltd. | 122,734 | 5,309,344 | 383,059 | |||||||||
Associated Banc-Corp. | 19,426 | 352,277 | (19,121 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Assurant, Inc. | 128,080 | $ | 9,779,829 | $ | 1,274,756 | |||||||
Atmos Energy Corp. | 57,838 | 4,153,794 | 549,592 | |||||||||
Automatic Data Processing, Inc. | 1,308 | 105,516 | 14,650 | |||||||||
Avery Dennison Corp. | 85,208 | 5,670,834 | 698,464 | |||||||||
Avnet, Inc. | 228,482 | 8,881,095 | 374,710 | |||||||||
Axis Capital Holdings Ltd. | 90,492 | 4,816,423 | 160,637 | |||||||||
Baker Hughes, Inc. | 70,411 | 3,219,425 | (41,777 | ) | ||||||||
BancorpSouth, Inc. | 4,417 | 100,375 | (154 | ) | ||||||||
Bank of America Corp. | 250,108 | 3,455,576 | (136,643 | ) | ||||||||
Bank of New York Mellon Corp. (The) | 133,854 | 4,584,798 | 615,430 | |||||||||
Baxter International, Inc. | 221,696 | 8,838,616 | 1,186,477 | |||||||||
Belden, Inc. | 5,423 | 332,866 | (5,480 | ) | ||||||||
Bemis Co., Inc. | 72,753 | 3,536,406 | 209,645 | |||||||||
Best Buy Co., Inc. | 188,312 | 5,317,096 | 445,251 | |||||||||
Big Lots, Inc. | 159,561 | 5,936,603 | 2,058,999 | |||||||||
Biogen, Inc. | 24,102 | 6,079,181 | (250,835 | ) | ||||||||
Bio-Rad Laboratories, Inc. | 8,248 | 1,028,832 | 150,797 | |||||||||
Boeing Co. (The) | 10,515 | 1,250,023 | 115,560 | |||||||||
BOK Financial Corp. | 23,295 | 1,292,896 | 167,701 | |||||||||
Booz Allen Hamilton Holding Corp. | 23,086 | 592,848 | 91,421 | |||||||||
Boston Scientific Corp. | 219,676 | 3,807,392 | 1,326,436 | |||||||||
Broadridge Financial Solutions, Inc. | 90,848 | 4,744,083 | 1,179,207 | |||||||||
Brocade Communications Systems, Inc. | 1,129,001 | 8,772,338 | 1,591,891 | |||||||||
Brookdale Senior Living, Inc. | 20,252 | 314,793 | (2,102 | ) | ||||||||
Bruker Corp. | 312,709 | 8,386,427 | (1,275,424 | ) | ||||||||
Brunswick Corp. | 160,242 | 6,406,716 | 855,452 | |||||||||
Bunge Ltd. | 195,370 | 11,084,124 | 472,011 | |||||||||
BWX Technologies, Inc. | 351,404 | 10,503,327 | 2,066,395 | |||||||||
CA, Inc. | 128,898 | 3,553,718 | 678,003 | |||||||||
Cable One, Inc. | 2,835 | 1,316,795 | 133,052 | |||||||||
Cabot Corp. | 230,817 | 10,080,141 | 458,963 | |||||||||
California Resources Corp. | 150,962 | 1,286,352 | 555,384 | |||||||||
Capital One Financial Corp. | 106,255 | 6,632,437 | 115,818 | |||||||||
Cardinal Health, Inc. | 77,753 | 5,959,767 | 105,744 | |||||||||
Carlisle Cos., Inc. | 81,226 | 7,289,372 | 1,294,592 | |||||||||
Carnival Corp. | 164,319 | 7,060,787 | 202,112 | �� | ||||||||
Carter’s, Inc. | 126,652 | 11,056,770 | 2,427,869 | |||||||||
Casey’s General Stores, Inc. | 6,146 | 636,871 | 171,390 | |||||||||
CDK Global, Inc. | 5,483 | 229,847 | 74,404 | |||||||||
Celanese Corp. | 106,481 | 7,204,097 | (234,916 | ) | ||||||||
Celgene Corp. | 7,077 | 713,738 | (15,734 | ) | ||||||||
CenterPoint Energy, Inc. | 345,977 | 7,632,363 | 671,085 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
171
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
CenturyLink, Inc. | 69,854 | $ | 2,018,101 | $ | 8,363 | |||||||
Charles River Laboratories International, Inc. | 105,545 | 7,625,947 | 1,075,183 | |||||||||
Charles Schwab Corp. (The) | 213,516 | 5,688,864 | (284,774 | ) | ||||||||
Cheesecake Factory, Inc. (The) | 23,228 | 1,091,484 | 26,712 | |||||||||
Chemours Co. (The) | 309,536 | 2,724,757 | (174,180 | ) | ||||||||
Chico’s FAS, Inc. | 326,846 | 3,315,917 | 184,603 | |||||||||
Choice Hotels International, Inc. | 5,465 | 253,275 | 6,968 | |||||||||
Cimarex Energy Co. | 13,762 | 1,571,404 | 70,678 | |||||||||
Cinemark Holdings, Inc. | 80,158 | 2,185,107 | 737,454 | |||||||||
Cintas Corp. | 75,269 | 6,333,978 | 1,052,169 | |||||||||
Cisco Systems, Inc. | 348,606 | 7,895,926 | 2,105,580 | |||||||||
Citigroup, Inc. | 61,566 | 2,410,905 | 198,878 | |||||||||
Citizens Financial Group, Inc. | 635,691 | 12,427,759 | 273,347 | |||||||||
Citrix Systems, Inc. | 84,481 | 5,265,701 | 1,500,383 | |||||||||
Clean Harbors, Inc. | 45,728 | 2,173,438 | 209,448 | |||||||||
Clorox Co. (The) | 46,163 | 5,826,057 | 562,441 | |||||||||
CME Group, Inc. | 45,350 | 4,305,316 | 111,774 | |||||||||
Coca-Cola Co. (The) | 22,385 | 1,022,156 | (7,444 | ) | ||||||||
Cognizant Technology Solutions Corp. | 88,870 | 5,339,638 | (252,719 | ) | ||||||||
Comcast Corp. | 59,517 | 3,467,870 | 412,044 | |||||||||
Comerica, Inc. | 8,465 | 274,689 | 73,476 | |||||||||
Commercial Metals Co. | 462,637 | 6,236,679 | 1,581,886 | |||||||||
Computer Sciences Corp. | 488,015 | 15,148,529 | 9,081,416 | |||||||||
ConAgra Foods, Inc. | 327,628 | 13,008,190 | 2,655,705 | |||||||||
ConocoPhillips | 47,999 | 2,040,438 | 52,318 | |||||||||
Consolidated Edison, Inc. | 181,936 | 13,383,973 | 1,250,959 | |||||||||
Constellation Brands, Inc. | 17,542 | 2,410,557 | 490,889 | |||||||||
Convergys Corp. | 56,736 | 1,359,962 | 58,438 | |||||||||
CoreLogic, Inc. | 122,992 | 4,114,042 | 618,690 | |||||||||
Costco Wholesale Corp. | 12,020 | 1,778,239 | 109,382 | |||||||||
Coty, Inc. | 71,307 | 1,977,052 | (123,783 | ) | ||||||||
CR Bard, Inc. | 103,411 | 18,762,892 | 5,555,239 | |||||||||
Cracker Barrel Old Country Store, Inc. | 11,118 | 1,462,485 | 443,918 | |||||||||
Crane Co. | 131,817 | 6,325,563 | 1,151,097 | |||||||||
Crown Holdings, Inc. | 238,468 | 10,774,081 | 1,309,092 | |||||||||
CSX Corp. | 491,632 | 11,740,172 | 1,081,590 | |||||||||
Cummins, Inc. | 37,689 | 3,833,255 | 404,497 | |||||||||
Curtiss-Wright Corp. | 5,583 | 463,329 | 7,039 | |||||||||
CVR Energy, Inc. | 27,402 | 517,294 | (92,563 | ) | ||||||||
Dana Holding Corp. | 270,794 | 3,407,073 | (547,488 | ) | ||||||||
Darden Restaurants, Inc. | 197,147 | 11,529,157 | 958,134 | |||||||||
Dean Foods Co. | 363,894 | 6,747,561 | (164,719 | ) | ||||||||
Delta Air Lines, Inc. | 33,083 | 1,388,824 | (183,611 | ) | ||||||||
Denbury Resources, Inc. | 467,758 | 1,864,574 | (185,323 | ) | ||||||||
Devon Energy Corp. | 109,116 | 2,535,340 | 1,420,115 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Diamond Offshore Drilling, Inc. | 66,473 | $ | 1,642,322 | $ | (25,034 | ) | ||||||
Dick’s Sporting Goods, Inc. | 123,522 | 4,959,387 | 606,514 | |||||||||
Dillard’s, Inc. | 51,526 | 3,535,785 | (413,310 | ) | ||||||||
Discover Financial Services | 106,939 | 4,905,292 | 825,569 | |||||||||
Domino’s Pizza, Inc. | 8,137 | 1,008,643 | 60,396 | |||||||||
Dow Chemical Co. (The) | 232,083 | 10,815,068 | 721,778 | |||||||||
DR Horton, Inc. | 445,140 | 11,933,154 | 2,079,854 | |||||||||
Dr. Pepper Snapple Group, Inc. | 54,714 | 4,944,274 | 342,740 | |||||||||
Dril-Quip, Inc. | 15,677 | 944,452 | (28,445 | ) | ||||||||
DST Systems, Inc. | 97,257 | 9,756,253 | 1,567,379 | |||||||||
DTE Energy Co. | 113,414 | 10,004,619 | 1,236,976 | |||||||||
Dun & Bradstreet Corp. (The) | 1,874 | 223,352 | 4,976 | |||||||||
E*TRADE Financial Corp. | 433,104 | 11,113,441 | (939,828 | ) | ||||||||
East West Bancorp, Inc. | 68,318 | 2,058,547 | 276,562 | |||||||||
Eastman Chemical Co. | 30,442 | 2,262,768 | (195,756 | ) | ||||||||
Eaton Corp. plc | 48,961 | 2,667,395 | 257,045 | |||||||||
eBay, Inc. | 496,683 | 11,209,989 | 417,360 | |||||||||
Edgewell Personal Care Co. | 33,692 | 2,632,291 | 211,650 | |||||||||
Edison International | 157,005 | 10,391,303 | 1,803,275 | |||||||||
Edwards Lifesciences Corp. | 109,492 | 8,358,619 | 2,561,018 | |||||||||
Eli Lilly & Co. | 85,811 | 6,337,283 | 420,333 | |||||||||
Emerson Electric Co. | 94,461 | 4,559,036 | 368,049 | |||||||||
Endurance Specialty Holdings Ltd. | 25,152 | 1,584,528 | 104,681 | |||||||||
Energen Corp. | 90,365 | 3,112,536 | 1,243,961 | |||||||||
Energizer Holdings, Inc. | 12,321 | 538,060 | 96,349 | |||||||||
Entergy Corp. | 160,846 | �� | 11,715,885 | 1,368,937 | ||||||||
EP Energy Corp. | 631,596 | 1,887,390 | 1,384,277 | |||||||||
EQT Corp. | 29,267 | 1,821,013 | 445,131 | |||||||||
Equifax, Inc. | 89,622 | 8,354,563 | 3,152,902 | |||||||||
Estee Lauder Cos., Inc. (The) | 26,178 | 2,367,538 | 15,183 | |||||||||
Everest Re Group Ltd. | 23,232 | 4,365,525 | (121,736 | ) | ||||||||
Facebook, Inc. | 32,133 | 3,529,057 | 143,102 | |||||||||
Fair Isaac Corp. | 15,102 | 1,423,126 | 283,551 | |||||||||
FedEx Corp. | 3,957 | 635,537 | (34,943 | ) | ||||||||
First Solar, Inc. | 98,583 | 5,362,342 | (583,038 | ) | ||||||||
FirstEnergy Corp. | 559,526 | 18,903,644 | 629,409 | |||||||||
Fiserv, Inc. | 31,247 | 2,879,565 | 517,922 | |||||||||
FMC Technologies, Inc. | 118,818 | 3,152,128 | 16,749 | |||||||||
FNB Corp. | 11,178 | 148,825 | (8,653 | ) | ||||||||
Foot Locker, Inc. | 77,995 | 4,961,703 | (682,897 | ) | ||||||||
Fortinet, Inc. | 96,898 | 3,110,447 | (49,439 | ) | ||||||||
Fulton Financial Corp. | 86,888 | 1,111,968 | 61,020 | |||||||||
Gannett Co., Inc. | 62,473 | 976,920 | (114,168 | ) | ||||||||
Gartner, Inc. | 9,533 | 771,601 | 157,008 | |||||||||
General Dynamics Corp. | 93,752 | 12,387,452 | 666,577 | |||||||||
General Mills, Inc. | 33,868 | 1,898,820 | 516,646 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
172
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
General Motors Co. | 409,945 | $ | 11,557,675 | $ | 43,768 | |||||||
Genpact Ltd. | 191,083 | 4,847,841 | 280,827 | |||||||||
Gilead Sciences, Inc. | 29,766 | 2,597,083 | (114,004 | ) | ||||||||
GNC Holdings, Inc. | 77,352 | 1,980,189 | (101,309 | ) | ||||||||
GoDaddy, Inc. | 63,971 | 1,985,916 | 9,340 | |||||||||
Goldman Sachs Group, Inc. (The) | 41,219 | 6,146,639 | (22,320 | ) | ||||||||
Goodyear Tire & Rubber Co. (The) | 282,937 | 7,921,790 | (661,627 | ) | ||||||||
GoPro, Inc. | 701,770 | 7,823,103 | (236,969 | ) | ||||||||
Graham Holdings Co. | 10,383 | 4,865,870 | 217,024 | |||||||||
Graphic Packaging Holding Co. | 241,761 | 2,906,635 | 125,048 | |||||||||
Great Plains Energy, Inc. | 319,187 | 9,637,435 | 65,850 | |||||||||
Groupon, Inc. | 579,227 | 1,285,884 | 596,604 | |||||||||
Guess?, Inc. | 202,833 | 3,793,359 | (740,723 | ) | ||||||||
Hanover Insurance Group, Inc. (The) | 58,518 | 4,757,865 | 193,929 | |||||||||
Harman International Industries, Inc. | 8,049 | 544,434 | 33,645 | |||||||||
Hartford Financial Services Group, Inc. (The) | 105,644 | 4,225,760 | 462,721 | |||||||||
Hasbro, Inc. | 55,847 | 4,111,403 | 579,187 | |||||||||
HCA Holdings, Inc. | 79,962 | 5,472,676 | 685,198 | |||||||||
HD Supply Holdings, Inc. | 176,979 | 3,996,186 | 2,166,223 | |||||||||
Herman Miller, Inc. | 150,172 | 3,881,227 | 607,414 | |||||||||
Hertz Global Holdings, Inc. | 570,790 | 5,364,738 | 953,908 | |||||||||
Hess Corp. | 9,548 | 369,508 | 204,327 | |||||||||
Hewlett Packard Enterprise Co. | 165,157 | 2,670,714 | 346,704 | |||||||||
Hill-Rom Holdings, Inc. | 38,459 | 1,850,081 | 90,176 | |||||||||
Hilton Worldwide Holdings, Inc. | 147,780 | 2,606,839 | 722,644 | |||||||||
HNI Corp. | 1,635 | 51,372 | 24,639 | |||||||||
HollyFrontier Corp. | 327,507 | 10,145,592 | (2,360,750 | ) | ||||||||
Hologic, Inc. | 501,131 | 16,648,160 | 690,973 | |||||||||
Home Depot, Inc. (The) | 33,618 | 3,839,287 | 453,395 | |||||||||
Honeywell International, Inc. | 465 | 47,765 | 6,324 | |||||||||
HP, Inc. | 925,441 | 8,786,860 | 2,827,425 | |||||||||
HSN, Inc. | 3,634 | 168,020 | 9,791 | |||||||||
Hubbell, Inc. | 26,186 | 2,496,652 | 265,186 | |||||||||
Huntington Ingalls Industries, Inc. | 161,935 | 20,363,540 | 6,846,399 | |||||||||
Huntsman Corp. | 471,103 | 6,624,887 | (288,552 | ) | ||||||||
Hyatt Hotels Corp. | 20,133 | 932,805 | 56,531 | |||||||||
IAC/InterActiveCorp. | 141,551 | 5,723,720 | 2,245,601 | |||||||||
IDACORP, Inc. | 53,809 | 3,866,527 | 510,835 | |||||||||
IDEX Corp. | 2,589 | 185,036 | 27,521 | |||||||||
Illinois Tool Works, Inc. | 37,365 | 3,504,342 | 387,596 | |||||||||
IMS Health Holdings, Inc. | 4,719 | 109,953 | 9,721 | |||||||||
Incyte Corp. | 18,144 | 1,452,866 | (1,709 | ) | ||||||||
Ingersoll-Rand plc | 116,401 | 6,012,100 | 1,400,316 | |||||||||
Ingram Micro, Inc. | 83,841 | 2,296,405 | 619,585 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Ingredion, Inc. | 96,068 | $ | 10,046,017 | $ | 2,386,143 | |||||||
Integrated Device Technology, Inc. | 217,071 | 3,799,989 | 569,651 | |||||||||
Intercontinental Exchange, Inc. | 12,534 | 2,991,479 | 216,723 | |||||||||
International Game Technology plc | 288,828 | 3,849,964 | 1,562,673 | |||||||||
International Paper Co. | 110,412 | 3,878,774 | 800,487 | |||||||||
Interpublic Group of Cos., Inc. (The) | 262,694 | 5,386,353 | 681,878 | |||||||||
Intersil Corp. | 177,901 | 2,194,559 | 214,220 | |||||||||
Intrexon Corp. | 175,148 | 5,363,909 | (1,053,517 | ) | ||||||||
Intuit, Inc. | 1,352 | 121,856 | 29,041 | |||||||||
Invesco Ltd. | 276,302 | 7,392,556 | (335,803 | ) | ||||||||
Ionis Pharmaceuticals, Inc. | 221,461 | 5,653,127 | (495,300 | ) | ||||||||
ITT, Inc. | 200,191 | 6,374,081 | 28,027 | |||||||||
Jabil Circuit, Inc. | 619,707 | 11,882,069 | (436,081 | ) | ||||||||
Jack Henry & Associates, Inc. | 35,561 | 2,725,193 | 378,216 | |||||||||
Jack in the Box, Inc. | 101,244 | 7,037,389 | 1,661,495 | |||||||||
Jacobs Engineering Group, Inc. | 1,124 | 57,741 | (1,755 | ) | ||||||||
JetBlue Airways Corp. | 193,813 | 3,590,362 | (380,819 | ) | ||||||||
John Wiley & Sons, Inc. | 89,122 | 3,745,473 | 904,913 | |||||||||
Johnson & Johnson | 16,802 | 1,894,185 | 143,897 | |||||||||
Joy Global, Inc. | 25,526 | 397,460 | 142,159 | |||||||||
Juniper Networks, Inc. | 258,355 | 5,681,226 | 129,177 | |||||||||
Juno Therapeutics, Inc. | 15,649 | 646,349 | (44,801 | ) | ||||||||
KAR Auction Services, Inc. | 8,215 | 264,112 | 78,782 | |||||||||
Kate Spade & Co. | 222,532 | 4,419,109 | 167,276 | |||||||||
KB Home | 238,033 | 2,650,448 | 970,034 | |||||||||
KBR, Inc. | 446,203 | 5,531,297 | 376,431 | |||||||||
Kennametal, Inc. | 96,547 | 2,256,723 | (122,069 | ) | ||||||||
Kimberly-Clark Corp. | 106,346 | 13,908,993 | 711,455 | |||||||||
L Brands, Inc. | 22,874 | 1,757,159 | (221,628 | ) | ||||||||
L-3 Communications Holdings, Inc. | 78,731 | 9,496,491 | 2,052,560 | |||||||||
Laboratory Corp. of America Holdings | 9,988 | 1,269,786 | 31,350 | |||||||||
Lam Research Corp. | 752 | 62,203 | 1,010 | |||||||||
Lancaster Colony Corp. | 11,241 | 1,143,565 | 290,899 | |||||||||
Las Vegas Sands Corp. | 14,930 | 705,310 | (56,004 | ) | ||||||||
Lear Corp. | 133,024 | 13,640,301 | (103,779 | ) | ||||||||
Leggett & Platt, Inc. | 150,487 | 6,163,948 | 1,527,443 | |||||||||
Leidos Holdings, Inc. | 243 | 10,109 | 1,524 | |||||||||
Lennox International, Inc. | 23,163 | 3,074,184 | 228,860 | |||||||||
Level 3 Communications, Inc. | 8,135 | 429,371 | (10,500 | ) | ||||||||
Lexmark International, Inc. | 61,919 | 2,295,102 | 42,340 | |||||||||
Liberty Broadband Corp. | 21,101 | 978,415 | 287,645 | |||||||||
Liberty Interactive Corp. QVC Group | 64,011 | 1,451,769 | 172,190 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
173
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
LifePoint Health, Inc. | 18,683 | $ | 1,245,345 | $ | (24,037 | ) | ||||||
Lincoln Electric Holdings, Inc. | 68,190 | 3,834,797 | 193,868 | |||||||||
Lincoln National Corp. | 147,853 | 5,637,194 | 95,067 | |||||||||
Live Nation Entertainment, Inc. | 105,169 | 2,036,072 | 435,400 | |||||||||
Lowe’s Cos., Inc. | 119,430 | 7,661,434 | 1,793,839 | |||||||||
Lumentum Holdings, Inc. | 11,906 | 260,415 | 27,710 | |||||||||
LyondellBasell Industries NV | 60,990 | 4,618,163 | (79,287 | ) | ||||||||
M&T Bank Corp. | 339 | 37,978 | 2,102 | |||||||||
Macy’s, Inc. | 96,434 | 3,601,597 | (360,450 | ) | ||||||||
Madison Square Garden Co. (The) | 14,420 | 2,377,246 | 110,348 | |||||||||
Manhattan Associates, Inc. | 37,676 | 1,741,761 | 674,400 | |||||||||
Manitowoc Co., Inc. (The) | 144,608 | 813,073 | (24,959 | ) | ||||||||
ManpowerGroup, Inc. | 106,046 | 7,774,232 | (951,233 | ) | ||||||||
Marathon Petroleum Corp. | 204,856 | 6,491,796 | 1,284,538 | |||||||||
Marriott International, Inc. | 57,230 | 3,772,215 | 31,291 | |||||||||
Marvell Technology Group Ltd. | 1,114,050 | 9,692,235 | 924,661 | |||||||||
Masco Corp. | 489,013 | 12,767,873 | 2,362,189 | |||||||||
Maxim Integrated Products, Inc. | 302,794 | 9,451,163 | 1,355,554 | |||||||||
McKesson Corp. | 52,604 | 7,952,400 | 1,866,136 | |||||||||
Mentor Graphics Corp. | 57,889 | 1,182,056 | 48,664 | |||||||||
Merck & Co., Inc. | 103,121 | 5,252,737 | 688,064 | |||||||||
MetLife, Inc. | 216,291 | 8,747,860 | (132,990 | ) | ||||||||
MGM Resorts International | 232,970 | 4,959,792 | 312,319 | |||||||||
Michaels Cos., Inc. (The) | 110,790 | 2,835,052 | 315,816 | |||||||||
Micron Technology, Inc. | 142,910 | 1,548,332 | 418,109 | |||||||||
Microsoft Corp. | 199,980 | 10,021,369 | 211,608 | |||||||||
Minerals Technologies, Inc. | 93,479 | 4,369,442 | 940,165 | |||||||||
Mohawk Industries, Inc. | 43,416 | 6,673,039 | 1,565,581 | |||||||||
Molina Healthcare, Inc. | 35,024 | 2,260,267 | (512,569 | ) | ||||||||
Molson Coors Brewing Co. | 49,332 | 4,223,389 | 765,556 | |||||||||
Mondelez International, Inc. | 297,807 | 11,033,749 | 2,519,447 | |||||||||
Monster Beverage Corp. | 2,882 | 342,699 | 120,468 | |||||||||
Morgan Stanley | 285,519 | 7,580,264 | (162,480 | ) | ||||||||
Morningstar, Inc. | 3,144 | 269,683 | (12,567 | ) | ||||||||
Motorola Solutions, Inc. | 41,540 | 2,946,030 | (205,637 | ) | ||||||||
MSC Industrial Direct Co., Inc. | 7,137 | 515,315 | (11,728 | ) | ||||||||
MSCI, Inc. | 50,313 | 3,274,370 | 605,769 | |||||||||
MSG Networks, Inc. | 241,399 | 3,951,082 | (248,021 | ) | ||||||||
Murphy USA, Inc. | 102,565 | 6,165,839 | 1,440,381 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Nabors Industries Ltd. | 478,455 | $ | 2,918,575 | $ | 1,889,897 | |||||||
Nasdaq, Inc. | 183,987 | 11,370,685 | 527,754 | |||||||||
NCR Corp. | 185,274 | 3,656,431 | 1,488,628 | |||||||||
New York Times Co. (The) | 45,062 | 563,285 | (18,034 | ) | ||||||||
Newfield Exploration Co. | 133,111 | 4,047,044 | 1,833,800 | |||||||||
News Corp. | 638,131 | 6,843,831 | 398,956 | |||||||||
NIKE, Inc. | 158,846 | 8,844,545 | (76,246 | ) | ||||||||
NiSource, Inc. | 606,860 | 13,278,597 | 2,815,330 | |||||||||
Norfolk Southern Corp. | 51,371 | 4,482,023 | (108,810 | ) | ||||||||
Northrop Grumman Corp. | 77,519 | 14,520,859 | 2,710,064 | |||||||||
NorthStar Asset Management Group, Inc. | 349,730 | 3,441,142 | 129,601 | |||||||||
NOW, Inc. | 172,119 | 2,989,595 | 132,644 | |||||||||
Nu Skin Enterprises, Inc. | 60,871 | 2,165,640 | 645,991 | |||||||||
Nuance Communications, Inc. | 508,738 | 9,207,670 | (1,256,095 | ) | ||||||||
Nucor Corp. | 68,175 | 2,811,219 | 557,307 | |||||||||
NVR, Inc. | 3,791 | 6,014,388 | 734,881 | |||||||||
Office Depot, Inc. | 527,893 | 1,765,591 | (18,265 | ) | ||||||||
Oil States International, Inc. | 14,226 | 328,621 | 139,130 | |||||||||
Old Republic International Corp. | 350,621 | 6,319,831 | 443,648 | |||||||||
Omnicom Group, Inc. | 33,610 | 2,407,148 | 331,731 | |||||||||
ON Semiconductor Corp. | 710,703 | 5,090,645 | 1,177,755 | |||||||||
ONE Gas, Inc. | 16,160 | 959,244 | 116,850 | |||||||||
Orbital ATK, Inc. | 131,101 | 11,010,268 | 151,671 | |||||||||
Owens Corning | 273,805 | 11,726,767 | 2,379,667 | |||||||||
Packaging Corp. of America | 63,807 | 4,020,740 | 249,863 | |||||||||
Parker-Hannifin Corp. | 60,981 | 6,677,649 | (88,652 | ) | ||||||||
Patterson-UTI Energy, Inc. | 320,425 | 5,196,413 | 1,635,048 | |||||||||
PBF Energy, Inc. | 204,585 | 5,673,904 | (808,873 | ) | ||||||||
People’s United Financial, Inc. | 130,444 | 1,896,656 | 15,653 | |||||||||
PepsiCo, Inc. | 160,855 | 15,846,895 | 1,194,083 | |||||||||
PerkinElmer, Inc. | 36,580 | 1,872,199 | 45,325 | |||||||||
Pfizer, Inc. | 86,417 | 3,013,257 | 29,485 | |||||||||
PG&E Corp. | 385,662 | 21,787,455 | 2,864,060 | |||||||||
Pilgrim’s Pride Corp. | 47,812 | 1,106,235 | 112,014 | |||||||||
Pinnacle West Capital Corp. | 204,046 | 14,032,868 | 2,507,100 | |||||||||
Pitney Bowes, Inc. | 13,432 | 239,669 | (579 | ) | ||||||||
Plantronics, Inc. | 27,162 | 992,402 | 202,726 | |||||||||
PNC Financial Services Group, Inc. (The) | 134,150 | 11,072,369 | (153,901 | ) | ||||||||
PNM Resources, Inc. | 179,007 | 5,803,415 | 540,593 | |||||||||
Polycom, Inc. | 157,189 | 1,497,007 | 271,369 | |||||||||
Popular, Inc. | 19,096 | 564,277 | (4,765 | ) | ||||||||
PPG Industries, Inc. | 75,240 | 7,013,094 | 823,152 | |||||||||
Privatebancorp, Inc. | 5,665 | 229,896 | 19,533 | |||||||||
ProAssurance Corp. | 31,573 | 1,520,580 | 170,154 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
174
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Procter & Gamble Co. (The) | 179,627 | $ | 14,797,005 | $ | 412,013 | |||||||
Progressive Corp. (The) | 243,720 | 8,098,013 | 66,607 | |||||||||
Prudential Financial, Inc. | 84,795 | 5,392,114 | 657,161 | |||||||||
Public Service Enterprise Group, Inc. | 424,192 | 18,056,401 | 1,715,188 | |||||||||
PVH Corp. | 94,475 | 7,397,075 | 1,505,304 | |||||||||
QEP Resources, Inc. | 133,214 | 1,456,029 | 892,534 | |||||||||
QUALCOMM, Inc. | 53,465 | 2,697,710 | 166,410 | |||||||||
Quanta Services, Inc. | 195,197 | 4,438,665 | 74,290 | |||||||||
Quintiles Transnational Holdings, Inc. | 67,833 | 4,046,141 | 384,710 | |||||||||
Rackspace Hosting, Inc. | 130,638 | 2,954,912 | (229,803 | ) | ||||||||
Ralph Lauren Corp. | 18,479 | 1,717,626 | (61,538 | ) | ||||||||
Raymond James Financial, Inc. | 115,838 | 5,177,352 | 533,462 | |||||||||
Raytheon Co. | 76,611 | 9,696,708 | 718,558 | |||||||||
Red Hat, Inc. | 30,044 | 1,852,790 | 328,404 | |||||||||
Regal Beloit Corp. | 62,146 | 3,531,176 | (110,039 | ) | ||||||||
Regions Financial Corp. | 484,930 | 3,904,238 | 222,516 | |||||||||
Reinsurance Group of America, Inc. | 75,001 | 6,450,454 | 823,893 | |||||||||
Reliance Steel & Aluminum Co. | 132,028 | 7,716,858 | 2,436,096 | |||||||||
Republic Services, Inc. | 267,060 | 12,095,026 | 1,607,823 | |||||||||
Robert Half International, Inc. | 26,702 | 1,033,038 | (14,090 | ) | ||||||||
Rockwell Automation, Inc. | 5,467 | 611,556 | 16,165 | |||||||||
Rollins, Inc. | 38,145 | 1,040,821 | 75,684 | |||||||||
Ross Stores, Inc. | 116,494 | 6,386,353 | 217,691 | |||||||||
Rowan Cos. plc | 281,232 | 3,355,098 | 1,611,459 | |||||||||
Royal Caribbean Cruises Ltd. | 5,169 | 378,204 | (31,105 | ) | ||||||||
RPM International, Inc. | 7,800 | 386,402 | 3,208 | |||||||||
RR Donnelley & Sons Co. | 132,132 | 2,024,372 | 211,301 | |||||||||
S&P Global, Inc. | 33,605 | 2,809,042 | 795,430 | |||||||||
SCANA Corp. | 90,152 | 6,149,430 | 671,470 | |||||||||
Science Applications International Corp. | 3,072 | 169,785 | 9,466 | |||||||||
Scotts Miracle-Gro Co. (The) | 2,826 | 180,327 | 17,239 | |||||||||
Sealed Air Corp. | 128,873 | 5,805,872 | 118,420 | |||||||||
SEI Investments Co. | 131,306 | 4,543,188 | 1,773,944 | |||||||||
Sensient Technologies Corp. | 2,472 | 135,911 | 39,700 | |||||||||
Service Corp. International | 78,136 | 1,729,150 | 383,648 | |||||||||
ServiceMaster Global Holdings, Inc. | 24,141 | 922,742 | 38,070 | |||||||||
Sherwin-Williams Co. (The) | 20,341 | 5,450,140 | 523,402 | |||||||||
Signature Bank | 52,858 | 6,926,987 | (323,966 | ) | ||||||||
Skechers U.S.A., Inc. | 184,406 | 5,029,649 | 450,898 | |||||||||
SM Energy Co. | 100,558 | 2,809,683 | (94,617 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Snap-on, Inc. | 32,507 | $ | 4,446,349 | $ | 683,905 | |||||||
Sonoco Products Co. | 8,425 | 396,712 | 21,673 | |||||||||
Southwest Airlines Co. | 85,928 | 3,492,099 | (122,862 | ) | ||||||||
Spirit AeroSystems Holdings, Inc. | 353,199 | 15,961,686 | (774,129 | ) | ||||||||
SPX Corp. | 244,866 | 2,701,374 | 934,886 | |||||||||
SPX FLOW, Inc. | 46,946 | 1,141,049 | 82,833 | |||||||||
Stanley Black & Decker, Inc. | 104,254 | 9,696,914 | 1,898,216 | |||||||||
Staples, Inc. | 489,182 | 4,168,711 | 48,038 | |||||||||
Starbucks Corp. | 2,723 | 148,186 | 7,352 | |||||||||
Steel Dynamics, Inc. | 488,671 | 8,557,475 | 3,414,965 | |||||||||
SunTrust Banks, Inc. | 171,895 | 5,866,538 | 1,194,908 | |||||||||
Superior Energy Services, Inc. | 358,808 | 3,507,912 | 3,097,743 | |||||||||
SUPERVALU, Inc. | 1,218,524 | 5,194,538 | 556,895 | |||||||||
Symantec Corp. | 120,252 | 2,101,771 | 368,205 | |||||||||
Synaptics, Inc. | 66,375 | 4,895,605 | (1,327,949 | ) | ||||||||
Synchrony Financial | 356,162 | 9,541,891 | (538,116 | ) | ||||||||
SYNNEX Corp. | 38,774 | 3,518,916 | 157,635 | |||||||||
Synopsys, Inc. | 64,142 | 2,627,256 | 841,543 | |||||||||
Synovus Financial Corp. | 142,138 | 4,283,665 | (163,085 | ) | ||||||||
Sysco Corp. | 63,935 | 3,009,965 | 234,097 | |||||||||
Target Corp. | 30,477 | 2,120,018 | 7,886 | |||||||||
TCF Financial Corp. | 229,410 | 2,730,837 | 171,200 | |||||||||
Tech Data Corp. | 157,660 | 10,412,426 | 915,445 | |||||||||
Teekay Corp. | 448,960 | 3,259,906 | (58,821 | ) | ||||||||
Teleflex, Inc. | 31,424 | 4,326,097 | 1,245,693 | |||||||||
Telephone & Data Systems, Inc. | 27,541 | 626,007 | 190,859 | |||||||||
Teradata Corp. | 9,201 | 250,619 | (19,950 | ) | ||||||||
Teradyne, Inc. | 359,033 | 6,469,358 | 600,002 | |||||||||
TerraForm Power, Inc. | 43,157 | 357,453 | 112,958 | |||||||||
Tesoro Corp. | 151,886 | 11,835,386 | (456,087 | ) | ||||||||
Textron, Inc. | 217,020 | 7,347,981 | 586,270 | |||||||||
Thermo Fisher Scientific, Inc. | 17,662 | 2,198,036 | 411,701 | |||||||||
Thomson Reuters Corp. | 5,056 | 186,908 | 17,455 | |||||||||
Thor Industries, Inc. | 26,058 | 1,564,130 | 122,865 | |||||||||
Time Warner, Inc. | 89,938 | 6,429,070 | 184,970 | |||||||||
Time, Inc. | 13,594 | 222,282 | 1,475 | |||||||||
Timken Co. (The) | 153,911 | 4,481,481 | 237,430 | |||||||||
TJX Cos., Inc. (The) | 66,598 | 4,722,374 | 420,989 | |||||||||
TopBuild Corp. | 123,572 | 3,469,001 | 1,004,306 | |||||||||
Torchmark Corp. | 41,168 | 2,104,096 | 440,909 | |||||||||
Toro Co. (The) | 44,641 | 3,620,224 | 317,113 | |||||||||
Total System Services, Inc. | 163,655 | 6,336,634 | 2,355,083 | |||||||||
Travelers Cos., Inc. (The) | 101,418 | 10,742,195 | 1,330,604 | |||||||||
Trinity Industries, Inc. | 65,259 | 1,276,956 | (65,096 | ) | ||||||||
Tyson Foods, Inc. | 304,943 | 19,743,992 | 623,151 | |||||||||
UGI Corp. | 160,519 | 6,034,889 | 1,228,596 | |||||||||
United Continental Holdings, Inc. | 161,090 | 7,325,007 | (713,874 | ) | ||||||||
United Parcel Service, Inc. | 11,470 | 1,182,564 | 52,985 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
175
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
United States Steel Corp. | 114,133 | $ | 2,074,047 | $ | (149,765 | ) | ||||||
United Therapeutics Corp. | 34,053 | 4,063,204 | (456,310 | ) | ||||||||
UnitedHealth Group, Inc. | 60,157 | 6,687,052 | 1,807,116 | |||||||||
Universal Health Services, Inc. | 90,238 | 9,521,914 | 2,579,002 | |||||||||
Unum Group | 271,920 | 7,357,451 | 1,286,886 | |||||||||
Urban Outfitters, Inc. | 238,448 | 6,980,248 | (422,928 | ) | ||||||||
US Bancorp. | 26,893 | 1,117,128 | (32,533 | ) | ||||||||
Valero Energy Corp. | 129,333 | 7,093,584 | (497,601 | ) | ||||||||
Validus Holdings Ltd. | 142,013 | 6,246,816 | 653,596 | |||||||||
Valmont Industries, Inc. | 22,237 | 2,536,741 | 471,258 | |||||||||
Vantiv, Inc. | 33,597 | 1,665,910 | 235,680 | |||||||||
VCA, Inc. | 78,520 | 3,869,003 | 1,439,734 | |||||||||
Vectren Corp. | 60,065 | 2,751,707 | 411,917 | |||||||||
VeriSign, Inc. | 4,670 | 413,592 | (9,823 | ) | ||||||||
Verizon Communications, Inc. | 109,916 | 5,512,287 | 625,422 | |||||||||
Viacom, Inc. | 3,150 | 129,935 | 696 | |||||||||
Viavi Solutions, Inc. | 658,623 | 4,248,343 | 118,328 | |||||||||
Visteon Corp. | 131,453 | 8,173,519 | 477,403 | |||||||||
Voya Financial, Inc. | 203,852 | 5,512,148 | (464,773 | ) | ||||||||
VWR Corp. | 1,226 | 32,908 | 2,523 | |||||||||
WABCO Holdings, Inc. | 691 | 61,375 | 1,900 | |||||||||
Waddell & Reed Financial, Inc. | 148,141 | 3,019,199 | (468,211 | ) | ||||||||
Walgreens Boots Alliance, Inc. | 80,082 | 6,276,461 | 391,967 | |||||||||
Wal-Mart Stores, Inc. | 111,096 | 7,402,787 | 709,443 | |||||||||
Walt Disney Co. (The) | 1,878 | 184,353 | (647 | ) | ||||||||
Waste Management, Inc. | 269,254 | 14,448,319 | 3,395,143 | |||||||||
Watsco, Inc. | 28,802 | 3,509,444 | 542,709 | |||||||||
WellCare Health Plans, Inc. | 98,402 | 9,216,344 | 1,340,222 | |||||||||
Wells Fargo & Co. | 279,786 | 13,017,778 | 224,493 | |||||||||
Werner Enterprises, Inc. | 82,295 | 2,222,671 | (332,355 | ) | ||||||||
West Pharmaceutical Services, Inc. | 12,522 | 753,985 | 196,184 | |||||||||
Westar Energy, Inc. | 28,744 | 1,529,220 | 83,031 | |||||||||
Western Refining, Inc. | 139,443 | 3,522,865 | (646,156 | ) | ||||||||
Westlake Chemical Corp. | 115,047 | 5,040,123 | (102,306 | ) | ||||||||
WEX, Inc. | 1,850 | 154,840 | 9,199 | |||||||||
WGL Holdings, Inc. | 10,775 | 731,622 | 31,140 | |||||||||
Whirlpool Corp. | 61,188 | 8,385,204 | 1,811,165 | |||||||||
White Mountains Insurance Group Ltd. | 2,959 | 2,208,892 | 282,586 | |||||||||
World Fuel Services Corp. | 23,846 | 1,078,889 | 53,557 | |||||||||
Worthington Industries, Inc. | 138,506 | 4,249,958 | 1,608,846 | |||||||||
WW Grainger, Inc. | 4,421 | 937,319 | 67,353 | |||||||||
Wyndham Worldwide Corp. | 2,080 | 131,477 | 16,682 | |||||||||
Xerox Corp. | 863,702 | 7,780,739 | 415,792 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Xilinx, Inc. | 94,369 | $ | 4,456,104 | $ | (102,862 | ) | ||||||
Xylem, Inc. | 135,423 | 5,196,525 | 850,112 | |||||||||
Yum! Brands, Inc. | 192,280 | 12,780,852 | 3,163,006 | |||||||||
Zoetis, Inc. | 97,595 | 3,890,137 | 741,722 | |||||||||
Zynga, Inc. | 2,371,008 | 4,878,032 | 1,025,778 | |||||||||
|
| |||||||||||
246,610,792 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 250,220,034 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
lululemon athletica, Inc. | (103,791 | ) | (5,903,632 | ) | (1,762,371 | ) | ||||||
Waste Connections, Inc. | (40,525 | ) | (2,762,912 | ) | (156,914 | ) | ||||||
|
| |||||||||||
(1,919,285 | ) | |||||||||||
|
| |||||||||||
Ireland | ||||||||||||
Allegion plc | (41,806 | ) | (2,712,112 | ) | (190,479 | ) | ||||||
Jazz Pharmaceuticals plc | (4,222 | ) | (621,272 | ) | 24,661 | |||||||
Medtronic plc | (43,002 | ) | (3,142,586 | ) | (588,697 | ) | ||||||
Perrigo Co. plc | (130,351 | ) | (16,487,050 | ) | 4,668,125 | |||||||
|
| |||||||||||
3,913,610 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Chicago Bridge & Iron Co. NV | (261,909 | ) | (9,498,136 | ) | 428,227 | |||||||
Core Laboratories NV | (42,600 | ) | (4,096,842 | ) | (1,180,872 | ) | ||||||
Frank’s International NV | (56,342 | ) | (810,605 | ) | (12,552 | ) | ||||||
QIAGEN NV | (18,426 | ) | (381,116 | ) | (20,755 | ) | ||||||
Sensata Technologies Holding NV | (163,198 | ) | (5,119,521 | ) | (574,457 | ) | ||||||
|
| |||||||||||
(1,360,409 | ) | |||||||||||
|
| |||||||||||
Norway | ||||||||||||
Golar LNG Ltd. | (297,133 | ) | (4,559,041 | ) | (46,520 | ) | ||||||
|
| |||||||||||
Panama | ||||||||||||
Copa Holdings SA | (45,710 | ) | (2,549,402 | ) | 160,597 | |||||||
|
| |||||||||||
Singapore | ||||||||||||
Broadcom Ltd. | (29,240 | ) | (4,597,948 | ) | 54,052 | |||||||
|
| |||||||||||
Sweden | ||||||||||||
Autoliv, Inc. | (15,982 | ) | (1,737,345 | ) | 20,080 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Chubb Ltd. | (71,616 | ) | (7,919,297 | ) | (1,441,630 | ) | ||||||
Garmin Ltd. | (163,141 | ) | (5,612,994 | ) | (1,307,447 | ) | ||||||
Transocean Ltd. | (286,977 | ) | (2,859,908 | ) | (552,248 | ) | ||||||
Weatherford International plc | (329,150 | ) | (2,180,146 | ) | 353,364 | |||||||
|
| |||||||||||
(2,947,961 | ) | |||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aon plc | (78,205 | ) | (7,263,680 | ) | (1,278,652 | ) | ||||||
Delphi Automotive plc | (29,173 | ) | (2,208,647 | ) | 382,417 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
176
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Noble Corp. plc | (23,162 | ) | $ | (213,906 | ) | $ | 23,051 | |||||
Pentair plc | (244,438 | ) | (11,048,598 | ) | (3,199,693 | ) | ||||||
STERIS plc | (120,063 | ) | (8,166,343 | ) | (87,988 | ) | ||||||
|
| |||||||||||
(4,160,865 | ) | |||||||||||
|
| |||||||||||
United States | ||||||||||||
3D Systems Corp. | (182,556 | ) | (2,031,050 | ) | (468,141 | ) | ||||||
AbbVie, Inc. | (68,789 | ) | (4,060,238 | ) | (198,489 | ) | ||||||
ABIOMED, Inc. | (21,124 | ) | (2,126,447 | ) | (182,195 | ) | ||||||
Acadia Healthcare Co., Inc. | (308,523 | ) | (17,303,996 | ) | 211,821 | |||||||
ACI Worldwide, Inc. | (218,852 | ) | (3,920,750 | ) | (349,053 | ) | ||||||
Acuity Brands, Inc. | (21,835 | ) | (5,378,177 | ) | (36,030 | ) | ||||||
AES Corp. | (114,647 | ) | (1,244,366 | ) | (186,429 | ) | ||||||
Air Lease Corp. | (205,025 | ) | (5,483,502 | ) | (7,068 | ) | ||||||
Akorn, Inc. | (421,859 | ) | (10,342,123 | ) | (1,674,530 | ) | ||||||
Alaska Air Group, Inc. | (28,912 | ) | (2,129,567 | ) | 444,286 | |||||||
Albemarle Corp. | (127,235 | ) | (6,347,754 | ) | (3,743,254 | ) | ||||||
Alcoa, Inc. | (890,235 | ) | (7,527,347 | ) | (725,131 | ) | ||||||
Alexion Pharmaceuticals, Inc. | (85,651 | ) | (11,687,935 | ) | 1,687,325 | |||||||
Align Technology, Inc. | (88,512 | ) | (5,218,936 | ) | (1,910,705 | ) | ||||||
Allergan plc | (7,153 | ) | (1,609,725 | ) | (43,261 | ) | ||||||
Alliance Data Systems Corp. | (33,316 | ) | (6,222,632 | ) | (304,639 | ) | ||||||
Ally Financial, Inc. | (300,260 | ) | (4,877,267 | ) | (248,171 | ) | ||||||
Alnylam Pharmaceuticals, Inc. | (55,680 | ) | (3,252,828 | ) | 163,145 | |||||||
AMC Networks, Inc. | (27,458 | ) | (1,763,862 | ) | 104,850 | |||||||
American Express Co. | (123,601 | ) | (6,670,960 | ) | (839,036 | ) | ||||||
AMETEK, Inc. | (145,212 | ) | (6,690,167 | ) | (22,984 | ) | ||||||
Amphenol Corp. | (229,099 | ) | (11,235,015 | ) | (1,899,231 | ) | ||||||
Amsurg Corp. | (32,828 | ) | (2,508,794 | ) | (36,689 | ) | ||||||
AmTrust Financial Services, Inc. | (199,232 | ) | (5,150,922 | ) | 269,738 | |||||||
Anadarko Petroleum Corp. | (13,613 | ) | (620,772 | ) | (104,120 | ) | ||||||
Antero Resources Corp. | (81,329 | ) | (2,048,199 | ) | (64,728 | ) | ||||||
Apache Corp. | (50,235 | ) | (2,460,762 | ) | (335,820 | ) | ||||||
Apple, Inc. | (46,748 | ) | (4,560,972 | ) | 91,863 | |||||||
Arch Capital Group Ltd. | (45,796 | ) | (3,136,815 | ) | (160,497 | ) | ||||||
Arista Networks, Inc. | (62,826 | ) | (3,329,778 | ) | (714,960 | ) | ||||||
ARRIS International plc | (251,663 | ) | (5,791,344 | ) | 516,488 | |||||||
Arthur J Gallagher & Co. | (9,033 | ) | (404,788 | ) | (25,183 | ) | ||||||
Artisan Partners Asset Management, Inc. | (61,759 | ) | (1,804,280 | ) | 94,791 | |||||||
Ascena Retail Group, Inc. | (299,286 | ) | (2,128,142 | ) | 36,133 | |||||||
Assured Guaranty Ltd. | (147,716 | ) | (3,456,164 | ) | (291,391 | ) | ||||||
AT&T, Inc. | (91,108 | ) | (3,339,108 | ) | (597,668 | ) | ||||||
athenahealth, Inc. | (36,003 | ) | (4,415,519 | ) | (553,255 | ) | ||||||
Autodesk, Inc. | (37,703 | ) | (2,162,200 | ) | 120,960 | |||||||
AutoNation, Inc. | (168,247 | ) | (8,277,940 | ) | 373,696 | |||||||
AutoZone, Inc. | (5,229 | ) | (3,647,646 | ) | (503,344 | ) | ||||||
Avangrid, Inc. | (31,277 | ) | (1,287,366 | ) | (153,252 | ) | ||||||
Avis Budget Group, Inc. | (233,327 | ) | (6,059,057 | ) | (1,461,073 | ) | ||||||
Avon Products, Inc. | (436,296 | ) | (1,496,495 | ) | (152,704 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Axalta Coating Systems Ltd. | (85,004 | ) | $ | (2,385,429 | ) | $ | 130,273 | |||||
B/E Aerospace, Inc. | (392,281 | ) | (16,705,151 | ) | (1,408,425 | ) | ||||||
Ball Corp. | (177,419 | ) | (12,643,116 | ) | (182,503 | ) | ||||||
Bank of Hawaii Corp. | (19,180 | ) | (1,206,950 | ) | (112,634 | ) | ||||||
Bank of the Ozarks, Inc. | (158,233 | ) | (6,257,794 | ) | 320,892 | |||||||
BankUnited, Inc. | (77,816 | ) | (2,550,140 | ) | 159,632 | |||||||
BB&T Corp. | (152,487 | ) | (4,919,902 | ) | (510,160 | ) | ||||||
Becton Dickinson and Co. | (2,768 | ) | (371,853 | ) | (97,572 | ) | ||||||
Bed Bath & Beyond, Inc. | (102,743 | ) | (4,435,156 | ) | (5,396 | ) | ||||||
BioMarin Pharmaceutical, Inc. | (38,060 | ) | (3,358,323 | ) | 397,255 | |||||||
Bio-Techne Corp. | (110,420 | ) | (9,696,286 | ) | (2,755,777 | ) | ||||||
Black Hills Corp. | (117,931 | ) | (6,305,715 | ) | (1,128,655 | ) | ||||||
Black Knight Financial Services, Inc. | (43,137 | ) | (1,207,244 | ) | (414,707 | ) | ||||||
BlackRock, Inc. | (12,604 | ) | (3,738,999 | ) | (578,249 | ) | ||||||
Bluebird Bio, Inc. | (73,020 | ) | (3,359,842 | ) | 198,807 | |||||||
BorgWarner, Inc. | (383,287 | ) | (11,349,128 | ) | 34,496 | |||||||
Boston Beer Co., Inc. (The) | (2,684 | ) | (483,898 | ) | 24,854 | |||||||
Brinker International, Inc. | (8,401 | ) | (376,058 | ) | (6,439 | ) | ||||||
Bristol-Myers Squibb Co. | (39,496 | ) | (2,592,743 | ) | (312,187 | ) | ||||||
Brown & Brown, Inc. | (86,251 | ) | (2,909,283 | ) | (322,542 | ) | ||||||
Brown-Forman Corp. | (135,387 | ) | (13,017,835 | ) | (488,372 | ) | ||||||
Buffalo Wild Wings, Inc. | (35,175 | ) | (4,924,500 | ) | 36,934 | |||||||
Cabela’s, Inc. | (308,386 | ) | (12,440,291 | ) | (2,997,512 | ) | ||||||
Cabot Oil & Gas Corp. | (115,707 | ) | (2,459,792 | ) | (518,506 | ) | ||||||
Cadence Design Systems, Inc. | (88,020 | ) | (1,744,556 | ) | (394,330 | ) | ||||||
CalAtlantic Group, Inc. | (441,219 | ) | (13,675,197 | ) | (2,521,952 | ) | ||||||
Calpine Corp. | (553,142 | ) | (8,006,099 | ) | (152,746 | ) | ||||||
Campbell Soup Co. | (45,758 | ) | (2,617,815 | ) | (426,465 | ) | ||||||
CarMax, Inc. | (267,869 | ) | (11,480,865 | ) | (1,652,752 | ) | ||||||
Carpenter Technology Corp. | (96,088 | ) | (2,609,175 | ) | (555,003 | ) | ||||||
Caterpillar, Inc. | (48,061 | ) | (3,622,680 | ) | (20,825 | ) | ||||||
Cathay General Bancorp | (63,650 | ) | (1,794,266 | ) | (664 | ) | ||||||
CBOE Holdings, Inc. | (25,274 | ) | (1,586,340 | ) | (97,414 | ) | ||||||
CBS Corp. | (104,994 | ) | (4,834,355 | ) | (881,518 | ) | ||||||
CDW Corp. | (22,171 | ) | (916,291 | ) | 27,677 | |||||||
CEB, Inc. | (17,899 | ) | (1,098,116 | ) | (5,895 | ) | ||||||
Centene Corp. | (3,018 | ) | (185,188 | ) | (30,207 | ) | ||||||
Cerner Corp. | (93,225 | ) | (5,035,599 | ) | (427,386 | ) | ||||||
CF Industries Holdings, Inc. | (299,273 | ) | (10,009,776 | ) | 2,797,297 | |||||||
CH Robinson Worldwide, Inc. | (34,791 | ) | (2,517,004 | ) | (66,227 | ) | ||||||
Cheniere Energy, Inc. | (258,766 | ) | (7,101,599 | ) | (2,615,064 | ) | ||||||
Chesapeake Energy Corp. | (570,247 | ) | (2,608,350 | ) | 167,693 | |||||||
Chevron Corp. | (54,209 | ) | (4,495,010 | ) | (1,187,719 | ) | ||||||
Chipotle Mexican Grill, Inc. | (32,347 | ) | (14,713,438 | ) | 1,685,360 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
177
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Church & Dwight Co., Inc. | (24,667 | ) | $ | (2,182,783 | ) | $ | (355,205 | ) | ||||
Ciena Corp. | (265,787 | ) | (4,824,584 | ) | (158,922 | ) | ||||||
Cincinnati Financial Corp. | (120,053 | ) | (7,460,513 | ) | (1,530,256 | ) | ||||||
CIT Group, Inc. | (289,464 | ) | (7,740,267 | ) | (1,496,529 | ) | ||||||
CLARCOR, Inc. | (11,535 | ) | (532,802 | ) | (168,872 | ) | ||||||
CMS Energy Corp. | (123,429 | ) | (4,935,703 | ) | (724,751 | ) | ||||||
CNO Financial Group, Inc. | (30,026 | ) | (558,344 | ) | 34,090 | |||||||
Coach, Inc. | (72,631 | ) | (2,473,086 | ) | (485,901 | ) | ||||||
Cobalt International Energy, Inc. | (607,668 | ) | (1,642,123 | ) | 827,847 | |||||||
Cognex Corp. | (123,052 | ) | (4,485,544 | ) | (817,997 | ) | ||||||
Colfax Corp. | (232,851 | ) | (5,951,511 | ) | (209,727 | ) | ||||||
Colgate-Palmolive Co. | (29,202 | ) | (1,923,828 | ) | (213,759 | ) | ||||||
Commerce Bancshares, Inc. | (31,164 | ) | (1,280,729 | ) | (212,027 | ) | ||||||
CommScope Holding Co., Inc. | (297,324 | ) | (6,853,503 | ) | (2,372,461 | ) | ||||||
Community Health Systems, Inc. | (201,430 | ) | (2,938,761 | ) | 511,529 | |||||||
CommVault Systems, Inc. | (59,105 | ) | (2,085,224 | ) | (467,521 | ) | ||||||
Compass Minerals International, Inc. | (146,507 | ) | (10,621,132 | ) | (248,222 | ) | ||||||
comScore, Inc. | (5,400 | ) | (153,156 | ) | 24,204 | |||||||
Concho Resources, Inc. | (62,210 | ) | (5,741,897 | ) | (1,677,890 | ) | ||||||
CONSOL Energy, Inc. | (234,851 | ) | (1,768,428 | ) | (2,010,325 | ) | ||||||
Cooper Cos., Inc. (The) | (20,540 | ) | (2,672,452 | ) | (851,595 | ) | ||||||
Copart, Inc. | (155,085 | ) | (6,095,992 | ) | (1,504,724 | ) | ||||||
Corning, Inc. | (374,300 | ) | (7,316,742 | ) | (348,922 | ) | ||||||
CoStar Group, Inc. | (31,465 | ) | (4,908,980 | ) | (1,971,157 | ) | ||||||
Covanta Holding Corp. | (430,740 | ) | (6,093,319 | ) | (992,354 | ) | ||||||
Cree, Inc. | (69,432 | ) | (1,911,124 | ) | 214,206 | |||||||
CST Brands, Inc. | (5,761 | ) | (195,451 | ) | (52,733 | ) | ||||||
Cullen/Frost Bankers, Inc. | (248,193 | ) | (12,469,542 | ) | (3,347,798 | ) | ||||||
CVS Health Corp. | (45,769 | ) | (4,160,492 | ) | (221,432 | ) | ||||||
Cypress Semiconductor Corp. | (1,280,221 | ) | (8,710,717 | ) | (4,795,614 | ) | ||||||
Danaher Corp. | (4,260 | ) | (362,909 | ) | (67,351 | ) | ||||||
DaVita HealthCare Partners, Inc. | (119,025 | ) | (7,485,411 | ) | (1,717,603 | ) | ||||||
Deckers Outdoor Corp. | (48,367 | ) | (2,609,092 | ) | (172,978 | ) | ||||||
Deere & Co. | (88,978 | ) | (7,012,341 | ) | (198,437 | ) | ||||||
Deluxe Corp. | (35,483 | ) | (2,087,977 | ) | (267,030 | ) | ||||||
DENTSPLY SIRONA, Inc. | (45,425 | ) | (2,853,752 | ) | 35,585 | |||||||
DeVry Education Group, Inc. | (101,774 | ) | (1,804,903 | ) | (10,746 | ) | ||||||
DexCom, Inc. | (128,112 | ) | (8,805,925 | ) | (1,357,200 | ) | ||||||
Diebold, Inc. | (205,457 | ) | (5,392,825 | ) | 291,328 | |||||||
Discovery Communications, Inc. | (411,440 | ) | (10,205,221 | ) | (175,410 | ) | ||||||
DISH Network Corp. | (117,594 | ) | (5,683,303 | ) | (478,623 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Dolby Laboratories, Inc. | (120,690 | ) | $ | (4,522,973 | ) | $ | (1,252,043 | ) | ||||
Dollar General Corp. | (14,668 | ) | (1,261,797 | ) | (116,995 | ) | ||||||
Dollar Tree, Inc. | (155,970 | ) | (11,847,721 | ) | (2,850,892 | ) | ||||||
Dominion Resources, Inc. | (250,584 | ) | (17,649,271 | ) | (1,878,740 | ) | ||||||
Donaldson Co., Inc. | (242,764 | ) | (7,249,300 | ) | (1,092,071 | ) | ||||||
Dover Corp. | (32,915 | ) | (2,079,560 | ) | (202,108 | ) | ||||||
DreamWorks Animation SKG, Inc. | (43,566 | ) | (955,838 | ) | (824,704 | ) | ||||||
DSW, Inc. | (74,683 | ) | (1,750,570 | ) | 168,784 | |||||||
Duke Energy Corp. | (54,865 | ) | (4,202,083 | ) | (504,785 | ) | ||||||
Dunkin’ Brands Group, Inc. | (400,161 | ) | (16,400,107 | ) | (1,054,916 | ) | ||||||
Eaton Vance Corp. | (108,949 | ) | (3,096,194 | ) | (754,064 | ) | ||||||
Ecolab, Inc. | (92,011 | ) | (9,863,579 | ) | (1,048,925 | ) | ||||||
Electronic Arts, Inc. | (13,782 | ) | (1,012,162 | ) | (31,962 | ) | ||||||
Envision Healthcare Holdings, Inc. | (533,377 | ) | (10,653,420 | ) | (2,878,354 | ) | ||||||
EOG Resources, Inc. | (4,302 | ) | (307,375 | ) | (51,498 | ) | ||||||
Esterline Technologies Corp. | (11,646 | ) | (634,006 | ) | (88,512 | ) | ||||||
Eversource Energy | (123,403 | ) | (6,801,096 | ) | (590,744 | ) | ||||||
Exelon Corp. | (201,799 | ) | (6,569,588 | ) | (767,823 | ) | ||||||
Expedia, Inc. | (30,403 | ) | (3,268,605 | ) | 36,766 | |||||||
Expeditors International of Washington, Inc. | (70,640 | ) | (3,293,079 | ) | (171,106 | ) | ||||||
Express Scripts Holding Co. | (15,572 | ) | (1,092,624 | ) | (87,733 | ) | ||||||
Exxon Mobil Corp. | (44,922 | ) | (3,597,354 | ) | (613,635 | ) | ||||||
F5 Networks, Inc. | (10,250 | ) | (898,003 | ) | (268,858 | ) | ||||||
FactSet Research Systems, Inc. | (24,576 | ) | (3,480,690 | ) | (486,368 | ) | ||||||
Fastenal Co. | (23,015 | ) | (1,030,655 | ) | 9,019 | |||||||
Federated Investors, Inc. | (239,217 | ) | (5,950,937 | ) | (933,728 | ) | ||||||
FEI Co. | (46,869 | ) | (3,332,171 | ) | (1,677,188 | ) | ||||||
Fidelity National Information Services, Inc. | (79,845 | ) | (5,332,320 | ) | (550,660 | ) | ||||||
Fifth Third Bancorp | (70,705 | ) | (1,181,679 | ) | (62,022 | ) | ||||||
FireEye, Inc. | (85,509 | ) | (1,358,122 | ) | (50,211 | ) | ||||||
First American Financial Corp. | (61,161 | ) | (2,026,096 | ) | (433,800 | ) | ||||||
First Data Corp. | (306,806 | ) | (4,011,909 | ) | 615,566 | |||||||
First Horizon National Corp. | (598,682 | ) | (7,276,682 | ) | (973,156 | ) | ||||||
First Republic Bank | (79,365 | ) | (4,595,234 | ) | (959,523 | ) | ||||||
FleetCor Technologies, Inc. | (40,610 | ) | (4,624,261 | ) | (1,188,249 | ) | ||||||
FLIR Systems, Inc. | (110,562 | ) | (3,179,942 | ) | (241,952 | ) | ||||||
Flowers Foods, Inc. | (442,462 | ) | (8,337,904 | ) | 41,742 | |||||||
Flowserve Corp. | (176,838 | ) | (7,034,398 | ) | (953,374 | ) | ||||||
Fluor Corp. | (19,939 | ) | (860,567 | ) | (122,027 | ) | ||||||
FMC Corp. | (356,572 | ) | (12,340,691 | ) | (4,172,158 | ) | ||||||
FNF Group | (122,397 | ) | (3,716,689 | ) | (873,199 | ) | ||||||
Ford Motor Co. | (395,083 | ) | (4,484,192 | ) | (482,001 | ) | ||||||
Fortune Brands Home & Security, Inc. | (86,245 | ) | (4,336,491 | ) | (663,132 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
178
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Fossil Group, Inc. | (67,291 | ) | $ | (2,264,702 | ) | $ | 344,889 | |||||
Franklin Resources, Inc. | (149,631 | ) | (4,801,659 | ) | (191,528 | ) | ||||||
Freeport-McMoRan, Inc. | (286,898 | ) | (1,434,490 | ) | (1,761,554 | ) | ||||||
Frontier Communications Corp. | (270,817 | ) | (1,169,929 | ) | (167,907 | ) | ||||||
FTI Consulting, Inc. | (68,450 | ) | (2,406,702 | ) | (377,844 | ) | ||||||
GameStop Corp. | (45,717 | ) | (1,198,073 | ) | (17,084 | ) | ||||||
Gap, Inc. (The) | (210,381 | ) | (4,895,566 | ) | 431,281 | |||||||
GATX Corp. | (67,217 | ) | (2,858,106 | ) | (97,425 | ) | ||||||
GCP Applied Technologies, Inc. | (6,759 | ) | (114,227 | ) | (61,777 | ) | ||||||
General Electric Co. | (77,191 | ) | (2,182,961 | ) | (247,011 | ) | ||||||
Genesee & Wyoming, Inc. | (156,167 | ) | (8,852,028 | ) | (354,017 | ) | ||||||
Gentex Corp. | (639,252 | ) | (8,753,285 | ) | (1,123,159 | ) | ||||||
Genworth Financial, Inc. | (1,225,282 | ) | (2,427,503 | ) | (733,725 | ) | ||||||
Global Payments, Inc. | (52,362 | ) | (3,133,064 | ) | (604,535 | ) | ||||||
Graco, Inc. | (85,564 | ) | (6,262,437 | ) | (496,263 | ) | ||||||
Granite Construction, Inc. | (14,023 | ) | (623,503 | ) | (15,245 | ) | ||||||
Greif, Inc. | (20,383 | ) | (537,395 | ) | (222,279 | ) | ||||||
H&R Block, Inc. | (343,196 | ) | (8,533,951 | ) | 640,443 | |||||||
Hain Celestial Group, Inc. (The) | (265,718 | ) | (9,175,433 | ) | (4,044,038 | ) | ||||||
Halliburton Co. | (52,206 | ) | (2,088,523 | ) | (275,886 | ) | ||||||
Halyard Health, Inc. | (134,425 | ) | (3,428,452 | ) | (943,049 | ) | ||||||
Hancock Holding Co. | (230,549 | ) | (5,405,996 | ) | (613,638 | ) | ||||||
Hanesbrands, Inc. | (288,604 | ) | (7,546,730 | ) | 294,112 | |||||||
Harley-Davidson, Inc. | (106,182 | ) | (4,556,365 | ) | (253,679 | ) | ||||||
Harris Corp. | (75,782 | ) | (5,573,568 | ) | (749,683 | ) | ||||||
Helmerich & Payne, Inc. | (58,358 | ) | (3,369,027 | ) | (548,546 | ) | ||||||
Henry Schein, Inc. | (32,233 | ) | (5,051,805 | ) | (646,990 | ) | ||||||
Hershey Co. (The) | (78,716 | ) | (7,070,271 | ) | (1,863,208 | ) | ||||||
Hexcel Corp. | (273,391 | ) | (10,881,193 | ) | (502,808 | ) | ||||||
Hormel Foods Corp. | (171,295 | ) | (6,634,228 | ) | 364,831 | |||||||
Huntington Bancshares, Inc. | (237,029 | ) | (2,273,711 | ) | 154,672 | |||||||
IDEXX Laboratories, Inc. | (178,652 | ) | (12,235,875 | ) | (4,353,749 | ) | ||||||
Illumina, Inc. | (128,932 | ) | (18,004,410 | ) | (95,064 | ) | ||||||
Ingevity Corp. | (9,522 | ) | — | (324,129 | ) | |||||||
Intel Corp. | (98,945 | ) | (2,912,204 | ) | (333,192 | ) | ||||||
InterDigital, Inc. | (34,709 | ) | (1,474,785 | ) | (457,812 | ) | ||||||
International Business Machines Corp. | (25,873 | ) | (3,210,063 | ) | (716,941 | ) | ||||||
International Flavors & Fragrances, Inc. | (45,889 | ) | (5,323,967 | ) | (461,259 | ) | ||||||
Intuitive Surgical, Inc. | (783 | ) | (500,293 | ) | (17,591 | ) | ||||||
IPG Photonics Corp. | (76,250 | ) | (6,298,940 | ) | 198,940 | |||||||
ITC Holdings Corp. | (172,698 | ) | (6,674,778 | ) | (1,410,943 | ) | ||||||
j2 Global, Inc. | (57,179 | ) | (3,725,127 | ) | 113,129 | |||||||
Janus Capital Group, Inc. | (189,976 | ) | (2,708,196 | ) | 63,730 | |||||||
JB Hunt Transport Services, Inc. | (60,927 | ) | (4,576,836 | ) | (353,986 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
JC Penney Co., Inc. | (247,042 | ) | $ | (1,970,934 | ) | $ | (222,799 | ) | ||||
JM Smucker Co. (The) | (32,237 | ) | (4,105,382 | ) | (807,859 | ) | ||||||
Johnson Controls, Inc. | (89,414 | ) | (3,969,937 | ) | 12,473 | |||||||
Kansas City Southern | (92,779 | ) | (7,291,502 | ) | (1,066,959 | ) | ||||||
Kellogg Co. | (1,932 | ) | (137,945 | ) | (19,803 | ) | ||||||
KeyCorp. | (401,755 | ) | (4,764,365 | ) | 324,973 | |||||||
Keysight Technologies, Inc. | (28,278 | ) | (783,410 | ) | (39,197 | ) | ||||||
Kinder Morgan, Inc. | (175,603 | ) | (2,783,630 | ) | (503,658 | ) | ||||||
KLX, Inc. | (178,741 | ) | (5,126,977 | ) | (413,994 | ) | ||||||
Knowles Corp. | (253,852 | ) | (3,112,607 | ) | (360,089 | ) | ||||||
Kohl’s Corp. | (18,422 | ) | (762,671 | ) | 64,109 | |||||||
Kosmos Energy Ltd. | (402,691 | ) | (2,074,036 | ) | (120,630 | ) | ||||||
Kroger Co. (The) | (28,886 | ) | (1,031,912 | ) | (30,804 | ) | ||||||
Landstar System, Inc. | (59,819 | ) | (3,644,206 | ) | (462,966 | ) | ||||||
Laredo Petroleum, Inc. | (167,230 | ) | (1,523,563 | ) | (229,007 | ) | ||||||
Legg Mason, Inc. | (71,042 | ) | (1,974,031 | ) | (120,997 | ) | ||||||
Lennar Corp. | (169,367 | ) | (6,535,387 | ) | (1,272,431 | ) | ||||||
Leucadia National Corp. | (294,764 | ) | (4,609,346 | ) | (498,914 | ) | ||||||
Linear Technology Corp. | (61,585 | ) | (2,519,442 | ) | (346,108 | ) | ||||||
Lions Gate Entertainment Corp. | (580,501 | ) | (11,594,617 | ) | (148,918 | ) | ||||||
Lockheed Martin Corp. | (1,394 | ) | (314,820 | ) | (31,129 | ) | ||||||
Loews Corp. | (93,808 | ) | (3,412,735 | ) | (441,836 | ) | ||||||
LPL Financial Holdings, Inc. | (126,594 | ) | (3,214,991 | ) | 362,828 | |||||||
Mallinckrodt plc | (10,768 | ) | (651,403 | ) | (3,076 | ) | ||||||
Manitowoc Foodservice, Inc. | (235,220 | ) | (252,351 | ) | (3,892,226 | ) | ||||||
Marathon Oil Corp. | (136,549 | ) | (1,519,448 | ) | (530,152 | ) | ||||||
Markel Corp. | (1,583 | ) | (1,314,602 | ) | (193,648 | ) | ||||||
MarketAxess Holdings, Inc. | (13,317 | ) | (1,730,205 | ) | (206,087 | ) | ||||||
Marsh & McLennan Cos., Inc. | (347,160 | ) | (19,235,698 | ) | (4,530,875 | ) | ||||||
Mattel, Inc. | (108,345 | ) | (3,377,114 | ) | (13,001 | ) | ||||||
MAXIMUS, Inc. | (111,855 | ) | (5,627,382 | ) | (566,030 | ) | ||||||
McCormick & Co., Inc. | (84,353 | ) | (7,634,542 | ) | (1,363,392 | ) | ||||||
McDonald’s Corp. | (38,248 | ) | (4,765,113 | ) | 162,349 | |||||||
MDC Holdings, Inc. | (90,983 | ) | (1,798,734 | ) | (415,792 | ) | ||||||
MDU Resources Group, Inc. | (142,660 | ) | (2,823,642 | ) | (600,198 | ) | ||||||
Mead Johnson Nutrition Co. | (23,778 | ) | (1,615,002 | ) | (542,852 | ) | ||||||
MEDNAX, Inc. | (196,659 | ) | (13,133,395 | ) | (1,110,616 | ) | ||||||
Mercury General Corp. | (36,325 | ) | (1,847,184 | ) | (83,853 | ) | ||||||
Meredith Corp. | (5,772 | ) | (296,842 | ) | (2,782 | ) | ||||||
Mettler-Toledo International, Inc. | (12,371 | ) | (3,797,897 | ) | (716,528 | ) | ||||||
Microchip Technology, Inc. | (221,227 | ) | (9,522,334 | ) | (1,707,148 | ) | ||||||
Microsemi Corp. | (161,204 | ) | (5,588,236 | ) | 320,089 | |||||||
Middleby Corp. (The) | (106,934 | ) | (9,195,646 | ) | (3,128,497 | ) | ||||||
Moody’s Corp. | (47,984 | ) | (3,842,511 | ) | (654,070 | ) | ||||||
Mosaic Co. (The) | (233,251 | ) | (6,178,458 | ) | 71,947 | |||||||
Murphy Oil Corp. | (34,106 | ) | (1,002,454 | ) | (80,412 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
179
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Mylan NV | (263 | ) | $ | (11,892 | ) | $ | 520 | |||||
National Fuel Gas Co. | (38,102 | ) | (1,712,304 | ) | (454,938 | ) | ||||||
National Instruments Corp. | (161,696 | ) | (4,461,473 | ) | 31,002 | |||||||
National Oilwell Varco, Inc. | (149,201 | ) | (4,131,604 | ) | (889,009 | ) | ||||||
Navient Corp. | (571,445 | ) | (5,032,071 | ) | (1,796,697 | ) | ||||||
NetApp, Inc. | (78,482 | ) | (2,105,814 | ) | 175,942 | |||||||
Netflix, Inc. | (32,616 | ) | (2,896,134 | ) | (87,578 | ) | ||||||
NetScout Systems, Inc. | (353,987 | ) | (7,667,806 | ) | (208,405 | ) | ||||||
NetSuite, Inc. | (214,942 | ) | (11,603,992 | ) | (4,043,786 | ) | ||||||
NeuStar, Inc. | (23,492 | ) | (539,251 | ) | (13,046 | ) | ||||||
Newell Brands, Inc. | (109,289 | ) | (4,519,419 | ) | (788,748 | ) | ||||||
NewMarket Corp. | (8,762 | ) | (2,999,310 | ) | (631,487 | ) | ||||||
NextEra Energy, Inc. | (141,054 | ) | (16,533,165 | ) | (1,860,276 | ) | ||||||
Nielsen Holdings plc | (140,105 | ) | (6,322,939 | ) | (958,318 | ) | ||||||
Noble Energy, Inc. | (103,241 | ) | (2,982,332 | ) | (720,923 | ) | ||||||
Nordson Corp. | (83,746 | ) | (4,944,797 | ) | (2,057,206 | ) | ||||||
Nordstrom, Inc. | (59,354 | ) | (2,987,880 | ) | 729,461 | |||||||
Northern Trust Corp. | (639 | ) | (37,056 | ) | (5,285 | ) | ||||||
Norwegian Cruise Line Holdings Ltd. | (121,335 | ) | (6,178,137 | ) | 1,344,151 | |||||||
NRG Energy, Inc. | (376,788 | ) | (4,084,382 | ) | (1,563,670 | ) | ||||||
NVIDIA Corp. | (71,095 | ) | (2,832,418 | ) | (509,758 | ) | ||||||
Occidental Petroleum Corp. | (29,579 | ) | (1,996,573 | ) | (238,417 | ) | ||||||
Oceaneering International, Inc. | (10,177 | ) | (301,682 | ) | (2,203 | ) | ||||||
OGE Energy Corp. | (514,631 | ) | (14,039,276 | ) | (2,814,890 | ) | ||||||
Old Dominion Freight Line, Inc. | (51,876 | ) | (3,499,697 | ) | 371,055 | |||||||
Olin Corp. | (536,673 | ) | (10,625,038 | ) | (2,705,919 | ) | ||||||
OneMain Holdings, Inc. | (16,662 | ) | (417,271 | ) | 37,045 | |||||||
ONEOK, Inc. | (292,222 | ) | (6,602,343 | ) | (7,263,591 | ) | ||||||
OPKO Health, Inc. | (549,136 | ) | (5,504,014 | ) | 375,084 | |||||||
Oracle Corp. | (59,758 | ) | (2,096,311 | ) | (349,584 | ) | ||||||
O’Reilly Automotive, Inc. | (6,330 | ) | (1,495,716 | ) | (220,347 | ) | ||||||
Oshkosh Corp. | (88,348 | ) | (2,819,442 | ) | (1,395,641 | ) | ||||||
Owens & Minor, Inc. | (94,601 | ) | (3,495,155 | ) | (41,030 | ) | ||||||
Owens-Illinois, Inc. | (4,643 | ) | (85,091 | ) | 1,471 | |||||||
PACCAR, Inc. | (29,152 | ) | (1,572,099 | ) | 59,985 | |||||||
PacWest Bancorp | (124,282 | ) | (4,346,323 | ) | (597,615 | ) | ||||||
Palo Alto Networks, Inc. | (59,129 | ) | (8,554,356 | ) | 1,302,775 | |||||||
Pandora Media, Inc. | (1,198,599 | ) | (11,590,261 | ) | (3,332,297 | ) | ||||||
Panera Bread Co. | (14,699 | ) | (2,817,885 | ) | (297,421 | ) | ||||||
PAREXEL International Corp. | (116,733 | ) | (7,125,655 | ) | (214,516 | ) | ||||||
Patterson Cos., Inc. | (142,312 | ) | (6,110,046 | ) | (705,275 | ) | ||||||
Paychex, Inc. | (98,498 | ) | (4,718,808 | ) | (1,141,823 | ) | ||||||
PayPal Holdings, Inc. | (59,631 | ) | (2,331,738 | ) | 154,610 | |||||||
Penske Automotive Group, Inc. | (110,566 | ) | (3,858,188 | ) | 379,781 | |||||||
Phillips 66 | (10,420 | ) | (826,977 | ) | 254 | |||||||
Pinnacle Foods, Inc. | (45,826 | ) | (1,985,725 | ) | (135,560 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Platform Specialty Products Corp. | (1,039,566 | ) | $ | (6,647,241 | ) | $ | (2,584,105 | ) | ||||
Polaris Industries, Inc. | (69,209 | ) | (5,468,344 | ) | (190,184 | ) | ||||||
PolyOne Corp. | (2,431 | ) | (60,605 | ) | (25,064 | ) | ||||||
Post Holdings, Inc. | (46,178 | ) | (2,894,437 | ) | (924,022 | ) | ||||||
PPL Corp. | (102,970 | ) | (3,727,937 | ) | (159,180 | ) | ||||||
Praxair, Inc. | (78,765 | ) | (8,177,382 | ) | (675,016 | ) | ||||||
Premier, Inc. | (74,431 | ) | (2,446,091 | ) | 12,197 | |||||||
Prestige Brands Holdings, Inc. | (12,865 | ) | (700,897 | ) | (11,824 | ) | ||||||
Priceline Group, Inc. (The) | (2,624 | ) | (3,069,031 | ) | (206,796 | ) | ||||||
Primerica, Inc. | (76,834 | ) | (3,444,785 | ) | (953,193 | ) | ||||||
Principal Financial Group, Inc. | (185,701 | ) | (6,756,374 | ) | (877,794 | ) | ||||||
Prosperity Bancshares, Inc. | (112,794 | ) | (4,869,082 | ) | (882,284 | ) | ||||||
PTC, Inc. | (8,134 | ) | (312,220 | ) | 6,545 | |||||||
PulteGroup, Inc. | (415,324 | ) | (7,006,188 | ) | (1,088,477 | ) | ||||||
Qorvo, Inc. | (46,103 | ) | (1,644,866 | ) | (902,786 | ) | ||||||
Quest Diagnostics, Inc. | (31,720 | ) | (1,920,646 | ) | (661,679 | ) | ||||||
Quorum Health Corp. | (9,119 | ) | — | (97,664 | ) | |||||||
Range Resources Corp. | (56,988 | ) | (1,597,944 | ) | (860,519 | ) | ||||||
Regal Entertainment Group | (34,056 | ) | (645,828 | ) | (104,766 | ) | ||||||
Regeneron Pharmaceuticals, Inc. | (14,289 | ) | (5,330,513 | ) | 340,366 | |||||||
RenaissanceRe Holdings Ltd. | (26,912 | ) | (3,050,555 | ) | (109,991 | ) | ||||||
Rent-A-Center, Inc. | (175,682 | ) | (2,048,822 | ) | (108,553 | ) | ||||||
ResMed, Inc. | (132,258 | ) | (7,562,512 | ) | (800,161 | ) | ||||||
Restoration Hardware Holdings, Inc. | (174,672 | ) | (6,241,285 | ) | 1,231,692 | |||||||
Rice Energy, Inc. | (139,722 | ) | (1,797,773 | ) | (1,281,700 | ) | ||||||
Rockwell Collins, Inc. | (166,454 | ) | (13,764,504 | ) | (407,390 | ) | ||||||
Roper Technologies, Inc. | (32,790 | ) | (5,660,759 | ) | 68,096 | |||||||
Rovi Corp. | (78,893 | ) | (1,403,112 | ) | 169,225 | |||||||
RPC, Inc. | (48,284 | ) | (638,419 | ) | (111,431 | ) | ||||||
Ryder System, Inc. | (10,467 | ) | (686,165 | ) | 46,213 | |||||||
Sabre Corp. | (34,320 | ) | (936,624 | ) | 17,191 | |||||||
salesforce.com, Inc. | (34,879 | ) | (1,999,613 | ) | (770,128 | ) | ||||||
Sally Beauty Holdings, Inc. | (106,618 | ) | (3,158,999 | ) | 23,363 | |||||||
Santander Consumer USA Holdings, Inc. | (42,536 | ) | (427,468 | ) | (11,928 | ) | ||||||
SBA Communications Corp. | (66,339 | ) | (5,687,906 | ) | (1,472,726 | ) | ||||||
Schlumberger Ltd. | (42,833 | ) | (2,940,802 | ) | (446,431 | ) | ||||||
Scripps Networks Interactive, Inc. | (72,614 | ) | (3,993,770 | ) | (527,904 | ) | ||||||
Seagate Technology plc | (99,939 | ) | (3,039,895 | ) | 605,381 | |||||||
Seattle Genetics, Inc. | (175,465 | ) | (5,197,755 | ) | (1,892,786 | ) | ||||||
Sempra Energy | (47,352 | ) | (4,840,732 | ) | (558,343 | ) | ||||||
Semtech Corp. | (16,869 | ) | (273,615 | ) | (128,879 | ) | ||||||
ServiceNow, Inc. | (83,233 | ) | (4,298,944 | ) | (1,227,727 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
180
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Signet Jewelers Ltd. | (19,057 | ) | $ | (2,121,226 | ) | $ | 550,738 | |||||
Silgan Holdings, Inc. | (29,306 | ) | (1,500,353 | ) | (7,734 | ) | ||||||
Silicon Laboratories, Inc. | (31,719 | ) | (1,261,090 | ) | (284,894 | ) | ||||||
Sirius XM Holdings, Inc. | (2,259,010 | ) | (7,567,684 | ) | (1,355,406 | ) | ||||||
Six Flags Entertainment Corp. | (118,613 | ) | (5,663,967 | ) | (1,209,657 | ) | ||||||
Skyworks Solutions, Inc. | (105,097 | ) | (7,251,864 | ) | 601,326 | |||||||
SLM Corp. | (46,288 | ) | (285,733 | ) | (327 | ) | ||||||
Snyder’s-Lance, Inc. | (47,982 | ) | (1,482,321 | ) | (143,789 | ) | ||||||
Sotheby’s | (127,117 | ) | (2,908,437 | ) | (574,569 | ) | ||||||
Southern Co. (The) | (372,666 | ) | (18,334,407 | ) | (1,651,671 | ) | ||||||
Southwestern Energy Co. | (152,917 | ) | (1,803,699 | ) | (119,997 | ) | ||||||
Spectra Energy Corp. | (179,066 | ) | (5,219,774 | ) | (1,339,414 | ) | ||||||
Spectrum Brands Holdings, Inc. | (61,845 | ) | (6,265,311 | ) | (1,113,416 | ) | ||||||
Spirit Airlines, Inc. | (72,843 | ) | (3,104,248 | ) | (164,217 | ) | ||||||
Splunk, Inc. | (143,453 | ) | (4,579,020 | ) | (3,193,264 | ) | ||||||
Sprouts Farmers Market, Inc. | (432,254 | ) | (9,682,490 | ) | (216,127 | ) | ||||||
SS&C Technologies Holdings, Inc. | (219,400 | ) | (6,664,639 | ) | 503,887 | |||||||
State Street Corp. | (61,198 | ) | (3,583,447 | ) | 283,651 | |||||||
Stericycle, Inc. | (200,499 | ) | (21,189,340 | ) | 313,384 | |||||||
Stifel Financial Corp. | (6,240 | ) | (216,561 | ) | 20,313 | |||||||
Stryker Corp. | (20,782 | ) | (2,307,178 | ) | (183,129 | ) | ||||||
SunPower Corp. | (483,914 | ) | (9,658,858 | ) | 2,163,030 | |||||||
SVB Financial Group | (56,706 | ) | (5,814,618 | ) | 418,475 | |||||||
T Rowe Price Group, Inc. | (53,471 | ) | (3,555,287 | ) | (346,492 | ) | ||||||
Tableau Software, Inc. | (17,722 | ) | (861,097 | ) | (5,863 | ) | ||||||
Talen Energy Corp. | (355 | ) | (4,842 | ) | 32 | |||||||
Targa Resources Corp. | (157,853 | ) | (5,205,085 | ) | (1,446,840 | ) | ||||||
TEGNA, Inc. | (43,817 | ) | (1,038,701 | ) | 23,461 | |||||||
Teledyne Technologies, Inc. | (4,381 | ) | (343,186 | ) | (90,752 | ) | ||||||
Tempur Sealy International, Inc. | (5,219 | ) | (304,415 | ) | 15,700 | |||||||
Tenet Healthcare Corp. | (345,399 | ) | (8,362,110 | ) | (1,184,719 | ) | ||||||
Tesla Motors, Inc. | (14,766 | ) | (2,912,201 | ) | (222,326 | ) | ||||||
Texas Instruments, Inc. | (14,586 | ) | (899,666 | ) | (14,147 | ) | ||||||
Tiffany & Co. | (92,097 | ) | (5,947,364 | ) | 362,602 | |||||||
Toll Brothers, Inc. | (20,871 | ) | (555,277 | ) | (6,361 | ) | ||||||
Tractor Supply Co. | (56,681 | ) | (4,616,667 | ) | (551,506 | ) | ||||||
TransDigm Group, Inc. | (132,453 | ) | (25,121,813 | ) | (9,804,719 | ) | ||||||
TreeHouse Foods, Inc. | (133,785 | ) | (11,024,132 | ) | (2,708,898 | ) | ||||||
TRI Pointe Group, Inc. | (31,299 | ) | (364,854 | ) | (5,101 | ) | ||||||
Trimble Navigation Ltd. | (58,422 | ) | (1,099,502 | ) | (323,658 | ) | ||||||
TripAdvisor, Inc. | (101,732 | ) | (5,568,606 | ) | (972,761 | ) | ||||||
Triumph Group, Inc. | (185,269 | ) | (4,835,306 | ) | (1,741,744 | ) | ||||||
Trustmark Corp. | (17,237 | ) | (411,963 | ) | (16,377 | ) | ||||||
Tupperware Brands Corp. | (57,797 | ) | (3,020,518 | ) | (232,297 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Twenty-First Century Fox, Inc. | (281,390 | ) | $ | (6,937,703 | ) | $ | (673,896 | ) | ||||
Twitter, Inc. | (6,910 | ) | (117,634 | ) | 786 | |||||||
Tyler Technologies, Inc. | (48,217 | ) | (6,725,562 | ) | (1,312,694 | ) | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. | (19,087 | ) | (3,948,392 | ) | (701,965 | ) | ||||||
Ultimate Software Group, Inc. (The) | (54,896 | ) | (8,707,003 | ) | (2,837,077 | ) | ||||||
Umpqua Holdings Corp. | (68,705 | ) | (1,024,926 | ) | (37,941 | ) | ||||||
Under Armour, Inc. | (420,686 | ) | (24,698,990 | ) | 7,816,861 | |||||||
Under Armour, Inc. | (157,229 | ) | (2 | ) | (5,723,134 | ) | ||||||
Union Pacific Corp. | (29,181 | ) | (2,250,439 | ) | (295,604 | ) | ||||||
United Natural Foods, Inc. | (124,027 | ) | (4,107,671 | ) | (1,696,793 | ) | ||||||
United Rentals, Inc. | (19,079 | ) | (1,128,735 | ) | (151,466 | ) | ||||||
United Technologies Corp. | (64,722 | ) | (5,646,347 | ) | (990,894 | ) | ||||||
USG Corp. | (277,495 | ) | (5,341,779 | ) | (2,139,486 | ) | ||||||
Valley National Bancorp | (628,255 | ) | (5,679,394 | ) | (50,292 | ) | ||||||
Varian Medical Systems, Inc. | (81,924 | ) | (6,133,650 | ) | (602,961 | ) | ||||||
Veeva Systems, Inc. | (187,495 | ) | (4,354,876 | ) | (2,042,453 | ) | ||||||
VeriFone Systems, Inc. | (115,176 | ) | (2,332,154 | ) | 196,791 | |||||||
Verisk Analytics, Inc. | (127,377 | ) | (8,632,339 | ) | (1,695,388 | ) | ||||||
Vertex Pharmaceuticals, Inc. | (47,858 | ) | (3,947,880 | ) | (168,865 | ) | ||||||
VF Corp. | (21,165 | ) | (1,293,370 | ) | (8,066 | ) | ||||||
Vishay Intertechnology, Inc. | (693 | ) | (8,362 | ) | (224 | ) | ||||||
Vista Outdoor, Inc. | (9,733 | ) | (434,773 | ) | (29,783 | ) | ||||||
VMware, Inc. | (67,114 | ) | (3,080,977 | ) | (759,286 | ) | ||||||
Wabtec Corp. | (118,839 | ) | (7,478,238 | ) | (867,825 | ) | ||||||
Waters Corp. | (13,878 | ) | (1,607,489 | ) | (344,452 | ) | ||||||
WebMD Health Corp. | (34,824 | ) | (2,215,210 | ) | 191,587 | |||||||
Webster Financial Corp. | (17,024 | ) | (630,722 | ) | 52,757 | |||||||
WEC Energy Group, Inc. | (460,183 | ) | (26,383,646 | ) | (3,666,304 | ) | ||||||
Wendy’s Co. (The) | (245,599 | ) | (2,390,701 | ) | 28,039 | |||||||
WESCO International, Inc. | (61,705 | ) | (3,100,299 | ) | (76,891 | ) | ||||||
Western Digital Corp. | (5,784 | ) | (220,019 | ) | (53,333 | ) | ||||||
Western Union Co. (The) | (465,879 | ) | (7,919,943 | ) | (1,015,616 | ) | ||||||
WestRock Co. | (280,841 | ) | (9,643,075 | ) | (1,273,214 | ) | ||||||
WhiteWave Foods Co. (The) | (322,895 | ) | (11,968,430 | ) | (3,188,261 | ) | ||||||
Whiting Petroleum Corp. | (91,885 | ) | (1,011,878 | ) | 161,023 | |||||||
Whole Foods Market, Inc. | (282,302 | ) | (8,324,864 | ) | (714,446 | ) | ||||||
Williams-Sonoma, Inc. | (91,451 | ) | (4,829,379 | ) | 62,038 | |||||||
WisdomTree Investments, Inc. | (1,350,846 | ) | (14,746,155 | ) | 1,521,372 | |||||||
Woodward, Inc. | (48,115 | ) | (2,106,956 | ) | (666,393 | ) | ||||||
Workday, Inc. | (143,470 | ) | (7,093,106 | ) | (3,619,799 | ) | ||||||
WPX Energy, Inc. | (176,380 | ) | (1,377,571 | ) | (264,526 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
181
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
WR Berkley Corp. | (43,660 | ) | $ | (2,320,722 | ) | $ | (295,385 | ) | ||||
WR Grace & Co. | (17,083 | ) | (1,166,940 | ) | (83,707 | ) | ||||||
Wynn Resorts Ltd. | (72,795 | ) | (4,254,868 | ) | (2,343,271 | ) | ||||||
Xcel Energy, Inc. | (159,248 | ) | (6,309,406 | ) | (821,720 | ) | ||||||
Yahoo!, Inc. | (116,239 | ) | (3,117,530 | ) | (1,248,407 | ) | ||||||
Yelp, Inc. | (38,065 | ) | (878,853 | ) | (276,800 | ) | ||||||
Zayo Group Holdings, Inc. | (35,122 | ) | (954,808 | ) | (26,150 | ) | ||||||
Zebra Technologies Corp. | (87,041 | ) | (4,759,402 | ) | 398,648 | |||||||
Zillow Group, Inc. | (148,788 | ) | (3,043,425 | ) | (2,354,604 | ) | ||||||
Zimmer Biomet Holdings, Inc. | (221,680 | ) | (20,741,949 | ) | (5,943,889 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Zions Bancorporation | (342,911 | ) | $ | (7,189,257 | ) | $ | (1,428,097 | ) | ||||
|
| |||||||||||
(260,249,586 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (266,536,287 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (16,316,253 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 1,116,710 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (15,199,543 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap. | 56-61 months maturity 01/14/2021 | $5,877,921 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Sweden | ||||||||||||
BillerudKorsnas AB | 61,930 | $ | 980,685 | $ | (56,535 | ) | ||||||
Boliden AB | 254,146 | 3,454,958 | 1,512,096 | |||||||||
Bonava AB | 29,857 | (16,114 | ) | 376,063 | ||||||||
Electrolux AB | 643,670 | 13,941,131 | 3,608,432 | |||||||||
Husqvarna AB | 435,390 | 2,568,241 | 673,880 | |||||||||
NCC AB | 52,267 | 1,507,080 | (293,483 | ) | ||||||||
Nibe Industrier AB | 37,520 | 284,246 | 27,761 | |||||||||
Saab AB | 11,936 | 374,751 | (2,531 | ) | ||||||||
Securitas AB | 162,329 | 2,247,085 | 258,921 | |||||||||
Skanska AB | 190,910 | 3,436,961 | 560,500 | |||||||||
SSAB AB | 123,183 | 495,175 | (208,302 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Sweden (continued) | ||||||||||||
Svenska Cellulosa AB SCA | 338,101 | $ | 9,600,920 | $ | 1,262,491 | |||||||
Swedish Match AB | 149,582 | 4,994,862 | 225,267 | |||||||||
Swedish Orphan Biovitrum AB | 15,975 | 195,463 | 653 | |||||||||
TeliaSonera AB | 376,554 | 1,761,944 | 21,219 | |||||||||
Trelleborg AB | 44,881 | 742,584 | 53,851 | |||||||||
|
| |||||||||||
8,020,283 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 8,020,283 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
182
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Luxembourg | ||||||||||||
Millicom International Cellular SA | (25,526 | ) | $ | (1,156,304 | ) | $ | (409,444 | ) | ||||
|
| |||||||||||
Sweden | ||||||||||||
Alfa Laval AB | (157,855 | ) | (2,590,485 | ) | 102,561 | |||||||
Assa Abloy AB | (71,850 | ) | (1,392,778 | ) | (85,380 | ) | ||||||
Atlas Copco AB | (191,697 | ) | (4,172,166 | ) | (806,616 | ) | ||||||
Axfood AB | (17,554 | ) | (308,909 | ) | (28,257 | ) | ||||||
Elekta AB | (113,373 | ) | (836,776 | ) | (85,471 | ) | ||||||
Getinge AB | (25,522 | ) | (582,684 | ) | 55,757 | |||||||
Hennes & Mauritz AB | (224,862 | ) | (7,358,726 | ) | 743,102 | |||||||
Hexagon AB | (122,886 | ) | (4,028,292 | ) | (468,839 | ) | ||||||
Hexpol AB | (43,195 | ) | (424,429 | ) | (19,136 | ) | ||||||
ICA Gruppen AB | (4,209 | ) | (135,480 | ) | (5,586 | ) | ||||||
Modern Times Group MTG AB | (76,887 | ) | (2,011,584 | ) | (32,182 | ) | ||||||
Nordea Bank AB | (296,396 | ) | (3,025,638 | ) | 511,119 | |||||||
Sandvik AB | (571,663 | ) | (4,549,305 | ) | (1,174,146 | ) | ||||||
Skandinaviska Enskilda Banken AB | (325,152 | ) | (2,950,702 | ) | 110,278 | |||||||
SKF AB | (44,723 | ) | (750,157 | ) | 33,562 | |||||||
Svenska Handelsbanken AB | (280,973 | ) | (3,437,034 | ) | 25,877 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Sweden (continued) | ||||||||||||
Swedbank AB | (154,074 | ) | $ | (3,188,315 | ) | $ | (47,715 | ) | ||||
Tele2 AB | (363,899 | ) | (3,215,202 | ) | 20,408 | |||||||
Telefonaktiebolaget LM Ericsson | (25,194 | ) | (187,388 | ) | (6,167 | ) | ||||||
Volvo AB | (342,850 | ) | (2,956,202 | ) | (449,778 | ) | ||||||
|
| |||||||||||
(1,606,609 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (2,016,053 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 6,004,230 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (126,309 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 5,877,921 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
183
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 56-60 months maturity 01/14/2021 | $481,669 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Belgium | ||||||||||||
Delhaize Group | 190,031 | $ | 19,954,995 | $ | 118,806 | |||||||
|
| |||||||||||
Germany | ||||||||||||
KUKA AG | 44,991 | 5,380,592 | (44,154 | ) | ||||||||
|
| |||||||||||
Italy | ||||||||||||
Italcementi SpA | 892,372 | 10,320,266 | 139,785 | |||||||||
|
| |||||||||||
Total of Long Equity Positions | 214,437 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Netherlands | ||||||||||||
Koninklijke Ahold NV | (964,939 | ) | (21,595,001 | ) | 286,663 | |||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 501,100 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (19,431 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 481,669 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
184
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | 59 months maturity 01/14/2021 | $(86,695 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Switzerland | ||||||||||||
Syngenta AG | 2,883 | $ | 1,194,740 | $ | (88,105 | ) | ||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 1,410 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (86,695 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 55-61 months maturity 01/14/2021 | $3,023,613 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Ireland | ||||||||||||
Shire plc | 2,543 | $ | 381,180 | $ | 86,935 | |||||||
|
| |||||||||||
United States | ||||||||||||
AGL Resources, Inc. | 336,970 | 21,686,811 | 543,100 | |||||||||
Alere, Inc. | 298,459 | 15,879,965 | (3,440,194 | ) | ||||||||
American Capital Ltd. | 202,682 | 3,262,284 | (53,828 | ) | ||||||||
Apollo Education Group, Inc. | 346,621 | 2,913,663 | 247,520 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Astoria Financial Corp. | 840,452 | $ | 12,222,445 | $ | 661,684 | |||||||
Axiall Corp. | 206,702 | 5,311,348 | 1,429,204 | |||||||||
Carmike Cinemas, Inc. | 1,100 | 32,904 | 228 | |||||||||
Cash America International, Inc. | 94,489 | 3,503,042 | 524,079 | |||||||||
Celator Pharmaceuticals | 111,400 | 3,356,142 | 5,910 | |||||||||
Centene Corp. | 2 | 114 | 29 | |||||||||
Charter Communications, Inc. | 396 | 76,270 | 14,272 | |||||||||
Cigna Corp. | 339,916 | 46,964,998 | (3,459,149 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
185
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Columbia Pipeline Group, Inc. | 398,517 | $ | 10,141,713 | $ | 16,486 | |||||||
Cvent, Inc. | 154,526 | 5,512,184 | 7,485 | |||||||||
Demandware, Inc. | 51,198 | 3,831,617 | 3,113 | |||||||||
DreamWorks Animation SKG, Inc. | 150,564 | 6,017,105 | 136,446 | |||||||||
EMC Corp. | 247,511 | 6,233,090 | 491,784 | |||||||||
Empire District Electric Co. (The) | 43,142 | 1,449,497 | 16,037 | |||||||||
Envision Healthcare Holdings, Inc. | 91,300 | 2,309,297 | 6,984 | |||||||||
ExamWorks Group, Inc. | 95,298 | 3,316,211 | 4,924 | |||||||||
Fairchild Semiconductor International, Inc. | 345,414 | 6,936,619 | (80,152 | ) | ||||||||
FEI Co. | 45,204 | 4,797,228 | 34,176 | |||||||||
First Niagara Financial Group, Inc. | 2,995,372 | 28,800,474 | 374,450 | |||||||||
FirstMerit Corp. | 666,426 | 12,886,551 | 621,904 | |||||||||
Hatteras Financial Corp. | 274,117 | 4,461,409 | 34,110 | |||||||||
Hawaiian Electric Industries, Inc. | 751,049 | 22,163,756 | 2,463,141 | |||||||||
Humana, Inc. | 219,186 | 36,409,420 | 3,017,757 | |||||||||
inContact, Inc. | 41,100 | 568,350 | 885 | |||||||||
ITC Holdings Corp. | 51,444 | 2,175,788 | 232,820 | |||||||||
KLA-Tencor Corp. | 567,829 | 38,155,437 | 3,438,038 | |||||||||
Krispy Kreme Doughnuts, Inc. | 1,700 | 35,565 | 67 | |||||||||
LDR Holding Corp. | 34,163 | 1,260,512 | 1,811 | |||||||||
Lexmark International, Inc. | 139,000 | 5,269,603 | (22,353 | ) | ||||||||
LinkedIn Corp. | 61,384 | 11,687,389 | (70,467 | ) | ||||||||
Marketo, Inc. | 78,500 | 2,741,369 | (7,999 | ) | ||||||||
Media General, Inc. | 899,192 | 14,330,415 | 1,126,695 | |||||||||
Memorial Resource Development Corp. | 554,288 | 8,298,449 | 503,644 | |||||||||
Monsanto Co. | 29,085 | 3,097,814 | (90,134 | ) | ||||||||
Parkway Properties, Inc. | 78,200 | 1,327,793 | (19,507 | ) | ||||||||
Piedmont Natural Gas Co., Inc. | 202,072 | 11,872,321 | 276,248 | |||||||||
Pinnacle Entertainment, Inc. | 100 | — | 1,108 | |||||||||
Qlik Technologies, Inc. | 264,500 | 7,948,806 | (124,896 | ) | ||||||||
Questar Corp. | 644,172 | 16,013,839 | 328,805 | |||||||||
Rite Aid Corp. | 1,599,726 | 12,291,225 | (309,277 | ) | ||||||||
Rofin-Sinar Technologies, Inc. | 19,800 | 629,011 | 3,401 | |||||||||
St. Jude Medical, Inc. | 392,523 | 30,585,647 | 31,147 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 220,430 | 16,077,624 | 223,175 | |||||||||
Talen Energy Corp. | 81,400 | 1,110,331 | (7,361 | ) | ||||||||
Talmer Bancorp, Inc. | 366,766 | 5,858,019 | 1,172,885 | |||||||||
TECO Energy, Inc. | 628,952 | 17,199,914 | 184,319 | |||||||||
Tumi Holdings, Inc. | 40,200 | 1,071,536 | 3,412 | |||||||||
Tyco International plc | 286,371 | 11,710,264 | 489,141 | |||||||||
Valspar Corp. (The) | 167,185 | 17,896,150 | 164,846 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Virgin America, Inc. | 56,921 | $ | 3,168,336 | $ | 31,193 | |||||||
Westar Energy, Inc. | 114,164 | 6,383,498 | 19,961 | |||||||||
Western Digital Corp. | 31,547 | 381,880 | 1,109,031 | |||||||||
Wilshire Bancorp, Inc. | 242,000 | 2,539,222 | (17,582 | ) | ||||||||
Xura, Inc. | 60,553 | 1,489,510 | (10,200 | ) | ||||||||
|
| |||||||||||
12,284,356 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 12,371,291 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Waste Connections, Inc. | (8,970 | ) | (554,682 | ) | (91,607 | ) | ||||||
|
| |||||||||||
United States | ||||||||||||
Abbott Laboratories | (355,989 | ) | (14,093,279 | ) | 99,352 | |||||||
Aetna, Inc. | (184,719 | ) | (19,396,912 | ) | (3,162,819 | ) | ||||||
Amsurg Corp. | (30,600 | ) | (2,356,707 | ) | (16,017 | ) | ||||||
Annaly Capital Management, Inc. | (276,201 | ) | (2,974,153 | ) | (83,392 | ) | ||||||
Anthem, Inc. | (174,252 | ) | (23,934,812 | ) | 1,048,554 | |||||||
Ares Capital Corp. | (97,895 | ) | (1,454,054 | ) | 63,945 | |||||||
Ball Corp. | (10,150 | ) | (696,290 | ) | (37,454 | ) | ||||||
BBCN Bancorp, Inc. | (194,562 | ) | (2,914,784 | ) | 11,919 | |||||||
Brocade Communications Systems, Inc. | (1 | ) | (9 | ) | — | |||||||
Chemical Financial Corp. | (178,182 | ) | (5,661,903 | ) | (982,504 | ) | ||||||
Cousins Properties, Inc. | (140,437 | ) | (1,472,394 | ) | 11,849 | |||||||
Diebold, Inc. | (36,127 | ) | (910,762 | ) | 13,728 | |||||||
First Cash Financial Services, Inc. | (81,616 | ) | (3,662,466 | ) | (526,883 | ) | ||||||
Gaming and Leisure Properties, Inc. | (1 | ) | (25 | ) | (10 | ) | ||||||
Global Payments, Inc. | (1 | ) | (69 | ) | (2 | ) | ||||||
Great Plains Energy, Inc. | (24,392 | ) | (718,106 | ) | (23,411 | ) | ||||||
Huntington Bancshares, Inc. | (1,148,518 | ) | (9,975,181 | ) | (292,570 | ) | ||||||
Interval Leisure Group, Inc. | (16,514 | ) | (227,135 | ) | (35,437 | ) | ||||||
Johnson Controls, Inc. | (329,103 | ) | (13,974,585 | ) | (591,514 | ) | ||||||
KeyCorp. | (2,065,380 | ) | (23,060,751 | ) | 238,302 | |||||||
Lam Research Corp. | (283,589 | ) | (20,669,227 | ) | (3,169,264 | ) | ||||||
Marriott International, Inc. | (182,726 | ) | (12,295,640 | ) | 151,670 | |||||||
Mylan NV | (45,999 | ) | (1,946,454 | ) | (42,543 | ) | ||||||
New York Community Bancorp, Inc. | (840,663 | ) | (12,539,698 | ) | (61,840 | ) | ||||||
Nexstar Broadcasting Group, Inc. | (112,288 | ) | (5,228,682 | ) | (113,981 | ) | ||||||
NextEra Energy, Inc. | (186,403 | ) | (20,363,380 | ) | (3,943,571 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
186
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED | |||||||||
United States (continued) | ||||||||||||
Range Resources Corp. | (207,858 | ) | $ | (8,460,552 | ) | $ | (506,442 | ) | ||||
|
| |||||||||||
(11,950,335 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (12,041,942 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 329,349 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 2,694,264 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 3,023,613 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap. | 56-59 months maturity 01/14/2021 | $289,100 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Sweden | ||||||||||||
Meda AB | 631,830 | $ | 11,158,472 | $ | 298,670 | |||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (9,570 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 289,100 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
187
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Offered Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | 56-59 months maturity 01/14/2021 | $(145,132 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
BCE, Inc. | (6,695 | ) | $ | (309,514 | ) | $ | (7,319 | ) | ||||
Fortis, Inc. | (38,686 | ) | (1,169,007 | ) | (138,643 | ) | ||||||
|
| |||||||||||
(145,962 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (145,962 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 830 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (145,132 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps. | 59 months maturity 01/14/2021 | $50,172 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
United Kingdom | ||||||||||||
SABMiller plc | 26,391 | $ | 1,486,409 | $ | 52,691 | |||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (2,519 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 50,172 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
188
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 12-25 months maturity ranging from 07/27/2016 - | $691,541 | |||||
|
|
** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
United States | ||||||||||||
Charter Communications, Inc. | 1,144 | $ | 253,602 | $ | 7,962 | |||||||
FirstMerit Corp. | 126,904 | 2,902,294 | (329,950 | ) | ||||||||
ITC Holdings Corp. | 188,374 | 8,508,854 | 310,817 | |||||||||
Talmer Bancorp, Inc. | 48,849 | 993,589 | (57,153 | ) | ||||||||
|
| |||||||||||
(68,324 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (68,324 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
United States | ||||||||||||
Chemical Financial Corp. | (23,081 | ) | (921,394 | ) | 60,703 | |||||||
Diebold, Inc. | (1,433 | ) | (38,333 | ) | 2,751 | |||||||
Huntington Bancshares, Inc. | (218,274 | ) | (2,298,425 | ) | 347,056 | |||||||
Mylan NV | (19,876 | ) | (924,632 | ) | 65,193 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
VMware, Inc. | (51,728 | ) | $ | (3,235,586 | ) | $ | 275,710 | |||||
Western Digital Corp. | (53,520 | ) | (2,570,030 | ) | 40,675 | |||||||
|
| |||||||||||
792,088 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | 792,088 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 723,764 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (32,223 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 691,541 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
189
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Overnight Index Average plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 13-22 months maturity 04/05/2017 | $322,334 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Belgium | ||||||||||||
Delhaize Group | 234,230 | $ | 24,944,907 | $ | (202,173 | ) | ||||||
|
| |||||||||||
Finland | ||||||||||||
Nokia OYJ | 11,045 | 61,424 | 746 | |||||||||
|
| |||||||||||
Germany | ||||||||||||
Wincor Nixdorf AG | 87,079 | 4,696,673 | (23,303 | ) | ||||||||
|
| |||||||||||
Italy | ||||||||||||
Italcementi SpA | 867,755 | 10,149,628 | 21,872 | |||||||||
|
| |||||||||||
Total of Long Equity Positions | (202,858 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Finland | ||||||||||||
Nokia OYJ | (22,222 | ) | (123,481 | ) | (3,083 | ) | ||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Netherlands | ||||||||||||
Koninklijke Ahold NV | (1,189,800 | ) | $ | (26,869,812 | ) | $ | 595,965 | |||||
|
| |||||||||||
Total of Short Equity Positions | 592,882 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 390,024 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (67,690 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 322,334 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
190
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | 11-25 months maturity ranging from 01/12/2017 - | $(311,370 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Manitoba Telecom Services, Inc. | 310,600 | $ | 9,046,689 | $ | 72,130 | |||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
BCE, Inc. | (104,700 | ) | (4,846,299 | ) | (108,504 | ) | ||||||
Fortis, Inc. | (141,966 | ) | (4,518,173 | ) | (280,508 | ) | ||||||
Waste Connections, Inc. | (1 | ) | (72 | ) | — | |||||||
|
| |||||||||||
(389,012 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (389,012 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (316,882 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 5,512 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (311,370 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
191
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap. | 24 months maturity 02/14/2018 | $129,869 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Sweden | ||||||||||||
Meda AB | 434,924 | $ | 7,750,235 | $ | 136,359 | |||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (6,490 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | 129,869 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 12-25 months maturity ranging from 07/27/2016 - | $(77,046 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
Rights | ||||||||||||
United States | ||||||||||||
Leap Wireless International, Inc. (3) | (110,787 | ) | $ | (279,183 | ) | $ | (72,565 | ) | ||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (4,481 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (77,046 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
(3) | Level 3 security (See Note 5). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
192
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
BANA | ||||||||||||
Investment Companies | $151,023 | $— | $151,023 | |||||||||
| ||||||||||||
BARC | ||||||||||||
Cash | — | 52,032,186 | 52,032,186 | |||||||||
| ||||||||||||
CITG | ||||||||||||
Cash | — | 1,145,408 | 1,145,408 | |||||||||
| ||||||||||||
CITI | ||||||||||||
Cash | (15,260,000 | ) | — | (15,260,000 | ) | |||||||
| ||||||||||||
DTBK | ||||||||||||
Investment Companies | �� | 52,325,649 | — | 52,325,649 | ||||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | 8,877,090 | 8,877,090 | |||||||||
| ||||||||||||
GSIN | ||||||||||||
Investment Companies | 35,870,000 | — | 35,870,000 | |||||||||
| ||||||||||||
JPMC | ||||||||||||
Investment Companies | 531,350,000 | — | 531,350,000 | |||||||||
| ||||||||||||
JPMS | ||||||||||||
Cash | — | 13,214,257 | 13,214,257 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | (976,689 | ) | (976,689 | ) | |||||||
| ||||||||||||
MSIP | ||||||||||||
Investment Companies | 73,562,143 | — | 73,562,143 | |||||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
CITI | ||||||||||||
Cash | $(3,530,000 | ) | $— | $(3,530,000 | ) | |||||||
| ||||||||||||
DTBK | ||||||||||||
Investment Companies | 140,019 | — | 140,019 | |||||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | 443,207 | 443,207 | |||||||||
| ||||||||||||
JPPC | ||||||||||||
Cash | — | 1,607,695 | 1,607,695 | |||||||||
| ||||||||||||
MACQ | ||||||||||||
Investment Companies | 4,940,006 | — | 4,940,006 | |||||||||
| ||||||||||||
MLIN | ||||||||||||
Investment Companies | 1,900,127 | — | 1,900,127 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | (5,152,609 | ) | (5,152,609 | ) | |||||||
U.S. Treasury Bills | — | 29,208,382 | 29,208,382 | |||||||||
| ||||||||||||
SOCG | ||||||||||||
Cash | (3,160,000 | ) | — | (3,160,000 | ) | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
193
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
SHORT-TERM INVESTMENTS - 91.2% | SHARES | VALUE (Note 5) | ||||||
Investment Companies - 49.1% | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(a) | 2,246,739 | $ | 2,246,739 | |||||
Dreyfus Treasury Cash Management, Class I, 0.240% ^(a) | 8,986,957 | 8,986,957 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(a)(b) | 56,936,299 | 56,936,299 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(a)(b) | 60,543 | 60,543 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(a) | 11,233,696 | 11,233,696 | ||||||
|
| |||||||
Total Investment Companies | 79,464,234 | |||||||
|
| |||||||
PRINCIPAL AMOUNT (000’s) | ||||||||
U.S. Treasury Obligations - 42.1% | ||||||||
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(c) | $ | 30,723 | 30,692,861 | |||||
U.S. Treasury Bill, 0.409%, 08/18/2016 (c) | 1,058 | 1,057,676 | ||||||
U.S. Treasury Bill, 0.422%, 08/11/2016 ^(c) | 17,221 | 17,217,005 | ||||||
U.S. Treasury Bill, 0.477%, 12/01/2016 ^(c) | 1,746 | 1,743,886 | ||||||
U.S. Treasury Bill, 0.479%, 11/25/2016 (c) | 1,529 | 1,527,385 | ||||||
U.S. Treasury Bill, 0.511%, 09/15/2016 (c) | 1,302 | 1,301,440 | ||||||
U.S. Treasury Bill, 0.350%, 10/20/2016 (c) | 1,127 | 1,126,184 |
PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||
U.S. Treasury Obligations - 42.1% (continued) | ||||||||
U.S. Treasury Bill, 0.401%, 12/15/2016 (c) | $ | 3,804 | $ | 3,799,139 | ||||
U.S. Treasury Bill, 0.401%, 10/27/2016 (c) | 3,602 | 3,599,399 | ||||||
U.S. Treasury Bill, 0.431%, 12/08/2016 (c) | 3,114 | 3,110,036 | ||||||
U.S. Treasury Bill, 0.441%, 09/22/2016 (c) | 1,301 | 1,300,277 | ||||||
U.S. Treasury Bill, 0.476%, 09/08/2016 (c) | 1,621 | 1,620,369 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 68,095,657 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 147,559,891 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, |
| 147,559,891 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.8% (d) | 14,242,104 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 161,801,995 | ||||||
|
|
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | All or a portion of the security is pledged as collateral to the brokers for swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | Includes appreciation/(depreciation) on futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Total return swap contracts outstanding as of June 30, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
CITI | Corn September Futures^ | 08/2016 | USD | 170,271 | $(5,796 | ) | ||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | 3,851,247 | (141,422 | ) | ||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | (1,245,987 | ) | 215,312 | ||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | 3,766,955 | (514,004 | ) | ||||||||
CITI | Cotton No. 2 December Futures^ | 11/2016 | USD | 1,372,840 | 38,900 | |||||||||
SOCG | Cotton No. 2 December Futures^ | 11/2016 | USD | 153,435 | 6,990 | |||||||||
MACQ | Cotton No. 2 December Futures^ | 11/2016 | USD | 660,851 | 12,934 | |||||||||
SOCG | Lean Hogs August Futures^ | 08/2016 | USD | (99,266 | ) | (50 | ) | |||||||
SOCG | Lean Hogs August Futures^ | 08/2016 | USD | 339,501 | (6,401 | ) | ||||||||
SOCG | Lean Hogs July Futures^ | 07/2016 | USD | (298,729 | ) | 7,812 | ||||||||
SOCG | Lean Hogs July Futures^ | 07/2016 | USD | 298,729 | (469 | ) | ||||||||
SOCG | Lean Hogs October Futures^ | 10/2016 | USD | 743,948 | 1,732 | |||||||||
DTBK | Live Cattle August Futures^ | 08/2016 | USD | 1,867,948 | 1,019,632 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
194
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
DTBK | Live Cattle August Futures^ | 08/2016 | USD | (500,169 | ) | $ (1,005,399 | ) | |||||||||
SOCG | Live Cattle August Futures^ | 08/2016 | USD | 964,465 | 65 | |||||||||||
SOCG | Live Cattle August Futures^ | 08/2016 | USD | (182,055 | ) | 455 | ||||||||||
DTBK | Live Cattle October Futures^ | 10/2016 | USD | 321,741 | (721 | ) | ||||||||||
SOCG | Live Cattle October Futures^ | 10/2016 | USD | 183,751 | (311 | ) | ||||||||||
SOCG | Natural Gas August Futures^ | 08/2016 | USD | (726,068 | ) | (90,972 | ) | |||||||||
SOCG | Natural Gas July Futures^ | 07/2016 | USD | (651,252 | ) | 104,524 | ||||||||||
SOCG | Natural Gas July Futures^ | 07/2016 | USD | 651,252 | (167,468 | ) | ||||||||||
CITI | Soybean Meal December Futures^ | 11/2016 | USD | (546,658 | ) | 6,770 | ||||||||||
CITI | Soybean Meal December Futures^ | 11/2016 | USD | 624,752 | 16,848 | |||||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | (3,319,282 | ) | (328,811 | ) | |||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | 9,163,128 | 1,043,135 | |||||||||||
SOCG | Soybean November Futures^ | 10/2016 | USD | 988,336 | 107,251 | |||||||||||
MACQ | Soybean November Futures^ | 10/2016 | USD | 1,356,697 | 142,528 | |||||||||||
MACQ | Soybean Oil December Futures^ | 11/2016 | USD | 1,080,420 | (22,110 | ) | ||||||||||
CITI | Wheat September Futures^ | 08/2016 | USD | 1,467,292 | 86,242 | |||||||||||
CITI | Wheat September Futures^ | 08/2016 | USD | (1,467,292 | ) | (170,903 | ) | |||||||||
DTBK | Wheat September Futures^ | 08/2016 | USD | 1,370,946 | (2,678,898 | ) | ||||||||||
DTBK | Wheat September Futures^ | 08/2016 | USD | (1,370,946 | ) | 2,662,896 | ||||||||||
|
| |||||||||||||||
$340,291 | ||||||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
262 | GSCO | Brent Crude Futures^ | 08/2016 | $13,633,410 | $13,141,920 | $(491,490 | ) | |||||||||||||
183 | MSCL | Coffee ‘C’ Futures^ | 09/2016 | 8,934,491 | 9,995,231 | 1,060,740 | ||||||||||||||
350 | MSCL | Corn Futures^ | 09/2016 | 6,717,373 | 6,396,250 | (321,123 | ) | |||||||||||||
35 | MSCL | Cotton No. 2 Futures^ | 12/2016 | 1,129,315 | 1,122,975 | (6,340 | ) | |||||||||||||
159 | GSCO | Gas Oil Futures^ | 09/2016 | 7,324,712 | 7,158,975 | (165,737 | ) | |||||||||||||
260 | MSCL | Gold 100 OZ Futures^ | 08/2016 | 33,177,026 | 34,335,600 | 1,158,574 | ||||||||||||||
84 | MSCL | Gold 100 OZ Futures^ | 12/2016 | 11,153,237 | 11,150,160 | (3,077 | ) | |||||||||||||
26 | MSCL | Lean Hogs Futures^ | 08/2016 | 913,451 | 866,060 | (47,391 | ) | |||||||||||||
7 | MSCL | Lean Hogs Futures^ | 10/2016 | 200,077 | 200,760 | 683 | ||||||||||||||
133 | MSCL | Live Cattle Futures^ | 08/2016 | 6,158,465 | 6,108,690 | (49,775 | ) | |||||||||||||
21 | JPPC | LME Aluminum Futures^ | 07/2016 | 790,497 | 862,769 | 72,272 | ||||||||||||||
63 | JPPC | LME Aluminum Futures^ | 07/2016 | 2,459,877 | 2,590,324 | 130,447 | ||||||||||||||
86 | JPPC | LME Aluminum Futures^ | 07/2016 | 3,512,305 | 3,536,213 | 23,908 | ||||||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | 82,541 | 82,265 | (276 | ) | |||||||||||||
3 | JPPC | LME Aluminum Futures^ | 08/2016 | 121,865 | 123,478 | 1,613 | ||||||||||||||
24 | JPPC | LME Aluminum Futures^ | 08/2016 | 936,834 | 987,900 | 51,066 | ||||||||||||||
2 | JPPC | LME Aluminum Futures^ | 08/2016 | 77,405 | 82,375 | 4,970 | ||||||||||||||
6 | JPPC | LME Aluminum Futures^ | 08/2016 | 234,315 | 247,163 | 12,848 | ||||||||||||||
7 | JPPC | LME Aluminum Futures^ | 08/2016 | 271,092 | 288,400 | 17,308 | ||||||||||||||
32 | JPPC | LME Aluminum Futures^ | 08/2016 | 1,245,812 | 1,318,600 | 72,788 | ||||||||||||||
3 | JPPC | LME Aluminum Futures^ | 09/2016 | 117,907 | 123,750 | 5,843 | ||||||||||||||
9 | JPPC | LME Aluminum Futures^ | 09/2016 | 349,845 | 371,475 | 21,630 | ||||||||||||||
59 | JPPC | LME Aluminum Futures^ | 09/2016 | 2,293,260 | 2,435,594 | 142,334 | ||||||||||||||
11 | JPPC | LME Aluminum Futures^ | 09/2016 | 440,324 | 454,163 | 13,839 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
195
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
18 | JPPC | LME Aluminum Futures^ | 09/2016 | $ 715,986 | $ 743,288 | $ 27,302 | ||||||||||||||
6 | JPPC | LME Aluminum Futures^ | 09/2016 | 240,982 | 247,817 | 6,835 | ||||||||||||||
8 | JPPC | LME Aluminum Futures^ | 09/2016 | 321,329 | 330,450 | 9,121 | ||||||||||||||
579 | JPPC | LME Aluminum Futures^ | 09/2016 | 23,010,674 | 23,901,843 | 891,169 | ||||||||||||||
20 | JPPC | LME Aluminum Futures^ | 09/2016 | 819,901 | 824,500 | 4,599 | ||||||||||||||
34 | JPPC | LME Copper Futures^ | 07/2016 | 4,097,313 | 4,116,168 | 18,855 | ||||||||||||||
4 | JPPC | LME Copper Futures^ | 07/2016 | 501,060 | 484,200 | (16,860 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | 122,315 | 121,088 | (1,227 | ) | |||||||||||||
8 | JPPC | LME Copper Futures^ | 07/2016 | 979,220 | 968,750 | (10,470 | ) | |||||||||||||
24 | JPPC | LME Copper Futures^ | 08/2016 | 2,882,350 | 2,907,540 | 25,190 | ||||||||||||||
4 | JPPC | LME Copper Futures^ | 08/2016 | 473,560 | 484,800 | 11,240 | ||||||||||||||
10 | JPPC | LME Copper Futures^ | 08/2016 | 1,158,279 | 1,211,832 | 53,553 | ||||||||||||||
2 | JPPC | LME Copper Futures^ | 08/2016 | 229,605 | 242,342 | 12,737 | ||||||||||||||
13 | JPPC | LME Copper Futures^ | 08/2016 | 1,495,532 | 1,575,168 | 79,636 | ||||||||||||||
2 | JPPC | LME Copper Futures^ | 08/2016 | 228,105 | 242,317 | 14,212 | ||||||||||||||
2 | JPPC | LME Copper Futures^ | 08/2016 | 230,505 | 242,309 | 11,804 | ||||||||||||||
22 | JPPC | LME Copper Futures^ | 08/2016 | 2,580,312 | 2,665,349 | 85,037 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | 115,127 | 121,165 | 6,038 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | 116,452 | 121,167 | 4,715 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | 118,353 | 121,176 | 2,823 | ||||||||||||||
6 | JPPC | LME Copper Futures^ | 09/2016 | 691,365 | 727,070 | 35,705 | ||||||||||||||
7 | JPPC | LME Copper Futures^ | 09/2016 | 803,967 | 848,262 | 44,295 | ||||||||||||||
21 | JPPC | LME Copper Futures^ | 09/2016 | 2,376,633 | 2,544,832 | 168,199 | ||||||||||||||
4 | JPPC | LME Copper Futures^ | 09/2016 | 454,360 | 484,773 | 30,413 | ||||||||||||||
11 | JPPC | LME Copper Futures^ | 09/2016 | 1,251,376 | 1,333,173 | 81,797 | ||||||||||||||
215 | JPPC | LME Copper Futures^ | 09/2016 | 25,886,101 | 26,058,001 | 171,900 | ||||||||||||||
14 | JPPC | LME Copper Futures^ | 09/2016 | 1,690,852 | 1,695,750 | 4,898 | ||||||||||||||
3 | JPPC | LME Lead Futures^ | 07/2016 | 127,282 | 133,899 | 6,617 | ||||||||||||||
5 | JPPC | LME Lead Futures^ | 07/2016 | 218,637 | 223,193 | 4,556 | ||||||||||||||
18 | JPPC | LME Lead Futures^ | 07/2016 | 809,032 | 803,619 | (5,413 | ) | |||||||||||||
7 | JPPC | LME Lead Futures^ | 07/2016 | 304,108 | 312,606 | 8,498 | ||||||||||||||
5 | JPPC | LME Lead Futures^ | 08/2016 | 217,940 | 223,362 | 5,422 | ||||||||||||||
1 | JPPC | LME Lead Futures^ | 08/2016 | 42,502 | 44,693 | 2,191 | ||||||||||||||
6 | JPPC | LME Lead Futures^ | 08/2016 | 254,115 | 268,163 | 14,048 | ||||||||||||||
1 | JPPC | LME Lead Futures^ | 08/2016 | 41,440 | 44,703 | 3,263 | ||||||||||||||
4 | JPPC | LME Lead Futures^ | 08/2016 | 164,710 | 178,823 | 14,113 | ||||||||||||||
2 | JPPC | LME Lead Futures^ | 08/2016 | 82,655 | 89,416 | 6,761 | ||||||||||||||
5 | JPPC | LME Lead Futures^ | 08/2016 | 211,787 | 223,552 | 11,765 | ||||||||||||||
3 | JPPC | LME Lead Futures^ | 09/2016 | 126,232 | 134,174 | 7,942 | ||||||||||||||
2 | JPPC | LME Lead Futures^ | 09/2016 | 86,655 | 89,454 | 2,799 | ||||||||||||||
8 | JPPC | LME Lead Futures^ | 09/2016 | 345,722 | 357,912 | 12,190 | ||||||||||||||
9 | JPPC | LME Lead Futures^ | 09/2016 | 389,073 | 402,694 | 13,621 | ||||||||||||||
6 | JPPC | LME Lead Futures^ | 09/2016 | 253,789 | 268,407 | 14,618 | ||||||||||||||
100 | JPPC | LME Lead Futures^ | 09/2016 | 4,356,834 | 4,471,875 | 115,041 | ||||||||||||||
22 | JPPC | LME Lead Futures^ | 09/2016 | 979,425 | 983,400 | 3,975 | ||||||||||||||
13 | JPPC | LME Nickel Futures^ | 07/2016 | 663,461 | 733,343 | 69,882 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 07/2016 | 214,090 | 225,736 | 11,646 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | 56,864 | 56,463 | (401 | ) | |||||||||||||
4 | JPPC | LME Nickel Futures^ | 07/2016 | 220,752 | 225,950 | 5,198 | ||||||||||||||
8 | JPPC | LME Nickel Futures^ | 08/2016 | 444,791 | 452,119 | 7,328 | ||||||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | 106,414 | 113,078 | 6,664 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 08/2016 | 206,232 | 226,235 | 20,003 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | 153,665 | 169,685 | 16,020 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | 150,879 | 169,717 | 18,838 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | 150,189 | 169,726 | 19,537 | ||||||||||||||
18 | JPPC | LME Nickel Futures^ | 08/2016 | 911,645 | 1,018,452 | 106,807 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
196
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | $ 50,483 | $ 56,600 | $ 6,117 | ||||||||||||||
10 | JPPC | LME Nickel Futures^ | 09/2016 | 516,073 | 566,136 | 50,063 | ||||||||||||||
17 | JPPC | LME Nickel Futures^ | 09/2016 | 911,377 | 962,524 | 51,147 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | 53,103 | 56,633 | 3,530 | ||||||||||||||
95 | JPPC | LME Nickel Futures^ | 09/2016 | 5,049,249 | 5,381,940 | 332,691 | ||||||||||||||
2 | JPPC | LME Nickel Futures^ | 09/2016 | 470,926 | 472,250 | 1,324 | ||||||||||||||
4 | JPPC | LME Zinc Futures^ | 07/2016 | 175,560 | 210,200 | 34,640 | ||||||||||||||
8 | JPPC | LME Zinc Futures^ | 07/2016 | 376,020 | 420,600 | 44,580 | ||||||||||||||
10 | JPPC | LME Zinc Futures^ | 08/2016 | 466,804 | 525,582 | 58,778 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 08/2016 | 47,854 | 52,602 | 4,748 | ||||||||||||||
9 | JPPC | LME Zinc Futures^ | 08/2016 | 427,470 | 473,672 | 46,202 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | 49,639 | 52,649 | 3,010 | ||||||||||||||
12 | JPPC | LME Zinc Futures^ | 09/2016 | 603,910 | 631,950 | 28,040 | ||||||||||||||
5 | JPPC | LME Zinc Futures^ | 09/2016 | 258,836 | 263,338 | 4,502 | ||||||||||||||
2 | JPPC | LME Zinc Futures^ | 09/2016 | 102,055 | 105,363 | 3,308 | ||||||||||||||
6 | JPPC | LME Zinc Futures^ | 09/2016 | 300,724 | 316,028 | 15,304 | ||||||||||||||
88 | JPPC | LME Zinc Futures^ | 09/2016 | 4,238,503 | 4,633,750 | 395,247 | ||||||||||||||
45 | MSCL | Natural Gas Futures^ | 08/2016 | 1,298,640 | 1,313,100 | 14,460 | ||||||||||||||
284 | MSCL | Silver Futures^ | 09/2016 | 23,276,990 | 26,444,660 | 3,167,670 | ||||||||||||||
36 | MSCL | Soybean Futures^ | 11/2016 | 1,930,374 | 2,075,851 | 145,477 | ||||||||||||||
141 | MSCL | Soybean Meal Futures^ | 12/2016 | 4,892,624 | 5,654,100 | 761,476 | ||||||||||||||
283 | MSCL | Soybean Oil Futures^ | 12/2016 | 5,593,672 | 5,445,486 | (148,186 | ) | |||||||||||||
515 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2016 | 9,615,439 | 11,726,344 | 2,110,905 | ||||||||||||||
270 | MSCL | Wheat Futures^ | 09/2016 | 6,497,758 | 6,014,250 | (483,508 | ) | |||||||||||||
168 | MSCL | WTI Crude Futures^ | 08/2016 | 8,077,962 | 8,233,680 | 155,718 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
263,440,015 | 274,249,957 | 10,809,942 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
45 | MSCL | Cocoa Futures^ | 09/2016 | $(1,346,836 | ) | $(1,333,350 | ) | $13,486 | ||||||||||||
71 | MSCL | Gasoline RBOB Futures^ | 08/2016 | (4,495,913 | ) | (4,495,067 | ) | 846 | ||||||||||||
6 | MSCL | Heating Oil ULSD Futures^ | 08/2016 | (367,491 | ) | (380,091 | ) | (12,600 | ) | |||||||||||
21 | JPPC | LME Aluminum Futures^ | 07/2016 | (789,811 | ) | (862,769 | ) | (72,958 | ) | |||||||||||
63 | JPPC | LME Aluminum Futures^ | 07/2016 | (2,463,146 | ) | (2,590,324 | ) | (127,178 | ) | |||||||||||
86 | JPPC | LME Aluminum Futures^ | 07/2016 | (3,534,389 | ) | (3,536,212 | ) | (1,823 | ) | |||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | (82,395 | ) | (82,265 | ) | 130 | ||||||||||||
3 | JPPC | LME Aluminum Futures^ | 08/2016 | (121,718 | ) | (123,479 | ) | (1,761 | ) | |||||||||||
24 | JPPC | LME Aluminum Futures^ | 08/2016 | (933,865 | ) | (987,900 | ) | (54,035 | ) | |||||||||||
2 | JPPC | LME Aluminum Futures^ | 08/2016 | (77,106 | ) | (82,375 | ) | (5,269 | ) | |||||||||||
6 | JPPC | LME Aluminum Futures^ | 08/2016 | (233,965 | ) | (247,163 | ) | (13,198 | ) | |||||||||||
7 | JPPC | LME Aluminum Futures^ | 08/2016 | (270,996 | ) | (288,400 | ) | (17,404 | ) | |||||||||||
32 | JPPC | LME Aluminum Futures^ | 08/2016 | (1,247,122 | ) | (1,318,600 | ) | (71,478 | ) | |||||||||||
3 | JPPC | LME Aluminum Futures^ | 09/2016 | (117,201 | ) | (123,750 | ) | (6,549 | ) | |||||||||||
9 | JPPC | LME Aluminum Futures^ | 09/2016 | (349,403 | ) | (371,475 | ) | (22,072 | ) | |||||||||||
59 | JPPC | LME Aluminum Futures^ | 09/2016 | (2,292,005 | ) | (2,435,593 | ) | (143,588 | ) | |||||||||||
11 | JPPC | LME Aluminum Futures^ | 09/2016 | (438,048 | ) | (454,162 | ) | (16,114 | ) | |||||||||||
18 | JPPC | LME Aluminum Futures^ | 09/2016 | (716,581 | ) | (743,288 | ) | (26,707 | ) | |||||||||||
6 | JPPC | LME Aluminum Futures^ | 09/2016 | (241,035 | ) | (247,816 | ) | (6,781 | ) | |||||||||||
8 | JPPC | LME Aluminum Futures^ | 09/2016 | (322,976 | ) | (330,450 | ) | (7,474 | ) | |||||||||||
42 | JPPC | LME Aluminum Futures^ | 09/2016 | (1,641,352 | ) | (1,733,812 | ) | (92,460 | ) | |||||||||||
20 | JPPC | LME Aluminum Futures^ | 09/2016 | (816,441 | ) | (824,500 | ) | (8,059 | ) | |||||||||||
34 | JPPC | LME Copper Futures^ | 07/2016 | (4,096,492 | ) | (4,116,168 | ) | (19,676 | ) | |||||||||||
4 | JPPC | LME Copper Futures^ | 07/2016 | (500,549 | ) | (484,200 | ) | 16,349 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (123,049 | ) | (121,088 | ) | 1,961 | ||||||||||||
8 | JPPC | LME Copper Futures^ | 07/2016 | (981,493 | ) | (968,750 | ) | 12,743 | ||||||||||||
24 | JPPC | LME Copper Futures^ | 08/2016 | (2,891,941 | ) | (2,907,540 | ) | (15,599 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
197
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
4 | JPPC | LME Copper Futures^ | 08/2016 | $ (471,537 | ) | $ (484,800 | ) | $ (13,263 | ) | |||||||||||
10 | JPPC | LME Copper Futures^ | 08/2016 | (1,161,419 | ) | (1,211,832 | ) | (50,413 | ) | |||||||||||
2 | JPPC | LME Copper Futures^ | 08/2016 | (229,535 | ) | (242,341 | ) | (12,806 | ) | |||||||||||
13 | JPPC | LME Copper Futures^ | 08/2016 | (1,492,263 | ) | (1,575,168 | ) | (82,905 | ) | |||||||||||
2 | JPPC | LME Copper Futures^ | 08/2016 | (228,258 | ) | (242,316 | ) | (14,058 | ) | |||||||||||
2 | JPPC | LME Copper Futures^ | 08/2016 | (230,120 | ) | (242,309 | ) | (12,189 | ) | |||||||||||
22 | JPPC | LME Copper Futures^ | 08/2016 | (2,579,446 | ) | (2,665,349 | ) | (85,903 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | (114,724 | ) | (121,165 | ) | (6,441 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | (116,976 | ) | (121,168 | ) | (4,192 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | (118,148 | ) | (121,176 | ) | (3,028 | ) | |||||||||||
6 | JPPC | LME Copper Futures^ | 09/2016 | (688,577 | ) | (727,070 | ) | (38,493 | ) | |||||||||||
7 | JPPC | LME Copper Futures^ | 09/2016 | (803,811 | ) | (848,262 | ) | (44,451 | ) | |||||||||||
21 | JPPC | LME Copper Futures^ | 09/2016 | (2,372,218 | ) | (2,544,832 | ) | (172,614 | ) | |||||||||||
4 | JPPC | LME Copper Futures^ | 09/2016 | (452,800 | ) | (484,773 | ) | (31,973 | ) | |||||||||||
11 | JPPC | LME Copper Futures^ | 09/2016 | (1,256,723 | ) | (1,333,172 | ) | (76,449 | ) | |||||||||||
86 | JPPC | LME Copper Futures^ | 09/2016 | (9,974,677 | ) | (10,423,200 | ) | (448,523 | ) | |||||||||||
14 | JPPC | LME Copper Futures^ | 09/2016 | (1,691,166 | ) | (1,695,750 | ) | (4,584 | ) | |||||||||||
3 | JPPC | LME Lead Futures^ | 07/2016 | (127,941 | ) | (133,899 | ) | (5,958 | ) | |||||||||||
5 | JPPC | LME Lead Futures^ | 07/2016 | (218,548 | ) | (223,194 | ) | (4,646 | ) | |||||||||||
18 | JPPC | LME Lead Futures^ | 07/2016 | (805,260 | ) | (803,619 | ) | 1,641 | ||||||||||||
7 | JPPC | LME Lead Futures^ | 07/2016 | (303,258 | ) | (312,606 | ) | (9,348 | ) | |||||||||||
5 | JPPC | LME Lead Futures^ | 08/2016 | (217,363 | ) | (223,362 | ) | (5,999 | ) | |||||||||||
1 | JPPC | LME Lead Futures^ | 08/2016 | (42,597 | ) | (44,694 | ) | (2,097 | ) | |||||||||||
6 | JPPC | LME Lead Futures^ | 08/2016 | (253,793 | ) | (268,163 | ) | (14,370 | ) | |||||||||||
1 | JPPC | LME Lead Futures^ | 08/2016 | (41,210 | ) | (44,704 | ) | (3,494 | ) | |||||||||||
4 | JPPC | LME Lead Futures^ | 08/2016 | (164,888 | ) | (178,823 | ) | (13,935 | ) | |||||||||||
2 | JPPC | LME Lead Futures^ | 08/2016 | (82,339 | ) | (89,416 | ) | (7,077 | ) | |||||||||||
5 | JPPC | LME Lead Futures^ | 08/2016 | (211,863 | ) | (223,553 | ) | (11,690 | ) | |||||||||||
3 | JPPC | LME Lead Futures^ | 09/2016 | (125,794 | ) | (134,174 | ) | (8,380 | ) | |||||||||||
2 | JPPC | LME Lead Futures^ | 09/2016 | (86,719 | ) | (89,454 | ) | (2,735 | ) | |||||||||||
8 | JPPC | LME Lead Futures^ | 09/2016 | (345,980 | ) | (357,912 | ) | (11,932 | ) | |||||||||||
9 | JPPC | LME Lead Futures^ | 09/2016 | (391,878 | ) | (402,694 | ) | (10,816 | ) | |||||||||||
6 | JPPC | LME Lead Futures^ | 09/2016 | (255,435 | ) | (268,407 | ) | (12,972 | ) | |||||||||||
42 | JPPC | LME Lead Futures^ | 09/2016 | (1,828,091 | ) | (1,878,188 | ) | (50,097 | ) | |||||||||||
22 | JPPC | LME Lead Futures^ | 09/2016 | (975,701 | ) | (983,400 | ) | (7,699 | ) | |||||||||||
13 | JPPC | LME Nickel Futures^ | 07/2016 | (662,260 | ) | (733,343 | ) | (71,083 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 07/2016 | (213,258 | ) | (225,736 | ) | (12,478 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | (56,038 | ) | (56,464 | ) | (426 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 07/2016 | (220,310 | ) | (225,949 | ) | (5,639 | ) | |||||||||||
8 | JPPC | LME Nickel Futures^ | 08/2016 | (444,700 | ) | (452,118 | ) | (7,418 | ) | |||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | (106,843 | ) | (113,078 | ) | (6,235 | ) | |||||||||||
4 | JPPC | LME Nickel Futures^ | 08/2016 | (207,110 | ) | (226,235 | ) | (19,125 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | (153,713 | ) | (169,685 | ) | (15,972 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | (151,463 | ) | (169,718 | ) | (18,255 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 08/2016 | (150,473 | ) | (169,726 | ) | (19,253 | ) | |||||||||||
18 | JPPC | LME Nickel Futures^ | 08/2016 | (912,556 | ) | (1,018,452 | ) | (105,896 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | (50,417 | ) | (56,600 | ) | (6,183 | ) | |||||||||||
10 | JPPC | LME Nickel Futures^ | 09/2016 | (517,776 | ) | (566,137 | ) | (48,361 | ) | |||||||||||
17 | JPPC | LME Nickel Futures^ | 09/2016 | (911,559 | ) | (962,524 | ) | (50,965 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | (53,131 | ) | (56,633 | ) | (3,502 | ) | |||||||||||
12 | JPPC | LME Nickel Futures^ | 09/2016 | (645,856 | ) | (679,824 | ) | (33,968 | ) | |||||||||||
2 | JPPC | LME Nickel Futures^ | 09/2016 | (473,188 | ) | (472,250 | ) | 938 | ||||||||||||
4 | JPPC | LME Zinc Futures^ | 07/2016 | (176,822 | ) | (210,200 | ) | (33,378 | ) | |||||||||||
8 | JPPC | LME Zinc Futures^ | 07/2016 | (374,932 | ) | (420,600 | ) | (45,668 | ) | |||||||||||
10 | JPPC | LME Zinc Futures^ | 08/2016 | (468,726 | ) | (525,583 | ) | (56,857 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 08/2016 | (48,023 | ) | (52,602 | ) | (4,579 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
198
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
9 | JPPC | LME Zinc Futures^ | 08/2016 | $ (427,928 | ) | $ (473,672 | ) | $ (45,744 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | (49,697 | ) | (52,649 | ) | (2,952 | ) | |||||||||||
12 | JPPC | LME Zinc Futures^ | 09/2016 | (608,971 | ) | (631,950 | ) | (22,979 | ) | |||||||||||
5 | JPPC | LME Zinc Futures^ | 09/2016 | (258,985 | ) | (263,339 | ) | (4,354 | ) | |||||||||||
2 | JPPC | LME Zinc Futures^ | 09/2016 | (101,659 | ) | (105,363 | ) | (3,704 | ) | |||||||||||
6 | JPPC | LME Zinc Futures^ | 09/2016 | (301,635 | ) | (316,027 | ) | (14,392 | ) | |||||||||||
14 | JPPC | LME Zinc Futures^ | 09/2016 | (686,441 | ) | (737,188 | ) | (50,747 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(71,388,845 | ) | (74,079,177 | ) | (2,690,332 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$192,051,170 | $200,170,780 | $8,119,610 | ||||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||
CITI | ||||||||||
Cash | $(1,720,000 | ) | $— | $(1,720,000 | ) | |||||
| ||||||||||
DTBK | ||||||||||
Investment Companies | 60,260 | — | 60,260 | |||||||
| ||||||||||
GSCO | ||||||||||
Cash | — | 1,598,710 | 1,598,710 | |||||||
| ||||||||||
JPPC | ||||||||||
Cash | — | 3,408,267 | 3,408,267 | |||||||
| ||||||||||
MACQ | ||||||||||
Investment Companies | 770,021 | — | 770,021 | |||||||
| ||||||||||
MSCL | ||||||||||
Cash | — | (711,831) | (711,831 | ) | ||||||
| ||||||||||
SOCG | ||||||||||
Investment Companies | 100,116 | — | 100,116 | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
199
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND |
FOREIGN GOVERNMENT SECURITIES - 14.9% | INTEREST RATE | MATURITY DATE | CURRENCY | PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.100% | 04/15/23 | EUR | 4,036 | $ | 4,821,667 | ||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.100% | 04/15/26 | EUR | 8,965 | 11,023,234 | |||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 7,008 | 8,587,684 | |||||||||||||||
France Government Bond OAT (France) | 0.100% | 07/25/21 | EUR | 2,124 | 2,487,495 | |||||||||||||||
France Government Bond OAT (France) | 0.100% | 03/01/25 | EUR | 2,907 | 3,470,804 | |||||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/24 | EUR | 3,046 | 3,699,257 | |||||||||||||||
France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 2,602 | 3,254,171 | |||||||||||||||
France Government Bond OAT (France) | 2.250% | 07/25/20 | EUR | 6,464 | 8,167,547 | |||||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125% | 03/22/24 | GBP | 7,332 | 11,165,416 | |||||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125% | 03/22/26 | GBP | 5,871 | 9,099,899 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL FOREIGN GOVERNMENT SECURITIES | 65,777,174 | |||||||||||||||||||
|
| |||||||||||||||||||
U.S. TREASURY OBLIGATIONS - 25.4% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/19 | USD | 28,300 | 29,507,524 | |||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125% | 04/15/20 | USD | 31,500 | 32,921,615 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 07/15/24 | USD | 13,100 | 13,332,771 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.250% | 01/15/25 | USD | 17,200 | 17,639,439 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.375% | 07/15/25 | USD | 18,400 | 19,115,449 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 112,516,798 | |||||||||||||||||||
|
| |||||||||||||||||||
SHORT-TERM INVESTMENTS - 52.7% | SHARES | |||||||||||||||||||
Investment Companies - 33.4% | ||||||||||||||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(b) | 7,675,736 | 7,675,736 | ||||||||||||||||||
Dreyfus Treasury Cash Management, Class I, 0.240% ^(b) | 30,702,943 | 30,702,943 | ||||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(b)(c) | 60,224,511 | 60,224,511 | ||||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(b)(c) | 10,925,725 | 10,925,725 | ||||||||||||||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(b) | 38,379,523 | 38,379,523 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Investment Companies | 147,908,438 | |||||||||||||||||||
|
| |||||||||||||||||||
PRINCIPAL (000’s) | ||||||||||||||||||||
U.S. Treasury Obligations - 19.3% | ||||||||||||||||||||
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(d) | $ | 1,926 | 1,925,410 | |||||||||||||||||
U.S. Treasury Bill, 0.465%, 08/04/2016 (d) | 12,040 | 12,037,556 | ||||||||||||||||||
U.S. Treasury Bill, 0.422%, 08/11/2016 ^(d) | 35,887 | 35,878,674 | ||||||||||||||||||
U.S. Treasury Bill, 0.479%, 09/01/2016 (d) | 25,205 | 25,194,918 | ||||||||||||||||||
U.S. Treasury Bill, 0.511%, 09/15/2016 ^(d) | 1,550 | 1,549,333 | ||||||||||||||||||
U.S. Treasury Bill, 0.410%, 07/28/2016 ^(d) | 5,902 | 5,901,221 | ||||||||||||||||||
U.S. Treasury Bill, 0.480%, 11/25/2016 ^(d) | 1,688 | 1,686,217 | ||||||||||||||||||
U.S. Treasury Bill, 0.476%, 12/01/2016 ^(d) | 1,106 | 1,104,661 | ||||||||||||||||||
|
| |||||||||||||||||||
Total U.S. Treasury Obligations | 85,277,990 | |||||||||||||||||||
|
| |||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | 233,186,428 | |||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 93.0% | 411,480,400 | |||||||||||||||||||
|
| |||||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.0% (e) | 31,062,954 | |||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS - 100.0% | $ | 442,543,354 | ||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
200
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND |
All securities are United States companies, unless noted otherwise in parentheses.
(a) | All or a portion of the security is pledged as collateral to the brokers for futures contracts. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
(c) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(d) | The rate shown is the effective yield at the date of purchase. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Credit default swap contracts sell protection as of June 30, 2016:
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE PAID BY FUND | CURRENCY | CREDIT SPREAD | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||||
CITG | iTraxx Europe Crossover Series 25.V1 | 5.000% | EUR | 3.658% | 39,475,000 | $3,342,794 | 06/20/2021 | $(714,222 | ) | |||||||||||||||||||
CITG | iTraxx Europe Series 25.V1 | 1.000% | EUR | 0.839% | 78,000,000 | 1,115,981 | 06/20/2021 | (406,414 | ) | |||||||||||||||||||
CITG | Markit CDX Emerging Market Index Series 25.V1 | 1.000% | USD | 2.673% | 16,500,000 | (1,361,501 | ) | 06/20/2021 | 120,497 | |||||||||||||||||||
CITG | Markit CDX North America High Yield Index Series 26.V1 | 5.000% | USD | 4.288% | 25,550,000 | 408,654 | 06/20/2021 | 403,202 | ||||||||||||||||||||
CITG | Markit CDX North America Investment Grade Index Series 26.V1 | 1.000% | USD | 0.789% | 87,125,000 | 736,960 | 06/20/2021 | 166,847 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$4,242,888 | $(430,090 | ) | ||||||||||||||||||||||||||
|
|
|
|
Forward effective interest rate swap contracts outstanding as of June 30, 2016:
COUNTERPARTY | PAYMENTS THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||
CITG | (1) | 0.500% | CZK | 10,000,000 | $3,836 | 09/15/2021 | $608 | |||||||||||||||||
CITG | (1) | 0.500% | CZK | 130,000,000 | 51,985 | 09/15/2021 | 5,776 | |||||||||||||||||
CITG | (1) | 0.500% | CZK | 10,000,000 | — | 09/15/2021 | 4,443 | |||||||||||||||||
CITG | (1) | 0.500% | CZK | 10,000,000 | 4,330 | 09/15/2021 | 113 | |||||||||||||||||
CITG | (1) | 0.500% | CZK | 3,000,000 | 729 | 09/15/2021 | 604 | |||||||||||||||||
CITG | (1) | 0.500% | CZK | 140,000,000 | 54,158 | 09/15/2021 | 8,047 | |||||||||||||||||
CITG | 0.500% | (1 | ) | CZK | 10,000,000 | (932 | ) | 09/15/2021 | (3,511 | ) | ||||||||||||||
CITG | 0.500% | (1 | ) | CZK | 1,000,000 | (227 | ) | 09/15/2021 | (217 | ) | ||||||||||||||
CITG | 0.500% | (1 | ) | CZK | 10,000,000 | 557 | 09/15/2021 | (5,000 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
201
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CITG | 0.500% | (1 | ) | CZK | 40,000,000 | $ (2,305 | ) | 09/15/2021 | $ (15,468 | ) | ||||||||||||||
CITG | 0.500% | (1 | ) | CZK | 10,000,000 | (1,948 | ) | 09/15/2021 | (2,496 | ) | ||||||||||||||
CITG | (2) | 1.500% | HKD | 6,000,000 | (4,986 | ) | 09/15/2021 | 17,370 | ||||||||||||||||
CITG | (2) | 1.500% | HKD | 6,000,000 | 2,643 | 09/15/2021 | 9,741 | |||||||||||||||||
CITG | (2) | 1.500% | HKD | 2,000,000 | 2,377 | 09/15/2021 | 1,751 | |||||||||||||||||
CITG | (2) | 1.500% | HKD | 3,000,000 | 486 | 09/15/2021 | 5,707 | |||||||||||||||||
CITG | (2) | 1.500% | HKD | 58,000,000 | (31,259 | ) | 09/15/2021 | 150,976 | ||||||||||||||||
CITG | (2) | 1.500% | HKD | 58,000,000 | 16,219 | 09/15/2021 | 103,499 | |||||||||||||||||
CITG | (2) | 1.500% | HKD | 57,000,000 | (22,967 | ) | 09/15/2021 | 140,620 | ||||||||||||||||
CITG | 1.500% | (2 | ) | HKD | 9,000,000 | 4,437 | 09/15/2021 | (23,014 | ) | |||||||||||||||
CITG | 1.500% | (2 | ) | HKD | 19,000,000 | (13,094 | ) | 09/15/2021 | (26,123 | ) | ||||||||||||||
CITG | 1.500% | (2 | ) | HKD | 3,000,000 | (1,427 | ) | 09/15/2021 | (4,765 | ) | ||||||||||||||
CITG | 1.500% | (2 | ) | HKD | 7,000,000 | (2,596 | ) | 09/15/2021 | (11,852 | ) | ||||||||||||||
CITG | 1.500% | (2 | ) | HKD | 2,000,000 | 1,500 | 09/15/2021 | (5,628 | ) | |||||||||||||||
CITG | (3) | 1.500% | HUF | 1,900,000,000 | (4,571 | ) | 09/15/2021 | 71,457 | ||||||||||||||||
CITG | (3) | 1.500% | HUF | 100,000,000 | 3,600 | 09/15/2021 | (80 | ) | ||||||||||||||||
CITG | (3) | 1.500% | HUF | 100,000,000 | (944 | ) | 09/15/2021 | 4,465 | ||||||||||||||||
CITG | (3) | 1.500% | HUF | 1,300,000,000 | (3,114 | ) | 09/15/2021 | 48,879 | ||||||||||||||||
CITG | (3) | 1.500% | HUF | 100,000,000 | 781 | 09/15/2021 | 2,739 | |||||||||||||||||
CITG | (3) | 1.500% | HUF | 100,000,000 | 1,378 | 09/15/2021 | 2,142 | |||||||||||||||||
CITG | 1.500% | (3 | ) | HUF | 50,000,000 | (2,675 | ) | 09/15/2021 | 915 | |||||||||||||||
CITG | 1.500% | (3 | ) | HUF | 200,000,000 | 1,841 | 09/15/2021 | (8,882 | ) | |||||||||||||||
CITG | 1.500% | (3 | ) | HUF | 400,000,000 | (794 | ) | 09/15/2021 | (13,287 | ) | ||||||||||||||
CITG | 1.500% | (3 | ) | HUF | 20,000,000 | (734 | ) | 09/15/2021 | 30 | |||||||||||||||
CITG | 1.500% | (3 | ) | HUF | 100,000,000 | (2,225 | ) | 09/15/2021 | (1,295 | ) | ||||||||||||||
CITG | (4) | 2.000% | PLN | 3,000,000 | 4,578 | 09/15/2021 | 1,871 | |||||||||||||||||
CITG | (4) | 2.000% | PLN | 45,000,000 | 92,027 | 09/15/2021 | 4,716 | |||||||||||||||||
CITG | (4) | 2.000% | PLN | 1,000,000 | 1,270 | 09/15/2021 | 880 | |||||||||||||||||
CITG | (4) | 2.000% | PLN | 1,000,000 | 151 | 09/15/2021 | 1,999 | |||||||||||||||||
CITG | (4) | 2.000% | PLN | 45,000,000 | 89,533 | 09/15/2021 | 7,211 | |||||||||||||||||
CITG | (4) | 2.000% | PLN | 2,000,000 | 3,593 | 09/15/2021 | 707 | |||||||||||||||||
CITG | (4) | 2.000% | PLN | 2,000,000 | (3,279 | ) | 09/15/2021 | 7,579 | ||||||||||||||||
CITG | (4) | 2.000% | PLN | 1,000,000 | 2,416 | 09/15/2021 | (266 | ) | ||||||||||||||||
CITG | (4) | 2.000% | PLN | 2,000,000 | 3,372 | 09/15/2021 | 928 | |||||||||||||||||
CITG | 2.000% | (4 | ) | PLN | 5,000,000 | 898 | 09/15/2021 | (11,647 | ) | |||||||||||||||
CITG | 2.000% | (4 | ) | PLN | 2,000,000 | 742 | 09/15/2021 | (5,042 | ) | |||||||||||||||
CITG | 2.000% | (4 | ) | PLN | 2,000,000 | (4,922 | ) | 09/15/2021 | 622 | |||||||||||||||
CITG | 2.000% | (4 | ) | PLN | 2,000,000 | (4,347 | ) | 09/15/2021 | 47 | |||||||||||||||
CITG | 2.000% | (4 | ) | PLN | 9,000,000 | 3,324 | 09/15/2021 | (22,672 | ) | |||||||||||||||
CITG | (5) | 2.000% | SGD | 1,000,000 | 179 | 09/15/2021 | 6,888 | |||||||||||||||||
CITG | (5) | 2.000% | SGD | 1,000,000 | (2,847 | ) | 09/15/2021 | 9,914 | ||||||||||||||||
CITG | (5) | 2.000% | SGD | 1,000,000 | 8,871 | 09/15/2021 | (1,804 | ) | ||||||||||||||||
CITG | (5) | 2.000% | SGD | 1,000,000 | (5,289 | ) | 09/15/2021 | 12,355 | ||||||||||||||||
CITG | (5) | 2.500% | SGD | 16,000,000 | 119,139 | 09/15/2021 | 281,868 | |||||||||||||||||
CITG | (5) | 2.500% | SGD | 17,000,000 | 137,577 | 09/15/2021 | 288,493 | |||||||||||||||||
CITG | (5) | 2.500% | SGD | 4,000,000 | 32,779 | 09/15/2021 | 67,473 | |||||||||||||||||
CITG | (5) | 2.500% | SGD | 16,000,000 | 87,645 | 09/15/2021 | 313,362 | |||||||||||||||||
CITG | (5) | 2.500% | SGD | 13,000,000 | 69,476 | 09/15/2021 | 256,343 | |||||||||||||||||
CITG | 2.000% | (5 | ) | SGD | 3,000,000 | (889 | ) | 09/15/2021 | (20,311 | ) | ||||||||||||||
CITG | 2.000% | (5 | ) | SGD | 1,000,000 | (8,122 | ) | 09/15/2021 | 1,055 | |||||||||||||||
CITG | 2.000% | (5 | ) | SGD | 6,000,000 | 19,674 | 09/15/2021 | (62,074 | ) | |||||||||||||||
CITG | 2.000% | (5 | ) | SGD | 4,000,000 | 27,689 | 09/15/2021 | (55,955 | ) | |||||||||||||||
CITG | 2.000% | (5 | ) | SGD | 1,000,000 | 4,556 | 09/15/2021 | (11,623 | ) | |||||||||||||||
CITG | 2.500% | (5 | ) | SGD | 2,000,000 | (29,253 | ) | 09/15/2021 | (20,873 | ) | ||||||||||||||
CITG | (6) | 8.500% | ZAR | 120,000,000 | (66,406 | ) | 09/15/2021 | 242,436 | ||||||||||||||||
CITG | (6) | 8.500% | ZAR | 10,000,000 | 15,558 | 09/15/2021 | (889 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
202
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Exchange Cleared (continued) | ||||||||||||||||||||||||
CITG | (6) | 8.500 | % | ZAR | 10,000,000 | $ (1,506 | ) | 09/15/2021 | $ 16,175 | |||||||||||||||
CITG | (6) | 8.500 | % | ZAR | 10,000,000 | 15,069 | 09/15/2021 | (400 | ) | |||||||||||||||
CITG | (6) | 8.500 | % | ZAR | 110,000,000 | (63,505 | ) | 09/15/2021 | 224,866 | |||||||||||||||
CITG | (6) | 8.500 | % | ZAR | 10,000,000 | 15,206 | 09/15/2021 | (537 | ) | |||||||||||||||
CITG | (6) | 8.500 | % | ZAR | 40,000,000 | (21,891 | ) | 09/15/2021 | 80,567 | |||||||||||||||
CITG | (6) | 8.500 | % | ZAR | 91,500,000 | (51,243 | ) | 09/15/2021 | 185,466 | |||||||||||||||
CITG | (6) | 8.500 | % | ZAR | 138,500,000 | (77,779 | ) | 09/15/2021 | 280,948 | |||||||||||||||
CITG | 8.500% | (6 | ) | ZAR | 10,000,000 | (6,947 | ) | 09/15/2021 | (7,722 | ) | ||||||||||||||
CITG | 8.500% | (6 | ) | ZAR | 10,000,000 | (6,008 | ) | 09/15/2021 | (8,661 | ) | ||||||||||||||
CITG | 8.500% | (6 | ) | ZAR | 20,000,000 | 10,246 | 09/15/2021 | (39,585 | ) | |||||||||||||||
CITG | 8.500% | (6 | ) | ZAR | 50,000,000 | (10,608 | ) | 09/15/2021 | (62,738 | ) | ||||||||||||||
CITG | 8.500% | (6 | ) | ZAR | 20,000,000 | (7,326 | ) | 09/15/2021 | (22,012 | ) | ||||||||||||||
CITG | 8.500% | (6 | ) | ZAR | 20,000,000 | (14,873 | ) | 09/15/2021 | (14,465 | ) | ||||||||||||||
CITG | 8.500% | (6 | ) | ZAR | 50,000,000 | 7,959 | 09/15/2021 | (81,305 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||||
$440,546 | $2,302,452 | |||||||||||||||||||||||
|
|
|
|
Interest rate swap contracts outstanding as of June 30, 2016:
COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Over the Counter | ||||||||||||||||||||||||
CITI | (7) | 1.200 | % | KRW* | 2,000,000,000 | $— | 09/15/2021 | $(1,007 | ) | |||||||||||||||
CITI | (7) | 1.482 | % | KRW* | 1,000,000,000 | — | 09/15/2021 | 11,285 | ||||||||||||||||
CITI | (7) | 1.498 | % | KRW* | 11,000,000,000 | — | 09/15/2021 | 131,267 | ||||||||||||||||
CITI | (7) | 1.503 | % | KRW* | 1,000,000,000 | — | 09/15/2021 | 12,163 | ||||||||||||||||
CITI | (7) | 1.530 | % | KRW* | 11,000,000,000 | — | 09/15/2021 | 146,212 | ||||||||||||||||
CITI | (7) | 1.539 | % | KRW* | 11,000,000,000 | — | 09/15/2021 | 150,121 | ||||||||||||||||
CITI | (7) | 1.540 | % | KRW* | 11,000,000,000 | — | 09/15/2021 | 150,811 | ||||||||||||||||
CITI | (7) | 1.543 | % | KRW* | 11,000,000,000 | — | 09/15/2021 | 151,960 | ||||||||||||||||
CITI | (7) | 1.545 | % | KRW* | 1,000,000,000 | — | 09/15/2021 | 13,919 | ||||||||||||||||
CITI | 1.183% | (7 | ) | KRW* | 1,000,000,000 | — | 09/15/2021 | 1,235 | ||||||||||||||||
CITI | 1.336% | (7 | ) | KRW* | 1,000,000,000 | — | 09/15/2021 | (5,190 | ) | |||||||||||||||
CITI | 1.343% | (7 | ) | KRW* | 5,000,000,000 | — | 09/15/2021 | (27,269 | ) | |||||||||||||||
CITI | 1.455% | (7 | ) | KRW* | 1,000,000,000 | — | 09/15/2021 | (10,157 | ) | |||||||||||||||
CITI | 1.470% | (7 | ) | KRW* | 2,000,000,000 | — | 09/15/2021 | (21,567 | ) | |||||||||||||||
CITI | 1.495% | (7 | ) | KRW* | 1,000,000,000 | — | 09/15/2021 | (11,829 | ) | |||||||||||||||
CITI | 1.513% | (7 | ) | KRW* | 2,000,000,000 | — | 09/15/2021 | (25,121 | ) | |||||||||||||||
CITI | 1.518% | (7 | ) | KRW* | 1,000,000,000 | — | 09/15/2021 | (12,769 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||||
$— | $654,064 | |||||||||||||||||||||||
|
|
|
|
* | Non-deliverable swap (See Note 4). |
(1) | 6 Month Prague Interbank Offered Rate |
(2) | 3 Month Hong Kong Interbank Offered Rate |
(3) | 6 Month Budapest Interbank Offered Rate |
(4) | 6 Month Warsaw Interbank Offered Rate |
(5) | 6 Month Singapore Interbank Offered Rate |
(6) | 3 Month Johannesburg Interbank Agreed Rate |
(7) | 3 Month Korean Certificate of Deposit |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
203
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND |
Total return swap contracts outstanding as of June 30, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
MSCS | Bovespa Index August Futures | 08/2016 | BRL | 3,035,110 | $32,062 | |||||||||||
CITI | Corn September Futures^ | 08/2016 | USD | 302,563 | (10,163 | ) | ||||||||||
DTBK | Corn September Futures^ | 08/2016 | USD | 379,395 | (13,895 | ) | ||||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | 1,802,271 | (66,146 | ) | ||||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | 968,627 | (36,602 | ) | ||||||||||
MLIN | Corn September Futures^ | 09/2016 | USD | 20,863 | (2,588 | ) | ||||||||||
CITI | Cotton No. 2 December Futures^ | 11/2016 | USD | 950,150 | 44,485 | |||||||||||
SOCG | Cotton No. 2 December Futures^ | 11/2016 | USD | 61,374 | 2,796 | |||||||||||
MACQ | Cotton No. 2 December Futures^ | 11/2016 | USD | (91,906 | ) | 285 | ||||||||||
MACQ | Cotton No. 2 December Futures^ | 11/2016 | USD | 275,731 | 13,034 | |||||||||||
SOCG | Hard Red Winter Wheat September Futures^ | 08/2016 | USD | 70,527 | (7,152 | ) | ||||||||||
BANA | H-SHARES Index July Futures | 07/2016 | HKD | 39,200,824 | 232,853 | |||||||||||
MSCS | KOSPI Index 200 September Futures | 09/2016 | KRW | 5,225,565,897 | (79,469 | ) | ||||||||||
MACQ | Lean Hogs August Futures^ | 08/2016 | USD | (229,432 | ) | 699 | ||||||||||
MACQ | Lean Hogs August Futures^ | 08/2016 | USD | 978,260 | (12,270 | ) | ||||||||||
MLIN | Lean Hogs August Futures^ | 08/2016 | USD | (98,910 | ) | — | ||||||||||
MLIN | Lean Hogs August Futures^ | 08/2016 | USD | 542,160 | (9,200 | ) | ||||||||||
DTBK | Lean Hogs July Futures^ | 07/2016 | USD | (231,492 | ) | (463,472 | ) | |||||||||
DTBK | Lean Hogs July Futures^ | 07/2016 | USD | 231,492 | 464,532 | |||||||||||
SOCG | Lean Hogs July Futures^ | 07/2016 | USD | (298,851 | ) | (5,027 | ) | |||||||||
SOCG | Lean Hogs July Futures^ | 07/2016 | USD | 298,851 | (591 | ) | ||||||||||
MACQ | Lean Hogs July Futures^ | 07/2016 | USD | (1,028,222 | ) | 19,246 | ||||||||||
MACQ | Lean Hogs July Futures^ | 07/2016 | USD | 1,028,222 | (882 | ) | ||||||||||
MLIN | Lean Hogs July Futures^ | 07/2016 | USD | (531,680 | ) | 13,800 | ||||||||||
MLIN | Lean Hogs July Futures^ | 07/2016 | USD | 531,680 | (1,440 | ) | ||||||||||
SOCG | Lean Hogs October Futures^ | 10/2016 | USD | 257,522 | 598 | |||||||||||
MACQ | Lean Hogs October Futures^ | 10/2016 | USD | 142,874 | 526 | |||||||||||
MLIN | Lean Hogs October Futures^ | 10/2016 | USD | 85,950 | 90 | |||||||||||
DTBK | Live Cattle August Futures^ | 08/2016 | USD | (318,084 | ) | (639,594 | ) | |||||||||
DTBK | Live Cattle August Futures^ | 08/2016 | USD | 1,685,460 | 654,475 | |||||||||||
DTBK | Live Cattle October Futures^ | 10/2016 | USD | 321,741 | (721 | ) | ||||||||||
MSCS | MSCI Taiwan Stock Index July Futures | 07/2016 | USD | 1,721,318 | 56,682 | |||||||||||
MSCS | SGX S&P CNX Nifty Index July Futures | 07/2016 | USD | 243,774 | 6,291 | |||||||||||
CITI | Soybean Meal December Futures^ | 11/2016 | USD | 134,784 | 25,616 | |||||||||||
MACQ | Soybean Meal December Futures^ | 11/2016 | USD | 67,265 | 12,935 | |||||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | 2,795,531 | 318,244 | |||||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | (2,795,531 | ) | (239,300 | ) | |||||||||
SOCG | Soybean November Futures^ | 10/2016 | USD | 2,656,449 | 284,339 | |||||||||||
MACQ | Soybean November Futures^ | 10/2016 | USD | (1,015,701 | ) | (23,623 | ) | |||||||||
MACQ | Soybean November Futures^ | 10/2016 | USD | 2,659,613 | 281,175 | |||||||||||
SOCG | Soybean Oil December Futures^ | 11/2016 | USD | 59,366 | (1,640 | ) | ||||||||||
MACQ | Soybean Oil December Futures^ | 11/2016 | USD | 117,864 | (2,412 | ) | ||||||||||
MSCS | Swiss Market Index September Futures | 09/2016 | CHF | 1,376,290 | 62,231 | |||||||||||
|
| |||||||||||||||
$910,807 | ||||||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
204
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND |
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
179 | GSCO | Brent Crude Futures^ | 08/2016 | $9,318,759 | $8,978,640 | $(340,119 | ) | |||||||||||||
6 | MSCL | Cocoa Futures^ | 09/2016 | 185,159 | 177,780 | (7,379 | ) | |||||||||||||
47 | MSCL | Coffee ‘C’ Futures^ | 09/2016 | 2,250,065 | 2,567,081 | 317,016 | ||||||||||||||
83 | MSCL | Corn Futures^ | 09/2016 | 1,587,213 | 1,516,825 | (70,388 | ) | |||||||||||||
2 | MSCL | Cotton No. 2 Futures^ | 12/2016 | 60,985 | 64,170 | 3,185 | ||||||||||||||
5 | MSCL | Feeder Cattle Futures^ | 09/2016 | 360,825 | 358,750 | (2,075 | ) | |||||||||||||
75 | GSCO | Gas Oil Futures^ | 09/2016 | 3,461,162 | 3,376,875 | (84,287 | ) | |||||||||||||
23 | MSCL | Gasoline RBOB Futures^ | 08/2016 | 1,535,045 | 1,456,148 | (78,897 | ) | |||||||||||||
78 | MSCL | Gold 100 OZ Futures^ | 08/2016 | 10,110,437 | 10,300,680 | 190,243 | ||||||||||||||
22 | MSCL | Gold 100 OZ Futures^ | 12/2016 | 2,920,748 | 2,920,280 | (468 | ) | |||||||||||||
5 | MSCL | Hard Red Winter Wheat Futures^ | 09/2016 | 117,325 | 105,625 | (11,700 | ) | |||||||||||||
28 | MSCL | Heating Oil ULSD Futures^ | 08/2016 | 1,825,756 | 1,773,761 | (51,995 | ) | |||||||||||||
3 | MSCL | Lean Hogs Futures^ | 08/2016 | 102,207 | 99,930 | (2,277 | ) | |||||||||||||
1 | MSCL | Lean Hogs Futures^ | 10/2016 | 28,582 | 28,680 | 98 | ||||||||||||||
27 | MSCL | Live Cattle Futures^ | 08/2016 | 1,259,874 | 1,240,110 | (19,764 | ) | |||||||||||||
3 | MSCL | Live Cattle Futures^ | 10/2016 | 137,149 | 137,580 | 431 | ||||||||||||||
27 | JPPC | LME Aluminum Futures^ | 07/2016 | 1,102,700 | 1,110,206 | 7,506 | ||||||||||||||
6 | JPPC | LME Aluminum Futures^ | 07/2016 | 246,999 | 246,675 | (324 | ) | |||||||||||||
11 | JPPC | LME Aluminum Futures^ | 07/2016 | 453,978 | 452,461 | (1,517 | ) | |||||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | 40,577 | 41,159 | 582 | ||||||||||||||
2 | JPPC | LME Aluminum Futures^ | 08/2016 | 78,016 | 82,367 | 4,351 | ||||||||||||||
9 | JPPC | LME Aluminum Futures^ | 08/2016 | 351,372 | 370,462 | 19,090 | ||||||||||||||
3 | JPPC | LME Aluminum Futures^ | 08/2016 | 117,009 | 123,619 | 6,610 | ||||||||||||||
8 | JPPC | LME Aluminum Futures^ | 09/2016 | 314,420 | 330,000 | 15,580 | ||||||||||||||
16 | JPPC | LME Aluminum Futures^ | 09/2016 | 621,239 | 660,400 | 39,161 | ||||||||||||||
2 | JPPC | LME Aluminum Futures^ | 09/2016 | 79,471 | 82,588 | 3,117 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 09/2016 | 40,164 | 41,303 | 1,139 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 09/2016 | 40,166 | 41,306 | 1,140 | ||||||||||||||
184 | JPPC | LME Aluminum Futures^ | 09/2016 | 7,355,855 | 7,595,750 | 239,895 | ||||||||||||||
3 | JPPC | LME Aluminum Futures^ | 09/2016 | 122,985 | 123,675 | 690 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | 119,856 | 121,059 | 1,203 | ||||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | 250,216 | 242,100 | (8,116 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | 120,098 | 121,148 | 1,050 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | 118,390 | 121,200 | 2,810 | ||||||||||||||
7 | JPPC | LME Copper Futures^ | 08/2016 | 804,992 | 848,167 | 43,175 | ||||||||||||||
4 | JPPC | LME Copper Futures^ | 09/2016 | 461,510 | 484,669 | 23,159 | ||||||||||||||
7 | JPPC | LME Copper Futures^ | 09/2016 | 827,067 | 848,232 | 21,165 | ||||||||||||||
6 | JPPC | LME Copper Futures^ | 09/2016 | 681,167 | 727,095 | 45,928 | ||||||||||||||
5 | JPPC | LME Copper Futures^ | 09/2016 | 567,950 | 605,966 | 38,016 | ||||||||||||||
59 | JPPC | LME Copper Futures^ | 09/2016 | 7,178,465 | 7,150,800 | (27,665 | ) | |||||||||||||
2 | JPPC | LME Lead Futures^ | 07/2016 | 89,892 | 89,291 | (601 | ) | |||||||||||||
1 | JPPC | LME Lead Futures^ | 07/2016 | 44,627 | 44,647 | 20 | ||||||||||||||
1 | JPPC | LME Lead Futures^ | 07/2016 | 43,327 | 44,658 | 1,331 | ||||||||||||||
3 | JPPC | LME Lead Futures^ | 08/2016 | 127,082 | 134,081 | 6,999 | ||||||||||||||
1 | JPPC | LME Lead Futures^ | 08/2016 | 41,230 | 44,711 | 3,481 | ||||||||||||||
1 | JPPC | LME Lead Futures^ | 09/2016 | 43,240 | 44,727 | 1,487 | ||||||||||||||
2 | JPPC | LME Lead Futures^ | 09/2016 | 87,006 | 89,473 | 2,467 | ||||||||||||||
1 | JPPC | LME Lead Futures^ | 09/2016 | 43,242 | 44,744 | 1,502 | ||||||||||||||
25 | JPPC | LME Lead Futures^ | 09/2016 | 1,089,813 | 1,117,969 | 28,156 | ||||||||||||||
3 | JPPC | LME Lead Futures^ | 09/2016 | 133,558 | 134,100 | 542 | ||||||||||||||
3 | JPPC | LME Nickel Futures^ | 07/2016 | 153,106 | 169,233 | 16,127 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
205
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | $ 54,962 | $ 56,466 | $ 1,504 | ||||||||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | 55,188 | 56,487 | 1,299 | ||||||||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | 111,198 | 113,030 | 1,832 | ||||||||||||||||
1 | JPPC | LME Nickel Futures^ | 08/2016 | 53,207 | 56,539 | 3,332 | ||||||||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | 52,109 | 56,611 | 4,502 | ||||||||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | 161,051 | 169,857 | 8,806 | ||||||||||||||||
18 | JPPC | LME Nickel Futures^ | 09/2016 | 984,125 | 1,019,736 | 35,611 | ||||||||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | 235,463 | 236,125 | 662 | ||||||||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | 47,827 | 52,542 | 4,715 | ||||||||||||||||
1 | JPPC | LME Zinc Futures^ | 08/2016 | 47,177 | 52,616 | 5,439 | ||||||||||||||||
1 | JPPC | LME Zinc Futures^ | 08/2016 | 46,702 | 52,630 | 5,928 | ||||||||||||||||
2 | JPPC | LME Zinc Futures^ | 09/2016 | 103,053 | 105,335 | 2,282 | ||||||||||||||||
26 | JPPC | LME Zinc Futures^ | 09/2016 | 1,243,222 | 1,369,062 | 125,840 | ||||||||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | 52,046 | 52,612 | 566 | ||||||||||||||||
40 | MSCL | Natural Gas Futures^ | 08/2016 | 1,038,370 | 1,167,200 | 128,830 | ||||||||||||||||
78 | MSCL | Silver Futures^ | 09/2016 | 6,345,295 | 7,262,970 | 917,675 | ||||||||||||||||
6 | MSCL | Soybean Futures^ | 11/2016 | 309,744 | 345,975 | 36,231 | ||||||||||||||||
31 | MSCL | Soybean Meal Futures^ | 12/2016 | 1,026,591 | 1,243,100 | 216,509 | ||||||||||||||||
62 | MSCL | Soybean Oil Futures^ | 12/2016 | 1,222,705 | 1,193,004 | (29,701 | ) | |||||||||||||||
178 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2016 | 3,241,540 | 4,052,989 | 811,449 | ||||||||||||||||
111 | MSCL | Wheat Futures^ | 09/2016 | 2,660,340 | 2,472,525 | (187,815 | ) | |||||||||||||||
167 | MSCL | WTI Crude Futures^ | 08/2016 | 8,467,430 | 8,184,670 | (282,760 | ) | |||||||||||||||
2 | BARC | DAX Index Futures | 09/2016 | 530,702 | 536,481 | 5,779 | ||||||||||||||||
34 | BARC | E-Mini Russell 2000 Futures | 09/2016 | 3,945,957 | 3,901,160 | (44,797 | ) | |||||||||||||||
120 | BARC | Euro Stoxx 50 Index Futures | 09/2016 | 3,747,661 | 3,802,003 | 54,342 | ||||||||||||||||
40 | BARC | FTSE 100 Index Futures | 09/2016 | 3,208,208 | 3,419,981 | 211,773 | ||||||||||||||||
20 | JPMS | FTSE/JSE Top 40 Index Futures | 09/2016 | 627,640 | 630,717 | 3,077 | ||||||||||||||||
1 | BARC | Hang Seng Index Futures | 07/2016 | 133,815 | 135,001 | 1,186 | ||||||||||||||||
5 | BARC | H-SHARES Index Futures | 07/2016 | 279,565 | 281,158 | 1,593 | ||||||||||||||||
15 | BARC | MSCI Taiwan Stock Index Futures | 07/2016 | 474,633 | 476,251 | 1,618 | ||||||||||||||||
334 | BARC | S&P 500 E-Mini Futures | 09/2016 | 34,696,916 | 34,906,340 | 209,424 | ||||||||||||||||
31 | BARC | S&P MID 400 E-Mini Futures | 09/2016 | 4,603,782 | 4,628,300 | 24,518 | ||||||||||||||||
2 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2016 | 250,617 | 252,115 | 1,498 | ||||||||||||||||
57 | BARC | SGX S&P CNX Nifty Index Futures | 07/2016 | 928,620 | 950,247 | 21,627 | ||||||||||||||||
42 | BARC | TOPIX Index Futures | 09/2016 | 5,436,987 | 5,065,705 | (371,282 | ) | |||||||||||||||
42 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | 61,874,918 | 62,195,710 | 320,792 | ||||||||||||||||
62 | JPMS | Australia 10-Year Bond Futures | 09/2016 | 6,231,458 | 6,297,812 | 66,354 | ||||||||||||||||
104 | GSCO | Canadian 10-Year Bond Futures | 09/2016 | 11,635,577 | 11,916,994 | 281,417 | ||||||||||||||||
490 | GSCO | Euro-Bund Futures | 09/2016 | 88,832,070 | 90,876,095 | 2,044,025 | ||||||||||||||||
1,365 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2016 | 177,134,259 | 181,523,672 | 4,389,413 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
491,384,806 | 500,800,779 | 9,415,973 | ||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
206
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: | ||||||||||||||||||||
27 | JPPC | LME Aluminum Futures^ | 07/2016 | $(1,109,634 | ) | $(1,110,206 | ) | $(572 | ) | |||||||||||
6 | JPPC | LME Aluminum Futures^ | 07/2016 | (246,585 | ) | (246,675 | ) | (90 | ) | |||||||||||
11 | JPPC | LME Aluminum Futures^ | 07/2016 | (453,173 | ) | (452,460 | ) | 713 | ||||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | (40,530 | ) | (41,160 | ) | (630 | ) | |||||||||||
2 | JPPC | LME Aluminum Futures^ | 08/2016 | (78,145 | ) | (82,366 | ) | (4,221 | ) | |||||||||||
9 | JPPC | LME Aluminum Futures^ | 08/2016 | (350,257 | ) | (370,463 | ) | (20,206 | ) | |||||||||||
3 | JPPC | LME Aluminum Futures^ | 08/2016 | (116,832 | ) | (123,619 | ) | (6,787 | ) | |||||||||||
8 | JPPC | LME Aluminum Futures^ | 09/2016 | (312,537 | ) | (330,000 | ) | (17,463 | ) | |||||||||||
16 | JPPC | LME Aluminum Futures^ | 09/2016 | (621,719 | ) | (660,400 | ) | (38,681 | ) | |||||||||||
2 | JPPC | LME Aluminum Futures^ | 09/2016 | (79,520 | ) | (82,587 | ) | (3,067 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 09/2016 | (40,173 | ) | (41,303 | ) | (1,130 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 09/2016 | (40,372 | ) | (41,306 | ) | (934 | ) | |||||||||||
37 | JPPC | LME Aluminum Futures^ | 09/2016 | (1,446,667 | ) | (1,527,407 | ) | (80,740 | ) | |||||||||||
3 | JPPC | LME Aluminum Futures^ | 09/2016 | (122,466 | ) | (123,675 | ) | (1,209 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (119,910 | ) | (121,059 | ) | (1,149 | ) | |||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | (250,520 | ) | (242,100 | ) | 8,420 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | (120,498 | ) | (121,148 | ) | (650 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | (117,884 | ) | (121,200 | ) | (3,316 | ) | |||||||||||
7 | JPPC | LME Copper Futures^ | 08/2016 | (803,346 | ) | (848,167 | ) | (44,821 | ) | |||||||||||
4 | JPPC | LME Copper Futures^ | 09/2016 | (458,956 | ) | (484,669 | ) | (25,713 | ) | |||||||||||
7 | JPPC | LME Copper Futures^ | 09/2016 | (826,339 | ) | (848,232 | ) | (21,893 | ) | |||||||||||
6 | JPPC | LME Copper Futures^ | 09/2016 | (678,736 | ) | (727,094 | ) | (48,358 | ) | |||||||||||
5 | JPPC | LME Copper Futures^ | 09/2016 | (566,001 | ) | (605,967 | ) | (39,966 | ) | |||||||||||
30 | JPPC | LME Copper Futures^ | 09/2016 | (3,460,913 | ) | (3,636,000 | ) | (175,087 | ) | |||||||||||
2 | JPPC | LME Lead Futures^ | 07/2016 | (89,473 | ) | (89,291 | ) | 182 | ||||||||||||
1 | JPPC | LME Lead Futures^ | 07/2016 | (44,650 | ) | (44,647 | ) | 3 | ||||||||||||
1 | JPPC | LME Lead Futures^ | 07/2016 | (43,465 | ) | (44,658 | ) | (1,193 | ) | |||||||||||
3 | JPPC | LME Lead Futures^ | 08/2016 | (126,897 | ) | (134,081 | ) | (7,184 | ) | |||||||||||
1 | JPPC | LME Lead Futures^ | 08/2016 | (41,541 | ) | (44,710 | ) | (3,169 | ) | |||||||||||
1 | JPPC | LME Lead Futures^ | 09/2016 | (43,251 | ) | (44,727 | ) | (1,476 | ) | |||||||||||
2 | JPPC | LME Lead Futures^ | 09/2016 | (86,882 | ) | (89,473 | ) | (2,591 | ) | |||||||||||
1 | JPPC | LME Lead Futures^ | 09/2016 | (43,673 | ) | (44,744 | ) | (1,071 | ) | |||||||||||
11 | JPPC | LME Lead Futures^ | 09/2016 | (476,953 | ) | (491,906 | ) | (14,953 | ) | |||||||||||
3 | JPPC | LME Lead Futures^ | 09/2016 | (133,050 | ) | (134,100 | ) | (1,050 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 07/2016 | (152,829 | ) | (169,233 | ) | (16,404 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | (55,070 | ) | (56,467 | ) | (1,397 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 07/2016 | (55,078 | ) | (56,488 | ) | (1,410 | ) | |||||||||||
2 | JPPC | LME Nickel Futures^ | 08/2016 | (111,175 | ) | (113,030 | ) | (1,855 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 08/2016 | (53,422 | ) | (56,539 | ) | (3,117 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | (52,198 | ) | (56,611 | ) | (4,413 | ) | |||||||||||
3 | JPPC | LME Nickel Futures^ | 09/2016 | (160,733 | ) | (169,858 | ) | (9,125 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | (55,108 | ) | (56,652 | ) | (1,544 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | (236,594 | ) | (236,125 | ) | 469 | ||||||||||||
1 | JPPC | LME Zinc Futures^ | 07/2016 | (47,922 | ) | (52,542 | ) | (4,620 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 08/2016 | (47,033 | ) | (52,616 | ) | (5,583 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 08/2016 | (46,892 | ) | (52,630 | ) | (5,738 | ) | |||||||||||
2 | JPPC | LME Zinc Futures^ | 09/2016 | (103,494 | ) | (105,335 | ) | (1,841 | ) | |||||||||||
4 | JPPC | LME Zinc Futures^ | 09/2016 | (194,055 | ) | (210,625 | ) | (16,570 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | (52,352 | ) | (52,612 | ) | (260 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(15,015,503 | ) | (15,648,963 | ) | (633,460 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$476,369,303 | $485,151,816 | $8,782,513 | ||||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
207
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | 20,248,000 | $5,466,664 | $6,152,071 | $685,407 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | 30,372,000 | 8,200,006 | 9,228,107 | 1,028,101 | ||||||||||||||
Chinese Renminbi, Expiring 09/21/16* | CITI | CNY | 9,902,200 | 1,499,883 | 1,480,885 | (18,998 | ) | |||||||||||||
Chinese Renminbi, Expiring 09/21/16* | JPMC | CNY | 13,369,800 | 2,024,970 | 1,999,469 | (25,501 | ) | |||||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | 7,076,250 | 8,043,444 | 7,875,845 | (167,599 | ) | |||||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | 3,539,400 | 4,008,540 | 3,939,340 | (69,200 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | 703,845 | 1,015,198 | 937,717 | (77,481 | ) | |||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | 1,387,800 | 178,971 | 179,057 | 86 | ||||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | 952,200 | 122,757 | 122,855 | 98 | ||||||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | 1,185,336,800 | 4,255,407 | 4,165,385 | (90,022 | ) | |||||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | 1,558,789,200 | 5,597,788 | 5,477,730 | (120,058 | ) | |||||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | 310,271,200 | 4,526,871 | 4,533,868 | 6,997 | ||||||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | 465,406,800 | 6,790,315 | 6,800,802 | 10,487 | ||||||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | 5,352,986,800 | 4,522,770 | 4,643,587 | 120,817 | ||||||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | 7,964,023,199 | 6,729,075 | 6,908,597 | 179,522 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | 68,338,800 | 3,645,996 | 3,708,200 | 62,204 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | 102,508,200 | 5,468,899 | 5,562,299 | 93,400 | ||||||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | 15,020,800 | 3,832,001 | 3,800,375 | (31,626 | ) | |||||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | 22,531,200 | 5,748,117 | 5,700,563 | (47,554 | ) | |||||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | 22,310,800 | 7,365,975 | 7,614,016 | 248,041 | ||||||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | 33,466,200 | 11,048,980 | 11,421,024 | 372,044 | ||||||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | 50,154,001 | 3,160,821 | 3,350,548 | 189,727 | ||||||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | 75,231,001 | 4,741,164 | 5,025,823 | 284,659 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$107,994,612 | $110,628,163 | $2,633,551 | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
208
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | (1,986,000 | ) | $(570,924 | ) | $(603,418 | ) | $(32,494 | ) | ||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | (2,979,000 | ) | (856,385 | ) | (905,128 | ) | (48,743 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | (172,200 | ) | (176,695 | ) | (177,157 | ) | (462 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | (109,800 | ) | (111,664 | ) | (112,961 | ) | (1,297 | ) | ||||||||||
Chinese Renminbi, Expiring 09/21/16* | CITI | CNY | (3,214,000 | ) | (484,586 | ) | (480,657 | ) | 3,929 | |||||||||||
Chinese Renminbi, Expiring 09/21/16* | JPMC | CNY | (2,091,000 | ) | (316,254 | ) | (312,711 | ) | 3,543 | |||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (34,007,943 | ) | (38,166,113 | ) | (37,850,737 | ) | 315,376 | |||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | (51,011,912 | ) | (57,249,127 | ) | (56,776,104 | ) | 473,023 | |||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | (6,099,900 | ) | (8,965,050 | ) | (8,126,762 | ) | 838,288 | |||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | (9,149,850 | ) | (13,447,559 | ) | (12,190,143 | ) | 1,257,416 | |||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | (3,221,000 | ) | (415,174 | ) | (415,581 | ) | (407 | ) | ||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | (402,161,200 | ) | (1,438,546 | ) | (1,413,232 | ) | 25,314 | |||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | (603,241,800 | ) | (2,158,126 | ) | (2,119,847 | ) | 38,279 | |||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | (145,920,200 | ) | (2,128,069 | ) | (2,132,273 | ) | (4,204 | ) | ||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | (45,979,800 | ) | (669,319 | ) | (671,885 | ) | (2,566 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | (1,585,085,600 | ) | (1,354,291 | ) | (1,375,024 | ) | (20,733 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | (2,377,628,400 | ) | (2,031,435 | ) | (2,062,536 | ) | (31,101 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | (15,238,000 | ) | (810,544 | ) | (826,844 | ) | (16,300 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | (22,857,000 | ) | (1,216,278 | ) | (1,240,265 | ) | (23,987 | ) | ||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | (6,830,600 | ) | (1,737,680 | ) | (1,728,193 | ) | 9,487 | |||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | (4,997,400 | ) | (1,264,693 | ) | (1,264,380 | ) | 313 | |||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | (3,874,400 | ) | (1,306,547 | ) | (1,322,218 | ) | (15,671 | ) | ||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | (1,098,600 | ) | (371,139 | ) | (374,920 | ) | (3,781 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | (11,868,400 | ) | (765,576 | ) | (792,871 | ) | (27,295 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | (17,802,600 | ) | (1,148,362 | ) | (1,189,307 | ) | (40,945 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(139,160,136 | ) | (136,465,154 | ) | 2,694,982 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(31,165,524 | ) | $(25,836,991 | ) | $5,328,533 | ||||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward (See Note 4). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
209
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND |
BRL - Brazilian Real
CHF - Swiss Franc
CNY - Chinese Renminbi
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
INR - Indian Rupee
KRW - Korean Won
MXN - Mexican Peso
PLN - Poland Zloty
SGD - Singapore Dollar
TRY - Turkish Lira
USD - United States Dollar
ZAR - South African Rand
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
BANA | ||||||||||||
Cash | $(120,000 | ) | $— | $(120,000 | ) | |||||||
| ||||||||||||
BARC | ||||||||||||
Cash | — | 3,347,578 | 3,347,578 | |||||||||
| ||||||||||||
CITG | ||||||||||||
Cash | — | 6,439,722 | 6,439,722 | |||||||||
| ||||||||||||
CITI | ||||||||||||
Cash | (1,140,000 | ) | — | (1,140,000 | ) | |||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | (2,491,307 | ) | (2,491,307 | ) | |||||||
U.S. Treasury Inflation Protected Securities | — | 1,895,575 | 1,895,575 | |||||||||
| ||||||||||||
JPMC | ||||||||||||
Investment Companies | 7,160,000 | — | 7,160,000 | |||||||||
| ||||||||||||
JPMS | ||||||||||||
Cash | — | 126,250 | 126,250 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | (4,494,459 | ) | (4,494,459 | ) | |||||||
U.S. Treasury Inflation Protected Securities | — | 2,097,755 | 2,097,755 | |||||||||
| ||||||||||||
MSCS | ||||||||||||
Investment Companies | 1,322,428 | — | 1,322,428 | |||||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
CITI | ||||||||||||
Cash | $(600,000 | ) | $— | $(600,000 | ) | |||||||
| ||||||||||||
DTBK | ||||||||||||
Investment Companies | 40,266 | — | 40,266 | |||||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | 1,017,015 | 1,017,015 | |||||||||
| ||||||||||||
JPPC | ||||||||||||
Cash | — | 1,108,466 | 1,108,466 | |||||||||
| ||||||||||||
MLIN | ||||||||||||
Investment Companies | 40,427 | — | 40,427 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | 3,390,624 | 3,390,624 | |||||||||
| ||||||||||||
SOCG | ||||||||||||
Cash | (350,000 | ) | — | (350,000 | ) | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
210
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II HV FUND |
FOREIGN GOVERNMENT SECURITIES - 19.0% | INTEREST RATE | MATURITY DATE | CURRENCY | PRINCIPAL (000’s) | VALUE (Note 5) | |||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.100% | 04/15/23 | EUR | 621 | $ | 741,795 | ||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.101% | 04/15/26 | EUR | 1,511 | 1,857,849 | |||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 1,161 | 1,422,335 | |||||||||||||||
France Government Bond OAT (France) | 0.100% | 07/25/21 | EUR | 303 | 355,356 | |||||||||||||||
France Government Bond OAT (France) | 0.100% | 03/01/25 | EUR | 501 | 598,415 | |||||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/24 | EUR | 609 | 739,851 | |||||||||||||||
France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 434 | 542,362 | |||||||||||||||
France Government Bond OAT (France) | 2.250% | 07/25/20 | EUR | 976 | 1,232,837 | |||||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125% | 03/22/24 | GBP | 1,229 | 1,871,849 | |||||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125% | 03/22/26 | GBP | 911 | 1,412,053 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL FOREIGN GOVERNMENT SECURITIES | 10,774,702 | |||||||||||||||||||
|
| |||||||||||||||||||
U.S. TREASURY OBLIGATIONS - 35.6% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125% | 04/15/19 | USD | 5,040 | 5,255,050 | |||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125% | 04/15/20 | USD | 5,600 | 5,852,732 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 07/15/24 | USD | 2,370 | 2,412,112 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.250% | 01/15/25 | USD | 3,100 | 3,179,201 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.375% | 07/15/25 | USD | 3,330 | 3,459,481 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 20,158,576 | |||||||||||||||||||
|
| |||||||||||||||||||
SHORT-TERM INVESTMENTS - 57.2% | SHARES | |||||||||||||||||||
Investment Companies - 41.3% | ||||||||||||||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(b) | 240,162 | 240,162 | ||||||||||||||||||
Dreyfus Treasury Cash Management, Class I, 0.240% ^(b) | 960,649 | 960,649 | ||||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(b)(c) | 20,895,987 | 20,895,987 | ||||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund -Institutional Shares, 0.230% ^(b)(c) | 200,149 | 200,149 | ||||||||||||||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(b) | 1,200,811 | 1,200,811 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Investment Companies | 23,497,758 | |||||||||||||||||||
|
| |||||||||||||||||||
PRINCIPAL (000’s) | ||||||||||||||||||||
U.S. Treasury Obligations - 15.9% | ||||||||||||||||||||
U.S. Treasury Bill, 0.410%, 07/28/2016 ^(d) | $ | 2,589 | 2,588,659 | |||||||||||||||||
U.S. Treasury Bill, 0.465%, 08/04/2016 (d) | 941 | 940,809 | ||||||||||||||||||
U.S. Treasury Bill, 0.479%, 09/01/2016 (d) | 2,204 | 2,203,118 | ||||||||||||||||||
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(d) | 2,986 | 2,983,071 | ||||||||||||||||||
U.S. Treasury Bill, 0.479%, 11/25/2016 ^(d) | 250 | 249,736 | ||||||||||||||||||
|
| |||||||||||||||||||
Total U.S. Treasury Obligations | 8,965,393 | |||||||||||||||||||
|
| |||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 32,463,151 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE- 111.8% |
| 63,396,429 | ||||||||||||||||||
|
| |||||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (11.8%) (e) |
| (6,688,961 | ) | |||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS - 100.0% | $ | 56,707,468 | ||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
211
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II HV FUND |
All securities are United States companies, unless noted otherwise in parentheses.
(a) | On June 30, 2016, securities valued at $11,107,782 were pledged as collateral for reverse repurchase agreements outstanding. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
(c) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(d) | The rate shown is the effective yield at the date of purchase. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Reverse repurchase agreements at June 30, 2016:
Over the Counter
COUNTERPARTY | TRADE DATE | RATE | DUE DATE | PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT | ||||||||||
JPMS | 06/10/2016 | 0.57% | 07/20/2016 | $4,979,150 | ||||||||||
JPMS | 06/16/2016 | 0.57% | 07/20/2016 | 102,875 | ||||||||||
JPMS | 06/30/2016 | 0.70% | 07/20/2016 | 103,250 | ||||||||||
MPFS | 06/10/2016 | 0.60% | 07/20/2016 | 5,562,000 | ||||||||||
MPFS | 06/16/2016 | 0.60% | 07/20/2016 | 102,960 | ||||||||||
MPFS | 06/30/2016 | 0.65% | 07/20/2016 | 103,455 | ||||||||||
|
| |||||||||||||
$10,953,690 | ||||||||||||||
|
|
The weighted average daily balance of the reverse repurchase agreements during the period ended June 30, 2016 was $8,771,877 at a net weighted average interest rate of 0.537%
Total return swap contracts outstanding as of June 30, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
GSIN | Bovespa Index August Futures | 08/2016 | BRL | 1,020,683 | $8,162 | |||||||||
CITI | Corn September Futures^ | 08/2016 | USD | 75,640 | (2,541 | ) | ||||||||
DTBK | Corn September Futures^ | 08/2016 | USD | 151,964 | (5,764 | ) | ||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | 341,562 | (12,612 | ) | ||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | 38,269 | (1,719 | ) | ||||||||
CITI | Cotton No. 2 December Futures^ | 11/2016 | USD | 122,600 | 5,740 | |||||||||
MACQ | Cotton No. 2 December Futures^ | 11/2016 | USD | 30,405 | 1,680 | |||||||||
BANA | H-SHARES Index July Futures | 07/2016 | HKD | 7,923,571 | 47,066 | |||||||||
GSIN | H-SHARES Index July Futures | 07/2016 | HKD | 3,328,741 | 20,784 | |||||||||
BANA | KOSPI Index 200 September Futures | 09/2016 | KRW | 494,244,065 | (4,614 | ) | ||||||||
DTBK | Lean Hogs July Futures^ | 07/2016 | USD | 99,124 | 198,329 | |||||||||
DTBK | Lean Hogs July Futures^ | 07/2016 | USD | (99,124 | ) | (198,544 | ) | |||||||
SOCG | Lean Hogs July Futures^ | 07/2016 | USD | 66,268 | 12 | |||||||||
SOCG | Lean Hogs July Futures^ | 07/2016 | USD | (66,268 | ) | 1,230 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
212
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II HV FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
DTBK | Lean Hogs August Futures^ | 08/2016 | USD | 32,552 | $ 66,585 | |||||||||||
DTBK | Lean Hogs August Futures^ | 08/2016 | USD | (32,552 | ) | (65,862 | ) | |||||||||
SOCG | Lean Hogs August Futures^ | 08/2016 | USD | 67,238 | (618 | ) | ||||||||||
MACQ | Lean Hogs August Futures^ | 08/2016 | USD | 202,164 | (2,304 | ) | ||||||||||
MACQ | Lean Hogs August Futures^ | 08/2016 | USD | (32,776 | ) | (62 | ) | |||||||||
DTBK | Lean Hogs October Futures^ | 10/2016 | USD | 28,607 | 73 | |||||||||||
SOCG | Lean Hogs October Futures^ | 10/2016 | USD | 57,227 | 133 | |||||||||||
MACQ | Lean Hogs October Futures^ | 10/2016 | USD | 28,575 | 105 | |||||||||||
DTBK | Live Cattle August Futures^ | 08/2016 | USD | 318,819 | 94,194 | |||||||||||
DTBK | Live Cattle August Futures^ | 08/2016 | USD | (45,441 | ) | (91,371 | ) | |||||||||
DTBK | Live Cattle October Futures^ | 10/2016 | USD | 45,963 | (103 | ) | ||||||||||
GSIN | MSCI Taiwan Stock Index July Futures | 07/2016 | USD | 338,293 | 10,957 | |||||||||||
GSIN | SGX S&P CNX Nifty Index July Futures | 07/2016 | USD | 277,065 | 6,342 | |||||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | 674,684 | 74,929 | |||||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | (305,900 | ) | (15,023 | ) | |||||||||
DTBK | Soybean November Futures^ | 10/2016 | USD | (53,616 | ) | (111,278 | ) | |||||||||
DTBK | Soybean November Futures^ | 10/2016 | USD | 53,616 | 110,700 | |||||||||||
MACQ | Soybean November Futures^ | 10/2016 | USD | 468,277 | 50,685 | |||||||||||
SOCG | Soybean November Futures^ | 10/2016 | USD | 53,031 | 4,632 | |||||||||||
CITI | Soybean Meal December Futures^ | 11/2016 | USD | 105,296 | 15,004 | |||||||||||
SOCG | Soybean Oil December Futures^ | 11/2016 | USD | 99,011 | (2,801 | ) | ||||||||||
MACQ | Soybean Oil December Futures^ | 11/2016 | USD | 39,288 | (804 | ) | ||||||||||
GSIN | Swiss Market Index September Futures | 09/2016 | CHF | 458,505 | 21,012 | |||||||||||
GSIN | Taiwan Stock Exchange July Futures | 07/2016 | TWD | 6,676,066 | 4,314 | |||||||||||
|
| |||||||||||||||
$226,648 | ||||||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
42 | GSCO | Brent Crude Futures^ | 08/2016 | $2,185,232 | $2,106,720 | $(78,512 | ) | |||||||||||||
1 | MSCL | Cocoa Futures^ | 09/2016 | 30,944 | 29,630 | (1,314 | ) | |||||||||||||
11 | MSCL | Coffee ‘C’ Futures^ | 09/2016 | 531,356 | 600,806 | 69,450 | ||||||||||||||
32 | MSCL | Corn Futures^ | 09/2016 | 618,439 | 584,800 | (33,639 | ) | |||||||||||||
4 | MSCL | Cotton No. 2 Futures^ | 12/2016 | 121,775 | 128,340 | 6,565 | ||||||||||||||
1 | MSCL | Feeder Cattle Futures^ | 09/2016 | 72,165 | 71,750 | (415 | ) | |||||||||||||
17 | GSCO | Gas Oil Futures^ | 09/2016 | 785,531 | 765,425 | (20,106 | ) | |||||||||||||
6 | MSCL | Gasoline RBOB Futures^ | 08/2016 | 400,785 | 379,865 | (20,920 | ) | |||||||||||||
18 | MSCL | Gold 100 OZ Futures^ | 08/2016 | 2,326,730 | 2,377,080 | 50,350 | ||||||||||||||
5 | MSCL | Gold 100 OZ Futures^ | 12/2016 | 663,863 | 663,700 | (163 | ) | |||||||||||||
1 | MSCL | Hard Red Winter Wheat Futures^ | 09/2016 | 23,465 | 21,125 | (2,340 | ) | |||||||||||||
7 | MSCL | Heating Oil ULSD Futures^ | 08/2016 | 456,123 | 443,440 | (12,683 | ) | |||||||||||||
2 | MSCL | Lean Hogs Futures^ | 08/2016 | 67,550 | 66,620 | (930 | ) | |||||||||||||
8 | MSCL | Live Cattle Futures^ | 08/2016 | 372,590 | 367,440 | (5,150 | ) | |||||||||||||
2 | MSCL | Live Cattle Futures^ | 10/2016 | 91,433 | 91,720 | 287 | ||||||||||||||
4 | JPPC | LME Aluminum Futures^ | 07/2016 | 163,363 | 164,475 | 1,112 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | 41,271 | 41,133 | (138 | ) | |||||||||||||
5 | JPPC | LME Aluminum Futures^ | 08/2016 | 192,950 | 205,917 | 12,967 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | 38,777 | 41,162 | 2,385 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
213
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | $ 39,003 | $ 41,206 | $ 2,203 | ||||||||||||||
34 | JPPC | LME Aluminum Futures^ | 09/2016 | 1,350,987 | 1,403,562 | 52,575 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 09/2016 | 40,995 | 41,225 | 230 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | 115,735 | 121,200 | 5,465 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | 114,003 | 121,183 | 7,180 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | 113,590 | 121,193 | 7,603 | ||||||||||||||
11 | JPPC | LME Copper Futures^ | 09/2016 | 1,331,319 | 1,333,200 | 1,881 | ||||||||||||||
4 | JPPC | LME Lead Futures^ | 09/2016 | 175,949 | 178,875 | 2,926 | ||||||||||||||
1 | JPPC | LME Lead Futures^ | 09/2016 | 44,519 | 44,700 | 181 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | 53,691 | 56,619 | 2,928 | ||||||||||||||
4 | JPPC | LME Nickel Futures^ | 09/2016 | 218,434 | 226,608 | 8,174 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 08/2016 | 47,112 | 52,602 | 5,490 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | 51,527 | 52,668 | 1,141 | ||||||||||||||
6 | JPPC | LME Zinc Futures^ | 09/2016 | 288,508 | 315,938 | 27,430 | ||||||||||||||
9 | MSCL | Natural Gas Futures^ | 08/2016 | 232,964 | 262,620 | 29,656 | ||||||||||||||
18 | MSCL | Silver Futures^ | 09/2016 | 1,470,044 | 1,676,070 | 206,026 | ||||||||||||||
4 | MSCL | Soybean Futures^ | 11/2016 | 206,246 | 230,650 | 24,404 | ||||||||||||||
6 | MSCL | Soybean Meal Futures^ | 12/2016 | 198,695 | 240,600 | 41,905 | ||||||||||||||
12 | MSCL | Soybean Oil Futures^ | 12/2016 | 236,202 | 230,904 | (5,298 | ) | |||||||||||||
41 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2016 | 751,337 | 933,554 | 182,217 | ||||||||||||||
26 | MSCL | Wheat Futures^ | 09/2016 | 623,908 | 579,150 | (44,758 | ) | |||||||||||||
41 | MSCL | WTI Crude Futures^ | 08/2016 | 2,076,753 | 2,009,410 | (67,343 | ) | |||||||||||||
1 | BARC | DAX Index Futures | 09/2016 | 265,795 | 268,241 | 2,446 | ||||||||||||||
10 | BARC | E-Mini Russell 2000 Futures | 09/2016 | 1,159,159 | 1,147,400 | (11,759 | ) | |||||||||||||
32 | BARC | Euro Stoxx 50 Index Futures | 09/2016 | 1,000,764 | 1,013,867 | 13,103 | ||||||||||||||
12 | BARC | FTSE 100 Index Futures | 09/2016 | 954,317 | 1,025,995 | 71,678 | ||||||||||||||
7 | JPMS | FTSE/JSE Top 40 Index Futures | 09/2016 | 219,674 | 220,751 | 1,077 | ||||||||||||||
1 | BARC | H-SHARES Index Futures | 07/2016 | 55,913 | 56,232 | 319 | ||||||||||||||
7 | BARC | KOSPI Index 200 Futures | 09/2016 | 755,766 | 742,175 | (13,591 | ) | |||||||||||||
3 | BARC | MSCI Taiwan Stock Index Futures | 07/2016 | 95,043 | 95,250 | 207 | ||||||||||||||
93 | BARC | S&P 500 E-Mini Futures | 09/2016 | 9,662,343 | 9,719,430 | 57,087 | ||||||||||||||
9 | BARC | S&P MID 400 E-Mini Futures | 09/2016 | 1,339,860 | 1,343,700 | 3,840 | ||||||||||||||
2 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2016 | 252,873 | 252,115 | (758 | ) | |||||||||||||
6 | BARC | SGX S&P CNX Nifty Index Futures | 07/2016 | 97,858 | 100,026 | 2,168 | ||||||||||||||
12 | BARC | TOPIX Index Futures | 09/2016 | 1,553,355 | 1,447,344 | (106,011 | ) | |||||||||||||
105 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | 15,464,554 | 15,539,776 | 75,222 | ||||||||||||||
17 | JPMS | Australia 10-Year Bond Futures | 09/2016 | 1,707,669 | 1,726,820 | 19,151 | ||||||||||||||
26 | GSCO | Canadian 10-Year Bond Futures | 09/2016 | 2,908,894 | 2,979,248 | 70,354 | ||||||||||||||
123 | GSCO | Euro-Bund Futures | 09/2016 | 22,311,073 | 22,811,754 | 500,681 | ||||||||||||||
338 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2016 | 43,935,984 | 44,948,719 | 1,012,735 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
122,706,757 | 124,863,728 | 2,156,971 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
4 | JPPC | LME Aluminum Futures^ | 07/2016 | $(164,390 | ) | $(164,475 | ) | $(85 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | (41,198 | ) | (41,133 | ) | 65 | ||||||||||||
5 | JPPC | LME Aluminum Futures^ | 08/2016 | (192,713 | ) | (205,917 | ) | (13,204 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | (38,662 | ) | (41,162 | ) | (2,500 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | (38,944 | ) | (41,206 | ) | (2,262 | ) | |||||||||||
2 | JPPC | LME Aluminum Futures^ | 09/2016 | (77,957 | ) | (82,562 | ) | (4,605 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 09/2016 | (40,822 | ) | (41,225 | ) | (403 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
214
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II HV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | $ (115,647 | ) | $ (121,200 | ) | $ (5,553 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | (113,309 | ) | (121,182 | ) | (7,873 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | (113,200 | ) | (121,193 | ) | (7,993 | ) | |||||||||||
2 | JPPC | LME Copper Futures^ | 09/2016 | (227,620 | ) | (242,400 | ) | (14,780 | ) | |||||||||||
1 | JPPC | LME Lead Futures^ | 09/2016 | (44,350 | ) | (44,700 | ) | (350 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | (53,638 | ) | (56,620 | ) | (2,982 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 08/2016 | (46,873 | ) | (52,602 | ) | (5,729 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | (51,747 | ) | (52,668 | ) | (921 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(1,361,070 | ) | (1,430,245 | ) | (69,175 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$121,345,687 | $123,433,483 | $2,087,796 | ||||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | 431,400 | $55,630 | $55,660 | $30 | ||||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | 153,600 | 19,802 | 19,818 | 16 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$75,432 | $75,478 | $46 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | (12,000 | ) | $(3,232 | ) | $(3,646 | ) | $(414 | ) | ||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | (18,000 | ) | (4,847 | ) | (5,470 | ) | (623 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | (31,200 | ) | (32,424 | ) | (32,096 | ) | 328 | |||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | (4,800 | ) | (4,882 | ) | (4,939 | ) | (57 | ) | ||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (2,698,954 | ) | (3,027,045 | ) | (3,003,927 | ) | 23,118 | |||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | (4,048,429 | ) | (4,540,558 | ) | (4,505,889 | ) | 34,669 | |||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | (965,005 | ) | (1,413,140 | ) | (1,285,655 | ) | 127,485 | |||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | (1,447,507 | ) | (2,119,707 | ) | (1,928,482 | ) | 191,225 | |||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | (554,000 | ) | (71,411 | ) | (71,479 | ) | (68 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(11,217,246 | ) | (10,841,583 | ) | 375,663 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(11,141,814 | ) | $(10,766,105 | ) | $375,709 | ||||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward (See Note 4). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
215
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II HV FUND |
BRL - Brazilian Real
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
KRW - Korean Won
TWD - New Taiwan Dollar
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
BARC | ||||||||||||
Cash | $— | $1,055,531 | $1,055,531 | |||||||||
| ||||||||||||
CITI | ||||||||||||
Investment Companies | 30,404 | — | 30,404 | |||||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | (127,622 | ) | (127,622 | ) | |||||||
| ||||||||||||
GSIN | ||||||||||||
Investment Companies | 190,000 | — | 190,000 | |||||||||
| ||||||||||||
JPMC | ||||||||||||
Cash | 120,000 | — | 120,000 | |||||||||
| ||||||||||||
JPMS | ||||||||||||
Cash | — | 36,976 | 36,976 | |||||||||
U.S. Treasury Inflation Protected Securities | 5,255,050 | — | 5,255,050 | |||||||||
| ||||||||||||
MPFS | ||||||||||||
U.S. Treasury Inflation Protected Securities | 5,852,732 | — | 5,852,732 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | (536,201 | ) | (536,201 | ) | |||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
CITI | ||||||||||||
Cash | $(100,000 | ) | $— | $(100,000 | ) | |||||||
| ||||||||||||
DTBK | ||||||||||||
Investment Companies | 10,083 | — | 10,083 | |||||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | 239,049 | 239,049 | |||||||||
| ||||||||||||
JPPC | ||||||||||||
Cash | — | 239,011 | 239,011 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | 171,186 | 171,186 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
216
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II MV FUND |
FOREIGN GOVERNMENT SECURITIES - 12.7% | INTEREST RATE | MATURITY DATE | CURRENCY | PRINCIPAL (000’s) | VALUE (Note 5) | |||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.100 | % | 04/15/23 | EUR | 724 | $ | 865,427 | |||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.100 | % | 04/15/26 | EUR | 1,712 | 2,105,562 | ||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750 | % | 04/15/20 | EUR | 1,205 | 1,476,008 | ||||||||||||||
France Government Bond OAT (France) | 0.100 | % | 07/25/21 | EUR | 404 | 473,808 | ||||||||||||||
France Government Bond OAT (France) | 0.100 | % | 03/01/25 | EUR | 501 | 598,415 | ||||||||||||||
France Government Bond OAT (France) | 0.250 | % | 07/25/24 | EUR | 609 | 739,851 | ||||||||||||||
France Government Bond OAT (France) | 1.100 | % | 07/25/22 | EUR | 434 | 542,362 | ||||||||||||||
France Government Bond OAT (France) | 2.250 | % | 07/25/20 | EUR | 1,098 | 1,386,942 | ||||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125 | % | 03/22/24 | GBP | 1,402 | 2,134,565 | ||||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125 | % | 03/22/26 | GBP | 1,113 | 1,725,843 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL FOREIGN GOVERNMENT SECURITIES | 12,048,783 | |||||||||||||||||||
|
| |||||||||||||||||||
U.S. TREASURY OBLIGATIONS - 24.5% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125 | % | 04/15/19 | USD | 5,700 | 5,943,211 | ||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125 | % | 04/15/20 | USD | 6,400 | 6,688,836 | ||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125 | % | 07/15/24 | USD | 2,800 | 2,849,753 | ||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.250 | % | 01/15/25 | USD | 3,600 | 3,691,976 | ||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.375 | % | 07/15/25 | USD | 3,900 | 4,051,644 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 23,225,420 | |||||||||||||||||||
|
| |||||||||||||||||||
SHORT-TERM INVESTMENTS - 58.9% | SHARES | |||||||||||||||||||
Investment Companies - 43.0% | ||||||||||||||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% ^(b) | 658,126 | 658,126 | ||||||||||||||||||
Dreyfus Treasury Cash Management, Class I, 0.240% ^(b) | 2,632,502 | 2,632,502 | ||||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(b)(c) | 33,906,620 | 33,906,620 | ||||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(b)(c) | 300,201 | 300,201 | ||||||||||||||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% ^(b) | 3,290,627 | 3,290,627 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Investment Companies | 40,788,076 | |||||||||||||||||||
|
| |||||||||||||||||||
PRINCIPAL (000’s) | ||||||||||||||||||||
U.S. Treasury Obligations - 15.9% | ||||||||||||||||||||
U.S. Treasury Bill, 0.410%, 07/28/2016 ^(d) | $ | 5,110 | 5,109,325 | |||||||||||||||||
U.S. Treasury Bill, 0.465%, 08/04/2016 ^(d) | 3,513 | 3,512,286 | ||||||||||||||||||
U.S. Treasury Bill, 0.479%, 09/01/2016 ^(d) | 2,628 | 2,626,949 | ||||||||||||||||||
U.S. Treasury Bill, 0.476%, 09/29/2016 (d) | 1,120 | 1,119,270 | ||||||||||||||||||
U.S. Treasury Bill, 0.384%, 10/06/2016 (d) | 2,754 | 2,752,100 | ||||||||||||||||||
|
| |||||||||||||||||||
Total U.S. Treasury Obligations | 15,119,930 | |||||||||||||||||||
|
| |||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 55,908,006 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE- 96.1% |
| 91,182,209 | ||||||||||||||||||
|
| |||||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.9% (e) |
| 3,681,333 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS - 100.0% | $ | 94,863,542 | ||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
217
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II MV FUND |
All securities are United States companies, unless noted otherwise in parentheses.
(a) | All or a portion of the security is pledged as collateral to the brokers for futures contracts. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
(c) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(d) | The rate shown is the effective yield at the date of purchase. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Total return swap contracts outstanding as of June 30, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
GSIN | Bovespa Index August Futures | 08/2016 | BRL | 1,020,683 | $8,162 | |||||||||
MACQ | Brent Crude August Futures^ | 09/2016 | USD | 51,780 | (1,620 | ) | ||||||||
MACQ | Brent Crude July Futures^ | 08/2016 | USD | 46,360 | 3,350 | |||||||||
MACQ | Brent Crude July Futures^ | 08/2016 | USD | (46,360 | ) | 1,765 | ||||||||
MACQ | Brent Crude June Futures^ | 07/2016 | USD | 42,730 | 6,950 | |||||||||
MACQ | Brent Crude June Futures^ | 07/2016 | USD | (42,730 | ) | (3,765 | ) | |||||||
MACQ | Cocoa September Futures^ | 08/2016 | USD | (31,005 | ) | (515 | ) | |||||||
MACQ | Cocoa September Futures^ | 08/2016 | USD | 31,005 | (1,375 | ) | ||||||||
MACQ | Coffee ‘C’ September Futures^ | 08/2016 | USD | 47,325 | 7,294 | |||||||||
CITI | Corn September Futures^ | 08/2016 | USD | 94,631 | (3,256 | ) | ||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | 322,433 | (11,758 | ) | ||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | 178,369 | (13,894 | ) | ||||||||
DTBK | Corn September Futures^ | 09/2016 | USD | 341,207 | (12,257 | ) | ||||||||
CITI | Cotton No. 2 December Futures^ | 11/2016 | USD | 245,200 | 11,480 | |||||||||
MACQ | Cotton No. 2 December Futures^ | 11/2016 | USD | 124,380 | 3,960 | |||||||||
SOCG | Gold 100 OZ August Futures^ | 07/2016 | USD | (130,020 | ) | 30 | ||||||||
SOCG | Gold 100 OZ August Futures^ | 07/2016 | USD | 130,020 | 1,980 | |||||||||
MACQ | Gold 100 OZ August Futures^ | 08/2016 | USD | (130,040 | ) | 70 | ||||||||
MACQ | Gold 100 OZ August Futures^ | 08/2016 | USD | 130,040 | 2,020 | |||||||||
SOCG | Gold 100 OZ December Futures^ | 11/2016 | USD | 132,720 | 20 | |||||||||
MACQ | Gold 100 OZ December Futures^ | 12/2016 | USD | 132,820 | (80 | ) | ||||||||
SOCG | Hard Red Winter Wheat September Futures^ | 08/2016 | USD | 23,509 | (2,384 | ) | ||||||||
BANA | H-SHARES Index July Futures | 07/2016 | HKD | 8,340,601 | 49,543 | |||||||||
GSIN | H-SHARES Index July Futures | 07/2016 | HKD | 4,160,926 | 25,980 | |||||||||
BANA | KOSPI Index 200 September Futures | 09/2016 | KRW | 1,112,167,030 | (10,472 | ) | ||||||||
DTBK | Lean Hogs August Futures^ | 08/2016 | USD | 195,313 | 399,735 | |||||||||
DTBK | Lean Hogs August Futures^ | 08/2016 | USD | (195,313 | ) | (395,173 | ) | |||||||
SOCG | Lean Hogs August Futures^ | 08/2016 | USD | 34,590 | (1,280 | ) | ||||||||
MACQ | Lean Hogs August Futures^ | 08/2016 | USD | (32,776 | ) | (62 | ) | |||||||
MACQ | Lean Hogs August Futures^ | 08/2016 | USD | 202,236 | (2,376 | ) | ||||||||
DTBK | Lean Hogs July Futures^ | 07/2016 | USD | (231,798 | ) | (463,778 | ) | |||||||
DTBK | Lean Hogs July Futures^ | 07/2016 | USD | 231,798 | 460,892 | |||||||||
SOCG | Lean Hogs July Futures^ | 07/2016 | USD | (33,249 | ) | 1,585 | ||||||||
SOCG | Lean Hogs July Futures^ | 07/2016 | USD | 33,249 | (109 | ) | ||||||||
MACQ | Lean Hogs July Futures^ | 07/2016 | USD | 199,075 | (235 | ) | ||||||||
MACQ | Lean Hogs July Futures^ | 07/2016 | USD | (199,075 | ) | 4,200 | ||||||||
DTBK | Lean Hogs October Futures^ | 10/2016 | USD | 143,035 | 365 | |||||||||
SOCG | Lean Hogs October Futures^ | 10/2016 | USD | 57,227 | 133 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
218
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II MV FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
MACQ | Lean Hogs October Futures^ | 10/2016 | USD | 28,575 | $ 105 | |||||||||||
DTBK | Live Cattle August Futures^ | 08/2016 | USD | 410,103 | 186,274 | |||||||||||
DTBK | Live Cattle August Futures^ | 08/2016 | USD | (90,881 | ) | (182,741 | ) | |||||||||
DTBK | Live Cattle October Futures^ | 10/2016 | USD | 91,926 | (206 | ) | ||||||||||
GSIN | MSCI Taiwan Stock Index July Futures | 07/2016 | USD | 553,077 | 18,423 | |||||||||||
BANA | NSE Nifty 50 Index July Futures | 07/2016 | INR | 13,399,309 | 4,883 | |||||||||||
MACQ | Silver July Futures^ | 07/2016 | USD | (75,310 | ) | (12,760 | ) | |||||||||
MACQ | Silver July Futures^ | 07/2016 | USD | 75,310 | 17,600 | |||||||||||
MACQ | Silver September Futures^ | 09/2016 | USD | 80,432 | 12,683 | |||||||||||
CITI | Soybean Meal December Futures^ | 11/2016 | USD | 33,696 | 6,404 | |||||||||||
MACQ | Soybean Meal December Futures^ | 11/2016 | USD | 33,632 | 6,468 | |||||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | 878,389 | 101,874 | |||||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | (560,360 | ) | (34,097 | ) | |||||||||
SOCG | Soybean November Futures^ | 10/2016 | USD | 313,508 | 32,467 | |||||||||||
MACQ | Soybean November Futures^ | 10/2016 | USD | 521,315 | 55,310 | |||||||||||
MACQ | Soybean November Futures^ | 10/2016 | USD | (50,835 | ) | (2,200 | ) | |||||||||
SOCG | Soybean Oil December Futures^ | 11/2016 | USD | 19,822 | (580 | ) | ||||||||||
MACQ | Soybean Oil December Futures^ | 11/2016 | USD | 58,932 | (1,206 | ) | ||||||||||
CITI | Sugar #11 (World Markets) September Futures^ | 09/2016 | USD | 18,010 | 4,760 | |||||||||||
GSIN | Swiss Market Index September Futures | 09/2016 | CHF | 458,505 | 21,012 | |||||||||||
|
| |||||||||||||||
$299,598 | ||||||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
47 | GSCO | Brent Crude Futures^ | 08/2016 | $2,445,562 | $2,357,520 | $(88,042 | ) | |||||||||||||
1 | MSCL | Cocoa Futures^ | 09/2016 | 30,944 | 29,630 | (1,314 | ) | |||||||||||||
12 | MSCL | Coffee ‘C’ Futures^ | 09/2016 | 571,622 | 655,425 | 83,803 | ||||||||||||||
24 | MSCL | Corn Futures^ | 09/2016 | 455,961 | 438,600 | (17,361 | ) | |||||||||||||
1 | MSCL | Feeder Cattle Futures^ | 09/2016 | 72,165 | 71,750 | (415 | ) | |||||||||||||
20 | GSCO | Gas Oil Futures^ | 09/2016 | 922,836 | 900,500 | (22,336 | ) | |||||||||||||
7 | MSCL | Gasoline RBOB Futures^ | 08/2016 | 467,582 | 443,175 | (24,407 | ) | |||||||||||||
18 | MSCL | Gold 100 OZ Futures^ | 08/2016 | 2,331,341 | 2,377,080 | 45,739 | ||||||||||||||
5 | MSCL | Gold 100 OZ Futures^ | 12/2016 | 663,759 | 663,700 | (59 | ) | |||||||||||||
1 | MSCL | Hard Red Winter Wheat Futures^ | 09/2016 | 23,465 | 21,125 | (2,340 | ) | |||||||||||||
9 | MSCL | Heating Oil ULSD Futures^ | 08/2016 | 587,076 | 570,138 | (16,938 | ) | |||||||||||||
1 | MSCL | Lean Hogs Futures^ | 08/2016 | 34,657 | 33,310 | (1,347 | ) | |||||||||||||
9 | MSCL | Live Cattle Futures^ | 08/2016 | 416,510 | 413,370 | (3,140 | ) | |||||||||||||
1 | MSCL | Live Cattle Futures^ | 10/2016 | 45,716 | 45,860 | 144 | ||||||||||||||
6 | JPPC | LME Aluminum Futures^ | 07/2016 | 245,045 | 246,713 | 1,668 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | 41,167 | 41,113 | (54 | ) | |||||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | 82,541 | 82,265 | (276 | ) | |||||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | 39,008 | 41,183 | 2,175 | ||||||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | 39,003 | 41,206 | 2,203 | ||||||||||||||
38 | JPPC | LME Aluminum Futures^ | 09/2016 | 1,517,576 | 1,568,687 | 51,111 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | 125,202 | 121,056 | (4,146 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | 114,003 | 121,183 | 7,180 | ||||||||||||||
2 | JPPC | LME Copper Futures^ | 09/2016 | 227,180 | 242,387 | 15,207 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
219
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II MV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
14 | JPPC | LME Copper Futures^ | 09/2016 | $ 1,701,221 | $ 1,696,800 | $ (4,421 | ) | |||||||||||||
1 | JPPC | LME Lead Futures^ | 08/2016 | 41,230 | 44,711 | 3,481 | ||||||||||||||
1 | JPPC | LME Lead Futures^ | 09/2016 | 42,298 | 44,734 | 2,436 | ||||||||||||||
5 | JPPC | LME Lead Futures^ | 09/2016 | 215,599 | 223,594 | 7,995 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 08/2016 | 53,207 | 56,539 | 3,332 | ||||||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | 53,691 | 56,619 | 2,928 | ||||||||||||||
5 | JPPC | LME Nickel Futures^ | 09/2016 | 271,956 | 283,260 | 11,304 | ||||||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | 51,527 | 52,668 | 1,141 | ||||||||||||||
6 | JPPC | LME Zinc Futures^ | 09/2016 | 288,420 | 315,937 | 27,517 | ||||||||||||||
11 | MSCL | Natural Gas Futures^ | 08/2016 | 284,734 | 320,980 | 36,246 | ||||||||||||||
18 | MSCL | Silver Futures^ | 09/2016 | 1,475,939 | 1,676,070 | 200,131 | ||||||||||||||
4 | MSCL | Soybean Futures^ | 11/2016 | 208,764 | 230,650 | 21,886 | ||||||||||||||
9 | MSCL | Soybean Meal Futures^ | 12/2016 | 298,043 | 360,901 | 62,858 | ||||||||||||||
18 | MSCL | Soybean Oil Futures^ | 12/2016 | 354,429 | 346,356 | (8,073 | ) | |||||||||||||
46 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2016 | 836,520 | 1,047,401 | 210,881 | ||||||||||||||
30 | MSCL | Wheat Futures^ | 09/2016 | 718,383 | 668,250 | (50,133 | ) | |||||||||||||
46 | MSCL | WTI Crude Futures^ | 08/2016 | 2,332,052 | 2,254,460 | (77,592 | ) | |||||||||||||
1 | BARC | DAX Index Futures | 09/2016 | 265,795 | 268,241 | 2,446 | ||||||||||||||
11 | BARC | E-Mini Russell 2000 Futures | 09/2016 | 1,276,678 | 1,262,140 | (14,538 | ) | |||||||||||||
37 | BARC | Euro Stoxx 50 Index Futures | 09/2016 | 1,157,344 | 1,172,285 | 14,941 | ||||||||||||||
13 | BARC | FTSE 100 Index Futures | 09/2016 | 1,032,224 | 1,111,494 | 79,270 | ||||||||||||||
10 | JPMS | FTSE/JSE Top 40 Index Futures | 09/2016 | 313,820 | 315,359 | 1,539 | ||||||||||||||
2 | BARC | H-SHARES Index Futures | 07/2016 | 110,068 | 112,463 | 2,395 | ||||||||||||||
3 | BARC | KOSPI Index 200 Futures | 09/2016 | 323,463 | 318,075 | (5,388 | ) | |||||||||||||
5 | BARC | MSCI Taiwan Stock Index Futures | 07/2016 | 157,055 | 158,750 | 1,695 | ||||||||||||||
105 | BARC | S&P 500 E-Mini Futures | 09/2016 | 10,906,893 | 10,973,550 | 66,657 | ||||||||||||||
11 | BARC | S&P MID 400 E-Mini Futures | 09/2016 | 1,634,808 | 1,642,300 | 7,492 | ||||||||||||||
2 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2016 | 250,845 | 252,115 | 1,270 | ||||||||||||||
12 | BARC | SGX S&P CNX Nifty Index Futures | 07/2016 | 195,569 | 200,052 | 4,483 | ||||||||||||||
14 | BARC | TOPIX Index Futures | 09/2016 | 1,812,746 | 1,688,568 | (124,178 | ) | |||||||||||||
19 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | 2,801,536 | 2,811,960 | 10,424 | ||||||||||||||
10 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | 14,731,527 | 14,808,502 | 76,975 | ||||||||||||||
19 | JPMS | Australia 10-Year Bond Futures | 09/2016 | 1,908,640 | 1,929,975 | 21,335 | ||||||||||||||
28 | GSCO | Canadian 10-Year Bond Futures | 09/2016 | 3,132,655 | 3,208,421 | 75,766 | ||||||||||||||
137 | GSCO | Euro-Bund Futures | 09/2016 | 24,846,507 | 25,408,215 | 561,708 | ||||||||||||||
376 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2016 | 48,867,077 | 50,002,125 | 1,135,048 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
136,453,184 | 138,851,496 | 2,398,312 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
6 | JPPC | LME Aluminum Futures^ | 07/2016 | $(246,585 | ) | $(246,712 | ) | $(127 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 07/2016 | (41,098 | ) | (41,113 | ) | (15 | ) | |||||||||||
2 | JPPC | LME Aluminum Futures^ | 07/2016 | (82,395 | ) | (82,265 | ) | 130 | ||||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | (39,073 | ) | (41,184 | ) | (2,111 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 08/2016 | (38,944 | ) | (41,206 | ) | (2,262 | ) | |||||||||||
1 | JPPC | LME Aluminum Futures^ | 09/2016 | (39,085 | ) | (41,282 | ) | (2,197 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (125,605 | ) | (121,057 | ) | 4,548 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | (113,309 | ) | (121,182 | ) | (7,873 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
220
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II MV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
2 | JPPC | LME Copper Futures^ | 09/2016 | $ (226,400 | ) | $ (242,386 | ) | $ (15,986 | ) | |||||||||||
4 | JPPC | LME Copper Futures^ | 09/2016 | (466,315 | ) | (484,800 | ) | (18,485 | ) | |||||||||||
1 | JPPC | LME Lead Futures^ | 08/2016 | (41,541 | ) | (44,710 | ) | (3,169 | ) | |||||||||||
1 | JPPC | LME Lead Futures^ | 09/2016 | (42,573 | ) | (44,735 | ) | (2,162 | ) | |||||||||||
1 | JPPC | LME Lead Futures^ | 09/2016 | (41,273 | ) | (44,719 | ) | (3,446 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 08/2016 | (53,422 | ) | (56,539 | ) | (3,117 | ) | |||||||||||
1 | JPPC | LME Nickel Futures^ | 09/2016 | (53,638 | ) | (56,620 | ) | (2,982 | ) | |||||||||||
1 | JPPC | LME Zinc Futures^ | 09/2016 | (51,747 | ) | (52,668 | ) | (921 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(1,703,003 | ) | (1,763,178 | ) | (60,175 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$134,750,181 | $137,088,318 | $2,338,137 | ||||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | 611,800 | $78,887 | $78,935 | $48 | ||||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | 655,200 | 84,468 | 84,535 | 67 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$163,355 | $163,470 | $115 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | (20,000 | ) | $(5,387 | ) | $(6,076 | ) | $(689 | ) | ||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | (30,000 | ) | (8,080 | ) | (9,115 | ) | (1,035 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | (26,600 | ) | (27,623 | ) | (27,366 | ) | 257 | |||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | (5,400 | ) | (5,492 | ) | (5,556 | ) | (64 | ) | ||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (2,939,904 | ) | (3,297,284 | ) | (3,272,104 | ) | 25,180 | |||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | (4,409,856 | ) | (4,945,920 | ) | (4,908,156 | ) | 37,764 | |||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | (1,252,251 | ) | (1,835,503 | ) | (1,668,346 | ) | 167,157 | |||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | (1,531,176 | ) | (2,250,374 | ) | (2,039,952 | ) | 210,422 | |||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | (1,448,000 | ) | (186,679 | ) | (186,825 | ) | (146 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | (858,000 | ) | (110,643 | ) | (110,701 | ) | (58 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(12,672,985 | ) | (12,234,197 | ) | 438,788 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(12,509,630 | ) | $(12,070,727 | ) | $438,903 | ||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
221
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR RISK PARITY II MV FUND |
* | Non-deliverable forward (See Note 4). |
BRL - Brazilian Real
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
INR - Indian Rupee
KRW - Korean Won
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
BANA | ||||||||||||
Investment Companies | $140,051 | $— | $140,051 | |||||||||
| ||||||||||||
BARC | ||||||||||||
Cash | — | 1,139,352 | 1,139,352 | |||||||||
| ||||||||||||
CITI | ||||||||||||
Investment Companies | 20,519 | — | 20,519 | |||||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | (715,525 | ) | (715,525 | ) | |||||||
U.S. Treasury Inflation Protected Securities | — | 550,533 | 550,533 | |||||||||
| ||||||||||||
GSIN | ||||||||||||
Investment Companies | 160,000 | — | 160,000 | |||||||||
| ||||||||||||
JPMC | ||||||||||||
Cash | 130,000 | — | 130,000 | |||||||||
| ||||||||||||
JPMS | ||||||||||||
Cash | — | 47,998 | 47,998 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | (1,195,758 | ) | (1,195,758 | ) | |||||||
U.S. Treasury Inflation Protected Securities | — | 593,980 | 593,980 | |||||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
CITI | ||||||||||||
Cash | $(210,000 | ) | $— | $(210,000 | ) | |||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | 265,509 | 265,509 | |||||||||
| ||||||||||||
JPPC | ||||||||||||
Cash | — | 289,565 | 289,565 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | 168,371 | 168,371 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
222
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
LONG INVESTMENTS - 111.8% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 27.2% | ||||||||
Belgium - 0.6% | ||||||||
Ageas (a) | 148,721 | $ | 5,169,434 | |||||
bpost SA (a) | 170,934 | 4,375,685 | ||||||
Colruyt SA (a) | 31,392 | 1,737,169 | ||||||
KBC Group NV †(a) | 113,205 | 5,567,525 | ||||||
Proximus SADP (a) | 108,211 | 3,438,781 | ||||||
Umicore SA (a) | 7,928 | 409,515 | ||||||
|
| |||||||
20,698,109 | ||||||||
|
| |||||||
Denmark - 0.8% | ||||||||
Chr Hansen Holding A/S (a) | 6,965 | 457,429 | ||||||
Danske Bank A/S (a) | 52,027 | 1,369,370 | ||||||
DSV A/S (a) | 74,303 | 3,124,303 | ||||||
GN Store Nord A/S (a) | 20,312 | 366,923 | ||||||
H Lundbeck A/S † | 47,834 | 1,793,170 | ||||||
ISS A/S (a) | 98,650 | 3,710,258 | ||||||
Jyske Bank A/S (a) | 43,445 | 1,649,266 | ||||||
Novo Nordisk A/S, Class B (a) | 80,961 | 4,359,984 | ||||||
Pandora A/S (a) | 9,602 | 1,307,787 | ||||||
TDC A/S | 362,359 | 1,775,730 | ||||||
Vestas Wind Systems A/S (a) | 64,837 | 4,406,936 | ||||||
William Demant Holding A/S †(a) | 162,250 | 3,158,324 | ||||||
|
| |||||||
27,479,480 | ||||||||
|
| |||||||
Finland - 0.7% | ||||||||
Amer Sports OYJ (a) | 49,476 | 1,357,387 | ||||||
Cargotec OYJ, Class B (a) | 36,431 | 1,484,747 | ||||||
Elisa OYJ (a) | 82,980 | 3,188,356 | ||||||
Huhtamaki OYJ (a) | 24,211 | 1,004,752 | ||||||
Kesko OYJ, Class B (a) | 27,427 | 1,164,731 | ||||||
Metso OYJ (a) | 66,153 | 1,555,249 | ||||||
Neste OYJ (a) | 172,955 | 6,201,981 | ||||||
Orion OYJ, Class B (a) | 54,787 | 2,127,369 | ||||||
Sampo OYJ, Class A (a) | 13,980 | 571,730 | ||||||
Stora Enso OYJ, Class R (a) | 341,749 | 2,748,374 | ||||||
UPM-Kymmene OYJ (a) | 219,332 | 4,029,297 | ||||||
|
| |||||||
25,433,973 | ||||||||
|
| |||||||
Germany - 2.8% | ||||||||
Allianz SE (a) | 55,850 | 7,967,419 | ||||||
Aurubis AG | 85,191 | 3,873,869 | ||||||
Axel Springer SE (a) | 7,343 | 385,534 | ||||||
Brenntag AG (a) | 43,956 | 2,129,315 | ||||||
Covestro AG 144A (a)(b) | 69,123 | 3,078,763 | ||||||
Deutsche Lufthansa AG (a) | 708,937 | 8,335,340 | ||||||
Duerr AG (a) | 10,086 | 765,848 | ||||||
Evonik Industries AG (a) | 105,177 | 3,135,175 | ||||||
Fraport AG Frankfurt Airport Services Worldwide (a) | 7,639 | 408,999 | ||||||
Freenet AG (a) | 186,562 | 4,804,630 | ||||||
Fresenius Medical Care AG & Co. KGaA (a) | 75,740 | 6,597,441 | ||||||
GEA Group AG (a) | 7,761 | 366,330 | ||||||
Hannover Rueck SE (a) | 93,503 | 9,797,008 | ||||||
HeidelbergCement AG (a) | 24,662 | 1,857,839 | ||||||
Hella KGaA Hueck & Co. (a) | 38,076 | 1,222,102 | ||||||
HOCHTIEF AG (a) | 31,014 | 4,004,242 | ||||||
K+S AG (a) | 121,876 | 2,495,071 |
SHARES | VALUE (Note 5) | |||||||
Germany - 2.8% (continued) | ||||||||
KION Group AG (a) | 63,879 | $ | 3,096,085 | |||||
Krones AG | 8,674 | 916,244 | ||||||
Linde AG (a) | 6,090 | 848,560 | ||||||
METRO AG (a) | 71,474 | 2,198,263 | ||||||
MTU Aero Engines AG (a) | 17,017 | 1,589,863 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | 34,835 | 5,841,657 | ||||||
OSRAM Licht AG (a) | 74,183 | 3,854,316 | ||||||
ProSiebenSat.1 Media SE †(a) | 36,933 | 1,615,526 | ||||||
Rheinmetall AG | 10,850 | 645,345 | ||||||
RHOEN-KLINIKUM AG (a) | 38,966 | 1,140,587 | ||||||
Siemens AG (a) | 37,638 | 3,862,457 | ||||||
Software AG (a) | 98,938 | 3,364,103 | ||||||
Suedzucker AG (a) | 178,721 | 3,936,421 | ||||||
Symrise AG (a) | 29,670 | 2,023,825 | ||||||
Talanx AG (a) | 65,766 | 1,958,710 | ||||||
United Internet AG (a) | 40,794 | 1,695,764 | ||||||
Zalando SE 144A †(a)(b) | 26,770 | 708,506 | ||||||
|
| |||||||
100,521,157 | ||||||||
|
| |||||||
Italy - 1.5% | ||||||||
A2A SpA | 4,228,822 | 5,545,088 | ||||||
Assicurazioni Generali SpA | 56,696 | 668,581 | ||||||
Atlantia SpA | 26,831 | 670,371 | ||||||
Autogrill SpA | 58,094 | 469,671 | ||||||
Banca Generali SpA | 22,841 | 457,813 | ||||||
Buzzi Unicem SpA | 133,193 | 2,334,077 | ||||||
Davide Campari-Milano SpA | 169,730 | 1,680,088 | ||||||
Enel SpA | 665,842 | 2,955,971 | ||||||
FinecoBank Banca Fineco SpA | 453,442 | 2,961,403 | ||||||
Hera SpA | 498,096 | 1,359,492 | ||||||
Intesa Sanpaolo SpA | 1,229,686 | 2,342,197 | ||||||
Leonardo-Finmeccanica SpA † | 198,275 | 2,005,091 | ||||||
Mediobanca SpA | 1,089,523 | 6,277,610 | ||||||
Poste Italiane SpA 144A (b) | 260,885 | 1,732,259 | ||||||
Prysmian SpA | 173,005 | 3,797,315 | ||||||
Recordati SpA | 111,089 | 3,341,498 | ||||||
Snam SpA | 873,649 | 5,223,049 | ||||||
Telecom Italia SpA † | 455,713 | 374,281 | ||||||
Terna Rete Elettrica Nazionale SpA | 978,593 | 5,445,971 | ||||||
Unipol Gruppo Finanziario SpA | 141,120 | 332,299 | ||||||
UnipolSai SpA | 1,203,819 | 1,816,709 | ||||||
|
| |||||||
51,790,834 | ||||||||
|
| |||||||
Japan - 15.0% | ||||||||
ABC-Mart, Inc. (a) | 49,000 | 3,288,476 | ||||||
Air Water, Inc. (a) | 97,000 | 1,427,244 | ||||||
Aisin Seiki Co. Ltd. (a) | 37,300 | 1,519,352 | ||||||
Ajinomoto Co., Inc. (a) | 65,700 | 1,547,955 | ||||||
Alfresa Holdings Corp. (a) | 244,300 | 5,103,940 | ||||||
Amada Holdings Co. Ltd. (a) | 215,200 | 2,184,739 | ||||||
ANA Holdings, Inc. (a) | 2,896,000 | 8,252,461 | ||||||
Aozora Bank Ltd. (a) | 2,848,000 | 9,879,677 | ||||||
Asahi Group Holdings Ltd. (a) | 15,700 | 507,656 | ||||||
Astellas Pharma, Inc. (a) | 209,000 | 3,277,610 | ||||||
Bandai Namco Holdings, Inc. (a) | 268,500 | 6,929,050 | ||||||
Benesse Holdings, Inc. (a) | 51,100 | 1,199,611 | ||||||
Bridgestone Corp. (a) | 55,000 | 1,767,532 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
223
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
Japan - 15.0% (continued) | ||||||||
Brother Industries Ltd. (a) | 139,900 | $ | 1,500,614 | |||||
Canon, Inc. (a) | 52,000 | 1,484,611 | ||||||
Central Japan Railway Co. (a) | 22,300 | 3,966,358 | ||||||
Century Tokyo Leasing Corp. (a) | 38,200 | 1,236,275 | ||||||
Chubu Electric Power Co., Inc. (a) | 278,100 | 3,957,648 | ||||||
Chugoku Bank Ltd. (The) (a) | 108,500 | 1,107,058 | ||||||
Concordia Financial Group Ltd. †(a) | 424,000 | 1,637,449 | ||||||
Dai Nippon Printing Co. Ltd. (a) | 109,000 | 1,214,798 | ||||||
Daicel Corp. (a) | 184,600 | 1,912,838 | ||||||
Daiichi Sankyo Co. Ltd. (a) | 350,500 | 8,515,437 | ||||||
Don Quijote Holdings Co. Ltd. (a) | 31,500 | 1,170,626 | ||||||
East Japan Railway Co. (a) | 46,300 | 4,290,775 | ||||||
Electric Power Development Co. Ltd. | 13,200 | 307,537 | ||||||
Ezaki Glico Co. Ltd. (a) | 43,300 | 2,533,041 | ||||||
FamilyMart Co. Ltd. (a) | 82,600 | 5,033,750 | ||||||
Fuji Electric Co. Ltd. (a) | 143,000 | 595,385 | ||||||
Fuji Heavy Industries Ltd. (a) | 301,900 | 10,377,326 | ||||||
FUJIFILM Holdings Corp. (a) | 119,200 | 4,625,011 | ||||||
Fukuoka Financial Group, Inc. (a) | 95,000 | 313,239 | ||||||
Gunma Bank Ltd. (The) (a) | 362,000 | 1,314,595 | ||||||
Hakuhodo DY Holdings, Inc. (a) | 255,600 | 3,063,574 | ||||||
Hankyu Hanshin Holdings, Inc. (a) | 265,000 | 1,975,985 | ||||||
Haseko Corp. (a) | 518,000 | 5,215,124 | ||||||
Hikari Tsushin, Inc. (a) | 18,800 | 1,574,941 | ||||||
Hino Motors Ltd. (a) | 31,000 | 308,759 | ||||||
Hiroshima Bank Ltd. (The) (a) | 125,000 | 417,671 | ||||||
Hisamitsu Pharmaceutical Co., Inc. (a) | 37,500 | 2,162,304 | ||||||
Hitachi Capital Corp. (a) | 68,100 | 1,351,580 | ||||||
Hitachi Chemical Co. Ltd. (a) | 76,300 | 1,425,009 | ||||||
Hitachi High-Technologies Corp. (a) | 113,700 | 3,111,717 | ||||||
Hitachi Metals Ltd. (a) | 73,500 | 746,699 | ||||||
Hokuhoku Financial Group, Inc. | 1,883,000 | 2,144,608 | ||||||
Hokuriku Electric Power Co. (a) | 34,700 | 429,973 | ||||||
Hoya Corp. (a) | 71,900 | 2,567,980 | ||||||
Ibiden Co. Ltd. | 48,200 | 544,971 | ||||||
Idemitsu Kosan Co. Ltd. (a) | 181,500 | 3,940,381 | ||||||
Iida Group Holdings Co. Ltd. (a) | 73,800 | 1,511,356 | ||||||
Isetan Mitsukoshi Holdings Ltd. (a) | 156,200 | 1,390,305 | ||||||
ITOCHU Corp. (a) | 589,700 | 7,213,925 | ||||||
Itochu Techno-Solutions Corp. (a) | 165,600 | 3,567,563 | ||||||
Izumi Co. Ltd. (a) | 24,700 | 962,225 | ||||||
J Front Retailing Co. Ltd. (a) | 195,000 | 2,021,830 | ||||||
Japan Airlines Co. Ltd. (a) | 408,600 | 13,145,731 | ||||||
Japan Petroleum Exploration Co. Ltd. (a) | 33,300 | 671,230 | ||||||
Japan Post Holdings Co. Ltd. (a) | 102,300 | 1,244,519 | ||||||
JSR Corp. (a) | 83,000 | 1,099,180 | ||||||
JTEKT Corp. (a) | 168,200 | 1,906,459 | ||||||
JX Holdings, Inc. (a) | 81,000 | 316,169 | ||||||
Kajima Corp. (a) | 623,000 | 4,327,813 | ||||||
Kaken Pharmaceutical Co. Ltd. (a) | 30,700 | 2,012,755 | ||||||
Kamigumi Co. Ltd. (a) | 93,000 | 859,582 | ||||||
Kaneka Corp. (a) | 613,000 | 4,090,094 | ||||||
Kao Corp. (a) | 27,200 | 1,584,187 | ||||||
KDDI Corp. (a) | 250,300 | 7,611,557 | ||||||
Keihan Holdings Co. Ltd. (a) | 45,000 | 311,821 |
SHARES | VALUE (Note 5) | |||||||
Japan - 15.0% (continued) | ||||||||
Kewpie Corp. (a) | 189,400 | $ | 6,041,253 | |||||
Kobayashi Pharmaceutical Co. Ltd. (a) | 10,200 | 452,950 | ||||||
Konami Holdings Corp. (a) | 274,300 | 10,464,502 | ||||||
Konica Minolta, Inc. (a) | 181,400 | 1,321,420 | ||||||
Kose Corp. (a) | 42,700 | 3,618,389 | ||||||
Kuraray Co. Ltd. (a) | 119,700 | 1,428,198 | ||||||
Kurita Water Industries Ltd. (a) | 36,800 | 820,336 | ||||||
Lawson, Inc. (a) | 17,200 | 1,373,159 | ||||||
Makita Corp. (a) | 17,800 | 1,181,868 | ||||||
Marubeni Corp. (a) | 320,700 | 1,448,838 | ||||||
Maruichi Steel Tube Ltd. (a) | 14,300 | 499,788 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 14,100 | 382,995 | ||||||
Medipal Holdings Corp. (a) | 214,400 | 3,524,914 | ||||||
MEIJI Holdings Co. Ltd. (a) | 50,700 | 5,209,696 | ||||||
Miraca Holdings, Inc. (a) | 24,500 | 1,062,518 | ||||||
Mitsubishi Chemical Holdings Corp. (a) | 855,000 | 3,919,312 | ||||||
Mitsubishi Electric Corp. (a) | 216,000 | 2,578,685 | ||||||
Mitsubishi Gas Chemical Co., Inc. (a) | 703,000 | 3,667,491 | ||||||
Mitsubishi Motors Corp. (a) | 411,000 | 1,897,313 | ||||||
Mitsubishi Tanabe Pharma Corp. (a) | 332,300 | 6,004,059 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (a) | 566,500 | 2,176,817 | ||||||
Mitsui & Co. Ltd. (a) | 282,700 | 3,374,640 | ||||||
Mitsui Chemicals, Inc. (a) | 1,588,000 | 5,835,523 | ||||||
Mixi, Inc. | 56,000 | 2,315,340 | ||||||
Mizuho Financial Group, Inc. | 2,486,300 | 3,577,932 | ||||||
MS&AD Insurance Group Holdings, Inc. (a) | 162,900 | 4,220,759 | ||||||
Nagoya Railroad Co. Ltd. (a) | 879,000 | 4,952,667 | ||||||
Nankai Electric Railway Co. Ltd. (a) | 284,000 | 1,601,420 | ||||||
Nexon Co. Ltd. (a) | 324,000 | 4,795,214 | ||||||
NH Foods Ltd. (a) | 77,000 | 1,886,037 | ||||||
NHK Spring Co. Ltd. (a) | 393,200 | 3,191,163 | ||||||
Nikon Corp. (a) | 160,300 | 2,170,432 | ||||||
Nippon Express Co. Ltd. (a) | 195,000 | 891,094 | ||||||
Nippon Shokubai Co. Ltd. (a) | 73,000 | 4,198,693 | ||||||
Nippon Telegraph & Telephone Corp. (a) | 223,200 | 10,466,945 | ||||||
Nippon Yusen KK | 1,910,000 | 3,360,141 | ||||||
Nissan Motor Co. Ltd. (a) | 271,400 | 2,422,060 | ||||||
Nisshin Seifun Group, Inc. (a) | 189,600 | 3,047,798 | ||||||
Nissin Foods Holdings Co. Ltd. (a) | 26,900 | 1,469,034 | ||||||
Nitori Holdings Co. Ltd. (a) | 74,600 | 9,047,792 | ||||||
NOK Corp. (a) | 45,100 | 766,954 | ||||||
Nomura Holdings, Inc. (a) | 134,300 | 477,646 | ||||||
Nomura Research Institute Ltd. (a) | 59,350 | 2,176,679 | ||||||
NTT Data Corp. (a) | 51,800 | 2,446,431 | ||||||
Obayashi Corp. (a) | 648,900 | 6,908,778 | ||||||
Obic Co. Ltd. (a) | 11,000 | 605,510 | ||||||
Oracle Corp. Japan (a) | 23,600 | 1,258,424 | ||||||
ORIX Corp. (a) | 508,700 | 6,582,815 | ||||||
Osaka Gas Co. Ltd. (a) | 941,000 | 3,617,666 | ||||||
Otsuka Corp. (a) | 97,500 | 4,559,231 | ||||||
Otsuka Holdings Co. Ltd. | 259,700 | 11,967,724 | ||||||
Park24 Co. Ltd. (a) | 104,000 | 3,573,900 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
224
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
Japan - 15.0% (continued) | ||||||||
Pola Orbis Holdings, Inc. (a) | 61,700 | $ | 5,806,596 | |||||
Renesas Electronics Corp. †(a) | 53,700 | 307,144 | ||||||
Resona Holdings, Inc. (a) | 3,039,500 | 11,109,107 | ||||||
Rohm Co. Ltd. (a) | 24,300 | 959,123 | ||||||
Sankyo Co. Ltd. (a) | 72,200 | 2,706,997 | ||||||
Santen Pharmaceutical Co. Ltd. (a) | 225,100 | 3,537,939 | ||||||
Secom Co. Ltd. (a) | 34,500 | 2,550,682 | ||||||
Seiko Epson Corp. | 59,500 | 953,882 | ||||||
Sekisui Chemical Co. Ltd. (a) | 208,000 | 2,562,726 | ||||||
Sekisui House Ltd. (a) | 116,200 | 2,034,904 | ||||||
Seven & i Holdings Co. Ltd. (a) | 119,300 | 5,002,024 | ||||||
Seven Bank Ltd. (a) | 253,500 | 786,842 | ||||||
Shimadzu Corp. (a) | 162,000 | 2,435,392 | ||||||
Shimamura Co. Ltd. (a) | 62,000 | 9,224,777 | ||||||
Shimizu Corp. (a) | 431,000 | 4,038,044 | ||||||
Shinsei Bank Ltd. | 1,747,000 | 2,545,348 | ||||||
Shionogi & Co. Ltd. | 19,000 | 1,038,655 | ||||||
Shiseido Co. Ltd. (a) | 32,200 | 839,060 | ||||||
SoftBank Group Corp. | 7,900 | 446,761 | ||||||
Sohgo Security Services Co. Ltd. (a) | 57,800 | 2,857,347 | ||||||
Sojitz Corp. (a) | 3,441,100 | 8,153,800 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 20,200 | 537,566 | ||||||
Sugi Holdings Co. Ltd. (a) | 38,600 | 2,152,255 | ||||||
Sumitomo Chemical Co. Ltd. (a) | 703,000 | 2,900,621 | ||||||
Sumitomo Corp. (a) | 273,700 | 2,758,869 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. (a) | 154,700 | 2,681,388 | ||||||
Sumitomo Electric Industries Ltd. (a) | 32,200 | 426,181 | ||||||
Sumitomo Heavy Industries Ltd. (a) | 285,000 | 1,251,976 | ||||||
Sumitomo Rubber Industries Ltd. (a) | 416,100 | 5,570,706 | ||||||
Sundrug Co. Ltd. (a) | 31,200 | 2,929,524 | ||||||
Suntory Beverage & Food Ltd. (a) | 25,200 | 1,140,328 | ||||||
Suzuken Co. Ltd. (a) | 89,710 | 2,823,735 | ||||||
Sysmex Corp. (a) | 13,800 | 950,247 | ||||||
Taisei Corp. (a) | 508,000 | 4,174,083 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. (a) | 9,500 | 999,685 | ||||||
Takashimaya Co. Ltd. (a) | 291,000 | 2,084,301 | ||||||
TDK Corp. | 18,600 | 1,041,159 | ||||||
Teijin Ltd. (a) | 469,000 | 1,554,054 | ||||||
Toho Gas Co. Ltd. (a) | 825,000 | 6,750,744 | ||||||
Tohoku Electric Power Co., Inc. (a) | 260,600 | 3,288,909 | ||||||
Tokyo Electric Power Co. Holdings, Inc. †(a) | 1,402,900 | 5,941,337 | ||||||
Tokyo Gas Co. Ltd. (a) | 585,000 | 2,415,326 | ||||||
Tokyu Corp. (a) | 161,000 | 1,413,531 | ||||||
Toppan Printing Co. Ltd. (a) | 254,000 | 2,184,077 | ||||||
Tosoh Corp. (a) | 675,000 | 3,113,524 | ||||||
Toyo Suisan Kaisha Ltd. (a) | 101,400 | 4,113,094 | ||||||
Toyoda Gosei Co. Ltd. (a) | 110,100 | 1,960,808 | ||||||
Toyota Boshoku Corp. (a) | 55,100 | 1,150,208 | ||||||
Tsuruha Holdings, Inc. (a) | 18,400 | 2,228,030 | ||||||
USS Co. Ltd. (a) | 73,700 | 1,218,010 | ||||||
West Japan Railway Co. (a) | 148,100 | 9,385,588 | ||||||
Yamada Denki Co. Ltd. (a) | 428,500 | 2,261,975 | ||||||
Yamaguchi Financial Group, Inc. (a) | 568,000 | 5,371,175 |
SHARES | VALUE (Note 5) | |||||||
Japan - 15.0% (continued) | ||||||||
Yamaha Corp. (a) | 50,800 | $ | 1,369,233 | |||||
Yamazaki Baking Co. Ltd. (a) | 282,000 | 7,872,783 | ||||||
|
| |||||||
535,562,374 | ||||||||
|
| |||||||
Netherlands - 1.1% | ||||||||
Aalberts Industries NV (a) | 26,397 | 791,336 | ||||||
ABN AMRO Group NV CVA 144A (b) | 16,698 | 274,526 | ||||||
Akzo Nobel NV (a) | 15,727 | 976,974 | ||||||
ASM International NV (a) | 38,065 | 1,469,249 | ||||||
Boskalis Westminster (a) | 63,828 | 2,177,980 | ||||||
Delta Lloyd NV | 166,292 | 584,298 | ||||||
Heineken NV (a) | 49,862 | 4,573,434 | ||||||
Koninklijke Ahold NV (a) | 345,334 | 7,625,864 | ||||||
Koninklijke Philips NV (a) | 84,056 | 2,087,638 | ||||||
NN Group NV (a) | 270,651 | 7,450,595 | ||||||
Randstad Holding NV (a) | 59,713 | 2,387,982 | ||||||
SBM Offshore NV (a) | 142,975 | 1,656,951 | ||||||
Wolters Kluwer NV | 138,617 | 5,612,772 | ||||||
|
| |||||||
37,669,599 | ||||||||
|
| |||||||
Norway - 0.3% | ||||||||
DNB ASA (a) | 188,255 | 2,253,374 | ||||||
Gjensidige Forsikring ASA (a) | 19,168 | 319,356 | ||||||
Marine Harvest ASA †(a) | 216,625 | 3,653,870 | ||||||
Orkla ASA (a) | 168,852 | 1,501,695 | ||||||
Telenor ASA (a) | 49,292 | 815,932 | ||||||
Yara International ASA (a) | 100,023 | 3,177,412 | ||||||
|
| |||||||
11,721,639 | ||||||||
|
| |||||||
Portugal - 0.0% (c) | ||||||||
EDP - Energias de Portugal SA | 463,806 | 1,419,975 | ||||||
NOS SGPS SA | 45,531 | 275,539 | ||||||
|
| |||||||
1,695,514 | ||||||||
|
| |||||||
Spain - 1.1% | ||||||||
ACS Actividades de Construccion y Servicios SA (a) | 43,878 | 1,203,538 | ||||||
Almirall SA | 121,562 | 1,827,706 | ||||||
Banco de Sabadell SA | 477,352 | 632,136 | ||||||
Bankinter SA (a) | 43,460 | 280,540 | ||||||
Ebro Foods SA | 232,583 | 5,353,619 | ||||||
Enagas SA (a) | 55,874 | 1,706,966 | ||||||
Endesa SA (a) | 284,518 | 5,708,994 | ||||||
Ferrovial SA (a) | 125,283 | 2,452,787 | ||||||
Gamesa Corp. Tecnologica SA (a) | 100,189 | 1,996,169 | ||||||
Gas Natural SDG SA (a) | 142,328 | 2,829,143 | ||||||
Iberdrola SA (a) | 835,893 | 5,702,101 | ||||||
Industria de Diseno Textil SA (a) | 42,235 | 1,418,841 | ||||||
Mediaset Espana Comunicacion SA (a) | 30,734 | 346,944 | ||||||
Red Electrica Corp. SA (a) | 16,280 | 1,454,679 | ||||||
Repsol SA (a) | 373,931 | 4,793,376 | ||||||
Tecnicas Reunidas SA (a) | 53,865 | 1,614,438 | ||||||
|
| |||||||
39,321,977 | ||||||||
|
| |||||||
Sweden - 0.9% | ||||||||
Assa Abloy AB, Class B (a) | 28,688 | 590,193 | ||||||
BillerudKorsnas AB | 71,800 | 1,071,435 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
225
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
Sweden - 0.9% (continued) | ||||||||
Boliden AB (a) | 110,865 | $ | 2,166,756 | |||||
Bonava AB, Class B † | 29,416 | 354,632 | ||||||
Electrolux AB, Series B | 147,383 | 4,018,375 | ||||||
Husqvarna AB, Class B | 189,229 | 1,409,089 | ||||||
ICA Gruppen AB | 96,540 | 3,235,554 | ||||||
Modern Times Group MTG AB, Class B | 24,097 | 640,533 | ||||||
NCC AB, Class B | 29,416 | 683,015 | ||||||
Saab AB, Class B | 15,822 | 493,405 | ||||||
Securitas AB, Class B | 340,362 | 5,254,447 | ||||||
Skanska AB, Class B (a) | 26,986 | 565,059 | ||||||
Svenska Cellulosa AB SCA, Class B (a) | 225,718 | 7,252,470 | ||||||
Swedbank AB, Class A (a) | 14,506 | 304,671 | ||||||
Swedish Match AB (a) | 52,547 | 1,833,791 | ||||||
Tele2 AB, Class B (a) | 97,841 | 858,980 | ||||||
Telia Co. AB | 546,128 | 2,586,177 | ||||||
Trelleborg AB, Class B | 27,956 | 496,092 | ||||||
|
| |||||||
33,814,674 | ||||||||
|
| |||||||
Switzerland - 2.0% | ||||||||
Adecco Group AG (a) | 26,740 | 1,348,714 | ||||||
Baloise Holding AG (a) | 14,652 | 1,631,945 | ||||||
Barry Callebaut AG †(a) | 473 | 582,382 | ||||||
Chocoladefabriken Lindt & Spruengli AG (a) | 81 | 483,094 | ||||||
DKSH Holding AG (a) | 9,053 | 593,042 | ||||||
Flughafen Zuerich AG | 6,640 | 1,175,087 | ||||||
Galenica AG (a) | 6,773 | 9,130,545 | ||||||
GAM Holding AG †(a) | 23,574 | 251,661 | ||||||
Geberit AG (a) | 840 | 318,160 | ||||||
Georg Fischer AG (a) | 2,447 | 1,956,153 | ||||||
Givaudan SA (a) | 1,489 | 2,998,138 | ||||||
Helvetia Holding AG (a) | 1,684 | 876,099 | ||||||
Kuehne + Nagel International AG (a) | 2,199 | 308,101 | ||||||
Lonza Group AG †(a) | 31,412 | 5,217,904 | ||||||
Nestle SA (a) | 83,955 | 6,504,694 | ||||||
Novartis AG (a) | 69,312 | 5,720,912 | ||||||
Partners Group Holding AG (a) | 4,786 | 2,051,115 | ||||||
Roche Holding AG (a) | 16,616 | 4,384,627 | ||||||
Schindler Holding AG (a) | 3,884 | 703,190 | ||||||
Sonova Holding AG (a) | 2,446 | 324,646 | ||||||
Straumann Holding AG (a) | 2,557 | 1,008,759 | ||||||
Swiss Life Holding AG †(a) | 20,901 | 4,830,176 | ||||||
Swiss Re AG (a) | 154,114 | 13,460,381 | ||||||
Swisscom AG (a) | 6,652 | 3,304,752 | ||||||
UBS Group AG (a) | 223,365 | 2,898,293 | ||||||
|
| |||||||
72,062,570 | ||||||||
|
| |||||||
United Kingdom - 0.4% | ||||||||
Fiat Chrysler Automobiles NV (a) | 133,151 | 819,606 | ||||||
Subsea 7 SA †(a) | 350,704 | 3,447,242 | ||||||
Unilever NV CVA (a) | 196,657 | 9,184,390 | ||||||
|
| |||||||
13,451,238 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 971,223,138 | |||||||
|
|
PREFERRED STOCKS - 0.3% | SHARES | VALUE (Note 5) | ||||||
Germany - 0.3% | ||||||||
FUCHS PETROLUB SE (a) | 10,763 | $ | 423,426 | |||||
Henkel AG & Co. KGaA (a) | 66,233 | 8,094,372 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 8,517,798 | |||||||
|
| |||||||
RIGHTS - 0.0% (c) | ||||||||
Spain - 0.0% (c) | ||||||||
ACS Actividades de Construccion y Servicios SA † | ||||||||
(cost $31,127) | 43,878 | 30,823 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 84.3% | ||||||||
Investment Companies - 60.0% | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% (d) | 3,204,079 | 3,204,079 | ||||||
Dreyfus Treasury Cash Management, Class I, 0.240% (d) | 12,816,316 | 12,816,316 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(d)(e) | 1,672,595,219 | 1,672,595,219 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(d)(e) | 435,676,766 | 435,676,766 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% (d) | 16,020,395 | 16,020,395 | ||||||
|
| |||||||
Total Investment Companies | 2,140,312,775 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT (000’s) | | ||||||
U.S. Treasury Obligations - 24.3% | ||||||||
U.S. Treasury Bill, 0.370%, 07/21/2016 ^(f) | $ | 287,700 | 287,670,655 | |||||
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(f) | 210,322 | 210,115,674 | ||||||
U.S. Treasury Bill, 0.396%, 11/03/2016 (f) | 1,136 | 1,135,045 | ||||||
U.S. Treasury Bill, 0.401%, 12/15/2016 ^(f) | 14,318 | 14,299,701 | ||||||
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(f)(g) | 148,633 | 148,587,518 | ||||||
U.S. Treasury Bill, 0.431%, 12/08/2016 ^(f) | 24,906 | 24,874,295 | ||||||
U.S. Treasury Bill, 0.471%, 07/14/2016 (f) | 28,893 | 28,891,300 | ||||||
U.S. Treasury Bill, 0.477%, 12/01/2016 ^(f) | 3,511 | 3,506,748 | ||||||
U.S. Treasury Bill, 0.480%, 11/25/2016 (f)(g) | 13,707 | 13,692,525 | ||||||
U.S. Treasury Bill, 0.498%, 07/07/2016 ^(f) | 45,093 | 45,092,549 | ||||||
U.S. Treasury Bill, 0.341%, 12/29/2016 ^(f) | 1,047 | 1,045,184 | ||||||
U.S. Treasury Bill, 0.381%, 11/10/2016 ^(f) | 59,578 | 59,522,175 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
226
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||
U.S. Treasury Obligations - 24.3% (continued) | ||||||||
U.S. Treasury Bill, 0.401%, 12/22/2016 ^(f) | $ | 30,441 | $ | 30,399,296 | ||||
|
| |||||||
Total U.S. Treasury Obligations (cost $868,582,423) | 868,832,665 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 3,009,145,440 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE | 3,988,917,199 | |||||||
|
| |||||||
SECURITIES SOLD SHORT - (20.4)% | SHARES | |||||||
COMMON STOCKS - (20.1)% | ||||||||
Austria - (0.1)% | ||||||||
ams AG | (120,215 | ) | (3,337,465 | ) | ||||
|
| |||||||
Belgium - (0.4)% | ||||||||
Anheuser-Busch InBev SA/NV | (80,499 | ) | (10,644,901 | ) | ||||
Solvay SA | (5,679 | ) | (530,463 | ) | ||||
Telenet Group Holding NV † | (41,015 | ) | (1,875,468 | ) | ||||
UCB SA | (28,012 | ) | (2,103,348 | ) | ||||
|
| |||||||
(15,154,180 | ) | |||||||
|
| |||||||
Denmark - (0.3)% | ||||||||
AP Moeller - Maersk A/S, Class B | (2,635 | ) | (3,441,718 | ) | ||||
Carlsberg A/S, Class B | (3,407 | ) | (325,055 | ) | ||||
Coloplast A/S, Class B | (37,711 | ) | (2,822,842 | ) | ||||
Novozymes A/S, Class B | (53,458 | ) | (2,567,101 | ) | ||||
Topdanmark A/S † | (15,597 | ) | (371,713 | ) | ||||
Tryg A/S | (27,298 | ) | (488,757 | ) | ||||
|
| |||||||
(10,017,186 | ) | |||||||
|
| |||||||
Finland - (0.5)% | ||||||||
Fortum OYJ | (39,407 | ) | (633,130 | ) | ||||
Kone OYJ, Class B | (15,001 | ) | (692,302 | ) | ||||
Nokia OYJ | (2,122,276 | ) | (12,087,298 | ) | ||||
Nokian Renkaat OYJ | (118,011 | ) | (4,229,738 | ) | ||||
|
| |||||||
(17,642,468 | ) | |||||||
|
| |||||||
Germany - (1.8)% | ||||||||
BASF SE | (34,405 | ) | (2,638,132 | ) | ||||
Bayer AG | (50,559 | ) | (5,077,888 | ) | ||||
Bayerische Motoren Werke AG | (14,935 | ) | (1,086,896 | ) | ||||
Beiersdorf AG | (37,325 | ) | (3,533,728 | ) | ||||
Bilfinger SE † | (56,358 | ) | (1,651,896 | ) | ||||
Commerzbank AG | (156,409 | ) | (1,018,591 | ) | ||||
Continental AG | (5,810 | ) | (1,099,407 | ) | ||||
Daimler AG | (71,849 | ) | (4,299,325 | ) | ||||
Deutsche Bank AG † | (569,291 | ) | (7,869,377 | ) | ||||
Deutsche Post AG | (159,696 | ) | (4,499,037 | ) | ||||
Deutsche Telekom AG | (236,530 | ) | (4,033,374 | ) | ||||
E.ON SE | (445,576 | ) | (4,498,009 | ) | ||||
HUGO BOSS AG | (6,991 | ) | (397,453 | ) | ||||
Infineon Technologies AG | (89,166 | ) | (1,290,804 | ) | ||||
LANXESS AG | (48,807 | ) | (2,141,305 | ) | ||||
Merck KGaA | (38,385 | ) | (3,901,567 | ) |
SHARES | VALUE (Note 5) | |||||||
Germany - (1.8)% (continued) | ||||||||
RWE AG † | (551,719 | ) | $ | (8,786,237 | ) | |||
Salzgitter AG | (32,244 | ) | (852,535 | ) | ||||
STADA Arzneimittel AG † | (6,147 | ) | (318,582 | ) | ||||
Telefonica Deutschland Holding AG | (258,454 | ) | (1,064,595 | ) | ||||
Thyssenkrupp AG | (156,317 | ) | (3,142,027 | ) | ||||
Wacker Chemie AG | (4,662 | ) | (408,266 | ) | ||||
|
| |||||||
(63,609,031 | ) | |||||||
|
| |||||||
Italy - (0.5)% | ||||||||
Azimut Holding SpA | (145,860 | ) | (2,379,833 | ) | ||||
Banca Mediolanum SpA | (113,259 | ) | (777,358 | ) | ||||
Banca Popolare dell’Emilia Romagna SC | (142,678 | ) | (523,830 | ) | ||||
Eni SpA | (247,684 | ) | (3,989,489 | ) | ||||
Luxottica Group SpA | (27,788 | ) | (1,354,322 | ) | ||||
Mediaset SpA | (693,469 | ) | (2,425,098 | ) | ||||
Moncler SpA | (108,167 | ) | (1,707,671 | ) | ||||
Saipem SpA † | (3,267,423 | ) | (1,306,412 | ) | ||||
Unione di Banche Italiane SpA | (1,444,320 | ) | (3,988,566 | ) | ||||
|
| |||||||
(18,452,579 | ) | |||||||
|
| |||||||
Japan - (11.9)% | ||||||||
Acom Co. Ltd. † | (514,900 | ) | (2,494,457 | ) | ||||
Advantest Corp. | (336,300 | ) | (3,751,776 | ) | ||||
Aeon Co. Ltd. | (265,200 | ) | (4,117,646 | ) | ||||
AEON Financial Service Co. Ltd. | (84,800 | ) | (1,836,169 | ) | ||||
Alps Electric Co. Ltd. | (160,700 | ) | (3,053,028 | ) | ||||
Asahi Glass Co. Ltd. | (157,000 | ) | (852,022 | ) | ||||
Asahi Kasei Corp. | (176,000 | ) | (1,224,790 | ) | ||||
Asics Corp. | (381,400 | ) | (6,443,720 | ) | ||||
Bank of Kyoto Ltd. (The) | (437,000 | ) | (2,680,427 | ) | ||||
Calbee, Inc. | (169,800 | ) | (7,103,742 | ) | ||||
Chiba Bank Ltd. (The) | (588,000 | ) | (2,778,747 | ) | ||||
Chugai Pharmaceutical Co. Ltd. | (134,700 | ) | (4,800,468 | ) | ||||
Chugoku Electric Power Co., Inc. (The) | (147,000 | ) | (1,868,834 | ) | ||||
Citizen Holdings Co. Ltd. | (65,000 | ) | (316,370 | ) | ||||
Credit Saison Co. Ltd. | (125,100 | ) | (2,101,491 | ) | ||||
Daido Steel Co. Ltd. | (279,000 | ) | (955,603 | ) | ||||
Dai-ichi Life Insurance Co. Ltd. (The) | (73,900 | ) | (827,266 | ) | ||||
Daikin Industries Ltd. | (32,300 | ) | (2,714,646 | ) | ||||
Daiwa Securities Group, Inc. | (626,000 | ) | (3,298,000 | ) | ||||
DeNA Co. Ltd. | (62,000 | ) | (1,450,398 | ) | ||||
Denso Corp. | (152,600 | ) | (5,369,282 | ) | ||||
Dentsu, Inc. | (32,800 | ) | (1,537,528 | ) | ||||
Disco Corp. | (15,100 | ) | (1,365,641 | ) | ||||
Eisai Co. Ltd. | (101,100 | ) | (5,645,029 | ) | ||||
FANUC Corp. | (53,800 | ) | (8,751,821 | ) | ||||
Fast Retailing Co. Ltd. | (30,500 | ) | (8,188,655 | ) | ||||
Fujitsu Ltd. | (75,000 | ) | (275,799 | ) | ||||
Hachijuni Bank Ltd. (The) | (392,100 | ) | (1,707,701 | ) | ||||
Hamamatsu Photonics KK | (144,600 | ) | (4,057,349 | ) | ||||
Hirose Electric Co. Ltd. | (10,100 | ) | (1,241,956 | ) | ||||
Hitachi Construction Machinery Co. Ltd. | (203,400 | ) | (2,968,835 | ) | ||||
Hitachi Ltd. | (1,098,000 | ) | (4,600,462 | ) | ||||
Honda Motor Co. Ltd. | (133,300 | ) | (3,343,866 | ) | ||||
IHI Corp. | (2,721,000 | ) | (7,334,434 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
227
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
Japan - (11.9)% (continued) | ||||||||
Inpex Corp. | (760,100 | ) | $ | (5,944,439 | ) | |||
Iyo Bank Ltd. (The) | (314,100 | ) | (1,923,756 | ) | ||||
Japan Airport Terminal Co. Ltd. | (13,700 | ) | (497,053 | ) | ||||
Japan Display, Inc. † | (2,294,100 | ) | (3,732,082 | ) | ||||
Japan Post Bank Co. Ltd. | (127,100 | ) | (1,494,523 | ) | ||||
Japan Tobacco, Inc. | (57,400 | ) | (2,313,347 | ) | ||||
JFE Holdings, Inc. | (390,300 | ) | (5,091,542 | ) | ||||
JGC Corp. | (128,000 | ) | (1,832,398 | ) | ||||
Kakaku.com, Inc. | (266,900 | ) | (5,303,219 | ) | ||||
Kansai Electric Power Co., Inc. (The) † | (265,600 | ) | (2,586,746 | ) | ||||
Kansai Paint Co. Ltd. | (260,800 | ) | (5,265,468 | ) | ||||
Kawasaki Heavy Industries Ltd. | (1,068,000 | ) | (3,011,379 | ) | ||||
Keikyu Corp. | (217,000 | ) | (2,183,691 | ) | ||||
Keio Corp. | (102,000 | ) | (962,152 | ) | ||||
Keisei Electric Railway Co. Ltd. | (138,000 | ) | (1,778,790 | ) | ||||
Kikkoman Corp. | (240,000 | ) | (8,855,998 | ) | ||||
Kintetsu Group Holdings Co. Ltd. | (356,000 | ) | (1,523,481 | ) | ||||
Kirin Holdings Co. Ltd. | (138,400 | ) | (2,334,278 | ) | ||||
Kobe Steel Ltd. | (7,661,000 | ) | (6,296,382 | ) | ||||
Koito Manufacturing Co. Ltd. | (42,800 | ) | (1,970,703 | ) | ||||
Komatsu Ltd. | (172,300 | ) | (2,993,140 | ) | ||||
Kubota Corp. | (102,700 | ) | (1,389,051 | ) | ||||
Kyocera Corp. | (34,500 | ) | (1,641,607 | ) | ||||
Kyowa Hakko Kirin Co. Ltd. | (80,800 | ) | (1,378,107 | ) | ||||
Kyushu Electric Power Co., Inc. † | (719,700 | ) | (7,218,164 | ) | ||||
Kyushu Financial Group, Inc. | (73,300 | ) | (363,321 | ) | ||||
LIXIL Group Corp. | (55,800 | ) | (916,339 | ) | ||||
M3, Inc. | (71,500 | ) | (2,495,349 | ) | ||||
Mabuchi Motor Co. Ltd. | (19,200 | ) | (813,211 | ) | ||||
Marui Group Co. Ltd. | (102,300 | ) | (1,377,152 | ) | ||||
Mazda Motor Corp. | (73,800 | ) | (976,617 | ) | ||||
Minebea Co. Ltd. | (465,000 | ) | (3,159,167 | ) | ||||
MISUMI Group, Inc. | (179,900 | ) | (3,248,043 | ) | ||||
Mitsubishi Corp. | (66,600 | ) | (1,172,648 | ) | ||||
Mitsubishi Heavy Industries Ltd. | (1,103,000 | ) | (4,435,407 | ) | ||||
Mitsubishi Logistics Corp. | (279,000 | ) | (3,903,300 | ) | ||||
Mitsubishi Materials Corp. | (581,000 | ) | (1,391,122 | ) | ||||
Mitsubishi UFJ Financial Group, Inc. | (713,900 | ) | (3,200,309 | ) | ||||
Mitsui OSK Lines Ltd. | (1,318,000 | ) | (2,802,733 | ) | ||||
Murata Manufacturing Co. Ltd. | (26,500 | ) | (2,971,038 | ) | ||||
Nabtesco Corp. | (110,200 | ) | (2,629,390 | ) | ||||
NGK Insulators Ltd. | (65,000 | ) | (1,314,122 | ) | ||||
NGK Spark Plug Co. Ltd. | (499,300 | ) | (7,536,824 | ) | ||||
Nidec Corp. | (62,900 | ) | (4,788,138 | ) | ||||
Nintendo Co. Ltd. | (57,000 | ) | (8,190,855 | ) | ||||
Nippon Electric Glass Co. Ltd. | (160,000 | ) | (667,918 | ) | ||||
Nippon Paint Holdings Co. Ltd. | (383,800 | ) | (9,488,220 | ) | ||||
Nippon Steel & Sumitomo Metal Corp. | (212,900 | ) | (4,121,667 | ) | ||||
Nissan Chemical Industries Ltd. | (63,700 | ) | (1,858,593 | ) | ||||
Nitto Denko Corp. | (30,100 | ) | (1,909,370 | ) | ||||
NSK Ltd. | (43,300 | ) | (316,953 | ) | ||||
Odakyu Electric Railway Co. Ltd. | (311,000 | ) | (3,646,767 | ) | ||||
Olympus Corp. | (85,200 | ) | (3,181,504 | ) | ||||
Omron Corp. | (187,100 | ) | (6,107,089 | ) | ||||
Ono Pharmaceutical Co. Ltd. | (25,700 | ) | (1,119,520 | ) | ||||
Oriental Land Co. Ltd. | (78,200 | ) | (5,063,402 | ) | ||||
Panasonic Corp. | (163,300 | ) | (1,404,958 | ) |
SHARES | VALUE (Note 5) | |||||||
Japan - (11.9)% (continued) | ||||||||
Pigeon Corp. | (167,400 | ) | $ | (5,004,333 | ) | |||
Rakuten, Inc. | (980,400 | ) | (10,640,612 | ) | ||||
Recruit Holdings Co. Ltd. | (71,400 | ) | (2,608,536 | ) | ||||
Ricoh Co. Ltd. | (41,200 | ) | (357,142 | ) | ||||
Ryohin Keikaku Co. Ltd. | (4,400 | ) | (1,072,269 | ) | ||||
Sega Sammy Holdings, Inc. | (278,500 | ) | (2,999,473 | ) | ||||
Seibu Holdings, Inc. | (130,700 | ) | (2,213,703 | ) | ||||
Shikoku Electric Power Co., Inc. | (261,700 | ) | (3,099,938 | ) | ||||
Shimano, Inc. | (8,400 | ) | (1,284,340 | ) | ||||
Shin-Etsu Chemical Co. Ltd. | (68,300 | ) | (4,001,594 | ) | ||||
Shizuoka Bank Ltd. (The) | (677,000 | ) | (4,767,852 | ) | ||||
SMC Corp. | (6,100 | ) | (1,500,760 | ) | ||||
Sony Corp. | (143,200 | ) | (4,218,955 | ) | ||||
Sony Financial Holdings, Inc. | (428,200 | ) | (4,841,604 | ) | ||||
Stanley Electric Co. Ltd. | (142,700 | ) | (3,047,543 | ) | ||||
Sumco Corp. | (606,200 | ) | (3,883,483 | ) | ||||
Sumitomo Metal Mining Co. Ltd. | (566,000 | ) | (5,757,570 | ) | ||||
Sumitomo Mitsui Financial Group, Inc. | (33,400 | ) | (964,427 | ) | ||||
Suruga Bank Ltd. | (35,400 | ) | (800,010 | ) | ||||
Suzuki Motor Corp. | (107,500 | ) | (2,910,877 | ) | ||||
T&D Holdings, Inc. | (490,700 | ) | (4,167,038 | ) | ||||
Taiheiyo Cement Corp. | (381,000 | ) | (902,424 | ) | ||||
Taiyo Nippon Sanso Corp. | (418,700 | ) | (3,848,265 | ) | ||||
Takeda Pharmaceutical Co. Ltd. | (101,300 | ) | (4,368,886 | ) | ||||
Terumo Corp. | (29,100 | ) | (1,241,853 | ) | ||||
THK Co. Ltd. | (47,600 | ) | (811,314 | ) | ||||
Tobu Railway Co. Ltd. | (355,000 | ) | (1,948,428 | ) | ||||
Toho Co. Ltd. | (30,000 | ) | (830,741 | ) | ||||
Tokio Marine Holdings, Inc. | (41,700 | ) | (1,388,238 | ) | ||||
Tokyo Electron Ltd. | (33,200 | ) | (2,805,689 | ) | ||||
Toray Industries, Inc. | (106,000 | ) | (904,487 | ) | ||||
TOTO Ltd. | (15,000 | ) | (599,388 | ) | ||||
Toyo Seikan Group Holdings Ltd. | (113,300 | ) | (2,164,942 | ) | ||||
Toyota Industries Corp. | (49,900 | ) | (1,984,018 | ) | ||||
Toyota Motor Corp. | (81,400 | ) | (4,012,901 | ) | ||||
Toyota Tsusho Corp. | (19,900 | ) | (428,434 | ) | ||||
Trend Micro, Inc. | (25,300 | ) | (904,828 | ) | ||||
Unicharm Corp. | (101,700 | ) | (2,284,953 | ) | ||||
Yahoo Japan Corp. | (1,332,500 | ) | (5,908,787 | ) | ||||
Yakult Honsha Co. Ltd. | (165,100 | ) | (8,580,769 | ) | ||||
Yamaha Motor Co. Ltd. | (484,500 | ) | (7,390,908 | ) | ||||
Yamato Holdings Co. Ltd. | (239,900 | ) | (5,508,343 | ) | ||||
Yaskawa Electric Corp. | (484,000 | ) | (6,319,308 | ) | ||||
Yokogawa Electric Corp. | (193,200 | ) | (2,178,735 | ) | ||||
|
| |||||||
(424,609,198 | ) | |||||||
|
| |||||||
Luxembourg - (0.5)% | ||||||||
APERAM SA | (15,384 | ) | (538,518 | ) | ||||
ArcelorMittal † | (1,595,609 | ) | (7,274,703 | ) | ||||
Millicom International Cellular SA SDR | (42,740 | ) | (2,621,644 | ) | ||||
Tenaris SA | (487,923 | ) | (7,052,008 | ) | ||||
|
| |||||||
(17,486,873 | ) | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
228
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SHARES | VALUE (Note 5) | |||||||
Netherlands - (0.9)% | ||||||||
Aegon NV | (655,211 | ) | $ | (2,596,160 | ) | |||
Altice NV, Class A † | (400,986 | ) | (5,987,299 | ) | ||||
ASML Holding NV | (129,558 | ) | (12,753,460 | ) | ||||
Fugro NV CVA † | (175,961 | ) | (3,097,934 | ) | ||||
Gemalto NV | (9,801 | ) | (593,783 | ) | ||||
Koninklijke DSM NV | (13,113 | ) | (756,495 | ) | ||||
Koninklijke KPN NV | (1,578,929 | ) | (5,627,995 | ) | ||||
Koninklijke Vopak NV | (41,048 | ) | (2,043,348 | ) | ||||
OCI NV † | (21,403 | ) | (289,942 | ) | ||||
|
| |||||||
(33,746,416 | ) | |||||||
|
| |||||||
Norway - (0.2)% | ||||||||
Norsk Hydro ASA | (589,825 | ) | (2,159,250 | ) | ||||
Schibsted ASA, Class A | (136,284 | ) | (4,085,230 | ) | ||||
Statoil ASA | (139,547 | ) | (2,411,157 | ) | ||||
|
| |||||||
(8,655,637 | ) | |||||||
|
| |||||||
Portugal - 0.0% (c) | ||||||||
Banco Espirito Santo SA (3)†(h) | (216,618 | ) | (3 | ) | ||||
Jeronimo Martins SGPS SA | (75,969 | ) | (1,198,164 | ) | ||||
Sonae SGPS SA | (375,519 | ) | (294,986 | ) | ||||
|
| |||||||
(1,493,153 | ) | |||||||
|
| |||||||
Spain - (1.0)% | ||||||||
Abertis Infraestructuras SA | (384,201 | ) | (5,677,565 | ) | ||||
Acciona SA | (8,461 | ) | (617,419 | ) | ||||
Aena SA 144A (b) | (7,589 | ) | (1,005,926 | ) | ||||
Amadeus IT Holding SA, Class A | (59,538 | ) | (2,623,170 | ) | ||||
Atresmedia Corp. de Medios de Comunicacion SA | (120,526 | ) | (1,178,069 | ) | ||||
Banco Bilbao Vizcaya Argentaria SA | (264,572 | ) | (1,515,853 | ) | ||||
Banco Santander SA | (629,970 | ) | (2,444,711 | ) | ||||
Bankia SA | (1,973,544 | ) | (1,436,682 | ) | ||||
CaixaBank SA | (659,456 | ) | (1,453,423 | ) | ||||
Cellnex Telecom SAU 144A (b) | (210,678 | ) | (3,306,076 | ) | ||||
Distribuidora Internacional de Alimentacion SA | (418,707 | ) | (2,443,948 | ) | ||||
Mapfre SA | (922,889 | ) | (2,026,817 | ) | ||||
Obrascon Huarte Lain SA † | (174,673 | ) | (615,322 | ) | ||||
Telefonica SA | (829,173 | ) | (7,872,015 | ) | ||||
Zardoya Otis SA | (141,510 | ) | (1,336,321 | ) | ||||
|
| |||||||
(35,553,317 | ) | |||||||
|
| |||||||
Sweden - (0.6)% | ||||||||
Alfa Laval AB | (48,630 | ) | (766,449 | ) | ||||
Atlas Copco AB, Class A | (71,754 | ) | (1,863,605 | ) | ||||
Getinge AB, Class B | (32,957 | ) | (680,430 | ) | ||||
Hennes & Mauritz AB, Class B | (135,047 | ) | (3,973,193 | ) | ||||
Hexagon AB, Class B | (14,268 | ) | (522,151 | ) | ||||
Sandvik AB | (126,193 | ) | (1,263,436 | ) | ||||
Skandinaviska Enskilda Banken AB, Class A | (118,293 | ) | (1,033,370 | ) | ||||
SKF AB, Class B | (50,321 | ) | (806,292 | ) | ||||
Svenska Handelsbanken AB, Class A | (222,510 | ) | (2,701,386 | ) | ||||
Telefonaktiebolaget LM Ericsson, Class B | (611,255 | ) | (4,696,000 | ) | ||||
Volvo AB, Class B | (177,400 | ) | (1,762,348 | ) | ||||
|
| |||||||
(20,068,660 | ) | |||||||
|
|
SHARES | VALUE (Note 5) | |||||||
Switzerland - (1.2)% | ||||||||
Aryzta AG † | (56,567 | ) | $ | (2,090,483 | ) | |||
Cie Financiere Richemont SA | (105,542 | ) | (6,177,870 | ) | ||||
Clariant AG † | (20,837 | ) | (352,132 | ) | ||||
Credit Suisse Group AG † | (958,643 | ) | (10,211,868 | ) | ||||
Dufry AG † | (25,089 | ) | (3,000,722 | ) | ||||
EMS-Chemie Holding AG | (1,198 | ) | (618,537 | ) | ||||
Julius Baer Group Ltd. † | (44,305 | ) | (1,783,202 | ) | ||||
LafargeHolcim Ltd. † | (163,736 | ) | (6,850,310 | ) | ||||
OC Oerlikon Corp. AG † | (183,192 | ) | (1,608,420 | ) | ||||
SGS SA | (826 | ) | (1,892,160 | ) | ||||
STMicroelectronics NV | (755,391 | ) | (4,436,124 | ) | ||||
Sunrise Communications Group AG 144A †(b) | (26,909 | ) | (1,720,508 | ) | ||||
Zurich Insurance Group AG † | (9,826 | ) | (2,430,783 | ) | ||||
|
| |||||||
(43,173,119 | ) | |||||||
|
| |||||||
United Kingdom - (0.2)% | ||||||||
CNH Industrial NV | (278,825 | ) | (2,022,500 | ) | ||||
Dialog Semiconductor plc † | (27,095 | ) | (811,859 | ) | ||||
RELX NV | (197,605 | ) | (3,418,693 | ) | ||||
|
| |||||||
(6,253,052 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT | (719,252,334 | ) | ||||||
|
| |||||||
PREFERRED STOCKS - (0.3)% | ||||||||
Germany - (0.3)% | ||||||||
Schaeffler AG | (22,927 | ) | (302,831 | ) | ||||
Volkswagen AG | (74,853 | ) | (9,066,221 | ) | ||||
|
| |||||||
TOTAL PREFERRED STOCKS SOLD SHORT (proceeds $10,377,847) | (9,369,052 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $785,923,278) | (728,621,386 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD | 3,260,295,813 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES -8.6% (i) | 307,940,372 | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 3,568,236,185 | |||||
|
|
† | Non-income producing security. |
(a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $791,469,597. |
(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. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
229
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
(d) | Represents annualized seven-day yield as of the close of the reporting period. |
(e) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(f) | The rate shown is the effective yield at the date of purchase. |
(g) | All or a portion of the security is pledged as collateral to the brokers for futures contracts. |
(h) | Security fair valued as of June 30, 2016 using procedures approved by the Board of Trustees. The total value of positions fair valued was $(3) or 0.0% of total net assets. |
(i) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(3) Level 3 security (See Note 5).
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
CVA - Dutch Certification
SDR - Special Drawing Rights
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | (22,867,143 | ) | (0.6 | )% | |||
Consumer Staples | 75,858,168 | 2.1 | ||||||
Energy | (3,203,022 | ) | (0.1 | ) | ||||
Financials | 63,925,221 | 1.8 | ||||||
Health Care | 69,595,911 | 2.0 | ||||||
Industrials | 83,978,945 | 2.4 | ||||||
Information Technology | (57,233,620 | ) | (1.6 | ) | ||||
Materials | (9,082,854 | ) | (0.3 | ) | ||||
Telecommunication Services | 13,426,675 | 0.4 | ||||||
Utilities | 36,752,092 | 1.0 | ||||||
Investment Companies | 2,140,312,775 | 60.0 | ||||||
U.S. Treasury Obligations | 868,832,665 | 24.3 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 3,260,295,813 | 91.4 | ||||||
Other Assets in Excess of Liabilities (i) | 307,940,372 | 8.6 | ||||||
|
|
|
| |||||
Net Assets | $ | 3,568,236,185 | 100.0 | % | ||||
|
|
|
|
Total return swap contracts outstanding as of June 30, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
GSIN | BIST 30 August Futures | 08/2016 | TRY | 20,500,981 | $(16,750 | ) | ||||||||||
BANA | Bovespa Index August Futures | 08/2016 | BRL | (362,072,815 | ) | (3,866,641 | ) | |||||||||
DTBK | Corn July Futures^ | 08/2016 | USD | 20,931,146 | 68,944,709 | |||||||||||
DTBK | Corn July Futures^ | 08/2016 | USD | (20,931,146 | ) | (68,951,006 | ) | |||||||||
CITI | Corn September Futures^ | 08/2016 | USD | 17,030,628 | (2,575,103 | ) | ||||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | (28,661,316 | ) | 2,668,558 | ||||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | 70,997,307 | (11,128,407 | ) | ||||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | 30,477,856 | (4,783,206 | ) | ||||||||||
BANA | Hang Seng Index July Futures | 07/2016 | HKD | 770,201,768 | 4,403,201 | |||||||||||
GSIN | Hang Seng Index July Futures | 07/2016 | HKD | 255,998,984 | 1,562,453 | |||||||||||
BANA | H-SHARES Index July Futures | 07/2016 | HKD | (161,326,084 | ) | (966,979 | ) | |||||||||
GSIN | H-SHARES Index July Futures | 07/2016 | HKD | (27,045,731 | ) | (168,906 | ) | |||||||||
BANA | KOSPI Index 200 September Futures | 09/2016 | KRW | 90,611,964,951 | (877,727 | ) | ||||||||||
GSIN | KOSPI Index 200 September Futures | 09/2016 | KRW | 621,975,000 | (9,312 | ) | ||||||||||
BANA | MSCI Taiwan Stock Index July Futures | 07/2016 | USD | 8,280,490 | 228,510 | |||||||||||
BANA | SGX S&P CNX Nifty Index July Futures | 07/2016 | USD | 12,073,949 | 312,604 | |||||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | 36,283,594 | 274,431 | |||||||||||
SOCG | Soybean November Futures^ | 10/2016 | USD | 4,305,184 | 19,503 | |||||||||||
MACQ | Soybean November Futures^ | 10/2016 | USD | 32,598,653 | 153,647 | |||||||||||
BANA | Swiss Market Index September Futures | 09/2016 | CHF | 120,702,737 | 5,322,312 | |||||||||||
BANA | Taiwan Stock Exchange July Futures | 07/2016 | TWD | 71,971,481 | 40,087 | |||||||||||
BANA | Tel Aviv 25 Index July Futures | 07/2016 | ILS | 95,177,351 | (603,434 | ) | ||||||||||
GSIN | WIG20 Index September Futures | 09/2016 | PLN | 35,333,954 | 57,088 | |||||||||||
|
| |||||||||||||||
$(9,960,368 | ) | |||||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
230
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
38 | JPPC | LME Copper Futures^ | 07/2016 | $4,554,519 | $4,600,232 | $45,713 | ||||||||||||||
75 | JPPC | LME Copper Futures^ | 07/2016 | 8,997,484 | 9,079,032 | 81,548 | ||||||||||||||
76 | JPPC | LME Copper Futures^ | 07/2016 | 9,205,595 | 9,199,705 | (5,890 | ) | |||||||||||||
69 | JPPC | LME Copper Futures^ | 07/2016 | 8,518,691 | 8,352,019 | (166,672 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | 125,108 | 121,050 | (4,058 | ) | |||||||||||||
9 | JPPC | LME Copper Futures^ | 07/2016 | 1,130,378 | 1,089,506 | (40,872 | ) | |||||||||||||
34 | JPPC | LME Copper Futures^ | 07/2016 | 4,257,096 | 4,116,550 | (140,546 | ) | |||||||||||||
40 | JPPC | LME Copper Futures^ | 07/2016 | 4,945,565 | 4,843,250 | (102,315 | ) | |||||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | 615,250 | 605,438 | (9,812 | ) | |||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | 245,345 | 242,188 | (3,157 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | 125,432 | 121,100 | (4,332 | ) | |||||||||||||
5 | JPPC | LME Copper Futures^ | 08/2016 | 618,324 | 605,662 | (12,662 | ) | |||||||||||||
10 | JPPC | LME Copper Futures^ | 08/2016 | 1,221,593 | 1,211,400 | (10,193 | ) | |||||||||||||
4 | JPPC | LME Copper Futures^ | 08/2016 | 480,392 | 484,590 | 4,198 | ||||||||||||||
19 | JPPC | LME Copper Futures^ | 08/2016 | 2,240,944 | 2,302,658 | 61,714 | ||||||||||||||
10 | JPPC | LME Copper Futures^ | 08/2016 | 1,180,236 | 1,212,000 | 31,764 | ||||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | 114,853 | 121,171 | 6,318 | ||||||||||||||
5 | JPPC | LME Copper Futures^ | 09/2016 | 563,538 | 605,912 | 42,374 | ||||||||||||||
1,233 | JPPC | LME Copper Futures^ | 09/2016 | 142,759,209 | 149,439,600 | 6,680,391 | ||||||||||||||
1,845 | MSCL | Silver Futures^ | 09/2016 | 161,067,022 | 171,797,174 | 10,730,152 | ||||||||||||||
833 | MSCL | Soybean Futures^ | 11/2016 | 46,751,746 | 48,032,863 | 1,281,117 | ||||||||||||||
2,743 | JPMS | BIST 30 Futures | 08/2016 | 9,180,378 | 9,135,387 | (44,991 | ) | |||||||||||||
293 | BARC | CAC40 Index Futures | 07/2016 | 13,661,288 | 13,767,136 | 105,848 | ||||||||||||||
378 | BARC | DAX Index Futures | 09/2016 | 100,451,845 | 101,394,888 | 943,043 | ||||||||||||||
1,243 | BARC | FTSE 100 Index Futures | 09/2016 | 99,549,471 | 106,275,914 | 6,726,443 | ||||||||||||||
666 | BARC | FTSE Bursa Malaysia KLCI Index Futures | 07/2016 | 13,467,241 | 13,657,832 | 190,591 | ||||||||||||||
1,087 | BARC | FTSE/JSE Top 40 Index Futures | 09/2016 | 34,345,128 | 34,279,469 | (65,659 | ) | |||||||||||||
1,041 | BARC | Hang Seng Index Futures | 07/2016 | 134,273,037 | 140,535,872 | 6,262,835 | ||||||||||||||
738 | BARC | IBEX 35 Index Futures | 07/2016 | 66,462,990 | 66,562,220 | 99,230 | ||||||||||||||
585 | BARC | KOSPI Index 200 Futures | 09/2016 | 63,134,603 | 62,024,678 | (1,109,925 | ) | |||||||||||||
74 | JPMS | KOSPI Index 200 Futures | 09/2016 | 7,964,884 | 7,845,856 | (119,028 | ) | |||||||||||||
807 | JPMS | Mexican Stock Exchange Price and Quotation Index Futures | 09/2016 | 19,897,398 | 20,353,162 | 455,764 | ||||||||||||||
168 | BARC | MSCI Taiwan Stock Index Futures | 07/2016 | 5,167,092 | 5,334,000 | 166,908 | ||||||||||||||
729 | BARC | S&P 500 E-Mini Futures | 09/2016 | 75,790,093 | 76,187,790 | 397,697 | ||||||||||||||
1,110 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2016 | 139,927,111 | 139,923,836 | (3,275 | ) | |||||||||||||
4,481 | BARC | SET50 Index Futures | 09/2016 | 22,680,811 | 23,022,190 | 341,379 | ||||||||||||||
398 | BARC | SGX S&P CNX Nifty Index Futures | 07/2016 | 6,481,859 | 6,635,058 | 153,199 | ||||||||||||||
3,559 | BARC | SPI 200 Index Futures | 09/2016 | 341,472,811 | 343,466,681 | 1,993,870 | ||||||||||||||
292 | JPMS | 3-Month Euro Euribor Futures | 09/2016 | 81,231,632 | 81,266,937 | 35,305 | ||||||||||||||
1,678 | JPMS | 3-Month Euro Euribor Futures | 12/2016 | 467,102,247 | 467,146,234 | 43,987 | ||||||||||||||
1,678 | JPMS | 3-Month Euro Euribor Futures | 03/2017 | 467,074,824 | 467,192,788 | 117,964 | ||||||||||||||
1,298 | JPMS | 3-Month Euro Euribor Futures | 06/2017 | 361,231,548 | 361,446,293 | 214,745 | ||||||||||||||
6,476 | JPMS | 90-Day EURODollar Futures | 12/2016 | 1,603,334,583 | 1,608,071,750 | 4,737,167 | ||||||||||||||
6,476 | JPMS | 90-Day EURODollar Futures | 03/2017 | 1,604,324,895 | 1,607,747,950 | 3,423,055 | ||||||||||||||
6,476 | JPMS | 90-Day EURODollar Futures | 06/2017 | 1,604,374,282 | 1,607,181,299 | 2,807,017 | ||||||||||||||
5,173 | JPMS | Australia 3-Year Bond Futures | 09/2016 | 435,846,854 | 436,666,877 | 820,023 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
231
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
30,230 | GSCO | Euro -SCHATZ Futures | 09/2016 | $ 3,750,273,878 | $ 3,759,527,731 | $ 9,253,853 | ||||||||||||||
1,113 | GSCO | Euro-Bobl Futures | 09/2016 | 163,361,647 | 165,016,273 | 1,654,626 | ||||||||||||||
7,507 | GSCO | Long Gilt Futures | 09/2016 | 1,226,994,287 | 1,284,089,674 | 57,095,387 | ||||||||||||||
2,964 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2016 | 394,835,613 | 394,165,687 | (669,926 | ) | |||||||||||||
17,985 | MSCL | U.S. Treasury 2-Year Note Futures | 09/2016 | 3,918,275,241 | 3,944,616,328 | 26,341,087 | ||||||||||||||
30 | MSCL | U.S. Treasury 5-Year Note Futures | 09/2016 | 3,602,926 | 3,664,922 | 61,996 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
17,635,490,817 | 17,776,385,812 | 140,894,995 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
433 | GSCO | Brent Crude Futures^ | 07/2016 | $(21,803,901 | ) | $(21,524,430 | ) | $279,471 | ||||||||||||
87 | MSCL | Gold 100 OZ Futures^ | 08/2016 | (10,892,199 | ) | (11,489,220 | ) | (597,021 | ) | |||||||||||
38 | JPPC | LME Copper Futures^ | 07/2016 | (4,550,407 | ) | (4,600,233 | ) | (49,826 | ) | |||||||||||
75 | JPPC | LME Copper Futures^ | 07/2016 | (8,958,529 | ) | (9,079,032 | ) | (120,503 | ) | |||||||||||
76 | JPPC | LME Copper Futures^ | 07/2016 | (9,175,294 | ) | (9,199,705 | ) | (24,411 | ) | |||||||||||
69 | JPPC | LME Copper Futures^ | 07/2016 | (8,504,081 | ) | (8,352,019 | ) | 152,062 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (125,585 | ) | (121,050 | ) | 4,535 | ||||||||||||
9 | JPPC | LME Copper Futures^ | 07/2016 | (1,129,478 | ) | (1,089,506 | ) | 39,972 | ||||||||||||
34 | JPPC | LME Copper Futures^ | 07/2016 | (4,249,360 | ) | (4,116,550 | ) | 132,810 | ||||||||||||
40 | JPPC | LME Copper Futures^ | 07/2016 | (4,928,812 | ) | (4,843,250 | ) | 85,562 | ||||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | (617,445 | ) | (605,437 | ) | 12,008 | ||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | (244,545 | ) | (242,187 | ) | 2,358 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (125,573 | ) | (121,100 | ) | 4,473 | ||||||||||||
5 | JPPC | LME Copper Futures^ | 08/2016 | (613,738 | ) | (605,663 | ) | 8,075 | ||||||||||||
10 | JPPC | LME Copper Futures^ | 08/2016 | (1,219,726 | ) | (1,211,400 | ) | 8,326 | ||||||||||||
4 | JPPC | LME Copper Futures^ | 08/2016 | (480,190 | ) | (484,590 | ) | (4,400 | ) | |||||||||||
19 | JPPC | LME Copper Futures^ | 08/2016 | (2,246,703 | ) | (2,302,657 | ) | (55,954 | ) | |||||||||||
10 | JPPC | LME Copper Futures^ | 08/2016 | (1,184,563 | ) | (1,212,000 | ) | (27,437 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | (114,673 | ) | (121,171 | ) | (6,498 | ) | |||||||||||
5 | JPPC | LME Copper Futures^ | 09/2016 | (563,747 | ) | (605,912 | ) | (42,165 | ) | |||||||||||
5 | JPPC | LME Copper Futures^ | 09/2016 | (563,714 | ) | (606,000 | ) | (42,286 | ) | |||||||||||
7,560 | MSCL | Natural Gas Futures^ | 07/2016 | (198,690,198 | ) | (221,054,400 | ) | (22,364,202 | ) | |||||||||||
2,091 | MSCL | WTI Crude Futures^ | 07/2016 | (104,516,514 | ) | (101,058,030 | ) | 3,458,484 | ||||||||||||
1,211 | BARC | Amsterdam Index Futures | 07/2016 | (112,871,850 | ) | (117,000,564 | ) | (4,128,714 | ) | |||||||||||
10,015 | BARC | Euro Stoxx 50 Index Futures | 09/2016 | (312,659,526 | ) | (317,308,873 | ) | (4,649,347 | ) | |||||||||||
1,011 | BARC | FTSE/MIB Index Futures | 09/2016 | (90,295,232 | ) | (90,828,048 | ) | (532,816 | ) | |||||||||||
976 | BARC | H-SHARES Index Futures | 07/2016 | (52,967,226 | ) | (54,881,994 | ) | (1,914,768 | ) | |||||||||||
781 | BARC | MSCI Singapore Index Futures | 07/2016 | (17,717,192 | ) | (18,395,909 | ) | (678,717 | ) | |||||||||||
11,819 | BARC | OMXS30 Index Futures | 07/2016 | (178,282,848 | ) | (184,185,132 | ) | (5,902,284 | ) | |||||||||||
222 | BARC | TOPIX Index Futures | 09/2016 | (28,714,378 | ) | (26,775,867 | ) | 1,938,511 | ||||||||||||
981 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | (1,448,601,485 | ) | (1,452,714,085 | ) | (4,112,600 | ) | |||||||||||
7,494 | JPMS | 90-Day Sterling Futures | 09/2016 | (1,239,531,261 | ) | (1,242,372,095 | ) | (2,840,834 | ) | |||||||||||
8,665 | JPMS | 90-Day Sterling Futures | 12/2016 | (1,433,100,978 | ) | (1,437,007,621 | ) | (3,906,643 | ) | |||||||||||
8,665 | JPMS | 90-Day Sterling Futures | 03/2017 | (1,433,550,308 | ) | (1,437,151,956 | ) | (3,601,648 | ) | |||||||||||
1,105 | JPMS | 90-Day Sterling Futures | 06/2017 | (183,031,619 | ) | (183,272,120 | ) | (240,501 | ) | |||||||||||
7,440 | JPMS | Australia 10-Year Bond Futures | 09/2016 | (749,278,076 | ) | (755,737,474 | ) | (6,459,398 | ) | |||||||||||
7,800 | GSCO | Canadian 10-Year Bond Futures | 09/2016 | (872,551,394 | ) | (893,774,527 | ) | (21,223,133 | ) | |||||||||||
34 | JPMS | Canadian 3-Month Bank Acceptance Futures | 09/2016 | (6,532,628 | ) | (6,521,305 | ) | 11,323 | ||||||||||||
2,476 | JPMS | Canadian 3-Month Bank Acceptance Futures | 12/2016 | (475,261,410 | ) | (474,976,315 | ) | 285,095 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
232
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
2,476 | JPMS | Canadian 3-Month Bank Acceptance Futures | 03/2017 | $ (475,219,808 | ) | $ (475,024,227 | ) | $ 195,581 | ||||||||||||
2,442 | JPMS | Canadian 3-Month Bank Acceptance Futures | 06/2017 | (468,399,502 | ) | (468,524,904 | ) | (125,402 | ) | |||||||||||
8,240 | GSCO | Euro-Bund Futures | 09/2016 | (1,491,388,771 | ) | (1,528,202,088 | ) | (36,813,317 | ) | |||||||||||
404 | GSCO | Euro-Buxl 30-Year Bond Futures | 09/2016 | (79,922,723 | ) | (87,946,178 | ) | (8,023,455 | ) | |||||||||||
1,330 | MSCL | U.S. Treasury Long Bond Futures | 09/2016 | (217,174,653 | ) | (229,217,188 | ) | (12,042,535 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(11,752,551,843 | ) | (11,886,464,012 | ) | (133,912,169 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$5,882,938,974 | $5,889,921,800 | $6,982,826 | ||||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | 176,767,596 | $128,364,248 | $131,452,503 | $3,088,255 | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | 265,151,393 | 192,546,612 | 197,178,756 | 4,632,144 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | 148,888,229 | 41,180,777 | 45,237,605 | 4,056,828 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | 223,332,341 | 61,771,241 | 67,856,404 | 6,085,163 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | 229,744,540 | 176,727,072 | 177,855,680 | 1,128,608 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | 344,616,810 | 265,090,044 | 266,783,519 | 1,693,475 | ||||||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | 51,950,400 | 53,554,298 | 53,445,577 | (108,721 | ) | |||||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | 77,916,600 | 80,322,157 | 80,159,107 | (163,050 | ) | |||||||||||||
Danish Krone, Expiring 09/21/16 | CITI | DKK | 2,183,000 | 333,796 | 326,698 | (7,098 | ) | |||||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | 78,612,451 | 88,184,322 | 87,495,420 | (688,902 | ) | |||||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | 117,482,177 | 131,782,041 | 130,757,308 | (1,024,733 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | 53,737,600 | 74,654,063 | 71,593,419 | (3,060,644 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | 80,606,400 | 111,975,518 | 107,390,129 | (4,585,389 | ) | |||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | 23,722,000 | 3,058,228 | 3,060,672 | 2,444 | ||||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | 35,583,000 | 4,587,348 | 4,591,008 | 3,660 | ||||||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | 4,824,400,000 | 17,302,719 | 16,953,390 | (349,329 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
233
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | 7,236,600,000 | $ 25,952,509 | $ 25,430,084 | $ (522,425 | ) | |||||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | 2,306,099,476 | 33,657,040 | 33,698,102 | 41,062 | ||||||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | 3,204,149,214 | 46,758,463 | 46,820,939 | 62,476 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | 25,979,889,942 | 237,465,861 | 252,273,174 | 14,807,313 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | 37,100,758,414 | 338,591,716 | 360,260,422 | 21,668,706 | ||||||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | 21,520,000,000 | 18,405,811 | 18,668,084 | 262,273 | ||||||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | 32,280,000,000 | 27,608,752 | 28,002,126 | 393,374 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | 380,000,000 | 20,165,268 | 20,619,554 | 454,286 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | 570,000,000 | 30,255,584 | 30,929,332 | 673,748 | ||||||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | 75,279,400 | 8,906,943 | 8,993,924 | 86,981 | ||||||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | 112,917,600 | 13,360,250 | 13,490,708 | 130,458 | ||||||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | 143,903,600 | 97,965,061 | 102,333,007 | 4,367,946 | ||||||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | 215,855,400 | 146,947,775 | 153,499,511 | 6,551,736 | ||||||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | 107,196,180 | 27,158,028 | 27,121,439 | (36,589 | ) | |||||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | 160,794,270 | 40,737,093 | 40,682,159 | (54,934 | ) | |||||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | 4,420,000 | 542,517 | 524,244 | (18,273 | ) | |||||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | 285,205,180 | 94,149,495 | 97,332,077 | 3,182,582 | ||||||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | 427,807,770 | 141,224,418 | 145,998,116 | 4,773,698 | ||||||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | 134,129,197 | 8,416,312 | 8,960,530 | 544,218 | ||||||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | 201,193,795 | 12,624,484 | 13,440,795 | 816,311 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$2,802,327,864 | $2,871,215,522 | $68,887,658 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | (66,936,800 | ) | $(48,005,194 | ) | $(49,777,279 | ) | $(1,772,085 | ) | ||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | (100,405,200 | ) | (72,007,701 | ) | (74,665,919 | ) | (2,658,218 | ) | ||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | (2,800,000 | ) | (773,798 | ) | (850,741 | ) | (76,943 | ) | ||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | (4,200,000 | ) | (1,160,696 | ) | (1,276,111 | ) | (115,415 | ) | ||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | (41,686,000 | ) | (31,940,816 | ) | (32,271,025 | ) | (330,209 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
234
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | (62,529,000 | ) | $ (47,911,163 | ) | $ (48,406,538 | ) | $ (495,375 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | (346,794,290 | ) | (353,045,716 | ) | (356,775,328 | ) | (3,729,612 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | (507,430,932 | ) | (516,272,236 | ) | (522,035,230 | ) | (5,762,994 | ) | ||||||||||
Danish Krone, Expiring 09/21/16 | CITI | DKK | (46,925,370 | ) | (7,083,282 | ) | (7,022,647 | ) | 60,635 | |||||||||||
Danish Krone, Expiring 09/21/16 | JPMC | DKK | (70,307,053 | ) | (10,612,573 | ) | (10,521,849 | ) | 90,724 | |||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (33,075,600 | ) | (36,848,230 | ) | (36,813,043 | ) | 35,187 | |||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | (45,716,400 | ) | (50,842,501 | ) | (50,882,215 | ) | (39,714 | ) | ||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | (41,942,301 | ) | (61,613,723 | ) | (55,878,801 | ) | 5,734,922 | |||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | (62,913,450 | ) | (92,420,465 | ) | (83,818,201 | ) | 8,602,264 | |||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | (48,154,000 | ) | (6,207,980 | ) | (6,212,951 | ) | (4,971 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | (45,096,000 | ) | (5,813,738 | ) | (5,818,400 | ) | (4,662 | ) | ||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | (1,240,000,000 | ) | (4,435,362 | ) | (4,357,476 | ) | 77,886 | |||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | (1,860,000,000 | ) | (6,651,599 | ) | (6,536,213 | ) | 115,386 | |||||||||||
Israeli Shekel, Expiring 09/21/16 | CITI | ILS | (136,703,637 | ) | (35,667,438 | ) | (35,487,997 | ) | 179,441 | |||||||||||
Israeli Shekel, Expiring 09/21/16 | JPMC | ILS | (205,055,454 | ) | (53,500,955 | ) | (53,231,995 | ) | 268,960 | |||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | (12,596,834,400 | ) | (120,795,750 | ) | (122,319,356 | ) | (1,523,606 | ) | ||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | (15,901,281,600 | ) | (151,956,899 | ) | (154,406,613 | ) | (2,449,714 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | (114,191,867,584 | ) | (96,319,205 | ) | (99,058,705 | ) | (2,739,500 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | (171,287,801,376 | ) | (144,478,629 | ) | (148,588,055 | ) | (4,109,426 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | (963,546,264 | ) | (51,415,991 | ) | (52,283,934 | ) | (867,943 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | (1,445,319,395 | ) | (77,123,890 | ) | (78,425,900 | ) | (1,302,010 | ) | ||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | (1,469,912,760 | ) | (177,237,820 | ) | (175,616,230 | ) | 1,621,590 | |||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | (2,194,337,638 | ) | (264,564,046 | ) | (262,166,105 | ) | 2,397,941 | |||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | (72,258,858 | ) | (48,404,301 | ) | (51,384,859 | ) | (2,980,558 | ) | ||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | (108,388,285 | ) | (72,606,360 | ) | (77,077,287 | ) | (4,470,927 | ) | ||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | (35,200,000 | ) | (8,817,336 | ) | (8,905,864 | ) | (88,528 | ) | ||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | (52,800,000 | ) | (13,233,762 | ) | (13,358,798 | ) | (125,036 | ) | ||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | (251,757,908 | ) | (30,417,348 | ) | (29,860,311 | ) | 557,037 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
235
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | (377,566,360 | ) | $ (45,617,419 | ) | $ (44,782,104 | ) | $ 835,315 | |||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | (41,857,800 | ) | (30,468,462 | ) | (31,046,553 | ) | (578,091 | ) | ||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | (62,786,699 | ) | (45,702,197 | ) | (46,569,831 | ) | (867,634 | ) | ||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | (48,400,000 | ) | (16,282,910 | ) | (16,517,487 | ) | (234,577 | ) | ||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | (72,600,000 | ) | (24,404,551 | ) | (24,776,228 | ) | (371,677 | ) | ||||||||||
New Taiwan Dollar, Expiring 09/21/16* | CITI | TWD | (1,053,705,474 | ) | (32,452,487 | ) | (32,722,047 | ) | (269,560 | ) | ||||||||||
New Taiwan Dollar, Expiring 09/21/16* | JPMC | TWD | (1,085,558,210 | ) | (33,451,246 | ) | (33,711,211 | ) | (259,965 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | (52,000,000 | ) | (3,302,422 | ) | (3,473,872 | ) | (171,450 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | (78,000,000 | ) | (4,953,904 | ) | (5,210,806 | ) | (256,902 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(2,936,822,101 | ) | (2,954,902,115 | ) | (18,080,014 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(134,494,237) | $(83,686,593) | $50,807,644 | ||||||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
236
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2016
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps. | 1-61 months maturity ranging from 07/20/2016 -12/21/2020 | $(33,055,498 | ) | ||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Germany | ||||||||||||
TUI AG | 170,791 | $ | 2,793,639 | $ | (849,707 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
DCC plc | 52,183 | 3,814,924 | 777,161 | |||||||||
Paddy Power Betfair plc | 2,746 | 329,226 | (40,283 | ) | ||||||||
|
| |||||||||||
736,878 | ||||||||||||
|
| |||||||||||
Luxembourg | ||||||||||||
Regus plc | 447,649 | 1,814,860 | (83,959 | ) | ||||||||
|
| |||||||||||
South Africa | ||||||||||||
Investec plc | 139,933 | 873,012 | (3,221 | ) | ||||||||
Mondi plc | 208,675 | 3,573,922 | 332,990 | |||||||||
|
| |||||||||||
329,769 | ||||||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Coca-Cola HBC AG | 57,713 | 1,087,601 | 80,192 | |||||||||
Glencore plc | 269,035 | 483,522 | 70,992 | |||||||||
Wolseley plc | 23,557 | 1,158,329 | 61,538 | |||||||||
|
| |||||||||||
212,722 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
AA plc | 107,989 | 414,316 | (68,575 | ) | ||||||||
Aggreko plc | 79,857 | 842,402 | 523,394 | |||||||||
Amec Foster Wheeler plc | 251,818 | 1,492,644 | 163,085 | |||||||||
Anglo American plc | 149,932 | 1,451,389 | 18,281 | |||||||||
Ashtead Group plc | 125,093 | 1,871,554 | (84,734 | ) | ||||||||
Associated British Foods plc | 60,848 | 2,800,224 | (583,024 | ) | ||||||||
Aviva plc | 423,394 | 2,881,033 | (649,200 | ) | ||||||||
Babcock International Group plc | 166,384 | 2,101,249 | (89,629 | ) | ||||||||
BAE Systems plc | 356,845 | 2,354,246 | 143,870 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Barratt Developments plc | 601,030 | $ | 4,943,969 | $ | (1,677,956 | ) | ||||||
Bellway plc | 102,962 | 3,471,323 | (859,428 | ) | ||||||||
Berkeley Group Holdings plc | 170,174 | 7,657,788 | (1,911,404 | ) | ||||||||
Britvic plc | 104,691 | 996,161 | (176,929 | ) | ||||||||
BT Group plc | 1,184,355 | 7,446,367 | (936,442 | ) | ||||||||
Bunzl plc | 67,602 | 1,651,891 | 428,124 | |||||||||
Close Brothers Group plc | 116,195 | 2,056,056 | (294,742 | ) | ||||||||
Cobham plc | 196,830 | 563,498 | (148,811 | ) | ||||||||
Compass Group plc | 145,125 | 2,252,413 | 508,648 | |||||||||
Daily Mail & General Trust plc | 49,187 | 448,221 | (55,564 | ) | ||||||||
Direct Line Insurance Group plc | 823,927 | 4,420,532 | (611,390 | ) | ||||||||
Dixons Carphone plc | 428,710 | 2,739,652 | (899,598 | ) | ||||||||
easyJet plc | 169,833 | 3,863,079 | (1,395,132 | ) | ||||||||
GKN plc | 442,556 | 1,752,629 | (152,588 | ) | ||||||||
Greene King plc | 148,411 | 1,807,046 | (261,512 | ) | ||||||||
Hays plc | 177,662 | 315,927 | (83,794 | ) | ||||||||
Henderson Group plc | 359,929 | 1,346,413 | (323,151 | ) | ||||||||
Howden Joinery Group plc | 205,238 | 1,430,442 | (376,326 | ) | ||||||||
HSBC Holdings plc | 521,720 | 3,740,987 | (508,643 | ) | ||||||||
Imperial Brands plc | 131,144 | 6,112,036 | 1,000,268 | |||||||||
Inchcape plc | 206,191 | 2,113,309 | (379,587 | ) | ||||||||
Indivior plc | 655,304 | 1,547,740 | 657,243 | |||||||||
Informa plc | 34,643 | 306,739 | 31,076 | |||||||||
Inmarsat plc | 100,041 | 1,545,249 | (467,120 | ) | ||||||||
Intermediate Capital Group plc | 551,031 | 4,402,087 | (791,802 | ) | ||||||||
International Consolidated Airlines Group SA | 1,039,671 | 8,218,313 | (3,061,864 | ) | ||||||||
ITV plc | 937,603 | 3,363,255 | (1,115,187 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
237
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
J Sainsbury plc | 1,593,771 | $ | 5,522,847 | $ | (557,948 | ) | ||||||
John Wood Group plc | 109,834 | 936,758 | 74,280 | |||||||||
Jupiter Fund Management plc | 75,639 | 411,584 | (40,157 | ) | ||||||||
Kingfisher plc | 475,904 | 2,068,647 | (24,598 | ) | ||||||||
Legal & General Group plc | 336,609 | 1,160,309 | (298,557 | ) | ||||||||
Man Group plc | 1,020,860 | 2,347,813 | (761,716 | ) | ||||||||
Marks & Spencer Group plc | 286,108 | 1,774,847 | (549,582 | ) | ||||||||
Meggitt plc | 148,707 | 706,690 | 101,598 | |||||||||
Melrose Industries plc | 190,633 | 953,936 | 129,069 | |||||||||
Merlin Entertainments plc | 55,513 | 328,653 | (1,738 | ) | ||||||||
Micro Focus International plc | 127,182 | 2,492,846 | 250,986 | |||||||||
National Grid plc | 678,943 | 8,564,717 | 1,419,363 | |||||||||
Next plc | 14,644 | 1,472,371 | (504,755 | ) | ||||||||
Persimmon plc | 181,652 | 4,709,834 | (1,187,294 | ) | ||||||||
Playtech plc | 238,848 | 2,522,962 | 18,012 | |||||||||
Provident Financial plc | 72,241 | 3,261,654 | (1,034,185 | ) | ||||||||
Reckitt Benckiser Group plc | 14,883 | 1,364,249 | 128,094 | |||||||||
Rentokil Initial plc | 672,037 | 1,383,009 | 352,466 | |||||||||
Rexam plc | 47,938 | 378,229 | 39,809 | |||||||||
Rightmove plc | 56,099 | 3,002,781 | (262,852 | ) | ||||||||
Royal Mail plc | 814,927 | 4,776,069 | 699,056 | |||||||||
Sage Group plc (The) | 291,608 | 2,304,230 | 216,302 | |||||||||
Sky plc | 379,354 | 5,641,535 | (1,330,766 | ) | ||||||||
Smith & Nephew plc | 36,077 | 535,323 | 77,307 | |||||||||
SSE plc | 160,986 | 3,164,668 | 185,959 | |||||||||
Taylor Wimpey plc | 2,373,633 | 6,277,064 | (2,066,035 | ) | ||||||||
Travis Perkins plc | 45,152 | 1,152,828 | (261,981 | ) | ||||||||
United Utilities Group plc | 73,969 | 909,847 | 115,387 | |||||||||
Vodafone Group plc | 2,664,654 | 7,624,173 | 499,982 | |||||||||
Whitbread plc | 24,650 | 1,471,698 | (318,342 | ) | ||||||||
William Hill plc | 604,880 | 2,914,657 | (831,118 | ) | ||||||||
WM Morrison Supermarkets plc | 981,829 | 2,470,557 | (5,769 | ) | ||||||||
Worldpay Group plc | 80,922 | 326,578 | (32,047 | ) | ||||||||
WPP plc | 251,535 | 5,055,840 | 186,504 | |||||||||
|
| |||||||||||
(20,065,409 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (19,719,706 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
BHP Billiton plc | (197,075 | ) | (1,880,135 | ) | (614,232 | ) | ||||||
|
| |||||||||||
Chile | ||||||||||||
Antofagasta plc | (230,007 | ) | (1,166,777 | ) | (271,459 | ) | ||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Ireland | ||||||||||||
Experian plc | (404,100 | ) | $ | (6,114,298 | ) | $ | (1,552,315 | ) | ||||
Shire plc | (14,621 | ) | (833,317 | ) | (70,297 | ) | ||||||
|
| |||||||||||
(1,622,612 | ) | |||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Royal Dutch Shell plc | (190,769 | ) | (3,443,604 | ) | (1,795,898 | ) | ||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aberdeen Asset Management plc | (375,282 | ) | (1,346,871 | ) | (61,147 | ) | ||||||
Admiral Group plc | (64,346 | ) | (1,403,957 | ) | (345,615 | ) | ||||||
ARM Holdings plc | (253,836 | ) | (3,466,845 | ) | (388,855 | ) | ||||||
ASOS plc | (121,132 | ) | (5,033,632 | ) | (1,437,136 | ) | ||||||
AstraZeneca plc | (42,978 | ) | (2,569,316 | ) | (60 | ) | ||||||
Auto Trader Group plc | (130,352 | ) | (738,996 | ) | 122,786 | |||||||
Balfour Beatty plc | (174,767 | ) | (596,418 | ) | 94,079 | |||||||
Barclays plc | (672,012 | ) | (1,438,815 | ) | 188,949 | |||||||
Booker Group plc | (549,709 | ) | (1,255,662 | ) | (17,347 | ) | ||||||
BP plc | (943,995 | ) | (4,016,904 | ) | (1,508,788 | ) | ||||||
British American Tobacco plc | (35,600 | ) | (1,737,494 | ) | (570,420 | ) | ||||||
BTG plc | (194,676 | ) | (1,598,455 | ) | (281,783 | ) | ||||||
Burberry Group plc | (189,846 | ) | (3,185,916 | ) | 232,780 | |||||||
Capita plc | (213,088 | ) | (3,362,107 | ) | 616,359 | |||||||
Centrica plc | (2,884,190 | ) | (8,061,794 | ) | (659,976 | ) | ||||||
Croda International plc | (38,348 | ) | (1,537,752 | ) | (72,035 | ) | ||||||
Diageo plc | (445,377 | ) | (10,856,416 | ) | (1,585,485 | ) | ||||||
Drax Group plc | (686,248 | ) | (1,986,427 | ) | (992,008 | ) | ||||||
DS Smith plc | (65,295 | ) | (347,066 | ) | 9,248 | |||||||
G4S plc | (300,079 | ) | (746,743 | ) | 11,441 | |||||||
GlaxoSmithKline plc | (334,301 | ) | (5,967,841 | ) | (1,211,277 | ) | ||||||
Hargreaves Lansdown plc | (329,983 | ) | (6,514,616 | ) | 1,010,159 | |||||||
ICAP plc | (134,923 | ) | (829,886 | ) | 70,714 | |||||||
IMI plc | (163,064 | ) | (1,825,320 | ) | (287,875 | ) | ||||||
InterContinental Hotels Group plc | (73,580 | ) | (2,847,526 | ) | 133,876 | |||||||
Intertek Group plc | (83,103 | ) | (2,987,489 | ) | (884,554 | ) | ||||||
Johnson Matthey plc | (12,331 | ) | (453,075 | ) | (9,426 | ) | ||||||
Just Eat plc | (57,929 | ) | (340,449 | ) | 9,759 | |||||||
Lloyds Banking Group plc | (3,976,587 | ) | (3,784,194 | ) | 903,990 | |||||||
Ocado Group plc | (114,660 | ) | (420,247 | ) | 66,463 | |||||||
Old Mutual plc | (1,949,005 | ) | (4,277,933 | ) | (987,240 | ) | ||||||
Pearson plc | (234,651 | ) | (2,468,397 | ) | (583,972 | ) | ||||||
Pennon Group plc | (72,816 | ) | (848,902 | ) | (72,023 | ) | ||||||
Petrofac Ltd. | (250,977 | ) | (2,531,825 | ) | (76,982 | ) | ||||||
Prudential plc | (166,742 | ) | (3,365,543 | ) | 536,114 | |||||||
Rio Tinto plc | (96,881 | ) | (2,313,060 | ) | (696,698 | ) | ||||||
Rolls-Royce Holdings plc (3) | (14,223,430 | ) | 1,846 | (20,781 | ) | |||||||
Rolls-Royce Holdings plc (3) | (676,779 | ) | 141 | (1,042 | ) | |||||||
Rolls-Royce Holdings plc | (200,330 | ) | (1,515,431 | ) | (396,713 | ) | ||||||
Rotork plc | (228,441 | ) | (501,693 | ) | (159,651 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
238
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Royal Bank of Scotland Group plc | (2,074,806 | ) | $ | (7,562,291 | ) | $ | 2,860,459 | |||||
RSA Insurance Group plc | (637,382 | ) | (3,500,349 | ) | (771,620 | ) | ||||||
SABMiller plc | (131,262 | ) | (7,046,640 | ) | (608,445 | ) | ||||||
Schroders plc | (16,387 | ) | (587,142 | ) | 69,302 | |||||||
Serco Group plc | (2,749,574 | ) | (3,348,975 | ) | (742,964 | ) | ||||||
Severn Trent plc | (79,498 | ) | (2,277,664 | ) | (316,294 | ) | ||||||
Smiths Group plc | (21,276 | ) | (257,259 | ) | (71,523 | ) | ||||||
Spectris plc | (25,416 | ) | (552,001 | ) | (66,667 | ) | ||||||
Spirax-Sarco Engineering plc | (13,695 | ) | (554,758 | ) | (131,012 | ) | ||||||
Sports Direct International plc | (67,552 | ) | (534,023 | ) | 244,789 | |||||||
St. James’s Place plc | (202,605 | ) | (2,673,085 | ) | 536,457 | |||||||
Standard Chartered plc | (836,740 | ) | (5,306,554 | ) | (1,041,772 | ) | ||||||
Standard Life plc | (921,124 | ) | (4,546,310 | ) | 912,145 | |||||||
Tate & Lyle plc | (180,762 | ) | (1,433,037 | ) | (183,149 | ) | ||||||
Tesco plc | (5,630,480 | ) | (10,835,447 | ) | (2,388,279 | ) | ||||||
Thomas Cook Group plc | (999,417 | ) | (1,620,992 | ) | 781,111 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Weir Group plc (The) | (89,837 | ) | $ | (1,058,382 | ) | $ | (676,682 | ) | ||||
|
| |||||||||||
(10,896,316 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (15,200,517 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (34,920,223 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 1,864,725 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (33,055,498 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
(3) | Level 3 Security (See Note 5). |
Total Return Basket Swaps Outstanding at June 30, 2016
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | 55-61 months maturity 12/22/2020 | $(5,327,485 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Waste Connections, Inc. | 59,707 | $ | 3,248,075 | $ | 1,053,814 | |||||||
|
| |||||||||||
Ireland | ||||||||||||
Accenture plc | 57,496 | 5,902,239 | 611,483 | |||||||||
XL Group plc | 49,202 | 1,838,094 | (199,175 | ) | ||||||||
|
| |||||||||||
412,308 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Frank’s International NV | 23,999 | 359,043 | (8,418 | ) | ||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Singapore | ||||||||||||
Broadcom Ltd. | 16,648 | $ | 2,338,711 | $ | 248,388 | |||||||
Flextronics International Ltd. | 330,544 | 3,630,563 | 269,856 | |||||||||
|
| |||||||||||
518,244 | ||||||||||||
|
| |||||||||||
Sweden | ||||||||||||
Autoliv, Inc. | 15,917 | 1,876,153 | (165,872 | ) | ||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Allied World Assurance Co. Holdings AG | 80,588 | 2,856,039 | (24,176 | ) | ||||||||
Chubb Ltd. | 30,403 | 3,514,587 | 459,389 | |||||||||
TE Connectivity Ltd. | 35,882 | 2,274,560 | (225,339 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
239
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Switzerland (continued) | ||||||||||||
Transocean Ltd. | 632,741 | $ | 7,853,520 | $ | (330,229 | ) | ||||||
|
| |||||||||||
(120,355 | ) | |||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Noble Corp. plc | 489,110 | 4,612,772 | (582,505 | ) | ||||||||
STERIS plc | 48,878 | 3,595,954 | (235,592 | ) | ||||||||
Willis Towers Watson plc | 2,548 | 303,526 | 13,216 | |||||||||
|
| |||||||||||
(804,881 | ) | |||||||||||
|
| |||||||||||
United States | ||||||||||||
3M Co. | 16,026 | 2,366,903 | 439,570 | |||||||||
Aaron’s, Inc. | 127,205 | 2,815,824 | (31,307 | ) | ||||||||
Abbott Laboratories | 188,377 | 8,167,667 | (762,567 | ) | ||||||||
Abercrombie & Fitch Co. | 116,207 | 2,867,742 | (798,095 | ) | ||||||||
ACI Worldwide, Inc. | 21,814 | 388,913 | 36,678 | |||||||||
Activision Blizzard, Inc. | 238,549 | 9,139,567 | 314,130 | |||||||||
Acuity Brands, Inc. | 6,067 | 1,411,791 | 92,582 | |||||||||
Aetna, Inc. | 124,909 | 13,487,823 | 1,767,313 | |||||||||
Aflac, Inc. | 119,528 | 7,217,101 | 1,408,040 | |||||||||
AGCO Corp. | 197,530 | 9,006,277 | 303,311 | |||||||||
Air Lease Corp. | 75,334 | 2,222,880 | (205,435 | ) | ||||||||
Akamai Technologies, Inc. | 42,873 | 2,204,314 | 193,573 | |||||||||
Alaska Air Group, Inc. | 79,543 | 6,453,324 | (1,816,762 | ) | ||||||||
Albemarle Corp. | 9,814 | 789,290 | (10,942 | ) | ||||||||
Alleghany Corp. | 1,767 | 846,163 | 124,945 | |||||||||
Allstate Corp. (The) | 95,604 | 5,962,821 | 724,678 | |||||||||
Alphabet, Inc. | 7,764 | 5,929,280 | (467,073 | ) | ||||||||
Amazon.com, Inc. | 4,241 | 2,788,752 | 246,192 | |||||||||
AMC Networks, Inc. | 68,505 | 5,189,639 | (1,050,566 | ) | ||||||||
Amdocs Ltd. | 202,822 | 11,064,999 | 641,887 | |||||||||
AMERCO | 17,010 | 6,361,141 | 9,954 | |||||||||
Ameren Corp. | 278,892 | 12,414,524 | 2,528,509 | |||||||||
American Airlines Group, Inc. | 44,541 | 1,882,926 | (621,970 | ) | ||||||||
American Eagle Outfitters, Inc. | 551,400 | 8,008,825 | 774,977 | |||||||||
American Electric Power Co., Inc. | 369,963 | 21,721,079 | 4,209,628 | |||||||||
American Financial Group, Inc. | 73,480 | 5,166,194 | 266,182 | |||||||||
American International Group, Inc. | 101,851 | 5,833,905 | (447,006 | ) | ||||||||
Ameriprise Financial, Inc. | 62,261 | 6,469,873 | (875,723 | ) | ||||||||
AmerisourceBergen Corp. | 43,191 | 4,311,874 | (885,964 | ) | ||||||||
Amgen, Inc. | 33,754 | 5,271,866 | (136,195 | ) | ||||||||
Amsurg Corp. | 25,128 | 1,827,992 | 120,433 | |||||||||
AmTrust Financial Services, Inc. | 273,685 | 8,202,015 | (1,496,733 | ) | ||||||||
Analog Devices, Inc. | 18,038 | 979,132 | 42,541 | |||||||||
ANSYS, Inc. | 10,223 | 900,638 | 27,099 | |||||||||
Antero Resources Corp. | 307,561 | 7,587,012 | 403,423 | |||||||||
Anthem, Inc. | 107,781 | 14,982,637 | (826,680 | ) | ||||||||
AO Smith Corp. | 116,696 | 8,389,572 | 1,892,513 | |||||||||
Apple, Inc. | 18,963 | 2,066,588 | (253,725 | ) | ||||||||
Arch Capital Group Ltd. | 49,437 | 3,457,126 | 102,338 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Archer-Daniels-Midland Co. | 143,512 | $ | 4,921,026 | $ | 1,234,203 | |||||||
Arrow Electronics, Inc. | 102,982 | 5,899,977 | 474,608 | |||||||||
Ashland, Inc. | 13,136 | 1,357,343 | 150,276 | |||||||||
Aspen Insurance Holdings Ltd. | 90,318 | 4,308,839 | (119,890 | ) | ||||||||
Associated Banc-Corp. | 17,793 | 328,824 | (23,674 | ) | ||||||||
Assurant, Inc. | 75,573 | 6,016,974 | 505,731 | |||||||||
Assured Guaranty Ltd. | 182,270 | 4,607,856 | 16,334 | |||||||||
AT&T, Inc. | 205,809 | 7,214,346 | 1,678,661 | |||||||||
Atmos Energy Corp. | 81,059 | 5,566,908 | 1,024,810 | |||||||||
AutoNation, Inc. | 57,899 | 2,888,353 | (168,258 | ) | ||||||||
AutoZone, Inc. | 5,454 | 4,119,461 | 210,143 | |||||||||
Avery Dennison Corp. | 80,083 | 4,945,347 | 1,040,857 | |||||||||
Avnet, Inc. | 168,634 | 7,014,246 | (182,882 | ) | ||||||||
Axis Capital Holdings Ltd. | 113,384 | 6,260,499 | (24,379 | ) | ||||||||
Bank of Hawaii Corp. | 11,663 | 737,678 | 64,736 | |||||||||
Bank of New York Mellon Corp. (The) | 219,852 | 8,240,599 | 300,652 | |||||||||
BankUnited, Inc. | 34,426 | 1,172,103 | (114,536 | ) | ||||||||
Baxter International, Inc. | 157,135 | 6,652,634 | 453,011 | |||||||||
BB&T Corp. | 85,379 | 3,229,819 | (189,473 | ) | ||||||||
Becton Dickinson and Co. | 28,584 | 4,456,531 | 391,029 | |||||||||
Bed Bath & Beyond, Inc. | 26,631 | 1,377,089 | (226,097 | ) | ||||||||
Bemis Co., Inc. | 97,308 | 4,432,521 | 577,868 | |||||||||
Best Buy Co., Inc. | 182,226 | 5,367,093 | 209,023 | |||||||||
Big Lots, Inc. | 85,829 | 3,249,987 | 1,050,905 | |||||||||
Bio-Rad Laboratories, Inc. | 21,650 | 2,889,859 | 206,524 | |||||||||
BlackRock, Inc. | 7,754 | 2,533,793 | 122,184 | |||||||||
Boeing Co. (The) | 45,742 | 6,516,302 | (575,788 | ) | ||||||||
BOK Financial Corp. | 59,918 | 3,119,945 | 636,913 | |||||||||
Booz Allen Hamilton Holding Corp. | 64,888 | 1,887,482 | 35,799 | |||||||||
Boston Beer Co., Inc. (The) | 3,384 | 582,512 | (3,747 | ) | ||||||||
Boston Scientific Corp. | 84,063 | 1,562,410 | 402,142 | |||||||||
Brinker International, Inc. | 129,724 | 5,860,930 | 45,403 | |||||||||
Broadridge Financial Solutions, Inc. | 95,479 | 5,079,537 | 1,145,694 | |||||||||
Brocade Communications Systems, Inc. | 715,619 | 6,326,525 | 242,858 | |||||||||
Bruker Corp. | 12,615 | 325,160 | (38,295 | ) | ||||||||
Brunswick Corp. | 96,151 | 4,039,809 | 317,754 | |||||||||
Bunge Ltd. | 36,491 | 2,298,940 | (140,497 | ) | ||||||||
CA, Inc. | 142,011 | 3,982,027 | 680,194 | |||||||||
Cabot Corp. | 93,120 | 4,195,800 | 56,060 | |||||||||
Cadence Design Systems, Inc. | 199,405 | 4,049,814 | 795,727 | |||||||||
Campbell Soup Co. | 54,399 | 2,982,432 | 636,734 | |||||||||
Capital One Financial Corp. | 130,238 | 9,614,491 | (1,343,076 | ) | ||||||||
Cardinal Health, Inc. | 94,853 | 8,098,366 | (698,884 | ) | ||||||||
Carlisle Cos., Inc. | 42,444 | 3,862,169 | 623,312 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
240
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Carnival Corp. | 237,317 | $ | 11,707,556 | $ | (1,218,145 | ) | ||||||
Carter’s, Inc. | 46,900 | 4,378,707 | 614,736 | |||||||||
Casey’s General Stores, Inc. | 73,487 | 8,528,063 | 1,136,212 | |||||||||
Catalent, Inc. | 40,172 | 985,722 | (62,168 | ) | ||||||||
Cathay General Bancorp | 20,927 | 573,242 | 16,899 | |||||||||
CDW Corp. | 114,572 | 4,754,545 | (162,499 | ) | ||||||||
Celanese Corp. | 123,014 | 8,007,716 | 43,550 | |||||||||
Centene Corp. | 23,766 | 1,464,977 | 231,202 | |||||||||
CenturyLink, Inc. | 252,907 | 7,166,303 | 170,529 | |||||||||
Charles River Laboratories International, Inc. | 95,656 | 7,419,841 | 466,039 | |||||||||
Cheesecake Factory, Inc. (The) | 107,385 | 5,188,329 | (18,816 | ) | ||||||||
Church & Dwight Co., Inc. | 58,598 | 4,966,427 | 1,062,722 | |||||||||
Cinemark Holdings, Inc. | 104,238 | 3,201,971 | 598,547 | |||||||||
Cintas Corp. | 77,992 | 6,960,276 | 693,079 | |||||||||
Cisco Systems, Inc. | 381,818 | 10,202,177 | 752,181 | |||||||||
Citigroup, Inc. | 69,213 | 3,496,237 | (562,298 | ) | ||||||||
Citrix Systems, Inc. | 76,383 | 5,174,944 | 942,570 | |||||||||
Clorox Co. (The) | 57,256 | 7,492,708 | 430,950 | |||||||||
CME Group, Inc. | 33,531 | 3,143,056 | 122,864 | |||||||||
CMS Energy Corp. | 105,463 | 3,826,245 | 1,010,288 | |||||||||
Cognizant Technology Solutions Corp. | 48,722 | 2,872,381 | (83,534 | ) | ||||||||
Comcast Corp. | 116,341 | 6,670,154 | 914,116 | |||||||||
Commerce Bancshares, Inc. | 103,294 | 4,375,907 | 571,876 | |||||||||
Commercial Metals Co. | 566,038 | 7,878,909 | 1,687,133 | |||||||||
Community Health Systems, Inc. | 151,960 | 2,706,829 | (875,711 | ) | ||||||||
Computer Sciences Corp. | 180,706 | 5,575,117 | 3,396,936 | |||||||||
ConAgra Foods, Inc. | 32,213 | 1,322,932 | 217,171 | |||||||||
Concho Resources, Inc. | 22,684 | 2,029,674 | 675,847 | |||||||||
ConocoPhillips | 88,066 | 3,989,594 | (149,917 | ) | ||||||||
Consolidated Edison, Inc. | 328,466 | 21,582,348 | 4,839,457 | |||||||||
Constellation Brands, Inc. | 47,816 | 6,753,812 | 1,154,954 | |||||||||
Convergys Corp. | 259,924 | 6,574,946 | (76,846 | ) | ||||||||
Cooper Cos., Inc. (The) | 6,792 | 926,683 | 238,620 | |||||||||
CoreLogic, Inc. | 49,502 | 1,760,070 | 144,767 | |||||||||
Costco Wholesale Corp. | 21,999 | 3,534,799 | (80,076 | ) | ||||||||
Coty, Inc. | 80,290 | 1,954,576 | 132,162 | |||||||||
CR Bard, Inc. | 22,517 | 4,292,191 | 1,002,907 | |||||||||
Cracker Barrel Old Country Store, Inc. | 29,982 | 3,791,975 | 1,349,039 | |||||||||
Crane Co. | 16,991 | 780,372 | 183,357 | |||||||||
Credit Acceptance Corp. | 2,687 | 545,290 | (47,980 | ) | ||||||||
Crown Holdings, Inc. | 84,254 | 4,018,857 | 250,294 | |||||||||
CST Brands, Inc. | 101,096 | 3,909,444 | 445,772 | |||||||||
CSX Corp. | 86,672 | 2,193,168 | 67,238 | |||||||||
Cummins, Inc. | 52,383 | 4,502,843 | 1,387,102 | |||||||||
Curtiss-Wright Corp. | 7,694 | 671,072 | (22,853 | ) | ||||||||
CVR Energy, Inc. | 71,250 | 2,078,674 | (974,299 | ) | ||||||||
CVS Health Corp. | 57,343 | 5,430,956 | 59,063 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Danaher Corp. | 68,721 | $ | 6,206,187 | $ | 734,634 | |||||||
Darden Restaurants, Inc. | 143,575 | 8,516,932 | 577,108 | |||||||||
Dean Foods Co. | 394,526 | 7,157,689 | (20,714 | ) | ||||||||
Deckers Outdoor Corp. | 29,456 | 1,452,181 | 242,128 | |||||||||
Delta Air Lines, Inc. | 220,197 | 11,078,217 | (3,056,440 | ) | ||||||||
Deluxe Corp. | 114,323 | 6,291,405 | 1,296,212 | |||||||||
DENTSPLY SIRONA, Inc. | 111,735 | 6,447,474 | 484,565 | |||||||||
DeVry Education Group, Inc. | 24,377 | 499,127 | (64,241 | ) | ||||||||
Diamond Offshore Drilling, Inc. | 203,797 | 5,008,986 | (50,605 | ) | ||||||||
Dick’s Sporting Goods, Inc. | 15,134 | 548,361 | 133,577 | |||||||||
Dillard’s, Inc. | 18,326 | 1,242,864 | (132,308 | ) | ||||||||
Discover Financial Services | 72,114 | 3,707,130 | 157,460 | |||||||||
Dover Corp. | 16,710 | 973,891 | 184,446 | |||||||||
Dow Chemical Co. (The) | 292,922 | 13,978,018 | 583,135 | |||||||||
DR Horton, Inc. | 361,643 | 10,694,547 | 689,975 | |||||||||
Dr. Pepper Snapple Group, Inc. | 122,431 | 11,391,009 | 439,499 | |||||||||
Dril-Quip, Inc. | 69,656 | 3,942,932 | 127,068 | |||||||||
DST Systems, Inc. | 57,603 | 6,583,270 | 123,447 | |||||||||
DTE Energy Co. | 143,622 | 11,423,493 | 2,812,320 | |||||||||
Dun & Bradstreet Corp. (The) | 9,863 | 1,017,801 | 183,907 | |||||||||
East West Bancorp, Inc. | 54,185 | 2,186,498 | (334,455 | ) | ||||||||
Eastman Chemical Co. | 79,013 | 5,202,534 | 162,449 | |||||||||
eBay, Inc. | 255,250 | 7,159,758 | (1,184,355 | ) | ||||||||
Edison International | 142,533 | 8,680,260 | 2,390,278 | |||||||||
Edwards Lifesciences Corp. | 63,995 | 5,182,955 | 1,199,266 | |||||||||
Electronic Arts, Inc. | 102,461 | 7,287,026 | 475,419 | |||||||||
Eli Lilly & Co. | 83,947 | 7,237,079 | (626,253 | ) | ||||||||
Endurance Specialty Holdings Ltd. | 55,586 | 3,516,370 | 216,785 | |||||||||
Energen Corp. | 16,893 | 591,289 | 223,123 | |||||||||
Entergy Corp. | 87,613 | 5,890,222 | 1,237,096 | |||||||||
EOG Resources, Inc. | 15,206 | 1,114,600 | 153,885 | |||||||||
EP Energy Corp. | 267,332 | 907,286 | 477,494 | |||||||||
EQT Corp. | 43,047 | 2,527,182 | 805,947 | |||||||||
Equifax, Inc. | 112,401 | 12,273,912 | 2,158,377 | |||||||||
Everest Re Group Ltd. | 18,407 | 3,374,198 | (11,791 | ) | ||||||||
Exelon Corp. | 312,756 | 9,356,667 | 2,015,141 | |||||||||
Expedia, Inc. | 35,076 | 4,234,795 | (506,216 | ) | ||||||||
Expeditors International of Washington, Inc. | 157,551 | 6,996,399 | 729,902 | |||||||||
Facebook, Inc. | 7,922 | 937,358 | (32,032 | ) | ||||||||
FactSet Research Systems, Inc. | 25,588 | 4,061,517 | 68,898 | |||||||||
Fair Isaac Corp. | 26,981 | 2,491,519 | 557,603 | |||||||||
FedEx Corp. | 30,926 | 5,026,702 | (332,753 | ) | ||||||||
Fidelity National Information Services, Inc. | 19,230 | 1,151,492 | 265,374 | |||||||||
Fifth Third Bancorp | 336,549 | 5,622,422 | 297,475 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
241
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
First American Financial Corp. | 111,648 | $ | 3,934,799 | $ | 555,683 | |||||||
First Solar, Inc. | 141,249 | 9,160,244 | (2,312,493 | ) | ||||||||
FirstEnergy Corp. | 12,673 | 423,263 | 19,151 | |||||||||
Fiserv, Inc. | 58,389 | 5,407,472 | 941,164 | |||||||||
Flowers Foods, Inc. | 167,871 | 3,566,791 | (419,210 | ) | ||||||||
FNF Group | 72,049 | 2,382,660 | 319,177 | |||||||||
Foot Locker, Inc. | 132,347 | 8,464,446 | (1,203,889 | ) | ||||||||
Fortune Brands Home & Security, Inc. | 58,992 | 3,394,212 | 25,554 | |||||||||
Fulton Financial Corp. | 186,873 | 2,403,090 | 119,695 | |||||||||
GameStop Corp. | 255,645 | 7,386,276 | (591,232 | ) | ||||||||
Gannett Co., Inc. | 237,220 | 3,704,088 | (428,080 | ) | ||||||||
GATX Corp. | 57,650 | 2,540,470 | (5,599 | ) | ||||||||
General Dynamics Corp. | 65,762 | 9,083,734 | 72,966 | |||||||||
General Mills, Inc. | 76,165 | 4,308,967 | 1,123,121 | |||||||||
General Motors Co. | 153,620 | 5,046,821 | (699,375 | ) | ||||||||
Genpact Ltd. | 225,055 | 5,450,142 | 590,335 | |||||||||
Gilead Sciences, Inc. | 89,768 | 8,882,252 | (1,393,805 | ) | ||||||||
Global Payments, Inc. | 109,898 | 6,669,185 | 1,175,334 | |||||||||
Goodyear Tire & Rubber Co. (The) | 394,012 | 12,109,683 | (1,999,335 | ) | ||||||||
Graham Holdings Co. | 7,404 | 3,642,163 | (17,609 | ) | ||||||||
Graphic Packaging Holding Co. | 108,171 | 1,320,243 | 36,221 | |||||||||
Great Plains Energy, Inc. | 161,565 | 4,901,491 | 10,085 | |||||||||
Guess?, Inc. | 27,593 | 474,766 | (59,492 | ) | ||||||||
Hanesbrands, Inc. | 34,915 | 1,024,755 | (147,341 | ) | ||||||||
Hanover Insurance Group, Inc. (The) | 89,361 | 7,300,968 | 260,760 | |||||||||
Harris Corp. | 34,915 | 2,890,689 | 22,618 | |||||||||
Hartford Financial Services Group, Inc. (The) | 148,856 | 6,345,152 | 261,077 | |||||||||
Hasbro, Inc. | 68,108 | 4,839,759 | 880,632 | |||||||||
HCA Holdings, Inc. | 70,988 | 4,595,763 | 871,023 | |||||||||
HD Supply Holdings, Inc. | 35,157 | 1,272,761 | (48,594 | ) | ||||||||
Helmerich & Payne, Inc. | 74,383 | 3,682,236 | 1,311,095 | |||||||||
Herman Miller, Inc. | 124,948 | 3,499,308 | 235,388 | |||||||||
Hess Corp. | 63,273 | 2,875,550 | 927,157 | |||||||||
Hill-Rom Holdings, Inc. | 25,237 | 1,230,074 | 43,132 | |||||||||
HollyFrontier Corp. | 214,779 | 8,473,646 | (3,368,350 | ) | ||||||||
Hologic, Inc. | 50,519 | 1,769,403 | (21,445 | ) | ||||||||
Home Depot, Inc. (The) | 31,958 | 4,176,943 | (96,226 | ) | ||||||||
Honeywell International, Inc. | 44,846 | 4,517,261 | 699,225 | |||||||||
Hormel Foods Corp. | 263,135 | 10,248,432 | (617,691 | ) | ||||||||
HP, Inc. | 326,165 | 3,612,593 | 480,778 | |||||||||
HSN, Inc. | 21,809 | 1,101,354 | (34,240 | ) | ||||||||
Hubbell, Inc. | 6,224 | 577,488 | 78,958 | |||||||||
Huntington Ingalls Industries, Inc. | 102,630 | 13,119,677 | 4,125,241 | |||||||||
IAC/InterActiveCorp. | 30,980 | 1,905,890 | (161,716 | ) | ||||||||
IDACORP, Inc. | 65,242 | 4,578,112 | 729,325 | |||||||||
Ingersoll-Rand plc | 21,537 | 1,410,596 | (39,120 | ) | ||||||||
Ingredion, Inc. | 122,073 | 12,107,044 | 3,690,423 | |||||||||
Integrated Device Technology, Inc. | 118,535 | 2,540,326 | (154,217 | ) | ||||||||
Intel Corp. | 164,753 | 5,751,527 | (347,629 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Intercontinental Exchange, Inc. | 33,644 | $ | 8,347,322 | $ | 264,196 | |||||||
InterDigital, Inc. | 43,863 | 2,081,299 | 360,992 | |||||||||
International Business Machines Corp. | 21,734 | 2,914,161 | 384,625 | |||||||||
International Flavors & Fragrances, Inc. | 11,632 | 1,373,134 | 93,312 | |||||||||
International Game Technology plc | 225,937 | 3,399,617 | 834,442 | |||||||||
Interpublic Group of Cos., Inc. (The) | 199,323 | 4,406,844 | 197,517 | |||||||||
Intrexon Corp. | 141,339 | 3,603,154 | (124,802 | ) | ||||||||
Intuit, Inc. | 11,758 | 1,150,755 | 161,555 | |||||||||
Ionis Pharmaceuticals, Inc. | 41,034 | 879,326 | 76,356 | |||||||||
ITT, Inc. | 121,569 | 4,004,962 | (117,186 | ) | ||||||||
j2 Global, Inc. | 43,049 | 2,886,045 | (166,640 | ) | ||||||||
Jabil Circuit, Inc. | 503,555 | 10,553,390 | (1,252,729 | ) | ||||||||
Jack Henry & Associates, Inc. | 62,860 | 4,892,616 | 593,176 | |||||||||
Jack in the Box, Inc. | 4,699 | 332,224 | 71,514 | |||||||||
JetBlue Airways Corp. | 536,540 | 11,903,349 | (3,018,246 | ) | ||||||||
JM Smucker Co. (The) | 28,458 | 3,540,381 | 796,903 | |||||||||
John Wiley & Sons, Inc. | 41,198 | 1,729,233 | 420,479 | |||||||||
Johnson & Johnson | 56,177 | 5,504,027 | 1,310,243 | |||||||||
JPMorgan Chase & Co. | 181,815 | 11,719,396 | (421,412 | ) | ||||||||
Juniper Networks, Inc. | 214,500 | 5,896,523 | (1,072,418 | ) | ||||||||
Juno Therapeutics, Inc. | 41,923 | 1,865,184 | (253,664 | ) | ||||||||
KAR Auction Services, Inc. | 11,947 | 409,166 | 89,502 | |||||||||
KB Home | 378,263 | 4,318,568 | 1,434,812 | |||||||||
KeyCorp. | 94,982 | 1,234,755 | (185,204 | ) | ||||||||
Kimberly-Clark Corp. | 59,021 | 7,473,831 | 640,376 | |||||||||
Kohl’s Corp. | 45,759 | 2,033,988 | (298,806 | ) | ||||||||
Kroger Co. (The) | 263,264 | 10,986,379 | (1,300,896 | ) | ||||||||
L Brands, Inc. | 25,267 | 2,440,287 | (744,113 | ) | ||||||||
L-3 Communications Holdings, Inc. | 8,917 | 1,312,886 | (4,852 | ) | ||||||||
Lam Research Corp. | 89,174 | 6,895,237 | 600,730 | |||||||||
Lancaster Colony Corp. | 36,095 | 3,850,181 | 755,902 | |||||||||
Laredo Petroleum, Inc. | 233,119 | 1,618,418 | 824,670 | |||||||||
Las Vegas Sands Corp. | 22,904 | 1,079,514 | (83,419 | ) | ||||||||
Lear Corp. | 144,983 | 17,408,906 | (2,655,436 | ) | ||||||||
Leggett & Platt, Inc. | 58,825 | 2,509,073 | 497,472 | |||||||||
Lennar Corp. | 62,910 | 2,777,272 | 122,879 | |||||||||
Lennox International, Inc. | 19,616 | 2,427,265 | 369,977 | |||||||||
Level 3 Communications, Inc. | 60,206 | 3,124,966 | (24,959 | ) | ||||||||
Lexmark International, Inc. | 52,490 | 1,656,584 | 324,913 | |||||||||
Liberty Interactive Corp. QVC Group | 46,197 | 1,204,434 | (32,417 | ) | ||||||||
LifePoint Health, Inc. | 49,287 | 3,393,042 | (171,151 | ) | ||||||||
Lincoln National Corp. | 43,051 | 2,142,310 | (473,223 | ) | ||||||||
Lockheed Martin Corp. | 28,750 | 6,187,575 | 947,313 | |||||||||
Lowe’s Cos., Inc. | 59,276 | 4,439,772 | 253,109 | |||||||||
LPL Financial Holdings, Inc. | 30,876 | 819,906 | (124,269 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
242
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
LyondellBasell Industries NV | 171,082 | $ | 14,874,291 | $ | (2,142,368 | ) | ||||||
Mallinckrodt plc | 22,548 | 1,508,000 | (137,533 | ) | ||||||||
Manhattan Associates, Inc. | 57,277 | 3,743,200 | (70,026 | ) | ||||||||
ManpowerGroup, Inc. | 100,003 | 7,732,551 | (1,298,358 | ) | ||||||||
Marathon Petroleum Corp. | 136,158 | 6,476,667 | (1,308,109 | ) | ||||||||
Markel Corp. | 337 | 283,523 | 37,564 | |||||||||
MarketAxess Holdings, Inc. | 11,128 | 1,430,217 | 187,794 | |||||||||
Marriott International, Inc. | 53,713 | 3,465,100 | 104,666 | |||||||||
Marvell Technology Group Ltd. | 194,031 | 1,626,798 | 222,318 | |||||||||
Masco Corp. | 192,405 | 5,211,157 | 741,854 | |||||||||
Mattel, Inc. | 27,207 | 868,526 | (17,219 | ) | ||||||||
MAXIMUS, Inc. | 9,394 | 520,803 | (658 | ) | ||||||||
McCormick & Co., Inc. | 21,419 | 1,816,117 | 468,648 | |||||||||
MEDNAX, Inc. | 20,090 | 1,357,226 | 97,893 | |||||||||
Memorial Resource Development Corp. | 226,752 | 2,527,887 | 1,072,935 | |||||||||
Mentor Graphics Corp. | 247,309 | 4,362,098 | 895,691 | |||||||||
Merck & Co., Inc. | 83,039 | 4,314,698 | 469,178 | |||||||||
Meredith Corp. | 20,700 | 1,049,656 | 24,881 | |||||||||
MetLife, Inc. | 184,051 | 8,620,050 | (1,289,299 | ) | ||||||||
Microsoft Corp. | 117,784 | 6,438,284 | (411,277 | ) | ||||||||
Minerals Technologies, Inc. | 51,123 | 2,217,434 | 686,353 | |||||||||
Mohawk Industries, Inc. | 17,949 | 3,466,622 | (60,619 | ) | ||||||||
Molina Healthcare, Inc. | 153,204 | 8,669,321 | (1,024,441 | ) | ||||||||
Mondelez International, Inc. | 87,337 | 3,618,862 | 355,845 | |||||||||
Morgan Stanley | 119,594 | 3,131,030 | (23,978 | ) | ||||||||
Mosaic Co. (The) | 88,828 | 2,489,658 | (164,140 | ) | ||||||||
MSC Industrial Direct Co., Inc. | 17,431 | 1,314,849 | (84,917 | ) | ||||||||
MSCI, Inc. | 78,495 | 5,431,731 | 621,803 | |||||||||
MSG Networks, Inc. | 158,646 | 3,039,873 | (606,244 | ) | ||||||||
Murphy Oil Corp. | 75,415 | 2,503,507 | (109,080 | ) | ||||||||
Murphy USA, Inc. | 90,318 | 5,631,833 | 1,066,150 | |||||||||
Mylan NV | 102,579 | 4,906,820 | (471,304 | ) | ||||||||
Nasdaq, Inc. | 184,204 | 10,555,303 | 1,357,170 | |||||||||
NeuStar, Inc. | 185,822 | 4,453,438 | (84,763 | ) | ||||||||
Newfield Exploration Co. | 107,440 | 3,437,223 | 1,309,476 | |||||||||
NewMarket Corp. | 1,544 | 575,912 | 63,891 | |||||||||
NextEra Energy, Inc. | 49,832 | 5,201,669 | 1,296,424 | |||||||||
NIKE, Inc. | 97,404 | 6,302,480 | (925,779 | ) | ||||||||
NiSource, Inc. | 411,862 | 8,266,839 | 2,655,741 | |||||||||
Northern Trust Corp. | 47,306 | 3,404,600 | (270,105 | ) | ||||||||
Northrop Grumman Corp. | 74,263 | 13,984,466 | 2,522,714 | |||||||||
Norwegian Cruise Line Holdings Ltd. | 33,196 | 1,670,849 | (348,320 | ) | ||||||||
Nu Skin Enterprises, Inc. | 81,534 | 2,659,562 | 1,106,494 | |||||||||
Nuance Communications, Inc. | 277,821 | 5,028,501 | (686,159 | ) | ||||||||
NVIDIA Corp. | 146,365 | 4,361,822 | 2,518,796 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
NVR, Inc. | 4,341 | $ | 7,017,199 | $ | 711,257 | |||||||
Oceaneering International, Inc. | 95,190 | 2,916,895 | (74,522 | ) | ||||||||
Old Republic International Corp. | 386,814 | 7,085,415 | 376,227 | |||||||||
Omnicom Group, Inc. | 47,008 | 3,385,874 | 444,808 | |||||||||
ON Semiconductor Corp. | 151,138 | 1,472,344 | (139,307 | ) | ||||||||
ONE Gas, Inc. | 90,631 | 5,114,055 | 921,063 | |||||||||
OneMain Holdings, Inc. | 47,358 | 1,407,302 | (326,592 | ) | ||||||||
Orbital ATK, Inc. | 40,173 | 3,535,253 | (114,924 | ) | ||||||||
O’Reilly Automotive, Inc. | 16,112 | 4,098,087 | 269,876 | |||||||||
Oshkosh Corp. | 97,044 | 3,141,890 | 1,488,079 | |||||||||
Owens & Minor, Inc. | 17,730 | 654,358 | 8,390 | |||||||||
Owens Corning | 271,584 | 12,475,332 | 1,516,676 | |||||||||
PACCAR, Inc. | 89,455 | 4,174,958 | 465,073 | |||||||||
Packaging Corp. of America | 55,139 | 3,495,655 | 194,798 | |||||||||
PAREXEL International Corp. | 5,901 | 382,400 | (11,345 | ) | ||||||||
Patterson-UTI Energy, Inc. | 244,830 | 3,156,451 | 2,063,325 | |||||||||
Paychex, Inc. | 21,581 | 1,061,770 | 222,300 | |||||||||
PBF Energy, Inc. | 130,057 | 4,044,201 | (951,446 | ) | ||||||||
Penske Automotive Group, Inc. | 58,735 | 2,086,452 | (238,649 | ) | ||||||||
People’s United Financial, Inc. | 303,386 | 4,833,193 | (385,554 | ) | ||||||||
PepsiCo, Inc. | 79,405 | 7,956,381 | 455,785 | |||||||||
Pfizer, Inc. | 117,364 | 3,752,548 | 379,838 | |||||||||
PG&E Corp. | 195,075 | 10,504,789 | 1,964,405 | |||||||||
Phillips 66 | 78,940 | 6,445,504 | (182,404 | ) | ||||||||
Pilgrim’s Pride Corp. | 218,911 | 4,758,310 | 819,542 | |||||||||
Pinnacle Foods, Inc. | 125,284 | 5,196,780 | 602,616 | |||||||||
Pinnacle West Capital Corp. | 226,662 | 15,297,551 | 3,075,671 | |||||||||
Plantronics, Inc. | 31,767 | 1,505,962 | (108,214 | ) | ||||||||
PNC Financial Services Group, Inc. (The) | 145,242 | 13,793,184 | (1,971,937 | ) | ||||||||
Popular, Inc. | 125,317 | 3,429,589 | 242,199 | |||||||||
Post Holdings, Inc. | 62,522 | 4,737,874 | 432,070 | |||||||||
PPL Corp. | 141,180 | 4,928,376 | 401,169 | |||||||||
Prestige Brands Holdings, Inc. | 14,607 | 823,028 | (13,801 | ) | ||||||||
Procter & Gamble Co. (The) | 64,283 | 5,088,275 | 354,566 | |||||||||
Progressive Corp. (The) | 138,674 | 4,370,483 | 275,096 | |||||||||
Prudential Financial, Inc. | 70,203 | 4,789,767 | 218,515 | |||||||||
Public Service Enterprise Group, Inc. | 493,156 | 18,822,603 | 4,163,398 | |||||||||
QEP Resources, Inc. | 256,977 | 3,133,999 | 1,396,506 | |||||||||
Quest Diagnostics, Inc. | 37,303 | 2,515,931 | 520,906 | |||||||||
Quintiles Transnational Holdings, Inc. | 156,132 | 10,628,708 | (430,165 | ) | ||||||||
Rackspace Hosting, Inc. | 140,826 | 3,439,733 | (502,103 | ) | ||||||||
Ralph Lauren Corp. | 6,188 | 624,456 | (69,887 | ) | ||||||||
Raytheon Co. | 79,580 | 10,032,054 | 786,847 | |||||||||
Red Hat, Inc. | 18,045 | 1,237,605 | 72,462 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
243
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Regal Entertainment Group | 53,043 | $ | 974,139 | $ | 194,929 | |||||||
Regions Financial Corp. | 143,552 | 1,384,229 | (162,601 | ) | ||||||||
Reinsurance Group of America, Inc. | 91,502 | 7,894,118 | 980,661 | |||||||||
Reliance Steel & Aluminum Co. | 127,929 | 7,114,969 | 2,722,771 | |||||||||
RenaissanceRe Holdings Ltd. | 23,442 | 2,606,557 | 146,471 | |||||||||
Republic Services, Inc. | 310,078 | 13,876,862 | 2,033,240 | |||||||||
Rockwell Automation, Inc. | 26,728 | 2,571,401 | 497,508 | |||||||||
Ross Stores, Inc. | 63,892 | 3,441,223 | 180,814 | |||||||||
Rowan Cos. plc | 577,645 | 9,852,461 | 348,750 | |||||||||
Royal Caribbean Cruises Ltd. | 117,777 | 10,267,270 | (2,358,544 | ) | ||||||||
RPM International, Inc. | 8,010 | 347,210 | 52,890 | |||||||||
Ryder System, Inc. | 93,027 | 5,166,336 | 521,335 | |||||||||
S&P Global, Inc. | 28,259 | 2,693,648 | 337,412 | |||||||||
Sabre Corp. | 55,938 | 1,516,790 | (18,211 | ) | ||||||||
SCANA Corp. | 154,995 | 9,689,004 | 2,037,918 | |||||||||
Science Applications International Corp. | 21,463 | 1,168,100 | 84,266 | |||||||||
Scotts Miracle-Gro Co. (The) | 17,574 | 1,134,263 | 94,335 | |||||||||
Scripps Networks Interactive, Inc. | 20,002 | 1,292,735 | (47,211 | ) | ||||||||
SEI Investments Co. | 38,979 | 1,998,030 | (122,750 | ) | ||||||||
Sensient Technologies Corp. | 29,356 | 1,820,656 | 264,794 | |||||||||
Service Corp. International | 74,435 | 1,822,333 | 190,389 | |||||||||
Sherwin-Williams Co. (The) | 11,904 | 3,133,133 | 362,715 | |||||||||
Signature Bank | 11,835 | 1,718,971 | (240,543 | ) | ||||||||
Skechers U.S.A., Inc. | 268,000 | 7,733,421 | 231,539 | |||||||||
Skyworks Solutions, Inc. | 35,989 | 2,505,863 | (228,479 | ) | ||||||||
SM Energy Co. | 69,615 | 872,680 | 1,006,925 | |||||||||
Snap-on, Inc. | 33,653 | 5,631,674 | (320,557 | ) | ||||||||
Sonoco Products Co. | 83,686 | 3,434,746 | 721,101 | |||||||||
Southern Co. (The) | 228,473 | 10,983,470 | 1,269,537 | |||||||||
Southwest Airlines Co. | 105,468 | 4,588,913 | (453,512 | ) | ||||||||
Spectrum Brands Holdings, Inc. | 34,845 | 3,626,884 | 530,473 | |||||||||
Spirit AeroSystems Holdings, Inc. | 356,227 | 16,669,283 | (1,351,522 | ) | ||||||||
SS&C Technologies Holdings, Inc. | 35,574 | 1,216,663 | (217,745 | ) | ||||||||
Stanley Black & Decker, Inc. | 74,470 | 7,311,743 | 970,811 | |||||||||
State Street Corp. | 72,542 | 4,605,134 | (693,670 | ) | ||||||||
Stryker Corp. | 28,269 | 2,607,557 | 779,917 | |||||||||
SunTrust Banks, Inc. | 218,598 | 9,014,294 | (34,289 | ) | ||||||||
SUPERVALU, Inc. | 425,152 | 2,707,138 | (700,420 | ) | ||||||||
Synaptics, Inc. | 38,995 | 2,790,535 | (694,554 | ) | ||||||||
Synchrony Financial | 133,596 | 3,968,336 | (591,029 | ) | ||||||||
SYNNEX Corp. | 63,821 | 5,677,368 | 374,139 | |||||||||
Synopsys, Inc. | 95,951 | 4,299,931 | 889,099 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Sysco Corp. | 25,128 | $ | 1,073,567 | $ | 201,428 | |||||||
Tableau Software, Inc. | 15,161 | 688,123 | 53,553 | |||||||||
Talen Energy Corp. | 56,562 | 339,841 | 426,574 | |||||||||
Target Corp. | 50,191 | 3,630,315 | (125,979 | ) | ||||||||
Tech Data Corp. | 170,002 | 11,512,004 | 702,639 | |||||||||
Teekay Corp. | 177,240 | 1,128,767 | 134,954 | |||||||||
TEGNA, Inc. | 271,547 | 7,057,829 | (766,085 | ) | ||||||||
Teledyne Technologies, Inc. | 17,516 | 1,432,127 | 302,833 | |||||||||
Teleflex, Inc. | 51,827 | 6,988,563 | 2,200,882 | |||||||||
Teradyne, Inc. | 294,115 | 5,677,594 | 113,530 | |||||||||
Tesoro Corp. | 108,174 | 10,931,909 | (2,827,513 | ) | ||||||||
Textron, Inc. | 166,958 | 5,852,503 | 251,481 | |||||||||
Thermo Fisher Scientific, Inc. | 14,420 | 1,986,532 | 144,168 | |||||||||
Thomson Reuters Corp. | 56,164 | 2,066,554 | 203,595 | |||||||||
Thor Industries, Inc. | 47,435 | 2,525,908 | 545,034 | |||||||||
Time, Inc. | 26,054 | 379,858 | 48,990 | |||||||||
TJX Cos., Inc. (The) | 16,017 | 1,142,428 | 94,565 | |||||||||
TopBuild Corp. | 97,142 | 2,829,452 | 687,088 | |||||||||
Torchmark Corp. | 106,123 | 5,951,829 | 608,695 | |||||||||
Toro Co. (The) | 25,627 | 2,003,923 | 256,379 | |||||||||
Total System Services, Inc. | 268,746 | 12,719,462 | 1,553,638 | |||||||||
Travelers Cos., Inc. (The) | 119,464 | 13,531,687 | 689,307 | |||||||||
Trinity Industries, Inc. | 403,493 | 8,756,384 | (1,263,519 | ) | ||||||||
Trustmark Corp. | 110,268 | 2,464,435 | 275,725 | |||||||||
Tupperware Brands Corp. | 25,567 | 1,374,291 | 64,620 | |||||||||
Tyler Technologies, Inc. | 14,801 | 2,520,521 | (53,047 | ) | ||||||||
Tyson Foods, Inc. | 348,096 | 18,689,585 | 4,559,747 | |||||||||
UGI Corp. | 143,863 | 5,014,540 | 1,495,261 | |||||||||
Ulta Salon Cosmetics & Fragrance, Inc. | 4,505 | 799,827 | 297,771 | |||||||||
United Continental Holdings, Inc. | 119,437 | 5,341,588 | (439,894 | ) | ||||||||
United Parcel Service, Inc. | 115,701 | 12,064,478 | 398,834 | |||||||||
United Therapeutics Corp. | 71,870 | 10,659,728 | (3,047,258 | ) | ||||||||
UnitedHealth Group, Inc. | 99,429 | 11,853,925 | 2,185,449 | |||||||||
Universal Health Services, Inc. | 47,353 | 5,424,178 | 925,860 | |||||||||
Unum Group | 105,215 | 3,468,795 | (124,011 | ) | ||||||||
US Bancorp. | 126,148 | 5,529,067 | (441,518 | ) | ||||||||
Valero Energy Corp. | 191,618 | 13,735,178 | (3,962,660 | ) | ||||||||
Validus Holdings Ltd. | 129,924 | 5,975,147 | 337,860 | |||||||||
Valmont Industries, Inc. | 11,875 | 1,281,024 | 325,307 | |||||||||
Vantiv, Inc. | 25,562 | 1,349,564 | 97,245 | |||||||||
Vectren Corp. | 21,776 | 913,347 | 233,595 | |||||||||
VeriSign, Inc. | 47,934 | 3,923,031 | 221,343 | |||||||||
Verizon Communications, Inc. | 119,101 | 5,615,700 | 1,034,900 | |||||||||
Visa, Inc. | 34,191 | 2,690,490 | (154,543 | ) | ||||||||
Vishay Intertechnology, Inc. | 125,988 | 1,390,000 | 170,991 | |||||||||
Vista Outdoor, Inc. | 18,402 | 877,691 | 637 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
244
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
VMware, Inc. | 46,860 | $ | 2,321,825 | $ | 359,504 | |||||||
Voya Financial, Inc. | 144,147 | 5,291,636 | (1,722,557 | ) | ||||||||
VWR Corp. | 107,128 | 2,845,644 | 250,355 | |||||||||
Wal-Mart Stores, Inc. | 107,054 | 6,314,045 | 1,503,038 | |||||||||
Walt Disney Co. (The) | 57,203 | 5,916,998 | (321,401 | ) | ||||||||
Waste Management, Inc. | 256,455 | 13,663,922 | 3,331,350 | |||||||||
Waters Corp. | 25,107 | 3,238,992 | 292,308 | |||||||||
WebMD Health Corp. | 22,849 | 1,468,178 | (140,423 | ) | ||||||||
WellCare Health Plans, Inc. | 100,017 | 9,310,775 | 1,419,048 | |||||||||
Wells Fargo & Co. | 171,730 | 9,525,863 | (1,397,882 | ) | ||||||||
Werner Enterprises, Inc. | 252,701 | 6,185,065 | (380,523 | ) | ||||||||
West Pharmaceutical Services, Inc. | 39,666 | 2,314,311 | 695,545 | |||||||||
Western Digital Corp. | 14,667 | 717,841 | (24,679 | ) | ||||||||
Western Refining, Inc. | 153,574 | 5,457,202 | (2,288,971 | ) | ||||||||
Western Union Co. (The) | 71,783 | 1,290,970 | 85,828 | |||||||||
Westlake Chemical Corp. | 82,820 | 3,812,634 | (258,000 | ) | ||||||||
WGL Holdings, Inc. | 66,970 | 4,230,298 | 510,508 | |||||||||
Whirlpool Corp. | 39,233 | 5,768,428 | 769,359 | |||||||||
White Mountains Insurance Group Ltd. | 1,106 | 825,299 | 105,953 | |||||||||
Woodward, Inc. | 54,075 | 2,621,805 | 495,078 | |||||||||
World Fuel Services Corp. | 65,745 | 2,568,726 | 553,504 | |||||||||
Worthington Industries, Inc. | 7,899 | 313,884 | 20,244 | |||||||||
WPX Energy, Inc. | 122,478 | 1,053,592 | 86,678 | |||||||||
WR Berkley Corp. | 25,861 | 1,407,358 | 142,233 | |||||||||
Wyndham Worldwide Corp. | 53,148 | 3,707,338 | 78,394 | |||||||||
Xcel Energy, Inc. | 458,998 | 16,713,082 | 3,840,849 | |||||||||
Xerox Corp. | 59,621 | 666,247 | (100,443 | ) | ||||||||
Xilinx, Inc. | 33,767 | 1,473,475 | 84,197 | |||||||||
Xylem, Inc. | 18,993 | 879,095 | (31,057 | ) | ||||||||
|
| |||||||||||
115,188,828 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 116,073,668 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
lululemon athletica, Inc. | (57,919 | ) | (3,123,435 | ) | (1,154,463 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
Alkermes plc | (77,441 | ) | (3,266,327 | ) | (80,673 | ) | ||||||
Allegion plc | (89,612 | ) | (5,375,607 | ) | (846,154 | ) | ||||||
Endo International plc | (322,065 | ) | (8,276,354 | ) | 3,255,361 | |||||||
Jazz Pharmaceuticals plc | (32,219 | ) | (4,244,998 | ) | (307,868 | ) | ||||||
Medtronic plc | (74,150 | ) | (5,682,727 | ) | (751,269 | ) | ||||||
Perrigo Co. plc | (28,258 | ) | (3,716,553 | ) | 1,154,400 | |||||||
|
| |||||||||||
2,423,797 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Chicago Bridge & Iron Co. NV | (193,475 | ) | (7,418,991 | ) | 718,952 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Netherlands (continued) | ||||||||||||
Core Laboratories NV | (8,491 | ) | $ | (848,852 | ) | $ | (203,098 | ) | ||||
QIAGEN NV | (171,924 | ) | (4,268,048 | ) | 518,386 | |||||||
Sensata Technologies Holding NV | (188,906 | ) | (8,030,494 | ) | 1,439,564 | |||||||
|
| |||||||||||
2,473,804 | ||||||||||||
|
| |||||||||||
Norway | ||||||||||||
Golar LNG Ltd. | (511,526 | ) | (8,176,826 | ) | 248,173 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Garmin Ltd. | (63,170 | ) | (2,119,474 | ) | (560,197 | ) | ||||||
Weatherford International plc | (1,583,796 | ) | (11,884,862 | ) | 3,094,794 | |||||||
|
| |||||||||||
2,534,597 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aon plc | (128,761 | ) | (11,390,402 | ) | (2,674,162 | ) | ||||||
Delphi Automotive plc | (50,601 | ) | (3,618,275 | ) | 450,653 | |||||||
Ensco plc | (426,397 | ) | (4,876,774 | ) | 736,460 | |||||||
Liberty Global plc | (162,232 | ) | (5,290,824 | ) | 576,362 | |||||||
Liberty Global plc LiLAC | (20,240 | ) | (660,079 | ) | 7,137 | |||||||
LivaNova plc | (54,139 | ) | (2,923,744 | ) | 204,342 | |||||||
Michael Kors Holdings Ltd. | (18,151 | ) | (679,013 | ) | (219,098 | ) | ||||||
Pentair plc | (146,080 | ) | (6,821,046 | ) | (1,693,957 | ) | ||||||
|
| |||||||||||
(2,612,263 | ) | |||||||||||
|
| |||||||||||
United States | ||||||||||||
3D Systems Corp. | (91,902 | ) | (1,164,885 | ) | (93,253 | ) | ||||||
AbbVie, Inc. | (26,732 | ) | (1,447,129 | ) | (207,849 | ) | ||||||
Acadia Healthcare Co., Inc. | (145,441 | ) | (8,765,116 | ) | 707,685 | |||||||
Acxiom Corp. | (102,180 | ) | (2,233,478 | ) | (13,461 | ) | ||||||
Adobe Systems, Inc. | (29,038 | ) | (2,735,380 | ) | (46,170 | ) | ||||||
Advance Auto Parts, Inc. | (10,082 | ) | (1,478,812 | ) | (150,742 | ) | ||||||
Advanced Micro Devices, Inc. | (716,407 | ) | (1,753,134 | ) | (1,929,198 | ) | ||||||
AECOM | (44,669 | ) | (1,306,122 | ) | (113,013 | ) | ||||||
AES Corp. | (678,934 | ) | (6,200,957 | ) | (2,272,140 | ) | ||||||
Agilent Technologies, Inc. | (150,599 | ) | (5,976,397 | ) | (704,175 | ) | ||||||
Agios Pharmaceuticals, Inc. | (99,327 | ) | (3,994,824 | ) | (166,480 | ) | ||||||
Air Products & Chemicals, Inc. | (16,221 | ) | (2,121,246 | ) | (182,785 | ) | ||||||
Akorn, Inc. | (126,156 | ) | (3,138,936 | ) | (454,617 | ) | ||||||
Alcoa, Inc. | (995,247 | ) | (8,372,408 | ) | (853,532 | ) | ||||||
Alexion Pharmaceuticals, Inc. | (33,151 | ) | (5,898,757 | ) | 2,028,046 | |||||||
Align Technology, Inc. | (72,465 | ) | (4,695,187 | ) | (1,141,869 | ) | ||||||
Allegheny Technologies, Inc. | (444,960 | ) | (4,788,771 | ) | (884,469 | ) | ||||||
Allergan plc | (17,782 | ) | (4,031,221 | ) | (78,021 | ) | ||||||
Alliance Data Systems Corp. | (23,380 | ) | (6,205,584 | ) | 1,624,975 | |||||||
Alliant Energy Corp. | (94,082 | ) | (2,960,039 | ) | (775,016 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
245
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Allison Transmission Holdings, Inc. | (80,314 | ) | $ | (1,942,820 | ) | $ | (324,444 | ) | ||||
Allscripts Healthcare Solutions, Inc. | (211,007 | ) | (3,137,674 | ) | 457,885 | |||||||
Ally Financial, Inc. | (74,683 | ) | (1,341,168 | ) | 66,329 | |||||||
Alnylam Pharmaceuticals, Inc. | (153,367 | ) | (10,622,543 | ) | 2,112,208 | |||||||
American Express Co. | (109,779 | ) | (7,242,101 | ) | 571,929 | |||||||
AMETEK, Inc. | (45,402 | ) | (2,263,701 | ) | 164,767 | |||||||
Amphenol Corp. | (135,189 | ) | (6,540,387 | ) | (1,209,999 | ) | ||||||
Anadarko Petroleum Corp. | (129,174 | ) | (5,734,706 | ) | (1,143,809 | ) | ||||||
Apache Corp. | (67,792 | ) | (2,911,666 | ) | (862,314 | ) | ||||||
Applied Materials, Inc. | (90,644 | ) | (1,637,031 | ) | (535,706 | ) | ||||||
Arista Networks, Inc. | (50,074 | ) | (3,423,332 | ) | 199,567 | |||||||
Armstrong World Industries, Inc. | (33,413 | ) | (1,030,234 | ) | (277,885 | ) | ||||||
ARRIS International plc | (177,309 | ) | (4,353,474 | ) | 637,077 | |||||||
Arthur J Gallagher & Co. | (189,309 | ) | (7,350,283 | ) | (1,660,825 | ) | ||||||
Artisan Partners Asset Management, Inc. | (141,976 | ) | (4,650,297 | ) | 720,401 | |||||||
Ascena Retail Group, Inc. | (392,845 | ) | (3,427,531 | ) | 681,544 | |||||||
athenahealth, Inc. | (3,962 | ) | (574,167 | ) | 27,371 | |||||||
Autodesk, Inc. | (145,251 | ) | (8,670,563 | ) | 806,674 | |||||||
Automatic Data Processing, Inc. | (65,012 | ) | (5,337,960 | ) | (634,692 | ) | ||||||
Avangrid, Inc. | (21,818 | ) | (840,711 | ) | (164,226 | ) | ||||||
Avis Budget Group, Inc. | (26,057 | ) | (763,920 | ) | (75,898 | ) | ||||||
Avon Products, Inc. | (866,726 | ) | (3,457,916 | ) | 181,692 | |||||||
Axalta Coating Systems Ltd. | (129,619 | ) | (3,652,257 | ) | 213,465 | |||||||
B/E Aerospace, Inc. | (403,169 | ) | (16,784,539 | ) | (1,831,790 | ) | ||||||
Baker Hughes, Inc. | (119,483 | ) | (5,516,084 | ) | 123,816 | |||||||
Ball Corp. | (81,091 | ) | (5,588,814 | ) | (273,254 | ) | ||||||
BancorpSouth, Inc. | (42,632 | ) | (1,008,121 | ) | 40,801 | |||||||
Bank of America Corp. | (145,540 | ) | (2,517,842 | ) | 586,526 | |||||||
Bank of the Ozarks, Inc. | (17,026 | ) | (656,294 | ) | 17,479 | |||||||
Belden, Inc. | (22,006 | ) | (995,421 | ) | (333,081 | ) | ||||||
Biogen, Inc. | (10,326 | ) | (2,730,571 | ) | 233,538 | |||||||
BioMarin Pharmaceutical, Inc. | (97,352 | ) | (7,924,938 | ) | 350,953 | |||||||
Bio-Techne Corp. | (66,611 | ) | (5,897,711 | ) | (1,614,011 | ) | ||||||
Black Hills Corp. | (86,432 | ) | (4,081,038 | ) | (1,367,635 | ) | ||||||
Black Knight Financial Services, Inc. | (89,284 | ) | (2,868,420 | ) | (488,658 | ) | ||||||
Bluebird Bio, Inc. | (87,095 | ) | (3,644,645 | ) | (125,697 | ) | ||||||
BorgWarner, Inc. | (238,800 | ) | (9,807,516 | ) | 2,758,140 | |||||||
Bristol-Myers Squibb Co. | (20,459 | ) | (1,446,595 | ) | (58,165 | ) | ||||||
Brookdale Senior Living, Inc. | (420,263 | ) | (7,440,617 | ) | 951,757 | |||||||
Brown & Brown, Inc. | (133,720 | ) | (4,136,142 | ) | (874,346 | ) | ||||||
Brown-Forman Corp. | (26,566 | ) | (2,531,724 | ) | (118,501 | ) | ||||||
Buffalo Wild Wings, Inc. | (14,223 | ) | (2,210,982 | ) | 234,696 | |||||||
BWX Technologies, Inc. | (29,559 | ) | (891,928 | ) | (165,398 | ) | ||||||
Cabela’s, Inc. | (106,829 | ) | (4,915,842 | ) | (432,017 | ) | ||||||
Cable One, Inc. | (1,965 | ) | (825,852 | ) | (179,069 | ) | ||||||
Cabot Oil & Gas Corp. | (193,664 | ) | (3,049,910 | ) | (1,935,001 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
CalAtlantic Group, Inc. | (232,210 | ) | $ | (7,685,202 | ) | $ | (839,227 | ) | ||||
California Resources Corp. | (155,344 | ) | (2,582,305 | ) | 687,108 | |||||||
Calpine Corp. | (620,671 | ) | (8,793,535 | ) | (361,363 | ) | ||||||
CarMax, Inc. | (132,794 | ) | (6,789,996 | ) | 279,106 | |||||||
Carpenter Technology Corp. | (137,128 | ) | (3,735,674 | ) | (779,951 | ) | ||||||
Caterpillar, Inc. | (64,604 | ) | (4,192,800 | ) | (704,830 | ) | ||||||
CBOE Holdings, Inc. | (84,639 | ) | (5,417,748 | ) | (220,903 | ) | ||||||
CBS Corp. | (87,454 | ) | (4,068,360 | ) | (692,636 | ) | ||||||
CDK Global, Inc. | (16,243 | ) | (757,910 | ) | (143,414 | ) | ||||||
CEB, Inc. | (49,576 | ) | (2,955,131 | ) | (102,716 | ) | ||||||
Celgene Corp. | (12,261 | ) | (1,197,903 | ) | (11,399 | ) | ||||||
CenterPoint Energy, Inc. | (373,879 | ) | (6,766,974 | ) | (2,206,122 | ) | ||||||
Cerner Corp. | (119,004 | ) | (6,939,755 | ) | (33,880 | ) | ||||||
CF Industries Holdings, Inc. | (118,832 | ) | (3,732,001 | ) | 868,150 | |||||||
CH Robinson Worldwide, Inc. | (60,337 | ) | (3,730,543 | ) | (749,479 | ) | ||||||
Charles Schwab Corp. (The) | (286,576 | ) | (9,517,189 | ) | 2,263,950 | |||||||
Chemours Co. (The) | (565,625 | ) | (2,910,780 | ) | (1,749,970 | ) | ||||||
Cheniere Energy, Inc. | (149,393 | ) | (5,484,171 | ) | (125,536 | ) | ||||||
Chesapeake Energy Corp. | (712,177 | ) | (3,386,776 | ) | 338,658 | |||||||
Chevron Corp. | (50,997 | ) | (4,150,603 | ) | (1,195,412 | ) | ||||||
Chico’s FAS, Inc. | (227,892 | ) | (2,444,327 | ) | 3,604 | |||||||
Chipotle Mexican Grill, Inc. | (29,709 | ) | (15,181,737 | ) | 3,216,140 | |||||||
Choice Hotels International, Inc. | (14,446 | ) | (759,990 | ) | 72,072 | |||||||
Ciena Corp. | (158,840 | ) | (3,135,502 | ) | 157,252 | |||||||
Cimarex Energy Co. | (10,133 | ) | (859,730 | ) | (349,340 | ) | ||||||
Cincinnati Financial Corp. | (20,213 | ) | (1,173,229 | ) | (340,523 | ) | ||||||
CIT Group, Inc. | (47,994 | ) | (1,673,332 | ) | 141,844 | |||||||
CLARCOR, Inc. | (25,632 | ) | (1,173,595 | ) | (385,600 | ) | ||||||
Clean Harbors, Inc. | (28,499 | ) | (1,197,755 | ) | (287,328 | ) | ||||||
CNO Financial Group, Inc. | (66,340 | ) | (1,180,225 | ) | 21,929 | |||||||
Coach, Inc. | (74,370 | ) | (2,427,437 | ) | (602,397 | ) | ||||||
Cobalt International Energy, Inc. | (1,438,110 | ) | (6,046,436 | ) | 4,119,369 | |||||||
Coca-Cola Co. (The) | (76,462 | ) | (3,325,332 | ) | (140,690 | ) | ||||||
Cognex Corp. | (198,727 | ) | (6,792,916 | ) | (1,772,218 | ) | ||||||
Colfax Corp. | (188,517 | ) | (4,373,570 | ) | (614,590 | ) | ||||||
Colgate-Palmolive Co. | (203,431 | ) | (13,694,072 | ) | (1,197,077 | ) | ||||||
Comerica, Inc. | (140,927 | ) | (5,574,925 | ) | (221,403 | ) | ||||||
CommScope Holding Co., Inc. | (159,669 | ) | (3,587,638 | ) | (1,366,891 | ) | ||||||
CommVault Systems, Inc. | (104,665 | ) | (4,125,620 | ) | (394,861 | ) | ||||||
Compass Minerals International, Inc. | (92,698 | ) | (6,638,512 | ) | (238,753 | ) | ||||||
comScore, Inc. | (39,652 | ) | (1,169,066 | ) | 222,176 | |||||||
CONSOL Energy, Inc. | (184,087 | ) | (2,405,076 | ) | (556,884 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
246
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Copart, Inc. | (23,614 | ) | $ | (849,764 | ) | $ | (307,558 | ) | ||||
Corning, Inc. | (218,822 | ) | (3,859,094 | ) | (622,381 | ) | ||||||
CoStar Group, Inc. | (20,921 | ) | (4,067,187 | ) | (507,399 | ) | ||||||
Covanta Holding Corp. | (437,268 | ) | (6,775,621 | ) | (417,438 | ) | ||||||
Cree, Inc. | (59,490 | ) | (1,587,752 | ) | 133,816 | |||||||
Cullen/Frost Bankers, Inc. | (56,827 | ) | (2,577,548 | ) | (1,044,037 | ) | ||||||
Cypress Semiconductor Corp. | (949,949 | ) | (8,505,843 | ) | (1,516,119 | ) | ||||||
Dana Holding Corp. | (167,430 | ) | (2,164,919 | ) | 396,858 | |||||||
DaVita HealthCare Partners, Inc. | (115,552 | ) | (7,838,784 | ) | (1,095,696 | ) | ||||||
Deere & Co. | (58,721 | ) | (4,349,757 | ) | (408,993 | ) | ||||||
Devon Energy Corp. | (49,830 | ) | (1,244,501 | ) | (561,837 | ) | ||||||
DexCom, Inc. | (123,884 | ) | (8,645,672 | ) | (1,182,046 | ) | ||||||
Diebold, Inc. | (107,481 | ) | (3,099,673 | ) | 430,920 | |||||||
Discovery Communications, Inc. | (238,866 | ) | (6,324,955 | ) | 298,366 | |||||||
DISH Network Corp. | (82,925 | ) | (4,376,204 | ) | 30,934 | |||||||
Dolby Laboratories, Inc. | (51,064 | ) | (1,720,631 | ) | (722,781 | ) | ||||||
Dollar General Corp. | (32,822 | ) | (2,287,070 | ) | (798,198 | ) | ||||||
Dollar Tree, Inc. | (75,028 | ) | (5,746,456 | ) | (1,324,183 | ) | ||||||
Dominion Resources, Inc. | (210,434 | ) | (14,235,558 | ) | (2,163,564 | ) | ||||||
Domino’s Pizza, Inc. | (23,666 | ) | (2,689,700 | ) | (419,539 | ) | ||||||
Donaldson Co., Inc. | (214,050 | ) | (5,907,365 | ) | (1,447,393 | ) | ||||||
DreamWorks Animation SKG, Inc. | (80,269 | ) | (1,921,836 | ) | (1,358,758 | ) | ||||||
DSW, Inc. | (123,278 | ) | (2,899,043 | ) | 288,015 | |||||||
Duke Energy Corp. | (79,221 | ) | (5,585,081 | ) | (1,211,289 | ) | ||||||
Dunkin’ Brands Group, Inc. | (181,643 | ) | (7,467,796 | ) | (455,472 | ) | ||||||
E*TRADE Financial Corp. | (85,845 | ) | (2,571,058 | ) | 554,559 | |||||||
Eaton Corp plc | (55,968 | ) | (2,795,115 | ) | (547,853 | ) | ||||||
Eaton Vance Corp. | (153,229 | ) | (4,387,218 | ) | (1,027,895 | ) | ||||||
Ecolab, Inc. | (36,471 | ) | (4,205,106 | ) | (120,354 | ) | ||||||
Edgewell Personal Care Co. | (33,448 | ) | (2,416,190 | ) | (407,155 | ) | ||||||
Emerson Electric Co. | (119,618 | ) | (5,381,179 | ) | (858,096 | ) | ||||||
Envision Healthcare Holdings, Inc. | (407,378 | ) | (9,546,225 | ) | (788,955 | ) | ||||||
Estee Lauder Cos., Inc. (The) | (33,430 | ) | (2,982,290 | ) | (60,508 | ) | ||||||
Esterline Technologies Corp. | (59,592 | ) | (4,868,117 | ) | 1,171,029 | |||||||
Express Scripts Holding Co. | (24,189 | ) | (2,073,566 | ) | 240,040 | |||||||
Exxon Mobil Corp. | (54,910 | ) | (4,048,344 | ) | (1,098,919 | ) | ||||||
F5 Networks, Inc. | (23,894 | ) | (2,322,355 | ) | (397,738 | ) | ||||||
Fairchild Semiconductor International, Inc. | (23,805 | ) | (477,290 | ) | 4,761 | |||||||
Federated Investors, Inc. | (18,667 | ) | (530,796 | ) | (6,440 | ) | ||||||
FEI Co. | (34,784 | ) | (2,680,375 | ) | (1,037,339 | ) | ||||||
FireEye, Inc. | (229,025 | ) | (3,806,148 | ) | 34,106 | |||||||
First Data Corp. | (632,089 | ) | (7,765,404 | ) | 768,179 | |||||||
First Horizon National Corp. | (520,143 | ) | (6,824,717 | ) | (342,854 | ) | ||||||
First Republic Bank | (22,558 | ) | (1,493,620 | ) | (85,215 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
FleetCor Technologies, Inc. | (51,098 | ) | $ | (6,888,228 | ) | $ | (425,429 | ) | ||||
FLIR Systems, Inc. | (80,556 | ) | (2,447,411 | ) | (45,797 | ) | ||||||
Flowserve Corp. | (131,564 | ) | (5,321,371 | ) | (621,375 | ) | ||||||
Fluor Corp. | (55,382 | ) | (2,554,218 | ) | (175,007 | ) | ||||||
FMC Corp. | (293,395 | ) | (10,849,564 | ) | (2,737,559 | ) | ||||||
Fortinet, Inc. | (79,279 | ) | (2,387,542 | ) | (116,882 | ) | ||||||
Fossil Group, Inc. | (10,373 | ) | (295,594 | ) | (348 | ) | ||||||
Franklin Resources, Inc. | (63,989 | ) | (2,268,410 | ) | 133,097 | |||||||
Freeport-McMoRan, Inc. | (429,034 | ) | (2,478,104 | ) | (2,301,335 | ) | ||||||
Frontier Communications Corp. | (395,752 | ) | (1,895,652 | ) | (59,363 | ) | ||||||
FTI Consulting, Inc. | (12,234 | ) | (422,542 | ) | (75,137 | ) | ||||||
Gap, Inc. (The) | (175,799 | ) | (4,120,824 | ) | 390,369 | |||||||
Gartner, Inc. | (35,278 | ) | (3,039,978 | ) | (396,452 | ) | ||||||
GCP Applied Technologies, Inc. | (32,853 | ) | (1,559,439 | ) | 703,947 | |||||||
General Electric Co. | (132,907 | ) | (4,060,309 | ) | (123,604 | ) | ||||||
Genesee & Wyoming, Inc. | (158,331 | ) | (8,165,465 | ) | (1,168,148 | ) | ||||||
Gentex Corp. | (214,872 | ) | (2,979,305 | ) | (340,468 | ) | ||||||
Genworth Financial, Inc. | (1,621,487 | ) | (5,702,509 | ) | 1,519,073 | |||||||
GNC Holdings, Inc. | (161,983 | ) | (4,951,027 | ) | 1,016,460 | |||||||
Graco, Inc. | (41,951 | ) | (2,861,989 | ) | (451,720 | ) | ||||||
Granite Construction, Inc. | (7,431 | ) | (281,370 | ) | (57,112 | ) | ||||||
Greif, Inc. | (49,504 | ) | (1,394,948 | ) | (450,066 | ) | ||||||
Groupon, Inc. | (118,406 | ) | (308,361 | ) | (76,458 | ) | ||||||
H&R Block, Inc. | (93,427 | ) | (1,998,366 | ) | (150,455 | ) | ||||||
Hain Celestial Group, Inc. (The) | (214,154 | ) | (8,062,293 | ) | (2,591,868 | ) | ||||||
Halliburton Co. | (143,120 | ) | (4,777,458 | ) | (1,704,447 | ) | ||||||
Halyard Health, Inc. | (39,793 | ) | (1,165,515 | ) | (128,554 | ) | ||||||
Harley-Davidson, Inc. | (41,996 | ) | (1,850,785 | ) | (51,634 | ) | ||||||
Harman International Industries, Inc. | (16,468 | ) | (1,338,871 | ) | 156,139 | |||||||
Henry Schein, Inc. | (11,806 | ) | (1,832,291 | ) | (255,010 | ) | ||||||
Hershey Co. (The) | (104,791 | ) | (9,186,452 | ) | (2,706,278 | ) | ||||||
Hertz Global Holdings, Inc. | (162,108 | ) | (2,335,976 | ) | 541,441 | |||||||
Hexcel Corp. | (37,421 | ) | (1,705,661 | ) | 147,451 | |||||||
Hilton Worldwide Holdings, Inc. | (231,138 | ) | (5,112,773 | ) | (94,767 | ) | ||||||
Huntington Bancshares, Inc. | (42,502 | ) | (472,622 | ) | 92,654 | |||||||
Huntsman Corp. | (43,612 | ) | (363,109 | ) | (223,472 | ) | ||||||
IDEX Corp. | (10,858 | ) | (774,140 | ) | (117,301 | ) | ||||||
IDEXX Laboratories, Inc. | (98,823 | ) | (6,911,830 | ) | (2,264,874 | ) | ||||||
Illinois Tool Works, Inc. | (17,277 | ) | (1,535,027 | ) | (264,545 | ) | ||||||
Illumina, Inc. | (85,889 | ) | (14,766,777 | ) | 2,709,680 | |||||||
Incyte Corp. | (83,489 | ) | (7,260,041 | ) | 582,590 | |||||||
International Paper Co. | (49,838 | ) | (1,682,700 | ) | (429,434 | ) | ||||||
Intersil Corp. | (142,321 | ) | (1,750,081 | ) | (176,946 | ) | ||||||
Intuitive Surgical, Inc. | (2,403 | ) | (1,295,385 | ) | (293,983 | ) | ||||||
Invesco Ltd. | (30,156 | ) | (933,173 | ) | 162,989 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
247
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
IPG Photonics Corp. | (5,148 | ) | $ | (443,970 | ) | $ | 32,130 | |||||
ITC Holdings Corp. | (242,785 | ) | (9,450,972 | ) | (1,916,222 | ) | ||||||
Janus Capital Group, Inc. | (49,473 | ) | (681,736 | ) | (6,928 | ) | ||||||
JB Hunt Transport Services, Inc. | (42,511 | ) | (3,024,126 | ) | (416,290 | ) | ||||||
Johnson Controls, Inc. | (13,043 | ) | (583,115 | ) | 5,832 | |||||||
Joy Global, Inc. | (284,715 | ) | (2,651,164 | ) | (3,367,711 | ) | ||||||
Kansas City Southern | (110,287 | ) | (7,882,074 | ) | (2,053,682 | ) | ||||||
Kate Spade & Co. | (399,421 | ) | (7,199,891 | ) | (1,032,176 | ) | ||||||
KBR, Inc. | (248,966 | ) | (4,232,422 | ) | 936,112 | |||||||
Kellogg Co. | (83,717 | ) | (5,992,992 | ) | (842,501 | ) | ||||||
Kennametal, Inc. | (235,404 | ) | (4,062,333 | ) | (1,142,450 | ) | ||||||
Keysight Technologies, Inc. | (57,602 | ) | (1,482,567 | ) | (193,075 | ) | ||||||
Kinder Morgan, Inc. | (281,920 | ) | (4,397,829 | ) | (879,713 | ) | ||||||
KLX, Inc. | (121,070 | ) | (3,713,885 | ) | (39,285 | ) | ||||||
Knowles Corp. | (151,025 | ) | (1,878,562 | ) | (187,460 | ) | ||||||
Kosmos Energy Ltd. | (121,108 | ) | (620,284 | ) | (39,755 | ) | ||||||
Laboratory Corp. of America Holdings | (19,299 | ) | (2,348,302 | ) | (165,778 | ) | ||||||
Landstar System, Inc. | (45,633 | ) | (2,602,981 | ) | (530,180 | ) | ||||||
Legg Mason, Inc. | (200,641 | ) | (6,610,972 | ) | 694,069 | |||||||
LendingClub Corp. | (379,388 | ) | (1,452,866 | ) | (178,502 | ) | ||||||
Leucadia National Corp. | (277,373 | ) | (4,503,422 | ) | (303,452 | ) | ||||||
Liberty Broadband Corp. | (58,757 | ) | (3,052,587 | ) | (472,833 | ) | ||||||
Lincoln Electric Holdings, Inc. | (40,653 | ) | (2,061,332 | ) | (340,448 | ) | ||||||
Linear Technology Corp. | (100,599 | ) | (4,284,408 | ) | (396,463 | ) | ||||||
LinkedIn Corp. | (31,030 | ) | (5,543,736 | ) | (328,692 | ) | ||||||
Lions Gate Entertainment Corp. | (402,382 | ) | (9,403,930 | ) | 1,263,742 | |||||||
Live Nation Entertainment, Inc. | (201,592 | ) | (4,758,482 | ) | 21,070 | |||||||
Loews Corp. | (246,133 | ) | (9,048,416 | ) | (1,065,189 | ) | ||||||
M&T Bank Corp. | (52,233 | ) | (5,648,824 | ) | (526,684 | ) | ||||||
Macy’s, Inc. | (116,028 | ) | (4,202,256 | ) | 302,555 | |||||||
Manitowoc Co., Inc. (The) | (53,450 | ) | (385,216 | ) | 93,914 | |||||||
Manitowoc Foodservice, Inc. | (391,251 | ) | (3,020,282 | ) | (3,873,561 | ) | ||||||
Marathon Oil Corp. | (116,862 | ) | (1,266,387 | ) | (487,712 | ) | ||||||
Marsh & McLennan Cos., Inc. | (224,840 | ) | (12,208,659 | ) | (3,183,887 | ) | ||||||
MasterCard, Inc. | (77,044 | ) | (7,616,162 | ) | 831,668 | |||||||
Maxim Integrated Products, Inc. | (48,976 | ) | (1,620,738 | ) | (127,215 | ) | ||||||
McDonald’s Corp. | (19,347 | ) | (2,273,273 | ) | (54,945 | ) | ||||||
McKesson Corp. | (8,528 | ) | (1,514,947 | ) | (76,804 | ) | ||||||
MDC Holdings, Inc. | (15,956 | ) | (396,983 | ) | 8,614 | |||||||
MDU Resources Group, Inc. | (310,883 | ) | (5,204,992 | ) | (2,256,200 | ) | ||||||
Mead Johnson Nutrition Co. | (158,587 | ) | (11,960,396 | ) | (2,431,374 | ) | ||||||
Mercury General Corp. | (23,547 | ) | (1,063,378 | ) | (188,381 | ) | ||||||
Mettler-Toledo International, Inc. | (5,750 | ) | (1,791,991 | ) | (306,299 | ) | ||||||
MGM Resorts International | (88,245 | ) | (1,892,855 | ) | (104,129 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Michaels Cos., Inc. (The) | (37,666 | ) | $ | (828,302 | ) | $ | (242,919 | ) | ||||
Microchip Technology, Inc. | (51,690 | ) | (2,166,027 | ) | (457,757 | ) | ||||||
Micron Technology, Inc. | (52,443 | ) | (503,196 | ) | (218,420 | ) | ||||||
Microsemi Corp. | (8,885 | ) | (301,937 | ) | 11,575 | |||||||
Middleby Corp. (The) | (40,586 | ) | (3,837,869 | ) | (839,668 | ) | ||||||
Monster Beverage Corp. | (20,823 | ) | (2,709,034 | ) | (637,430 | ) | ||||||
Moody’s Corp. | (7,230 | ) | (622,678 | ) | (54,845 | ) | ||||||
Motorola Solutions, Inc. | (20,961 | ) | (1,396,317 | ) | 13,520 | |||||||
Nabors Industries Ltd. | (431,137 | ) | (3,373,500 | ) | (959,427 | ) | ||||||
National Fuel Gas Co. | (17,792 | ) | (798,596 | ) | (213,413 | ) | ||||||
National Instruments Corp. | (113,108 | ) | (3,199,703 | ) | 100,544 | |||||||
National Oilwell Varco, Inc. | (153,310 | ) | (4,730,239 | ) | (428,642 | ) | ||||||
Navient Corp. | (240,864 | ) | (2,330,730 | ) | (547,595 | ) | ||||||
NCR Corp. | (61,444 | ) | (1,572,966 | ) | (133,333 | ) | ||||||
NetApp, Inc. | (168,162 | ) | (4,428,627 | ) | 293,523 | |||||||
Netflix, Inc. | (17,423 | ) | (1,861,278 | ) | 267,422 | |||||||
NetScout Systems, Inc. | (305,577 | ) | (7,050,119 | ) | 251,031 | |||||||
NetSuite, Inc. | (109,307 | ) | (8,457,759 | ) | 500,209 | |||||||
New York Times Co. (The) | (64,988 | ) | (869,539 | ) | 83,185 | |||||||
Newell Brands, Inc. | (51,967 | ) | (2,020,118 | ) | (503,919 | ) | ||||||
News Corp. | (79,253 | ) | (988,477 | ) | 88,956 | |||||||
Nielsen Holdings plc | (16,963 | ) | (784,185 | ) | (97,382 | ) | ||||||
Noble Energy, Inc. | (85,103 | ) | (2,656,916 | ) | (395,729 | ) | ||||||
Nordson Corp. | (66,259 | ) | (3,933,964 | ) | (1,605,951 | ) | ||||||
NorthStar Asset Management Group, Inc. | (560,652 | ) | (6,402,987 | ) | 678,730 | |||||||
NOW, Inc. | (62,429 | ) | (1,113,393 | ) | (19,069 | ) | ||||||
NRG Energy, Inc. | (670,300 | ) | (7,440,357 | ) | (2,607,440 | ) | ||||||
Nucor Corp. | (200,145 | ) | (7,463,393 | ) | (2,425,771 | ) | ||||||
Occidental Petroleum Corp. | (136,320 | ) | (8,240,175 | ) | (2,060,164 | ) | ||||||
Ocwen Financial Corp. | (60,158 | ) | (400,652 | ) | 297,782 | |||||||
Office Depot, Inc. | (285,443 | ) | (1,000,760 | ) | 55,944 | |||||||
OGE Energy Corp. | (539,881 | ) | (13,863,231 | ) | (3,817,872 | ) | ||||||
Oil States International, Inc. | (49,106 | ) | (1,369,543 | ) | (245,062 | ) | ||||||
Old Dominion Freight Line, Inc. | (42,576 | ) | (2,379,959 | ) | (187,799 | ) | ||||||
Olin Corp. | (398,771 | ) | (6,682,774 | ) | (3,222,698 | ) | ||||||
ONEOK, Inc. | (42,239 | ) | (851,962 | ) | (1,152,279 | ) | ||||||
Oracle Corp. | (91,854 | ) | (3,226,983 | ) | (532,601 | ) | ||||||
Owens-Illinois, Inc. | (384,042 | ) | (5,573,664 | ) | (1,342,933 | ) | ||||||
PacWest Bancorp | (131,096 | ) | (4,959,961 | ) | (255,038 | ) | ||||||
Palo Alto Networks, Inc. | (41,214 | ) | (6,487,911 | ) | 1,433,426 | |||||||
Pandora Media, Inc. | (529,159 | ) | (5,839,497 | ) | (748,532 | ) | ||||||
Panera Bread Co. | (12,663 | ) | (2,365,764 | ) | (318,032 | ) | ||||||
Parker-Hannifin Corp. | (7,118 | ) | (676,611 | ) | (92,489 | ) | ||||||
Patterson Cos., Inc. | (123,266 | ) | (5,235,831 | ) | (667,378 | ) | ||||||
PayPal Holdings, Inc. | (154,751 | ) | (5,502,079 | ) | (147,880 | ) | ||||||
PerkinElmer, Inc. | (13,240 | ) | (687,686 | ) | (6,355 | ) | ||||||
Pitney Bowes, Inc. | (79,939 | ) | (1,602,144 | ) | 179,230 | |||||||
Platform Specialty Products Corp. | (783,369 | ) | (7,534,238 | ) | 577,922 | |||||||
PolyOne Corp. | (24,325 | ) | (738,915 | ) | (118,298 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
248
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
PPG Industries, Inc. | (14,289 | ) | $ | (1,342,531 | ) | $ | (145,668 | ) | ||||
Praxair, Inc. | (91,540 | ) | (9,326,548 | ) | (961,632 | ) | ||||||
Premier, Inc. | (129,100 | ) | (4,263,343 | ) | 41,773 | |||||||
Priceline Group, Inc. (The) | (1,779 | ) | (2,337,143 | ) | 116,222 | |||||||
Primerica, Inc. | (31,060 | ) | (1,340,741 | ) | (437,133 | ) | ||||||
Principal Financial Group, Inc. | (154,497 | ) | (6,559,758 | ) | 208,386 | |||||||
ProAssurance Corp. | (25,427 | ) | (1,233,281 | ) | (128,334 | ) | ||||||
Prosperity Bancshares, Inc. | (74,622 | ) | (3,059,219 | ) | (745,757 | ) | ||||||
PTC, Inc. | (70,733 | ) | (2,200,994 | ) | (457,152 | ) | ||||||
PulteGroup, Inc. | (91,196 | ) | (1,478,457 | ) | (298,953 | ) | ||||||
PVH Corp. | (13,553 | ) | (1,004,142 | ) | (272,957 | ) | ||||||
Qorvo, Inc. | (43,282 | ) | (2,036,633 | ) | (355,130 | ) | ||||||
QUALCOMM, Inc. | (80,348 | ) | (3,819,744 | ) | (484,498 | ) | ||||||
Quanta Services, Inc. | (116,442 | ) | (2,291,453 | ) | (400,686 | ) | ||||||
Range Resources Corp. | (6,893 | ) | (267,017 | ) | (30,347 | ) | ||||||
Regal Beloit Corp. | (14,352 | ) | (783,499 | ) | (6,579 | ) | ||||||
Regeneron Pharmaceuticals, Inc. | (1,780 | ) | (714,626 | ) | 92,996 | |||||||
Rent-A-Center, Inc. | (62,016 | ) | (896,538 | ) | 134,982 | |||||||
ResMed, Inc. | (37,030 | ) | (2,108,636 | ) | (232,771 | ) | ||||||
Restoration Hardware Holdings, Inc. | (77,253 | ) | (2,533,323 | ) | 317,707 | |||||||
Rice Energy, Inc. | (64,776 | ) | (627,527 | ) | (800,136 | ) | ||||||
Robert Half International, Inc. | (36,785 | ) | (1,603,788 | ) | 200,073 | |||||||
Rockwell Collins, Inc. | (16,239 | ) | (1,448,375 | ) | 65,787 | |||||||
Rollins, Inc. | (41,536 | ) | (1,058,089 | ) | (157,670 | ) | ||||||
Roper Technologies, Inc. | (26,661 | ) | (4,921,621 | ) | 374,320 | |||||||
RPC, Inc. | (25,698 | ) | (307,143 | ) | (91,947 | ) | ||||||
RR Donnelley & Sons Co. | (85,172 | ) | (1,118,590 | ) | (322,520 | ) | ||||||
salesforce.com, Inc. | (65,518 | ) | (5,138,577 | ) | (64,208 | ) | ||||||
Sally Beauty Holdings, Inc. | (134,207 | ) | (3,766,990 | ) | (180,038 | ) | ||||||
Santander Consumer USA Holdings, Inc. | (124,530 | ) | (1,293,824 | ) | 7,429 | |||||||
SBA Communications Corp. | (58,196 | ) | (5,878,378 | ) | (403,298 | ) | ||||||
Schlumberger Ltd. | (70,504 | ) | (4,805,285 | ) | (770,171 | ) | ||||||
Seagate Technology plc | (145,486 | ) | (3,996,245 | ) | 452,206 | |||||||
Sealed Air Corp. | (65,616 | ) | (2,739,582 | ) | (276,785 | ) | ||||||
Seattle Genetics, Inc. | (116,473 | ) | (4,667,564 | ) | (39,110 | ) | ||||||
Sempra Energy | (133,444 | ) | (12,760,518 | ) | (2,454,767 | ) | ||||||
ServiceNow, Inc. | (50,029 | ) | (3,713,015 | ) | 391,090 | |||||||
Signet Jewelers Ltd. | (30,027 | ) | (3,644,450 | ) | 1,169,925 | |||||||
Silgan Holdings, Inc. | (34,072 | ) | (1,790,232 | ) | 36,887 | |||||||
Silicon Laboratories, Inc. | (20,870 | ) | (997,450 | ) | (19,753 | ) | ||||||
Sirius XM Holdings, Inc. | (1,694,711 | ) | (6,812,737 | ) | 118,629 | |||||||
Six Flags Entertainment Corp. | (76,633 | ) | (4,079,316 | ) | (361,567 | ) | ||||||
SLM Corp. | (1,159,288 | ) | (7,224,304 | ) | 59,905 | |||||||
Sotheby’s | (225,383 | ) | (5,838,512 | ) | (336,982 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Southwestern Energy Co. | (64,757 | ) | $ | (748,436 | ) | $ | (66,208 | ) | ||||
Spectra Energy Corp. | (255,586 | ) | (5,921,668 | ) | (3,440,447 | ) | ||||||
Spirit Airlines, Inc. | (51,121 | ) | (2,155,101 | ) | (138,699 | ) | ||||||
Splunk, Inc. | (159,022 | ) | (8,535,403 | ) | (80,409 | ) | ||||||
Sprouts Farmers Market, Inc. | (408,281 | ) | (10,488,736 | ) | 1,139,102 | |||||||
SPX Corp. | (177,612 | ) | (2,095,048 | ) | (542,490 | ) | ||||||
Staples, Inc. | (339,959 | ) | (3,131,970 | ) | 201,523 | |||||||
Starbucks Corp. | (37,873 | ) | (2,265,160 | ) | 101,855 | |||||||
Steel Dynamics, Inc. | (46,946 | ) | (827,761 | ) | (322,416 | ) | ||||||
Stericycle, Inc. | (57,629 | ) | (6,859,149 | ) | 858,817 | |||||||
Stifel Financial Corp. | (91,351 | ) | (3,206,631 | ) | 333,642 | |||||||
SunPower Corp. | (188,147 | ) | (4,078,421 | ) | 1,164,024 | |||||||
Superior Energy Services, Inc. | (424,069 | ) | (5,348,262 | ) | (2,458,849 | ) | ||||||
SVB Financial Group | (76,367 | ) | (7,888,341 | ) | 621,257 | |||||||
Synovus Financial Corp. | (119,718 | ) | (3,790,108 | ) | 319,483 | |||||||
T Rowe Price Group, Inc. | (25,565 | ) | (1,776,507 | ) | (88,971 | ) | ||||||
Targa Resources Corp. | (188,987 | ) | (5,266,425 | ) | (2,697,487 | ) | ||||||
TCF Financial Corp. | (120,955 | ) | (1,580,635 | ) | 50,554 | |||||||
Tempur Sealy International, Inc. | (74,942 | ) | (5,482,012 | ) | 1,336,220 | |||||||
Tenet Healthcare Corp. | (271,685 | ) | (7,506,657 | ) | (2,717 | ) | ||||||
Teradata Corp. | (192,315 | ) | (4,966,387 | ) | 145,050 | |||||||
TerraForm Power, Inc. | (365,773 | ) | (3,527,760 | ) | (459,166 | ) | ||||||
Texas Instruments, Inc. | (30,081 | ) | (1,700,459 | ) | (184,115 | ) | ||||||
Tiffany & Co. | (110,110 | ) | (8,021,483 | ) | 1,344,413 | |||||||
Time Warner, Inc. | (17,024 | ) | (1,201,882 | ) | (50,062 | ) | ||||||
Timken Co. (The) | (49,862 | ) | (1,262,480 | ) | (266,289 | ) | ||||||
Toll Brothers, Inc. | (57,863 | ) | (1,818,208 | ) | 261,115 | |||||||
TransDigm Group, Inc. | (31,483 | ) | (7,015,155 | ) | (1,286,597 | ) | ||||||
TreeHouse Foods, Inc. | (69,203 | ) | (5,304,508 | ) | (1,799,180 | ) | ||||||
TRI Pointe Group, Inc. | (124,490 | ) | (1,280,331 | ) | (191,141 | ) | ||||||
Trimble Navigation Ltd. | (352,383 | ) | (7,727,756 | ) | (856,293 | ) | ||||||
TripAdvisor, Inc. | (58,793 | ) | (5,019,746 | ) | 1,239,356 | |||||||
Triumph Group, Inc. | (104,147 | ) | (2,688,831 | ) | (1,008,387 | ) | ||||||
Twenty-First Century Fox, Inc. | (82,792 | ) | (2,275,938 | ) | 36,414 | |||||||
Twitter, Inc. | (343,795 | ) | (6,311,018 | ) | 497,445 | |||||||
Ultimate Software Group, Inc. (The) | (6,495 | ) | (1,214,638 | ) | (151,196 | ) | ||||||
Umpqua Holdings Corp. | (87,894 | ) | (1,389,433 | ) | 29,713 | |||||||
Under Armour, Inc. | (43,777 | ) | (1,676,270 | ) | (80,501 | ) | ||||||
Union Pacific Corp. | (137,738 | ) | (10,651,280 | ) | (1,366,361 | ) | ||||||
United Natural Foods, Inc. | (54,033 | ) | (2,061,944 | ) | (466,801 | ) | ||||||
United Rentals, Inc. | (73,169 | ) | (4,895,006 | ) | (14,634 | ) | ||||||
United Technologies Corp. | (76,558 | ) | (7,173,612 | ) | (677,410 | ) | ||||||
Urban Outfitters, Inc. | (132,228 | ) | (3,111,019 | ) | (525,251 | ) | ||||||
USG Corp. | (182,801 | ) | (4,395,836 | ) | (532,479 | ) | ||||||
Valley National Bancorp | (207,223 | ) | (1,845,458 | ) | (44,416 | ) | ||||||
Varian Medical Systems, Inc. | (3,775 | ) | (293,700 | ) | (16,718 | ) | ||||||
VCA, Inc. | (32,121 | ) | (1,632,722 | ) | (538,979 | ) | ||||||
Veeva Systems, Inc. | (226,471 | ) | (5,855,155 | ) | (1,872,036 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
249
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
VeriFone Systems, Inc. | (180,841 | ) | $ | (4,792,715 | ) | $ | 1,439,923 | |||||
Verisk Analytics, Inc. | (11,276 | ) | (866,995 | ) | (47,263 | ) | ||||||
Vertex Pharmaceuticals, Inc. | (125,859 | ) | (13,280,282 | ) | 2,453,890 | |||||||
VF Corp. | (42,820 | ) | (2,534,579 | ) | (98,423 | ) | ||||||
Viacom, Inc. | (40,185 | ) | (1,599,363 | ) | (67,109 | ) | ||||||
Viavi Solutions, Inc. | (663,726 | ) | (3,803,351 | ) | (597,152 | ) | ||||||
Visteon Corp. | (21,819 | ) | (2,512,458 | ) | 1,076,549 | |||||||
WABCO Holdings, Inc. | (31,966 | ) | (3,164,814 | ) | 237,688 | |||||||
Wabtec Corp. | (7,407 | ) | (587,993 | ) | 67,799 | |||||||
Waddell & Reed Financial, Inc. | (89,533 | ) | (2,444,316 | ) | 902,558 | |||||||
Walgreens Boots Alliance, Inc. | (13,323 | ) | (1,110,101 | ) | 695 | |||||||
Watsco, Inc. | (3,477 | ) | (402,058 | ) | (87,121 | ) | ||||||
Webster Financial Corp. | (8,614 | ) | (318,886 | ) | 26,440 | |||||||
WEC Energy Group, Inc. | (216,575 | ) | (11,554,863 | ) | (2,587,484 | ) | ||||||
Wendy’s Co. (The) | (268,639 | ) | (2,732,345 | ) | 148,038 | |||||||
WESCO International, Inc. | (53,351 | ) | (2,104,283 | ) | (642,760 | ) | ||||||
WestRock Co. | (42,283 | ) | (1,370,330 | ) | (273,211 | ) | ||||||
WEX, Inc. | (50,722 | ) | (4,069,395 | ) | (428,124 | ) | ||||||
WhiteWave Foods Co. (The) | (352,767 | ) | (13,167,856 | ) | (3,391,027 | ) | ||||||
Whole Foods Market, Inc. | (142,455 | ) | (4,668,975 | ) | 107,566 | |||||||
Williams-Sonoma, Inc. | (56,633 | ) | (3,004,546 | ) | 52,268 | |||||||
WisdomTree Investments, Inc. | (796,866 | ) | (11,259,407 | ) | 3,458,089 | |||||||
Workday, Inc. | (90,227 | ) | (6,993,324 | ) | 256,074 | |||||||
WR Grace & Co. | (88,512 | ) | (4,574,166 | ) | (1,905,798 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Wynn Resorts Ltd. | (61,191 | ) | $ | (3,653,833 | ) | $ | (1,892,519 | ) | ||||
Yahoo!, Inc. | (295,011 | ) | (9,684,208 | ) | (1,396,405 | ) | ||||||
Yelp, Inc. | (160,788 | ) | (4,051,031 | ) | (830,492 | ) | ||||||
Yum! Brands, Inc. | (76,178 | ) | (5,497,005 | ) | (819,675 | ) | ||||||
Zayo Group Holdings, Inc. | (68,569 | ) | (1,853,009 | ) | (62,124 | ) | ||||||
Zebra Technologies Corp. | (138,286 | ) | (7,905,381 | ) | 977,252 | |||||||
Zions Bancorporation | (484,673 | ) | (12,346,861 | ) | 167,028 | |||||||
Zoetis, Inc. | (120,029 | ) | (5,484,200 | ) | (212,376 | ) | ||||||
Zynga, Inc. | (1,356,479 | ) | (3,519,094 | ) | 141,462 | |||||||
|
| |||||||||||
(120,778,371 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (116,864,726 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (791,058 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | (4,536,427 | ) | ||||||||||
|
| |||||||||||
Swaps, at Value | $ | (5,327,485 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Total Return Basket Swaps Outstanding at June 30, 2016
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps. | 1-61 months maturity ranging from 07/20/2016 -12/21/2020 | $(9,240,453 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Aeroports de Paris | 6,125 | $ | 727,598 | $ | (56,478 | ) | ||||||
Air France-KLM | 460,257 | 3,950,507 | (1,045,905 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Atos SE | 67,373 | $ | 5,647,830 | $ | (92,997 | ) | ||||||
AXA SA | 298,545 | 7,854,817 | (1,951,802 | ) | ||||||||
BNP Paribas SA | 161,062 | 8,673,288 | (1,609,829 | ) | ||||||||
Capgemini SA | 75,191 | 7,142,085 | (653,642 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
250
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Christian Dior SE | 20,120 | $ | 3,468,220 | $ | (245,161 | ) | ||||||
Cie Generale des Etablissements Michelin | 81,963 | 7,816,356 | (92,112 | ) | ||||||||
CNP Assurances | 32,325 | 462,872 | 14,043 | |||||||||
Credit Agricole SA | 103,349 | 1,223,531 | (354,683 | ) | ||||||||
Danone SA | 7,238 | 505,221 | 1,313 | |||||||||
Dassault Systemes | 13,349 | 1,106,430 | (99,969 | ) | ||||||||
Eiffage SA | 22,154 | 1,451,546 | 123,383 | |||||||||
Electricite de France SA | 26,358 | 377,213 | (57,616 | ) | ||||||||
Eutelsat Communications SA | 80,751 | 2,536,161 | (1,011,978 | ) | ||||||||
Imerys SA | 11,999 | 821,171 | (55,564 | ) | ||||||||
Ipsen SA | 19,572 | 1,189,098 | 10,096 | |||||||||
Lagardere SCA | 83,042 | 2,414,260 | (607,926 | ) | ||||||||
L’Oreal SA | 7,254 | 1,294,491 | 94,312 | |||||||||
Orange SA | 369,842 | 6,553,528 | (539,709 | ) | ||||||||
Orpea | 7,503 | 618,045 | (2,824 | ) | ||||||||
Peugeot SA | 364,442 | 6,232,904 | (1,864,669 | ) | ||||||||
Publicis Groupe SA | 28,684 | 1,776,718 | 142,311 | |||||||||
Rexel SA | 27,366 | 360,122 | (16,066 | ) | ||||||||
Safran SA | 24,423 | 1,719,923 | (75,234 | ) | ||||||||
Sanofi | 64,773 | 5,712,270 | (330,753 | ) | ||||||||
SCOR SE | 155,894 | 5,808,288 | (1,199,275 | ) | ||||||||
SEB SA | 14,688 | 1,512,814 | 258,209 | |||||||||
Societe BIC SA | 13,285 | 2,260,401 | (388,620 | ) | ||||||||
Societe Generale SA | 197,005 | 8,393,827 | (2,230,346 | ) | ||||||||
Sodexo SA | 31,244 | 3,100,121 | 247,030 | |||||||||
Suez | 117,259 | 2,284,411 | (455,462 | ) | ||||||||
Teleperformance | 51,910 | 4,424,056 | (2,255 | ) | ||||||||
Television Francaise 1 | 24,400 | 274,666 | (16,263 | ) | ||||||||
Thales SA | 71,786 | 5,647,759 | 313,657 | |||||||||
Valeo SA | 88,818 | 4,203,478 | (260,484 | ) | ||||||||
Veolia Environnement SA | 415,108 | 9,918,255 | (954,155 | ) | ||||||||
Vinci SA | 57,802 | 3,800,757 | 278,149 | |||||||||
|
| |||||||||||
(14,789,274 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (14,789,274 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Accor SA | (89,745 | ) | (3,621,884 | ) | 183,202 | |||||||
Air Liquide SA | (16,235 | ) | (1,695,900 | ) | 4,511 | |||||||
Airbus Group SE | (48,017 | ) | (3,477,019 | ) | 724,688 | |||||||
Alstom SA | (82,194 | ) | (2,055,617 | ) | 157,878 | |||||||
Arkema SA | (12,221 | ) | (882,589 | ) | (51,740 | ) | ||||||
Bollore SA | (616,741 | ) | (2,821,528 | ) | 745,259 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Bureau Veritas SA | (133,103 | ) | $ | (2,614,138 | ) | $ | (180,365 | ) | ||||
Carrefour SA | (66,079 | ) | (1,939,767 | ) | 314,512 | |||||||
Cie de Saint-Gobain | (50,148 | ) | (2,207,902 | ) | 307,012 | |||||||
Edenred | (178,766 | ) | (3,216,238 | ) | (444,193 | ) | ||||||
Engie SA | (205,341 | ) | (3,668,082 | ) | 370,992 | |||||||
Essilor International SA | (30,323 | ) | (3,681,928 | ) | (303,396 | ) | ||||||
Faurecia | (8,299 | ) | (327,061 | ) | 63,588 | |||||||
Hermes International | (19,682 | ) | (6,815,027 | ) | (521,995 | ) | ||||||
Iliad SA | (15,338 | ) | (3,703,335 | ) | 607,142 | |||||||
Ingenico Group SA | (11,737 | ) | (1,367,923 | ) | 7,547 | |||||||
JCDecaux SA | (10,705 | ) | (426,140 | ) | 65,201 | |||||||
Kering | (15,849 | ) | (2,587,262 | ) | 35,857 | |||||||
Legrand SA | (5,907 | ) | (343,411 | ) | 41,024 | |||||||
LVMH Moet Hennessy Louis Vuitton SE | (37,065 | ) | (6,052,289 | ) | 465,306 | |||||||
Natixis SA | (850,171 | ) | (4,423,780 | ) | 1,224,699 | |||||||
Numericable-SFR SA | (53,405 | ) | (1,980,435 | ) | 645,854 | |||||||
Pernod Ricard SA | (35,451 | ) | (4,035,408 | ) | 110,402 | |||||||
Plastic Omnium SA | (61,237 | ) | (1,945,473 | ) | 233,529 | |||||||
Remy Cointreau SA | (61,393 | ) | (4,388,475 | ) | (896,300 | ) | ||||||
Renault SA | (7,447 | ) | (756,301 | ) | 194,071 | |||||||
Schneider Electric SE | (57,325 | ) | (3,401,870 | ) | 57,489 | |||||||
Technip SA | (64,286 | ) | (3,093,577 | ) | (385,902 | ) | ||||||
TOTAL SA | (140,514 | ) | (6,341,075 | ) | (397,418 | ) | ||||||
Vallourec SA | (632,598 | ) | (2,787,922 | ) | 550,456 | |||||||
Vivendi SA | (318,378 | ) | (6,679,490 | ) | 723,045 | |||||||
Zodiac Aerospace | (279,108 | ) | (6,069,905 | ) | (441,260 | ) | ||||||
|
| |||||||||||
4,210,695 | ||||||||||||
|
| |||||||||||
Luxembourg | ||||||||||||
SES SA | (57,583 | ) | (1,571,767 | ) | 339,055 | |||||||
|
| |||||||||||
Total of Short Equity Positions | 4,549,750 | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (10,239,524 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 999,071 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (9,240,453 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
251
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
BANA | ||||||||||||
Investment Companies | $9,060,000 | $— | $9,060,000 | |||||||||
| ||||||||||||
BARC | ||||||||||||
Cash | — | 142,073,930 | 142,073,930 | |||||||||
| ||||||||||||
CITI | ||||||||||||
Cash | (7,390,000 | ) | — | (7,390,000 | ) | |||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | 1,964,198 | 1,964,198 | |||||||||
U.S. Treasury Bills | — | 67,805,255 | 67,805,255 | |||||||||
| ||||||||||||
GSIN | ||||||||||||
Investment Companies | 426,610,000 | — | 426,610,000 | |||||||||
| ||||||||||||
JPMC | ||||||||||||
Cash | 43,470,000 | — | 43,470,000 | |||||||||
| ||||||||||||
JPMS | ||||||||||||
Cash | — | 36,376,364 | 36,376,364 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | 3,283,378 | 3,283,378 | |||||||||
|
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
CITI | ||||||||||||
Cash | $(5,801,000 | ) | $— | $(5,801,000 | ) | |||||||
| ||||||||||||
DTBK | ||||||||||||
Cash | (4,700,000 | ) | — | (4,700,000 | ) | |||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | 693,675 | 693,675 | |||||||||
| ||||||||||||
JPPC | ||||||||||||
Cash | — | 9,630,607 | 9,630,607 | |||||||||
| ||||||||||||
MACQ | ||||||||||||
Investment Companies | 9,220,024 | — | 9,220,024 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | 39,911,277 | 39,911,277 | |||||||||
| ||||||||||||
SOCG | ||||||||||||
Cash | (1,350,000 | ) | — | (1,350,000 | ) | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
252
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
LONG INVESTMENTS - 104.1% | SHARES | VALUE (Note 5) | ||||||
COMMON STOCKS - 13.0% | ||||||||
Belgium - 0.2% | ||||||||
Ageas (a) | 6,821 | $ | 237,093 | |||||
bpost SA (a) | 7,864 | 201,308 | ||||||
Colruyt SA (a) | 1,961 | 108,518 | ||||||
KBC Group NV †(a) | 5,308 | 261,052 | ||||||
Proximus SADP (a) | 3,054 | 97,052 | ||||||
|
| |||||||
905,023 | ||||||||
|
| |||||||
Denmark - 0.4% | ||||||||
Danske Bank A/S (a) | 3,439 | 90,516 | ||||||
DSV A/S (a) | 3,828 | 160,960 | ||||||
FLSmidth & Co. A/S (a) | 420 | 14,998 | ||||||
GN Store Nord A/S (a) | 776 | 14,018 | ||||||
H Lundbeck A/S † | 2,875 | 107,776 | ||||||
ISS A/S (a) | 6,788 | 255,299 | ||||||
Jyske Bank A/S (a) | 3,003 | 114,000 | ||||||
Novo Nordisk A/S, Class B (a) | 4,581 | 246,700 | ||||||
TDC A/S | 12,076 | 59,178 | ||||||
Vestas Wind Systems A/S (a) | 2,992 | 203,365 | ||||||
William Demant Holding A/S †(a) | 21,390 | 416,373 | ||||||
|
| |||||||
1,683,183 | ||||||||
|
| |||||||
Finland - 0.4% | ||||||||
Amer Sports OYJ (a) | 3,224 | 88,451 | ||||||
Cargotec OYJ, Class B | 4,352 | 177,366 | ||||||
Elisa OYJ (a) | 5,568 | 213,940 | ||||||
Huhtamaki OYJ (a) | 1,096 | 45,484 | ||||||
Kesko OYJ, Class B (a) | 2,661 | 113,004 | ||||||
Metso OYJ (a) | 2,968 | 69,777 | ||||||
Neste OYJ (a) | 10,266 | 368,128 | ||||||
Orion OYJ, Class B (a) | 2,265 | 87,949 | ||||||
Stora Enso OYJ, Class R (a) | 14,465 | 116,329 | ||||||
UPM-Kymmene OYJ (a) | 7,743 | 142,245 | ||||||
|
| |||||||
1,422,673 | ||||||||
|
| |||||||
Germany - 1.4% | ||||||||
adidas AG (a) | 577 | 82,828 | ||||||
Allianz SE | 1,949 | 278,039 | ||||||
Aurubis AG (a) | 3,871 | 176,025 | ||||||
Axel Springer SE (a) | 487 | 25,569 | ||||||
Brenntag AG (a) | 1,405 | 68,061 | ||||||
Covestro AG 144A (b) | 3,025 | 134,735 | ||||||
Deutsche Lufthansa AG (a) | 41,671 | 489,948 | ||||||
Duerr AG (a) | 366 | 27,791 | ||||||
Evonik Industries AG (a) | 5,394 | 160,787 | ||||||
Fraport AG Frankfurt Airport Services Worldwide (a) | 396 | 21,202 | ||||||
Freenet AG (a) | 11,226 | 289,109 | ||||||
Fresenius Medical Care AG & Co. KGaA (a) | 1,735 | 151,130 | ||||||
Hannover Rueck SE | 4,250 | 445,304 | ||||||
HeidelbergCement AG (a) | 204 | 15,368 | ||||||
Hella KGaA Hueck & Co. (a) | 3,077 | 98,761 | ||||||
HOCHTIEF AG (a) | 1,826 | 235,756 | ||||||
K+S AG (a) | 5,321 | 108,933 | ||||||
KION Group AG (a) | 3,378 | 163,725 | ||||||
Krones AG | 616 | 65,069 | ||||||
MAN SE (a) | 144 | 14,696 |
SHARES | VALUE (Note 5) | |||||||
Germany - 1.4% (continued) | ||||||||
MTU Aero Engines AG (a) | 381 | $ | 35,596 | |||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 1,527 | 256,070 | ||||||
OSRAM Licht AG (a) | 4,159 | 216,089 | ||||||
ProSiebenSat.1 Media SE †(a) | 1,700 | 74,362 | ||||||
Rheinmetall AG (a) | 3,434 | 204,250 | ||||||
RHOEN-KLINIKUM AG (a) | 2,769 | 81,052 | ||||||
Salzgitter AG (a) | 3,573 | 94,470 | ||||||
Software AG (a) | 7,797 | 265,115 | ||||||
STADA Arzneimittel AG †(a) | 4,881 | 252,968 | ||||||
Suedzucker AG (a) | 25,869 | 569,778 | ||||||
Symrise AG (a) | 499 | 34,037 | ||||||
Talanx AG (a) | 6,992 | 208,243 | ||||||
United Internet AG (a) | 1,631 | 67,799 | ||||||
Zalando SE 144A †(a)(b) | 2,304 | 60,979 | ||||||
|
| |||||||
5,473,644 | ||||||||
|
| |||||||
Italy - 0.8% | ||||||||
A2A SpA | 320,673 | 420,486 | ||||||
Assicurazioni Generali SpA (a) | 1,565 | 18,455 | ||||||
Autogrill SpA | 2,903 | 23,470 | ||||||
Banca Generali SpA | 1,355 | 27,159 | ||||||
Banca Mediolanum SpA | 7,495 | 51,442 | ||||||
Buzzi Unicem SpA | 9,884 | 173,207 | ||||||
Davide Campari-Milano SpA (a) | 14,962 | 148,103 | ||||||
Enel SpA | 32,822 | 145,711 | ||||||
Eni SpA (a) | 2,726 | 43,908 | ||||||
FinecoBank Banca Fineco SpA | 22,177 | 144,837 | ||||||
Hera SpA | 17,683 | 48,264 | ||||||
Intesa Sanpaolo SpA | 16,470 | 31,371 | ||||||
Leonardo-Finmeccanica SpA † | 3,224 | 32,603 | ||||||
Mediobanca SpA (a) | 51,942 | 299,279 | ||||||
Poste Italiane SpA 144A (b) | 11,679 | 77,548 | ||||||
Prysmian SpA (a) | 6,871 | 150,813 | ||||||
Recordati SpA | 8,526 | 256,458 | ||||||
Snam SpA (a) | 70,092 | 419,040 | ||||||
Terna Rete Elettrica Nazionale SpA (a) | 51,769 | 288,100 | ||||||
Unipol Gruppo Finanziario SpA | 19,861 | 46,767 | ||||||
UnipolSai SpA | 66,421 | 100,237 | ||||||
|
| |||||||
2,947,258 | ||||||||
|
| |||||||
Japan - 7.5% | ||||||||
ABC-Mart, Inc. (a) | 1,500 | 100,668 | ||||||
Air Water, Inc. (a) | 2,000 | 29,428 | ||||||
Aisin Seiki Co. Ltd. (a) | 1,000 | 40,733 | ||||||
Ajinomoto Co., Inc. (a) | 1,000 | 23,561 | ||||||
Alfresa Holdings Corp. (a) | 14,800 | 309,203 | ||||||
Amada Holdings Co. Ltd. (a) | 14,500 | 147,206 | ||||||
ANA Holdings, Inc. (a) | 146,000 | 416,043 | ||||||
Aozora Bank Ltd. (a) | 132,000 | 457,906 | ||||||
Asahi Group Holdings Ltd. (a) | 1,800 | 58,203 | ||||||
Astellas Pharma, Inc. (a) | 6,700 | 105,072 | ||||||
Bandai Namco Holdings, Inc. (a) | 13,500 | 348,388 | ||||||
Bridgestone Corp. (a) | 9,500 | 305,301 | ||||||
Brother Industries Ltd. (a) | 2,000 | 21,453 | ||||||
Canon, Inc. (a) | 1,600 | 45,680 | ||||||
Central Japan Railway Co. (a) | 1,300 | 231,223 | ||||||
Century Tokyo Leasing Corp. (a) | 5,200 | 168,289 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
253
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SHARES | VALUE (Note 5) | |||||||
Japan - 7.5% (continued) | ||||||||
Chiyoda Corp. (a) | 11,000 | $ | 72,744 | |||||
Chubu Electric Power Co., Inc. (a) | 19,000 | 270,389 | ||||||
Chugoku Bank Ltd. (The) (a) | 7,000 | 71,423 | ||||||
Citizen Holdings Co. Ltd. (a) | 7,500 | 36,504 | ||||||
Concordia Financial Group Ltd. †(a) | 16,000 | 61,791 | ||||||
Dai Nippon Printing Co. Ltd. (a) | 2,000 | 22,290 | ||||||
Daicel Corp. (a) | 4,400 | 45,593 | ||||||
Daiichi Sankyo Co. Ltd. (a) | 16,600 | 403,299 | ||||||
Dentsu, Inc. (a) | 500 | 23,438 | ||||||
Don Quijote Holdings Co. Ltd. (a) | 1,500 | 55,744 | ||||||
East Japan Railway Co. (a) | 3,000 | 278,020 | ||||||
Ezaki Glico Co. Ltd. (a) | 4,300 | 251,549 | ||||||
FamilyMart Co. Ltd. (a) | 6,800 | 414,401 | ||||||
Fuji Heavy Industries Ltd. (a) | 13,800 | 474,353 | ||||||
FUJIFILM Holdings Corp. (a) | 4,900 | 190,122 | ||||||
Gunma Bank Ltd. (The) (a) | 15,000 | 54,472 | ||||||
Hakuhodo DY Holdings, Inc. (a) | 11,300 | 135,440 | ||||||
Hankyu Hanshin Holdings, Inc. (a) | 12,000 | 89,479 | ||||||
Haseko Corp. (a) | 32,900 | 331,231 | ||||||
Hikari Tsushin, Inc. (a) | 900 | 75,396 | ||||||
Hiroshima Bank Ltd. (The) (a) | 25,000 | 83,534 | ||||||
Hisamitsu Pharmaceutical Co., Inc. (a) | 2,200 | 126,855 | ||||||
Hitachi Capital Corp. (a) | 2,700 | 53,587 | ||||||
Hitachi Chemical Co. Ltd. | 2,000 | 37,353 | ||||||
Hitachi High-Technologies Corp. (a) | 3,800 | 103,998 | ||||||
Hitachi Metals Ltd. (a) | 3,900 | 39,621 | ||||||
Hokuhoku Financial Group, Inc. | 171,000 | 194,757 | ||||||
Hoshizaki Electric Co. Ltd. (a) | 400 | 39,158 | ||||||
Hoya Corp. (a) | 2,000 | 71,432 | ||||||
Ibiden Co. Ltd. (a) | 5,000 | 56,532 | ||||||
Idemitsu Kosan Co. Ltd. (a) | 8,400 | 182,365 | ||||||
Iida Group Holdings Co. Ltd. (a) | 6,800 | 139,258 | ||||||
Isetan Mitsukoshi Holdings Ltd. (a) | 7,000 | 62,306 | ||||||
ITOCHU Corp. (a) | 24,500 | 299,714 | ||||||
Itochu Techno-Solutions Corp. (a) | 8,800 | 189,581 | ||||||
Izumi Co. Ltd. (a) | 2,800 | 109,078 | ||||||
J Front Retailing Co. Ltd. (a) | 13,300 | 137,899 | ||||||
Japan Airlines Co. Ltd. (a) | 23,200 | 746,405 | ||||||
Japan Petroleum Exploration Co. Ltd. (a) | 2,000 | 40,314 | ||||||
Japan Post Holdings Co. Ltd. (a) | 8,000 | 97,323 | ||||||
JSR Corp. (a) | 3,700 | 49,000 | ||||||
JTEKT Corp. (a) | 9,600 | 108,811 | ||||||
JX Holdings, Inc. (a) | 3,800 | 14,833 | ||||||
Kajima Corp. (a) | 36,000 | 250,082 | ||||||
Kaken Pharmaceutical Co. Ltd. (a) | 2,100 | 137,680 | ||||||
Kamigumi Co. Ltd. (a) | 5,000 | 46,214 | ||||||
Kaneka Corp. (a) | 36,000 | 240,201 | ||||||
Kao Corp. (a) | 1,600 | 93,187 | ||||||
KDDI Corp. (a) | 14,800 | 450,064 | ||||||
Keihan Electric Railway Co. Ltd. (a) | 13,000 | 90,082 | ||||||
Kewpie Corp. (a) | 12,300 | 392,331 | ||||||
Kobayashi Pharmaceutical Co. Ltd. (a) | 600 | 26,644 | ||||||
Konami Holdings Corp. (a) | 15,200 | 579,878 | ||||||
Konica Minolta, Inc. (a) | 6,000 | 43,707 | ||||||
Kose Corp. (a) | 2,600 | 220,323 | ||||||
Kuraray Co. Ltd. (a) | 6,600 | 78,748 | ||||||
Kurita Water Industries Ltd. (a) | 1,700 | 37,896 |
SHARES | VALUE (Note 5) | |||||||
Japan - 7.5% (continued) | ||||||||
Lawson, Inc. (a) | 900 | $ | 71,851 | |||||
Marubeni Corp. (a) | 11,300 | 51,050 | ||||||
Maruichi Steel Tube Ltd. (a) | 1,000 | 34,950 | ||||||
Medipal Holdings Corp. (a) | 15,400 | 253,189 | ||||||
MEIJI Holdings Co. Ltd. (a) | 2,700 | 277,439 | ||||||
Miraca Holdings, Inc. (a) | 1,300 | 56,378 | ||||||
Mitsubishi Chemical Holdings Corp. (a) | 36,400 | 166,857 | ||||||
Mitsubishi Electric Corp. (a) | 7,000 | 83,568 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 57,000 | 297,364 | ||||||
Mitsubishi Motors Corp. (a) | 17,300 | 79,863 | ||||||
Mitsubishi Tanabe Pharma Corp. (a) | 19,600 | 354,136 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (a) | 48,600 | 186,749 | ||||||
Mitsui & Co. Ltd. (a) | 10,200 | 121,759 | ||||||
Mitsui Chemicals, Inc. (a) | 84,000 | 308,680 | ||||||
Mixi, Inc. | 2,800 | 115,767 | ||||||
Mizuho Financial Group, Inc. | 78,900 | 113,542 | ||||||
MS&AD Insurance Group Holdings, Inc. (a) | 13,000 | 336,832 | ||||||
Nagoya Railroad Co. Ltd. (a) | 35,000 | 197,205 | ||||||
Nankai Electric Railway Co. Ltd. (a) | 39,000 | 219,913 | ||||||
Nexon Co. Ltd. (a) | 16,200 | 239,761 | ||||||
NH Foods Ltd. (a) | 2,000 | 48,988 | ||||||
NHK Spring Co. Ltd. (a) | 50,700 | 411,475 | ||||||
Nikon Corp. (a) | 7,900 | 106,964 | ||||||
Nippon Express Co. Ltd. (a) | 20,000 | 91,394 | ||||||
Nippon Shokubai Co. Ltd. (a) | 4,800 | 276,078 | ||||||
Nippon Telegraph & Telephone Corp. (a) | 9,200 | 431,433 | ||||||
Nippon Yusen KK | 71,000 | 124,906 | ||||||
Nissan Motor Co. Ltd. (a) | 7,900 | 70,502 | ||||||
Nisshin Seifun Group, Inc. (a) | 9,800 | 157,534 | ||||||
Nissin Foods Holdings Co. Ltd. (a) | 700 | 38,228 | ||||||
Nitori Holdings Co. Ltd. (a) | 2,900 | 351,724 | ||||||
NOK Corp. (a) | 2,600 | 44,215 | ||||||
Nomura Holdings, Inc. (a) | 5,700 | 20,272 | ||||||
Nomura Research Institute Ltd. (a) | 3,100 | 113,693 | ||||||
NTN Corp. (a) | 5,000 | 13,492 | ||||||
NTT Data Corp. (a) | 2,800 | 132,239 | ||||||
Obayashi Corp. (a) | 32,300 | 343,895 | ||||||
Obic Co. Ltd. (a) | 500 | 27,523 | ||||||
Oji Holdings Corp. (a) | 4,000 | 15,356 | ||||||
Oracle Corp. Japan (a) | 2,200 | 117,311 | ||||||
ORIX Corp. (a) | 23,500 | 304,101 | ||||||
Osaka Gas Co. Ltd. (a) | 41,000 | 157,624 | ||||||
Otsuka Corp. (a) | 5,000 | 233,807 | ||||||
Otsuka Holdings Co. Ltd. (a) | 10,800 | 497,695 | ||||||
Park24 Co. Ltd. (a) | 7,000 | 240,551 | ||||||
Pola Orbis Holdings, Inc. (a) | 6,300 | 592,894 | ||||||
Renesas Electronics Corp. †(a) | 3,300 | 18,875 | ||||||
Resona Holdings, Inc. (a) | 152,000 | 555,547 | ||||||
Sankyo Co. Ltd. (a) | 4,300 | 161,220 | ||||||
Santen Pharmaceutical Co. Ltd. (a) | 10,500 | 165,030 | ||||||
Secom Co. Ltd. (a) | 700 | 51,753 | ||||||
Seiko Epson Corp. (a) | 3,600 | 57,714 | ||||||
Sekisui Chemical Co. Ltd. (a) | 7,600 | 93,638 | ||||||
Sekisui House Ltd. (a) | 5,000 | 87,560 | ||||||
Seven & i Holdings Co. Ltd. (a) | 5,600 | 234,797 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
254
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SHARES | VALUE (Note 5) | |||||||
Japan - 7.5% (continued) | ||||||||
Shimadzu Corp. (a) | 10,000 | $ | 150,333 | |||||
Shimamura Co. Ltd. (a) | 3,400 | 505,875 | ||||||
Shimizu Corp. (a) | 24,000 | 224,856 | ||||||
Shinsei Bank Ltd. | 182,000 | 265,171 | ||||||
Shionogi & Co. Ltd. | 800 | 43,733 | ||||||
Sohgo Security Services Co. Ltd. (a) | 3,900 | 192,797 | ||||||
Sojitz Corp. (a) | 181,000 | 428,885 | ||||||
Sugi Holdings Co. Ltd. (a) | 2,700 | 150,546 | ||||||
Sumitomo Chemical Co. Ltd. (a) | 35,000 | 144,412 | ||||||
Sumitomo Corp. (a) | 10,000 | 100,799 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. (a) | 8,600 | 149,062 | ||||||
Sumitomo Rubber Industries Ltd. (a) | 22,400 | 299,889 | ||||||
Sundrug Co. Ltd. (a) | 2,200 | 206,569 | ||||||
Suntory Beverage & Food Ltd. (a) | 1,300 | 58,826 | ||||||
Suzuken Co. Ltd. (a) | 7,570 | 238,275 | ||||||
Taisei Corp. (a) | 24,000 | 197,201 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. (a) | 1,100 | 115,753 | ||||||
Takashimaya Co. Ltd. (a) | 20,000 | 143,251 | ||||||
Teijin Ltd. (a) | 21,000 | 69,585 | ||||||
Toho Gas Co. Ltd. (a) | 72,000 | 589,156 | ||||||
Tohoku Electric Power Co., Inc. (a) | 7,100 | 89,606 | ||||||
Tokyo Broadcasting System Holdings, Inc. (a) | 6,900 | 93,330 | ||||||
Tokyo Electric Power Co. Holdings, Inc. †(a) | 77,800 | 329,486 | ||||||
Tokyo Gas Co. Ltd. (a) | 19,000 | 78,446 | ||||||
Tokyu Corp. (a) | 26,000 | 228,272 | ||||||
Toppan Printing Co. Ltd. (a) | 10,000 | 85,987 | ||||||
Tosoh Corp. (a) | 57,000 | 262,920 | ||||||
Toyo Suisan Kaisha Ltd. (a) | 4,700 | 190,646 | ||||||
Toyoda Gosei Co. Ltd. (a) | 12,400 | 220,836 | ||||||
Toyota Boshoku Corp. (a) | 4,800 | 100,200 | ||||||
Tsuruha Holdings, Inc. (a) | 1,200 | 145,306 | ||||||
West Japan Railway Co. (a) | 6,200 | 392,915 | ||||||
Yamada Denki Co. Ltd. (a) | 37,500 | 197,956 | ||||||
Yamaguchi Financial Group, Inc. | 45,000 | 425,533 | ||||||
Yamaha Corp. (a) | 2,300 | 61,993 | ||||||
Yamazaki Baking Co. Ltd. | 13,000 | 362,930 | ||||||
|
| |||||||
29,335,003 | ||||||||
|
| |||||||
Netherlands - 0.4% | ||||||||
Aalberts Industries NV (a) | 647 | 19,396 | ||||||
ABN AMRO Group NV CVA 144A (b) | 1,735 | 28,525 | ||||||
ASM International NV (a) | 3,341 | 128,957 | ||||||
BOSKALIS WESTMINSTER (a) | 2,335 | 79,676 | ||||||
Delta Lloyd NV | 3,895 | 13,686 | ||||||
Heineken NV (a) | 2,251 | 206,466 | ||||||
Koninklijke Ahold NV (a) | 16,679 | 368,315 | ||||||
NN Group NV (a) | 13,434 | 369,817 | ||||||
Randstad Holding NV (a) | 6,213 | 248,464 | ||||||
SBM Offshore NV (a) | 6,091 | 70,589 | ||||||
Wolters Kluwer NV (a) | 5,171 | 209,380 | ||||||
|
| |||||||
1,743,271 | ||||||||
|
| |||||||
Norway - 0.1% | ||||||||
DNB ASA (a) | 5,315 | 63,620 | ||||||
Gjensidige Forsikring ASA (a) | 957 | 15,944 |
SHARES | VALUE (Note 5) | |||||||
Norway - 0.1% (continued) | ||||||||
Marine Harvest ASA †(a) | 10,234 | $ | 172,620 | |||||
Orkla ASA (a) | 10,217 | 90,865 | ||||||
Yara International ASA (a) | 3,769 | 119,729 | ||||||
|
| |||||||
462,778 | ||||||||
|
| |||||||
Portugal - 0.0% (c) | ||||||||
EDP - Energias de Portugal SA | 22,108 | 67,685 | ||||||
NOS SGPS SA | 2,272 | 13,750 | ||||||
|
| |||||||
81,435 | ||||||||
|
| |||||||
Spain - 0.5% | ||||||||
Aena SA 144A (a)(b) | 425 | 56,334 | ||||||
Almirall SA | 18,248 | 274,362 | ||||||
Banco de Sabadell SA | 33,635 | 44,541 | ||||||
Ebro Foods SA | 21,521 | 495,373 | ||||||
Enagas SA (a) | 1,371 | 41,884 | ||||||
Endesa SA (a) | 15,545 | 311,918 | ||||||
Ferrovial SA (a) | 2,727 | 53,389 | ||||||
Gamesa Corp. Tecnologica SA | 6,133 | 122,194 | ||||||
Gas Natural SDG SA (a) | 3,104 | 61,700 | ||||||
Iberdrola SA (a) | 25,260 | 172,313 | ||||||
Red Electrica Corp. SA (a) | 471 | 42,086 | ||||||
Repsol SA (a) | 18,375 | 235,547 | ||||||
Tecnicas Reunidas SA | 3,029 | 90,785 | ||||||
|
| |||||||
2,002,426 | ||||||||
|
| |||||||
Sweden - 0.4% | ||||||||
BillerudKorsnas AB | 2,929 | 43,708 | ||||||
Boliden AB (a) | 3,519 | 68,776 | ||||||
Electrolux AB, Series B (a) | 10,050 | 274,012 | ||||||
Husqvarna AB, Class B | 8,619 | 64,181 | ||||||
ICA Gruppen AB | 4,887 | 163,789 | ||||||
Modern Times Group MTG AB, Class B | 1,696 | 45,082 | ||||||
Saab AB, Class B | 506 | 15,779 | ||||||
Securitas AB, Class B (a) | 16,862 | 260,312 | ||||||
SKF AB, Class B (a) | 899 | 14,405 | ||||||
Svenska Cellulosa AB SCA, Class B (a) | 9,861 | 316,840 | ||||||
Swedish Match AB (a) | 1,421 | 49,590 | ||||||
Tele2 AB, Class B (a) | 3,935 | 34,547 | ||||||
Telia Co. AB | 31,245 | 147,960 | ||||||
|
| |||||||
1,498,981 | ||||||||
|
| |||||||
Switzerland - 0.8% | ||||||||
Adecco Group AG (a) | 1,020 | 51,447 | ||||||
Baloise Holding AG (a) | 553 | 61,594 | ||||||
Barry Callebaut AG †(a) | 69 | 84,956 | ||||||
DKSH Holding AG | 264 | 17,294 | ||||||
Flughafen Zuerich AG | 545 | 96,449 | ||||||
Galenica AG | 360 | 485,309 | ||||||
Georg Fischer AG (a) | 123 | 98,327 | ||||||
Givaudan SA (a) | 21 | 42,284 | ||||||
Helvetia Holding AG (a) | 108 | 56,187 | ||||||
Kuehne + Nagel International AG (a) | 110 | 15,412 | ||||||
Lonza Group AG †(a) | 1,414 | 234,882 | ||||||
Nestle SA (a) | 3,903 | 302,398 | ||||||
Novartis AG (a) | 3,446 | 284,428 | ||||||
Partners Group Holding AG (a) | 177 | 75,856 | ||||||
Roche Holding AG (a) | 315 | 83,122 | ||||||
Straumann Holding AG (a) | 47 | 18,542 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
255
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SHARES | VALUE (Note 5) | |||||||
Switzerland - 0.8% (continued) | ||||||||
Swiss Life Holding AG †(a) | 919 | $ | 212,379 | |||||
Swiss Re AG (a) | 6,478 | 565,791 | ||||||
Swisscom AG (a) | 326 | 161,959 | ||||||
UBS Group AG (a) | 7,364 | 95,552 | ||||||
|
| |||||||
3,044,168 | ||||||||
|
| |||||||
United Kingdom - 0.1% | ||||||||
Fiat Chrysler Automobiles NV (a) | 2,914 | 17,937 | ||||||
Subsea 7 SA †(a) | 28,174 | 276,936 | ||||||
Unilever NV CVA (a) | 3,965 | 185,176 | ||||||
|
| |||||||
480,049 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 51,079,892 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.1% | ||||||||
Germany - 0.1% | ||||||||
FUCHS PETROLUB SE (a) | 540 | 21,244 | ||||||
Henkel AG & Co. KGaA (a) | 2,836 | 346,589 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 367,833 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 91.0% | ||||||||
Investment Companies - 61.0% | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.240% (d) | 288,227 | 288,227 | ||||||
Dreyfus Treasury Cash Management, Class I, 0.240% (d) | 1,152,907 | 1,152,907 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.246% ^(d)(e) | 215,946,055 | 215,946,055 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.230% ^(d)(e) | 21,230,963 | 21,230,963 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.240% (d) | 1,441,133 | 1,441,133 | ||||||
|
| |||||||
Total Investment Companies | 240,059,285 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT (000’s) | | ||||||
U.S. Treasury Obligations - 30.0% | ||||||||
U.S. Treasury Bill, 0.340%, 10/13/2016 (f) | $ | 1,092 | 1,091,266 | |||||
U.S. Treasury Bill, 0.351%, 10/20/2016 ^(f) | 15,295 | 15,283,927 | ||||||
U.S. Treasury Bill, 0.370%, 07/21/2016 ^(f) | 38,901 | 38,897,032 | ||||||
U.S. Treasury Bill, 0.371%, 11/17/2016 ^(f) | 12,517 | 12,504,721 | ||||||
U.S. Treasury Bill, 0.381%, 11/10/2016 ^(f) | 16,611 | 16,595,435 | ||||||
U.S. Treasury Bill, 0.384%, 10/06/2016 ^(f) | 9,870 | 9,863,190 |
PRINCIPAL AMOUNT (000’s) | VALUE (Note 5) | |||||||
U.S. Treasury Obligations - 30.0% (continued) | ||||||||
U.S. Treasury Bill, 0.396%, 11/03/2016 ^(f) | $ | 3,583 | $ | 3,579,986 | ||||
U.S. Treasury Bill, 0.400%, 12/15/2016 ^(f) | 1,163 | 1,161,514 | ||||||
U.S. Treasury Bill, 0.401%, 12/22/2016 (f) | 3,164 | 3,159,665 | ||||||
U.S. Treasury Bill, 0.409%, 08/18/2016 ^(f) | 12,786 | 12,782,088 | ||||||
U.S. Treasury Bill, 0.480%, 11/25/2016 (f) | 2,214 | 2,211,662 | ||||||
U.S. Treasury Bill, 0.499%, 07/07/2016 (f) | 1,661 | 1,660,983 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 118,791,469 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 358,850,754 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE | 410,298,479 | |||||||
|
| |||||||
SECURITIES SOLD SHORT - (9.8)% | SHARES | |||||||
COMMON STOCKS - (9.7)% | ||||||||
Austria - (0.1)% | ||||||||
ams AG | (9,241 | ) | (256,553 | ) | ||||
|
| |||||||
Belgium - (0.2)% | ||||||||
Anheuser-Busch InBev SA/NV | (3,468 | ) | (458,596 | ) | ||||
Solvay SA | (354 | ) | (33,066 | ) | ||||
Telenet Group Holding NV † | (5,062 | ) | (231,467 | ) | ||||
UCB SA | (774 | ) | (58,118 | ) | ||||
|
| |||||||
(781,247 | ) | |||||||
|
| |||||||
Denmark - (0.2)% | ||||||||
AP Moeller - Maersk A/S, Class B | (131 | ) | (171,106 | ) | ||||
Coloplast A/S, Class B | (2,296 | ) | (171,866 | ) | ||||
Novozymes A/S, Class B | (3,115 | ) | (149,585 | ) | ||||
Pandora A/S | (541 | ) | (73,684 | ) | ||||
Topdanmark A/S † | (1,179 | ) | (28,099 | ) | ||||
Tryg A/S | (7,458 | ) | (133,532 | ) | ||||
|
| |||||||
(727,872 | ) | |||||||
|
| |||||||
Finland - (0.2)% | ||||||||
Fortum OYJ | (5,921 | ) | (95,129 | ) | ||||
Kone OYJ, Class B | (734 | ) | (33,874 | ) | ||||
Nokia OYJ | (102,825 | ) | (585,634 | ) | ||||
Nokian Renkaat OYJ | (4,703 | ) | (168,565 | ) | ||||
Wartsila OYJ Abp | (357 | ) | (14,566 | ) | ||||
|
| |||||||
(897,768 | ) | |||||||
|
| |||||||
Germany - (0.7)% | ||||||||
BASF SE | (1,078 | ) | (82,660 | ) | ||||
Bayer AG | (2,119 | ) | (212,821 | ) | ||||
Bayerische Motoren Werke AG | (2,500 | ) | (181,938 | ) | ||||
Beiersdorf AG | (1,078 | ) | (102,059 | ) | ||||
Bilfinger SE † | (350 | ) | (10,259 | ) | ||||
Commerzbank AG | (13,867 | ) | (90,307 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
256
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SHARES | VALUE (Note 5) | |||||||
Germany - (0.7)% (continued) | ||||||||
Daimler AG | (2,456 | ) | $ | (146,963 | ) | |||
Deutsche Bank AG † | (31,260 | ) | (432,111 | ) | ||||
Deutsche Post AG | (4,985 | ) | (140,440 | ) | ||||
Deutsche Telekom AG | (9,017 | ) | (153,760 | ) | ||||
E.ON SE | (19,738 | ) | (199,251 | ) | ||||
HUGO BOSS AG | (1,131 | ) | (64,300 | ) | ||||
Infineon Technologies AG | (7,427 | ) | (107,516 | ) | ||||
LANXESS AG | (2,131 | ) | (93,493 | ) | ||||
Linde AG | (218 | ) | (30,375 | ) | ||||
Merck KGaA | (1,340 | ) | (136,202 | ) | ||||
Rocket Internet SE 144A †(b) | (2,513 | ) | (49,066 | ) | ||||
RWE AG † | (28,302 | ) | (450,715 | ) | ||||
Telefonica Deutschland Holding AG | (5,734 | ) | (23,619 | ) | ||||
ThyssenKrupp AG | (6,040 | ) | (121,406 | ) | ||||
|
| |||||||
(2,829,261 | ) | |||||||
|
| |||||||
Italy - (0.2)% | ||||||||
Azimut Holding SpA | (7,985 | ) | (130,282 | ) | ||||
Banca Popolare dell’Emilia Romagna SC | (10,589 | ) | (38,877 | ) | ||||
Luxottica Group SpA | (525 | ) | (25,587 | ) | ||||
Mediaset SpA | (45,867 | ) | (160,399 | ) | ||||
Moncler SpA | (3,741 | ) | (59,060 | ) | ||||
Saipem SpA † | (221,606 | ) | (88,605 | ) | ||||
Unione di Banche Italiane SpA | (75,619 | ) | (208,826 | ) | ||||
|
| |||||||
(711,636 | ) | |||||||
|
| |||||||
Japan - (5.9)% | ||||||||
Acom Co. Ltd. † | (15,400 | ) | (74,606 | ) | ||||
Advantest Corp. | (21,200 | ) | (236,508 | ) | ||||
Aeon Co. Ltd. | (15,600 | ) | (242,214 | ) | ||||
AEON Financial Service Co. Ltd. | (1,800 | ) | (38,975 | ) | ||||
Alps Electric Co. Ltd. | (9,700 | ) | (184,284 | ) | ||||
Asahi Kasei Corp. | (5,000 | ) | (34,795 | ) | ||||
Asics Corp. | (21,700 | ) | (366,620 | ) | ||||
Bank of Kyoto Ltd. (The) | (22,000 | ) | (134,941 | ) | ||||
Benesse Holdings, Inc. | (11,300 | ) | (265,276 | ) | ||||
Calbee, Inc. | (10,800 | ) | (451,828 | ) | ||||
Chiba Bank Ltd. (The) | (31,000 | ) | (146,499 | ) | ||||
Chugai Pharmaceutical Co. Ltd. | (8,900 | ) | (317,180 | ) | ||||
Chugoku Electric Power Co., Inc. (The) | (17,800 | ) | (226,294 | ) | ||||
Credit Saison Co. Ltd. | (4,500 | ) | (75,593 | ) | ||||
Daido Steel Co. Ltd. | (23,000 | ) | (78,777 | ) | ||||
Dai-ichi Life Insurance Co. Ltd. (The) | (8,000 | ) | (89,555 | ) | ||||
Daikin Industries Ltd. | (1,100 | ) | (92,449 | ) | ||||
Daiwa Securities Group, Inc. | (25,000 | ) | (131,709 | ) | ||||
DeNA Co. Ltd. | (3,700 | ) | (86,556 | ) | ||||
Denso Corp. | (7,100 | ) | (249,816 | ) | ||||
Disco Corp. | (1,000 | ) | (90,440 | ) | ||||
Eisai Co. Ltd. | (3,200 | ) | (178,675 | ) | ||||
Electric Power Development Co. Ltd. | (1,800 | ) | (41,937 | ) | ||||
FANUC Corp. | (2,600 | ) | (422,950 | ) | ||||
Fast Retailing Co. Ltd. | (1,600 | ) | (429,569 | ) | ||||
Fukuoka Financial Group, Inc. | (35,000 | ) | (115,404 | ) | ||||
Hachijuni Bank Ltd. (The) | (40,200 | ) | (175,082 | ) | ||||
Hamamatsu Photonics KK | (8,600 | ) | (241,308 | ) | ||||
Hirose Electric Co. Ltd. | (300 | ) | (36,890 | ) | ||||
Hitachi Construction Machinery Co. Ltd. | (11,900 | ) | (173,693 | ) | ||||
Hitachi Ltd. | (49,000 | ) | (205,303 | ) |
SHARES | VALUE (Note 5) | |||||||
Japan - (5.9)% (continued) | ||||||||
Hokuriku Electric Power Co. | (1,400 | ) | $ | (17,348 | ) | |||
Honda Motor Co. Ltd. | (5,500 | ) | (137,969 | ) | ||||
IHI Corp. | (147,000 | ) | (396,237 | ) | ||||
Inpex Corp. | (37,500 | ) | (293,273 | ) | ||||
Isuzu Motors Ltd. | (1,600 | ) | (19,707 | ) | ||||
Iyo Bank Ltd. (The) | (53,000 | ) | (324,607 | ) | ||||
Japan Airport Terminal Co. Ltd. | (4,700 | ) | (170,522 | ) | ||||
Japan Display, Inc. † | (100,900 | ) | (164,146 | ) | ||||
Japan Post Bank Co. Ltd. | (7,600 | ) | (89,366 | ) | ||||
JFE Holdings, Inc. | (19,000 | ) | (247,859 | ) | ||||
JGC Corp. | (8,000 | ) | (114,525 | ) | ||||
Kakaku.com, Inc. | (10,500 | ) | (208,632 | ) | ||||
Kansai Electric Power Co., Inc. (The) † | (12,000 | ) | (116,871 | ) | ||||
Kansai Paint Co. Ltd. | (16,400 | ) | (331,111 | ) | ||||
Kawasaki Heavy Industries Ltd. | (44,000 | ) | (124,064 | ) | ||||
Keikyu Corp. | (40,000 | ) | (402,524 | ) | ||||
Keio Corp. | (8,000 | ) | (75,463 | ) | ||||
Keisei Electric Railway Co. Ltd. | (9,000 | ) | (116,008 | ) | ||||
Keyence Corp. | (100 | ) | (68,233 | ) | ||||
Kikkoman Corp. | (14,000 | ) | (516,600 | ) | ||||
Kintetsu Group Holdings Co. Ltd. | (4,000 | ) | (17,118 | ) | ||||
Kirin Holdings Co. Ltd. | (3,900 | ) | (65,778 | ) | ||||
Kobe Steel Ltd. | (472,000 | ) | (387,925 | ) | ||||
Koito Manufacturing Co. Ltd. | (2,700 | ) | (124,320 | ) | ||||
Komatsu Ltd. | (8,700 | ) | (151,134 | ) | ||||
Kubota Corp. | (8,000 | ) | (108,203 | ) | ||||
Kyocera Corp. | (1,500 | ) | (71,374 | ) | ||||
Kyowa Hakko Kirin Co. Ltd. | (3,800 | ) | (64,812 | ) | ||||
Kyushu Electric Power Co., Inc. † | (31,900 | ) | (319,938 | ) | ||||
Kyushu Financial Group, Inc. | (13,000 | ) | (64,436 | ) | ||||
LIXIL Group Corp. | (2,800 | ) | (45,981 | ) | ||||
M3, Inc. | (3,400 | ) | (118,660 | ) | ||||
Mabuchi Motor Co. Ltd. | (2,200 | ) | (93,180 | ) | ||||
Marui Group Co. Ltd. | (1,200 | ) | (16,154 | ) | ||||
Mazda Motor Corp. | (8,300 | ) | (109,836 | ) | ||||
Minebea Co. Ltd. | (19,500 | ) | (132,481 | ) | ||||
MISUMI Group, Inc. | (9,700 | ) | (175,131 | ) | ||||
Mitsubishi Corp. | (2,200 | ) | (38,736 | ) | ||||
Mitsubishi Heavy Industries Ltd. | (41,000 | ) | (164,870 | ) | ||||
Mitsubishi Logistics Corp. | (17,000 | ) | (237,836 | ) | ||||
Mitsubishi Materials Corp. | (25,000 | ) | (59,859 | ) | ||||
Mitsubishi UFJ Financial Group, Inc. | (27,800 | ) | (124,623 | ) | ||||
Mitsui OSK Lines Ltd. | (41,000 | ) | (87,187 | ) | ||||
Murata Manufacturing Co. Ltd. | (1,300 | ) | (145,749 | ) | ||||
Nabtesco Corp. | (6,300 | ) | (150,319 | ) | ||||
NGK Insulators Ltd. | (5,000 | ) | (101,086 | ) | ||||
NGK Spark Plug Co. Ltd. | (29,900 | ) | (451,334 | ) | ||||
Nidec Corp. | (2,500 | ) | (190,308 | ) | ||||
Nintendo Co. Ltd. | (2,800 | ) | (402,358 | ) | ||||
Nippon Paint Holdings Co. Ltd. | (21,300 | ) | (526,574 | ) | ||||
Nippon Steel & Sumitomo Metal Corp. | (8,300 | ) | (160,685 | ) | ||||
Nissan Chemical Industries Ltd. | (4,100 | ) | (119,627 | ) | ||||
Nitto Denko Corp. | (1,200 | ) | (76,121 | ) | ||||
NSK Ltd. | (5,500 | ) | (40,260 | ) | ||||
Odakyu Electric Railway Co. Ltd. | (21,000 | ) | (246,245 | ) | ||||
Olympus Corp. | (6,100 | ) | (227,784 | ) | ||||
Omron Corp. | (10,500 | ) | (342,728 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
257
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SHARES | VALUE (Note 5) | |||||||
Japan - (5.9)% (continued) | ||||||||
Oriental Land Co. Ltd. | (4,500 | ) | $ | (291,372 | ) | |||
Panasonic Corp. | (8,000 | ) | (68,828 | ) | ||||
Pigeon Corp. | (9,200 | ) | (275,029 | ) | ||||
Rakuten, Inc. | (46,500 | ) | (504,680 | ) | ||||
Recruit Holdings Co. Ltd. | (5,300 | ) | (193,631 | ) | ||||
Ricoh Co. Ltd. | (2,600 | ) | (22,538 | ) | ||||
Rinnai Corp. | (300 | ) | (26,509 | ) | ||||
Sega Sammy Holdings, Inc. | (17,500 | ) | (188,477 | ) | ||||
Seibu Holdings, Inc. | (8,200 | ) | (138,886 | ) | ||||
Seven Bank Ltd. | (45,100 | ) | (139,986 | ) | ||||
Shikoku Electric Power Co., Inc. | (11,700 | ) | (138,591 | ) | ||||
Shimano, Inc. | (800 | ) | (122,318 | ) | ||||
Shin-Etsu Chemical Co. Ltd. | (2,800 | ) | (164,048 | ) | ||||
Shizuoka Bank Ltd. (The) | (35,000 | ) | (246,492 | ) | ||||
SMC Corp. | (300 | ) | (73,808 | ) | ||||
SoftBank Group Corp. | (1,200 | ) | (67,862 | ) | ||||
Sompo Japan Nipponkoa Holdings, Inc. | (600 | ) | (15,967 | ) | ||||
Sony Corp. | (6,900 | ) | (203,288 | ) | ||||
Sony Financial Holdings, Inc. | (22,600 | ) | (255,535 | ) | ||||
Stanley Electric Co. Ltd. | (10,200 | ) | (217,834 | ) | ||||
Sumco Corp. | (39,400 | ) | (252,407 | ) | ||||
Sumitomo Electric Industries Ltd. | (2,500 | ) | (33,089 | ) | ||||
Sumitomo Heavy Industries Ltd. | (17,000 | ) | (74,679 | ) | ||||
Sumitomo Metal Mining Co. Ltd. | (19,000 | ) | (193,275 | ) | ||||
Sumitomo Mitsui Financial Group, Inc. | (3,000 | ) | (86,625 | ) | ||||
Sumitomo Mitsui Trust Holdings, Inc. | (19,000 | ) | (61,822 | ) | ||||
Suruga Bank Ltd. | (3,000 | ) | (67,797 | ) | ||||
Sysmex Corp. | (800 | ) | (55,087 | ) | ||||
T&D Holdings, Inc. | (28,400 | ) | (241,174 | ) | ||||
Taiheiyo Cement Corp. | (15,000 | ) | (35,529 | ) | ||||
Taiyo Nippon Sanso Corp. | (52,200 | ) | (479,769 | ) | ||||
Takeda Pharmaceutical Co. Ltd. | (4,200 | ) | (181,138 | ) | ||||
TDK Corp. | (300 | ) | (16,793 | ) | ||||
THK Co. Ltd. | (1,000 | ) | (17,044 | ) | ||||
Tobu Railway Co. Ltd. | (20,000 | ) | (109,771 | ) | ||||
Tokio Marine Holdings, Inc. | (1,400 | ) | (46,608 | ) | ||||
Tokyo Electron Ltd. | (1,700 | ) | (143,665 | ) | ||||
Toray Industries, Inc. | (2,000 | ) | (17,066 | ) | ||||
Toyo Seikan Group Holdings Ltd. | (2,400 | ) | (45,859 | ) | ||||
Toyota Industries Corp. | (2,400 | ) | (95,424 | ) | ||||
Toyota Motor Corp. | (2,900 | ) | (142,966 | ) | ||||
Unicharm Corp. | (4,400 | ) | (98,857 | ) | ||||
USS Co. Ltd. | (5,200 | ) | (85,938 | ) | ||||
Yahoo Japan Corp. | (54,500 | ) | (241,673 | ) | ||||
Yakult Honsha Co. Ltd. | (7,900 | ) | (410,588 | ) | ||||
Yamaha Motor Co. Ltd. | (25,700 | ) | (392,046 | ) | ||||
Yamato Holdings Co. Ltd. | (11,900 | ) | (273,236 | ) | ||||
Yaskawa Electric Corp. | (24,800 | ) | (323,799 | ) | ||||
Yokogawa Electric Corp. | (3,100 | ) | (34,959 | ) | ||||
Yokohama Rubber Co. Ltd. (The) | (5,000 | ) | (62,710 | ) | ||||
|
| |||||||
(23,208,613 | ) | |||||||
|
| |||||||
Luxembourg - (0.3)% | ||||||||
APERAM SA | (2,591 | ) | (90,698 | ) | ||||
ArcelorMittal † | (83,662 | ) | (381,432 | ) | ||||
Millicom International Cellular SA SDR | (4,054 | ) | (248,670 | ) | ||||
Tenaris SA | (25,630 | ) | (370,433 | ) | ||||
|
| |||||||
(1,091,233 | ) | |||||||
|
|
SHARES | VALUE (Note 5) | |||||||
Netherlands - (0.4)% | ||||||||
Aegon NV | (20,108 | ) | $ | (79,675 | ) | |||
Altice NV, Class A † | (21,729 | ) | (324,445 | ) | ||||
ASML Holding NV | (6,666 | ) | (656,189 | ) | ||||
Fugro NV CVA † | (5,670 | ) | (99,825 | ) | ||||
Gemalto NV | (615 | ) | (37,259 | ) | ||||
Koninklijke DSM NV | (1,183 | ) | (68,248 | ) | ||||
Koninklijke KPN NV | (56,673 | ) | (202,007 | ) | ||||
Koninklijke Vopak NV | (4,260 | ) | (212,061 | ) | ||||
OCI NV † | (1,379 | ) | (18,681 | ) | ||||
QIAGEN NV † | (976 | ) | (21,269 | ) | ||||
|
| |||||||
(1,719,659 | ) | |||||||
|
| |||||||
Norway - (0.2)% | ||||||||
Norsk Hydro ASA | (37,775 | ) | (138,288 | ) | ||||
Schibsted ASA, Class A | (10,634 | ) | (318,763 | ) | ||||
Statoil ASA | (12,571 | ) | (217,208 | ) | ||||
|
| |||||||
(674,259 | ) | |||||||
|
| |||||||
Portugal - 0.0% (c) | ||||||||
Galp Energia SGPS SA | (2,434 | ) | (33,853 | ) | ||||
|
| |||||||
Spain - (0.5)% | ||||||||
Abertis Infraestructuras SA | (18,174 | ) | (268,568 | ) | ||||
Amadeus IT Holding SA, Class A | (2,855 | ) | (125,788 | ) | ||||
Atresmedia Corp. de Medios de Comunicacion SA | (6,437 | ) | (62,918 | ) | ||||
Banco Bilbao Vizcaya Argentaria SA | (24,794 | ) | (142,056 | ) | ||||
Banco Santander SA | (29,457 | ) | (114,313 | ) | ||||
Bankia SA | (119,061 | ) | (86,673 | ) | ||||
CaixaBank SA | (19,584 | ) | (43,163 | ) | ||||
Cellnex Telecom SAU 144A (b) | (19,648 | ) | (308,327 | ) | ||||
Distribuidora Internacional de Alimentacion SA | (12,266 | ) | (71,595 | ) | ||||
Mapfre SA | (37,909 | ) | (83,254 | ) | ||||
Obrascon Huarte Lain SA † | (17,950 | ) | (63,233 | ) | ||||
Telefonica SA | (37,391 | ) | (354,983 | ) | ||||
Zardoya Otis SA | (5,150 | ) | (48,633 | ) | ||||
|
| |||||||
(1,773,504 | ) | |||||||
|
| |||||||
Sweden - (0.2)% | ||||||||
Alfa Laval AB | (2,008 | ) | (31,648 | ) | ||||
Atlas Copco AB, Class A | (3,671 | ) | (95,344 | ) | ||||
Hennes & Mauritz AB, Class B | (3,390 | ) | (99,736 | ) | ||||
Sandvik AB | (3,186 | ) | (31,898 | ) | ||||
Svenska Handelsbanken AB, Class A | (8,278 | ) | (100,499 | ) | ||||
Telefonaktiebolaget LM Ericsson, Class B | (33,159 | ) | (254,746 | ) | ||||
Trelleborg AB, Class B | (1,569 | ) | (27,843 | ) | ||||
Volvo AB, Class B | (2,386 | ) | (23,703 | ) | ||||
|
| |||||||
(665,417 | ) | |||||||
|
| |||||||
Switzerland - (0.5)% | ||||||||
Aryzta AG † | (3,415 | ) | (126,204 | ) | ||||
Cie Financiere Richemont SA | (4,378 | ) | (256,265 | ) | ||||
Credit Suisse Group AG † | (54,702 | ) | (582,709 | ) | ||||
Dufry AG † | (1,693 | ) | (202,488 | ) | ||||
Julius Baer Group Ltd. † | (1,965 | ) | (79,088 | ) | ||||
LafargeHolcim Ltd. † | (6,274 | ) | (262,489 | ) | ||||
OC Oerlikon Corp. AG † | (5,303 | ) | (46,560 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
258
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SHARES | VALUE (Note 5) | |||||||
Switzerland - (0.5)% (continued) | ||||||||
SGS SA | (55 | ) | $ | (125,991 | ) | |||
STMicroelectronics NV | (38,751 | ) | (227,570 | ) | ||||
Sunrise Communications Group AG 144A †(b) | (2,482 | ) | (158,694 | ) | ||||
Zurich Insurance Group AG † | (329 | ) | (81,389 | ) | ||||
|
| |||||||
(2,149,447 | ) | |||||||
|
| |||||||
United Kingdom - (0.1)% | ||||||||
CNH Industrial NV | (14,741 | ) | (106,926 | ) | ||||
Dialog Semiconductor plc † | (1,452 | ) | (43,507 | ) | ||||
RELX NV | (23,569 | ) | (407,759 | ) | ||||
|
| |||||||
(558,192 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT |
| (38,078,514 | ) | |||||
|
| |||||||
PREFERRED STOCKS - (0.1)% | ||||||||
Germany - (0.1)% | ||||||||
Schaeffler AG | (1,477 | ) | (19,509 | ) | ||||
Volkswagen AG | (4,287 | ) | (519,243 | ) | ||||
|
| |||||||
TOTAL PREFERRED STOCKS SOLD SHORT |
| (538,752 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT, AT VALUE | (38,617,266 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 94.3% | 371,681,213 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.7% (g) | 22,444,265 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 394,125,478 | ||||||
|
|
† | Non-income producing security. |
(a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2016, the value of these securities was $41,965,548. |
(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) | All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(f) | The rate shown is the effective yield at the date of purchase. |
(g) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
CVA - Dutch Certification
SDR - Special Drawing Rights
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | (1,480,687 | ) | (0.4 | )% | |||
Consumer Staples | 4,919,784 | 1.3 | ||||||
Energy | 8,148 | 0.0 | (c) | |||||
Financials | 2,539,479 | 0.6 | ||||||
Health Care | 4,278,251 | 1.1 | ||||||
Industrials | 4,015,279 | 1.0 | ||||||
Information Technology | (2,927,821 | ) | (0.7 | ) | ||||
Materials | (817,112 | ) | (0.2 | ) | ||||
Telecommunication Services | 367,318 | 0.1 | ||||||
Utilities | 1,927,820 | 0.5 | ||||||
Investment Companies | 240,059,285 | 61.0 | ||||||
U.S. Treasury Obligations | 118,791,469 | 30.0 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 371,681,213 | 94.3 | ||||||
Other Assets in Excess of Liabilities (g) | 22,444,265 | 5.7 | ||||||
|
|
|
| |||||
Net Assets | $ | 394,125,478 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
259
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
Total return swap contracts outstanding as of June 30, 2016:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
GSIN | BIST 30 August Futures | 08/2016 | TRY | 518,480 | $(408 | ) | ||||||||||
MSCS | BIST 30 August Futures | 08/2016 | TRY | 614,762 | (575 | ) | ||||||||||
BANA | Bovespa Index August Futures | 08/2016 | BRL | (20,485,746 | ) | (217,335 | ) | |||||||||
CITI | Corn September Futures^ | 08/2016 | USD | 624,494 | (94,519 | ) | ||||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | (3,047,553 | ) | 359,990 | ||||||||||
SOCG | Corn September Futures^ | 08/2016 | USD | 4,095,799 | (641,824 | ) | ||||||||||
MACQ | Corn September Futures^ | 08/2016 | USD | 3,273,489 | (513,964 | ) | ||||||||||
BANA | Hang Seng Index July Futures | 07/2016 | HKD | 55,157,679 | 315,333 | |||||||||||
MSCS | Hang Seng Index July Futures | 07/2016 | HKD | 14,010,278 | 84,115 | |||||||||||
BANA | H-SHARES Index July Futures | 07/2016 | HKD | (8,337,265 | ) | (49,973 | ) | |||||||||
MSCS | H-SHARES Index July Futures | 07/2016 | HKD | (414,851 | ) | (2,758 | ) | |||||||||
MSCS | KOSPI Index 200 September Futures | 09/2016 | KRW | 5,724,757,166 | (88,309 | ) | ||||||||||
BANA | MSCI Taiwan Stock Index July Futures | 07/2016 | USD | 587,050 | 16,200 | |||||||||||
BANA | SGX S&P CNX Nifty Index July Futures | 07/2016 | USD | 796,263 | 20,616 | |||||||||||
CITI | Soybean November Futures^ | 10/2016 | USD | 1,887,767 | 15,096 | |||||||||||
SOCG | Soybean November Futures^ | 10/2016 | USD | 745,513 | 4,099 | |||||||||||
MACQ | Soybean November Futures^ | 10/2016 | USD | 1,493,019 | 6,206 | |||||||||||
BANA | Swiss Market Index September Futures | 09/2016 | CHF | 6,893,474 | 298,644 | |||||||||||
BANA | Taiwan Stock Exchange July Futures | 07/2016 | TWD | 1,701,777 | 65 | |||||||||||
BANA | Tel Aviv 25 Index July Futures | 07/2016 | ILS | 6,736,981 | (42,721 | ) | ||||||||||
GSIN | WIG20 Index September Futures | 09/2016 | PLN | 1,463,283 | 2,062 | |||||||||||
|
| |||||||||||||||
$(529,960 | ) | |||||||||||||||
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2016:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
6 | JPMS | KOSPI Index 200 Futures | 09/2016 | $645,801 | $636,150 | $(9,651 | ) | |||||||||||||
8 | JPPC | LME Copper Futures^ | 07/2016 | 958,846 | 968,470 | 9,624 | ||||||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | 599,832 | 605,269 | 5,437 | ||||||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | 605,631 | 605,243 | (388 | ) | |||||||||||||
3 | JPPC | LME Copper Futures^ | 07/2016 | 370,378 | 363,131 | (7,247 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | 125,209 | 121,075 | (4,134 | ) | |||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | 247,278 | 242,162 | (5,116 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | 122,159 | 121,140 | (1,019 | ) | |||||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | 113,002 | 121,182 | 8,180 | ||||||||||||||
70 | JPPC | LME Copper Futures^ | 09/2016 | 8,103,695 | 8,484,000 | 380,305 | ||||||||||||||
104 | MSCL | Silver Futures^ | 09/2016 | 9,078,634 | 9,683,960 | 605,326 | ||||||||||||||
49 | MSCL | Soybean Futures^ | 11/2016 | 2,750,103 | 2,825,463 | 75,360 | ||||||||||||||
265 | JPMS | BIST 30 Futures | 08/2016 | 886,912 | 882,565 | (4,347 | ) | |||||||||||||
16 | BARC | CAC40 Index Futures | 07/2016 | 746,009 | 751,789 | 5,780 | ||||||||||||||
20 | BARC | DAX Index Futures | 09/2016 | 5,315,892 | 5,364,809 | 48,917 | ||||||||||||||
69 | BARC | FTSE 100 Index Futures | 09/2016 | 5,527,720 | 5,899,468 | 371,748 | ||||||||||||||
34 | JPMS | FTSE Bursa Malaysia KLCI Index Futures | 07/2016 | 681,046 | 697,247 | 16,201 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
260
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
58 | BARC | FTSE/JSE Top 40 Index Futures | 09/2016 | $ 1,831,374 | $ 1,829,079 | $ (2,295 | ) | |||||||||||||
43 | BARC | Hang Seng Index Futures | 07/2016 | 5,543,993 | 5,805,036 | 261,043 | ||||||||||||||
41 | BARC | IBEX 35 Index Futures | 07/2016 | 3,692,137 | 3,697,901 | 5,764 | ||||||||||||||
23 | BARC | KOSPI Index 200 Futures | 09/2016 | 2,481,921 | 2,438,577 | (43,344 | ) | |||||||||||||
47 | JPMS | Mexican Stock Exchange Price and Quotation Index Futures | 09/2016 | 1,158,640 | 1,185,377 | 26,737 | ||||||||||||||
6 | BARC | MSCI Taiwan Stock Index Futures | 07/2016 | 184,539 | 190,500 | 5,961 | ||||||||||||||
38 | JPMS | S&P 500 E-Mini Futures | 09/2016 | 3,947,325 | 3,971,380 | 24,055 | ||||||||||||||
64 | JPMS | S&P/Toronto Stock Exchange 60 Index Futures | 09/2016 | 8,149,488 | 8,067,681 | (81,807 | ) | |||||||||||||
241 | JPMS | SET50 Index Futures | 09/2016 | 1,223,989 | 1,238,195 | 14,206 | ||||||||||||||
29 | JPMS | SGX S&P CNX Nifty Index Futures | 07/2016 | 469,806 | 483,459 | 13,653 | ||||||||||||||
198 | JPMS | SPI 200 Index Futures | 09/2016 | 18,926,156 | 19,108,290 | 182,134 | ||||||||||||||
14 | JPMS | 3-Month Euro Euribor Futures | 09/2016 | 3,894,909 | 3,896,360 | 1,451 | ||||||||||||||
88 | JPMS | 3-Month Euro Euribor Futures | 12/2016 | 24,495,269 | 24,498,730 | 3,461 | ||||||||||||||
88 | JPMS | 3-Month Euro Euribor Futures | 03/2017 | 24,494,924 | 24,501,171 | 6,247 | ||||||||||||||
70 | JPMS | 3-Month Euro Euribor Futures | 06/2017 | 19,480,803 | 19,492,481 | 11,678 | ||||||||||||||
364 | JPMS | 90-Day EURODollar Futures | 12/2016 | 90,115,231 | 90,385,750 | 270,519 | ||||||||||||||
364 | JPMS | 90-Day EURODollar Futures | 03/2017 | 90,173,427 | 90,367,550 | 194,123 | ||||||||||||||
364 | JPMS | 90-Day EURODollar Futures | 06/2017 | 90,173,180 | 90,335,700 | 162,520 | ||||||||||||||
357 | JPMS | Australia 3-Year Bond Futures | 09/2016 | 30,078,512 | 30,135,333 | 56,821 | ||||||||||||||
1,642 | GSCO | Euro-SCHATZ Futures | 09/2016 | 203,706,621 | 204,205,906 | 499,285 | ||||||||||||||
63 | GSCO | Euro-Bobl Futures | 09/2016 | 9,246,847 | 9,340,544 | 93,697 | ||||||||||||||
419 | GSCO | Long Gilt Futures | 09/2016 | 68,506,136 | 71,670,917 | 3,164,781 | ||||||||||||||
156 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2016 | 20,779,456 | 20,745,563 | (33,893 | ) | |||||||||||||
990 | MSCL | U.S. Treasury 2-Year Note Futures | 09/2016 | 215,683,742 | 217,134,844 | 1,451,102 | ||||||||||||||
33 | MSCL | U.S. Treasury 5-Year Note Futures | 09/2016 | 3,962,180 | 4,031,414 | 69,234 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
979,278,752 | 987,130,861 | 7,852,109 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
24 | GSCO | Brent Crude Futures^ | 07/2016 | $(1,208,530 | ) | $(1,193,040 | ) | $15,490 | ||||||||||||
5 | MSCL | Gold 100 OZ Futures^ | 08/2016 | (625,988 | ) | (660,300 | ) | (34,312 | ) | |||||||||||
8 | JPPC | LME Copper Futures^ | 07/2016 | (957,980 | ) | (968,470 | ) | (10,490 | ) | |||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | (597,235 | ) | (605,268 | ) | (8,033 | ) | |||||||||||
5 | JPPC | LME Copper Futures^ | 07/2016 | (603,638 | ) | (605,244 | ) | (1,606 | ) | |||||||||||
3 | JPPC | LME Copper Futures^ | 07/2016 | (369,743 | ) | (363,132 | ) | 6,611 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 07/2016 | (124,981 | ) | (121,075 | ) | 3,906 | ||||||||||||
2 | JPPC | LME Copper Futures^ | 07/2016 | (246,441 | ) | (242,163 | ) | 4,278 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 08/2016 | (121,973 | ) | (121,140 | ) | 833 | ||||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | (112,749 | ) | (121,182 | ) | (8,433 | ) | |||||||||||
1 | JPPC | LME Copper Futures^ | 09/2016 | (113,042 | ) | (121,200 | ) | (8,158 | ) | |||||||||||
422 | MSCL | Natural Gas Futures^ | 07/2016 | (11,107,147 | ) | (12,339,280 | ) | (1,232,133 | ) | |||||||||||
118 | MSCL | WTI Crude Futures^ | 07/2016 | (5,897,805 | ) | (5,702,940 | ) | 194,865 | ||||||||||||
67 | BARC | Amsterdam Index Futures | 07/2016 | (6,244,954 | ) | (6,473,193 | ) | (228,239 | ) | |||||||||||
553 | BARC | Euro Stoxx 50 Index Futures | 09/2016 | (17,264,176 | ) | (17,520,900 | ) | (256,724 | ) | |||||||||||
56 | BARC | FTSE/MIB Index Futures | 09/2016 | (5,001,715 | ) | (5,031,029 | ) | (29,314 | ) | |||||||||||
59 | BARC | H-SHARES Index Futures | 07/2016 | (3,201,917 | ) | (3,317,662 | ) | (115,745 | ) | |||||||||||
47 | JPMS | MSCI Singapore Index Futures | 07/2016 | (1,066,969 | ) | (1,107,052 | ) | (40,083 | ) | |||||||||||
654 | BARC | OMXS30 Index Futures | 07/2016 | (9,864,472 | ) | (10,191,816 | ) | (327,344 | ) | |||||||||||
11 | BARC | TOPIX Index Futures | 09/2016 | (1,421,770 | ) | (1,326,732 | ) | 95,038 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
261
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
80 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | $ (11,812,970 | ) | $ (11,839,829 | ) | $ (26,859 | ) | |||||||||||
46 | GSCO | 10-Year Japanese Government Bond Futures | 09/2016 | (67,927,917 | ) | (68,119,111 | ) | (191,194 | ) | |||||||||||
416 | JPMS | 90-Day Sterling Futures | 09/2016 | (68,806,126 | ) | (68,965,412 | ) | (159,286 | ) | |||||||||||
481 | JPMS | 90-Day Sterling Futures | 12/2016 | (79,548,651 | ) | (79,769,264 | ) | (220,613 | ) | |||||||||||
481 | JPMS | 90-Day Sterling Futures | 03/2017 | (79,574,101 | ) | (79,777,275 | ) | (203,174 | ) | |||||||||||
61 | JPMS | 90-Day Sterling Futures | 06/2017 | (10,109,587 | ) | (10,117,284 | ) | (7,697 | ) | |||||||||||
440 | JPMS | Australia 10-Year Bond Futures | 09/2016 | (44,307,728 | ) | (44,694,152 | ) | (386,424 | ) | |||||||||||
429 | GSCO | Canadian 10-Year Bond Futures | 09/2016 | (47,987,258 | ) | (49,157,599 | ) | (1,170,341 | ) | |||||||||||
133 | JPMS | Canadian 3-Month Bank Acceptance Futures | 12/2016 | (25,525,583 | ) | (25,513,672 | ) | 11,911 | ||||||||||||
133 | JPMS | Canadian 3-Month Bank Acceptance Futures | 03/2017 | (25,527,155 | ) | (25,516,245 | ) | 10,910 | ||||||||||||
133 | JPMS | Canadian 3-Month Bank Acceptance Futures | 06/2017 | (25,510,007 | ) | (25,517,532 | ) | (7,525 | ) | |||||||||||
464 | GSCO | Euro-Bund Futures | 09/2016 | (83,995,294 | ) | (86,054,098 | ) | (2,058,804 | ) | |||||||||||
21 | GSCO | Euro-Buxl 30-Year Bond Futures | 09/2016 | (4,156,582 | ) | (4,571,460 | ) | (414,878 | ) | |||||||||||
74 | MSCL | U.S. Treasury Long Bond Futures | 09/2016 | (12,082,215 | ) | (12,753,438 | ) | (671,223 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(653,024,399 | ) | (660,499,189 | ) | (7,474,790 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$326,254,353 | $326,631,672 | $377,319 | ||||||||||||||||||
|
|
|
|
|
|
^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2016:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | 9,818,000 | $7,128,921 | $7,301,115 | $172,194 | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | 14,727,000 | 10,693,394 | 10,951,673 | 258,279 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | 8,416,000 | 2,328,302 | 2,557,083 | 228,781 | ||||||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | 12,624,000 | 3,492,458 | 3,835,625 | 343,167 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | 12,821,600 | 9,861,257 | 9,925,782 | 64,525 | ||||||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | 19,232,400 | 14,791,860 | 14,888,675 | 96,815 | ||||||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | 3,178,800 | 3,276,118 | 3,270,289 | (5,829 | ) | |||||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | 4,768,200 | 4,914,183 | 4,905,433 | (8,750 | ) | |||||||||||||
Danish Krone, Expiring 09/21/16 | CITI | DKK | 224,000 | 34,251 | 33,523 | (728 | ) | |||||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | 4,687,000 | 5,257,582 | 5,216,619 | (40,963 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
262
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | 7,014,000 | $ 7,867,706 | $ 7,806,560 | $ (61,146 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | 3,007,200 | 4,177,746 | 4,006,426 | (171,320 | ) | |||||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | 4,510,800 | 6,266,311 | 6,009,638 | (256,673 | ) | |||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | 1,919,000 | 247,398 | 247,594 | 196 | ||||||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | 2,850,000 | 367,421 | 367,714 | 293 | ||||||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | 269,600,000 | 966,690 | 947,399 | (19,291 | ) | |||||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | 404,400,000 | 1,449,957 | 1,421,099 | (28,858 | ) | |||||||||||||
Indian Rupee, Expiring 09/21/16* | CITI | INR | 136,120,000 | 1,986,483 | 1,989,067 | 2,584 | ||||||||||||||
Indian Rupee, Expiring 09/21/16* | JPMC | INR | 198,180,000 | 2,891,910 | 2,895,925 | 4,015 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | 1,434,157,800 | 13,107,087 | 13,926,138 | 819,051 | ||||||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | 2,067,859,200 | 18,875,202 | 20,079,585 | 1,204,383 | ||||||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | 1,348,000,000 | 1,153,880 | 1,169,357 | 15,477 | ||||||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | 2,022,000,000 | 1,730,824 | 1,754,036 | 23,212 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | 22,000,000 | 1,168,350 | 1,193,765 | 25,415 | ||||||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | 33,000,000 | 1,752,972 | 1,790,645 | 37,673 | ||||||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | 5,076,000 | 600,584 | 606,450 | 5,866 | ||||||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | 7,614,000 | 900,878 | 909,674 | 8,796 | ||||||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | 7,998,800 | 5,450,287 | 5,688,123 | 237,836 | ||||||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | 11,998,200 | 8,175,439 | 8,532,183 | 356,744 | ||||||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | 5,992,000 | 1,517,815 | 1,516,022 | (1,793 | ) | |||||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | 8,988,000 | 2,276,725 | 2,274,032 | (2,693 | ) | |||||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | 15,992,000 | 5,279,162 | 5,457,597 | 178,435 | ||||||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | 23,988,000 | 7,918,754 | 8,186,393 | 267,639 | ||||||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | 7,264,000 | 455,800 | 485,273 | 29,473 | ||||||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | 10,896,000 | 683,701 | 727,910 | 44,209 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$159,047,408 | $162,874,422 | $3,827,014 | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
263
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY SOLD | VALUE AT SETTLEMENT DATE | VALUE AT 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/21/16 | CITI | AUD | (3,742,800 | ) | $(2,684,919 | ) | $(2,783,318 | ) | $(98,399 | ) | ||||||||||
Australian Dollar, Expiring 09/21/16 | JPMC | AUD | (5,614,200 | ) | (4,027,374 | ) | (4,174,977 | ) | (147,603 | ) | ||||||||||
Brazilian Real, Expiring 09/21/16* | CITI | BRL | (200,000 | ) | (55,271 | ) | (60,767 | ) | (5,496 | ) | ||||||||||
Brazilian Real, Expiring 09/21/16* | JPMC | BRL | (300,000 | ) | (82,907 | ) | (91,151 | ) | (8,244 | ) | ||||||||||
Canadian Dollar, Expiring 09/21/16 | CITI | CAD | (2,459,200 | ) | (1,884,289 | ) | (1,903,778 | ) | (19,489 | ) | ||||||||||
Canadian Dollar, Expiring 09/21/16 | JPMC | CAD | (3,688,800 | ) | (2,826,431 | ) | (2,855,668 | ) | (29,237 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | CITI | CHF | (19,144,600 | ) | (19,492,411 | ) | (19,695,599 | ) | (203,188 | ) | ||||||||||
Swiss Franc, Expiring 09/21/16 | JPMC | CHF | (27,974,400 | ) | (28,464,652 | ) | (28,779,527 | ) | (314,875 | ) | ||||||||||
Danish Krone, Expiring 09/21/16 | CITI | DKK | (2,597,200 | ) | (392,046 | ) | (388,686 | ) | 3,360 | |||||||||||
Danish Krone, Expiring 09/21/16 | JPMC | DKK | (3,886,800 | ) | (586,697 | ) | (581,682 | ) | 5,015 | |||||||||||
Euro, Expiring 09/21/16 | CITI | EUR | (2,167,800 | ) | (2,418,631 | ) | (2,412,755 | ) | 5,876 | |||||||||||
Euro, Expiring 09/21/16 | JPMC | EUR | (2,794,200 | ) | (3,107,985 | ) | (3,109,936 | ) | (1,951 | ) | ||||||||||
British Pound, Expiring 09/21/16 | CITI | GBP | (2,346,000 | ) | (3,446,228 | ) | (3,125,524 | ) | 320,704 | |||||||||||
British Pound, Expiring 09/21/16 | JPMC | GBP | (3,519,000 | ) | (5,169,335 | ) | (4,688,286 | ) | 481,049 | |||||||||||
Hong Kong Dollar, Expiring 09/21/16 | CITI | HKD | (3,996,000 | ) | (515,129 | ) | (515,574 | ) | (445 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/21/16 | JPMC | HKD | (2,820,000 | ) | (363,552 | ) | (363,844 | ) | (292 | ) | ||||||||||
Hungarian Forint, Expiring 09/21/16 | CITI | HUF | (68,000,000 | ) | (243,245 | ) | (238,959 | ) | 4,286 | |||||||||||
Hungarian Forint, Expiring 09/21/16 | JPMC | HUF | (102,000,000 | ) | (364,789 | ) | (358,438 | ) | 6,351 | |||||||||||
Israeli Shekel, Expiring 09/21/16 | CITI | ILS | (7,796,000 | ) | (2,033,208 | ) | (2,023,826 | ) | 9,382 | |||||||||||
Israeli Shekel, Expiring 09/21/16 | JPMC | ILS | (11,694,000 | ) | (3,049,797 | ) | (3,035,739 | ) | 14,058 | |||||||||||
Japanese Yen, Expiring 09/21/16 | CITI | JPY | (604,354,800 | ) | (5,775,078 | ) | (5,868,481 | ) | (93,403 | ) | ||||||||||
Japanese Yen, Expiring 09/21/16 | JPMC | JPY | (906,532,200 | ) | (8,662,606 | ) | (8,802,722 | ) | (140,116 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | CITI | KRW | (6,454,800,000 | ) | (5,444,701 | ) | (5,599,383 | ) | (154,682 | ) | ||||||||||
Korean Won, Expiring 09/21/16* | JPMC | KRW | (9,682,200,000 | ) | (8,167,043 | ) | (8,399,075 | ) | (232,032 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | CITI | MXN | (54,156,000 | ) | (2,889,773 | ) | (2,938,612 | ) | (48,839 | ) | ||||||||||
Mexican Peso, Expiring 09/21/16 | JPMC | MXN | (81,234,000 | ) | (4,334,653 | ) | (4,407,917 | ) | (73,264 | ) | ||||||||||
Norwegian Krone, Expiring 09/21/16 | CITI | NOK | (81,766,800 | ) | (9,854,508 | ) | (9,768,999 | ) | 85,509 | |||||||||||
Norwegian Krone, Expiring 09/21/16 | JPMC | NOK | (122,197,200 | ) | (14,726,159 | ) | (14,599,378 | ) | 126,781 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
264
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY SOLD | VALUE AT SETTLEMENT DATE | VALUE AT 2016 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
New Zealand Dollar, Expiring 09/21/16 | CITI | NZD | (3,828,000 | ) | $ (2,564,276 | ) | $ (2,722,175 | ) | $ (157,899 | ) | ||||||||||
New Zealand Dollar, Expiring 09/21/16 | JPMC | NZD | (5,742,000 | ) | (3,846,409 | ) | (4,083,262 | ) | (236,853 | ) | ||||||||||
Poland Zloty, Expiring 09/21/16 | CITI | PLN | (2,160,000 | ) | (541,040 | ) | (546,498 | ) | (5,458 | ) | ||||||||||
Poland Zloty, Expiring 09/21/16 | JPMC | PLN | (3,240,000 | ) | (812,010 | ) | (819,744 | ) | (7,734 | ) | ||||||||||
Swedish Krona, Expiring 09/21/16 | CITI | SEK | (13,335,200 | ) | (1,611,286 | ) | (1,581,651 | ) | 29,635 | |||||||||||
Swedish Krona, Expiring 09/21/16 | JPMC | SEK | (19,885,800 | ) | (2,402,563 | ) | (2,358,600 | ) | 43,963 | |||||||||||
Singapore Dollar, Expiring 09/21/16 | CITI | SGD | (2,388,400 | ) | (1,737,949 | ) | (1,771,513 | ) | (33,564 | ) | ||||||||||
Singapore Dollar, Expiring 09/21/16 | JPMC | SGD | (3,582,600 | ) | (2,606,902 | ) | (2,657,268 | ) | (50,366 | ) | ||||||||||
Turkish Lira, Expiring 09/21/16 | CITI | TRY | (2,840,000 | ) | (956,310 | ) | (969,208 | ) | (12,898 | ) | ||||||||||
Turkish Lira, Expiring 09/21/16 | JPMC | TRY | (4,260,000 | ) | (1,433,119 | ) | (1,453,811 | ) | (20,692 | ) | ||||||||||
New Taiwan Dollar, Expiring 09/21/16* | CITI | TWD | (57,800,000 | ) | (1,780,103 | ) | (1,794,938 | ) | (14,835 | ) | ||||||||||
New Taiwan Dollar, Expiring 09/21/16* | JPMC | TWD | (61,200,000 | ) | (1,885,788 | ) | (1,900,521 | ) | (14,733 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | CITI | ZAR | (2,800,000 | ) | (178,481 | ) | (187,054 | ) | (8,573 | ) | ||||||||||
South African Rand, Expiring 09/21/16 | JPMC | ZAR | (4,200,000 | ) | (267,664 | ) | (280,581 | ) | (12,917 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(163,687,317 | ) | (164,699,425 | ) | (1,012,108 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(4,639,909) | $(1,825,003) | $2,814,906 | ||||||||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
265
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
Total Return Basket Swaps* Outstanding at June 30, 2016
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps. | 1-60 months maturity ranging from 07/20/2016 - 12/21/2020 | $(1,469,173 | ) | ||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Germany | ||||||||||||
TUI AG | 15,733 | $ | 253,070 | $ | (73,998 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
DCC plc | 3,170 | 225,185 | 53,774 | |||||||||
Paddy Power Betfair plc | 128 | 14,996 | (1,528 | ) | ||||||||
Shire plc | 670 | 36,176 | 5,232 | |||||||||
|
| |||||||||||
57,478 | ||||||||||||
|
| |||||||||||
Luxembourg | ||||||||||||
Regus plc | 28,148 | 109,943 | (1,104 | ) | ||||||||
|
| |||||||||||
South Africa | ||||||||||||
Mondi plc | 7,243 | 112,309 | 23,298 | |||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Coca-Cola HBC AG | 13,325 | 247,450 | 22,174 | |||||||||
Wolseley plc | 962 | 42,449 | 7,367 | |||||||||
|
| |||||||||||
29,541 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aggreko plc | 11,210 | 116,459 | 75,266 | |||||||||
Amec Foster Wheeler plc | 27,229 | 135,895 | 43,139 | |||||||||
Ashtead Group plc | 1,226 | 15,255 | 2,257 | |||||||||
Aviva plc | 13,329 | 82,681 | (12,420 | ) | ||||||||
Babcock International Group plc | 7,753 | 95,514 | (1,779 | ) | ||||||||
Barratt Developments plc | 28,553 | 217,309 | (62,151 | ) | ||||||||
Bellway plc | 5,801 | 193,270 | (46,113 | ) | ||||||||
Berkeley Group Holdings plc | 11,474 | 493,790 | (106,339 | ) | ||||||||
Britvic plc | 9,875 | 92,417 | (15,143 | ) | ||||||||
BT Group plc | 43,812 | 271,498 | (30,681 | ) | ||||||||
Bunzl plc | 1,811 | 42,331 | 13,391 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Close Brothers Group plc | 7,321 | $ | 121,738 | $ | (10,764 | ) | ||||||
Compass Group plc | 6,499 | 99,551 | 24,095 | |||||||||
Daily Mail & General Trust plc | 2,713 | 23,703 | (2,045 | ) | ||||||||
Direct Line Insurance Group plc | 48,476 | 234,853 | (10,741 | ) | ||||||||
Dixons Carphone plc | 24,565 | 149,510 | (44,076 | ) | ||||||||
DS Smith plc | 14,847 | 72,032 | 4,782 | |||||||||
easyJet plc | 9,931 | 213,562 | (69,249 | ) | ||||||||
GKN plc | 11,710 | 43,064 | (727 | ) | ||||||||
Greene King plc | 12,813 | 147,810 | (14,377 | ) | ||||||||
Henderson Group plc | 20,073 | 72,926 | (15,859 | ) | ||||||||
Howden Joinery Group plc | 13,956 | 90,114 | (18,435 | ) | ||||||||
HSBC Holdings plc | 6,665 | 43,341 | (2,047 | ) | ||||||||
Imperial Brands plc | 5,537 | 260,227 | 40,059 | |||||||||
Inchcape plc | 12,321 | 116,081 | (12,482 | ) | ||||||||
Indivior plc | 110,837 | 227,934 | 145,014 | |||||||||
Informa plc | 1,614 | 14,536 | 1,203 | |||||||||
Inmarsat plc | 3,988 | 55,960 | (12,982 | ) | ||||||||
Intermediate Capital Group plc | 56,855 | 430,495 | (57,988 | ) | ||||||||
International Consolidated Airlines Group SA | 47,160 | 348,097 | (114,198 | ) | ||||||||
ITV plc | 38,890 | 130,107 | (36,861 | ) | ||||||||
J Sainsbury plc | 80,672 | 272,400 | (21,092 | ) | ||||||||
John Wood Group plc | 10,811 | 83,196 | 16,321 | |||||||||
Jupiter Fund Management plc | 10,859 | 56,540 | (3,216 | ) | ||||||||
Kingfisher plc | 35,231 | 155,663 | (4,342 | ) | ||||||||
Legal & General Group plc | 8,137 | 25,995 | (5,163 | ) | ||||||||
Man Group plc | 40,658 | 83,391 | (20,221 | ) | ||||||||
Marks & Spencer Group plc | 18,675 | 106,569 | (26,593 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
266
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Meggitt plc | 6,966 | $ | 32,935 | $ | 4,928 | |||||||
Merlin Entertainments plc | 3,648 | 20,024 | 1,459 | |||||||||
Micro Focus International plc | 15,115 | 283,062 | 43,030 | |||||||||
National Grid plc | 37,774 | 481,457 | 74,022 | |||||||||
Next plc | 205 | 17,784 | (4,239 | ) | ||||||||
Persimmon plc | 10,365 | 263,597 | (62,602 | ) | ||||||||
Playtech plc | 17,917 | 180,102 | 10,507 | |||||||||
Provident Financial plc | 3,460 | 136,929 | (30,244 | ) | ||||||||
Reckitt Benckiser Group plc | 1,019 | 90,723 | 11,454 | |||||||||
Rentokil Initial plc | 49,065 | 97,708 | 28,998 | |||||||||
Rexam plc | 1,142 | 9,250 | 708 | |||||||||
Rightmove plc | 3,493 | 177,544 | (6,942 | ) | ||||||||
Royal Mail plc | 52,351 | 299,913 | 51,810 | |||||||||
Sage Group plc (The) | 16,241 | 120,077 | 20,303 | |||||||||
Sky plc | 25,503 | 359,666 | (69,864 | ) | ||||||||
Smith & Nephew plc | 936 | 13,833 | 2,061 | |||||||||
Sports Direct International plc | 3,570 | 19,516 | (4,230 | ) | ||||||||
SSE plc | 5,755 | 108,346 | 11,433 | |||||||||
Stagecoach Group plc | 6,329 | 22,640 | (3,067 | ) | ||||||||
Taylor Wimpey plc | 90,030 | 219,958 | (60,237 | ) | ||||||||
Travis Perkins plc | 1,727 | 42,101 | (8,028 | ) | ||||||||
United Utilities Group plc | 5,302 | 64,071 | 9,416 | |||||||||
Whitbread plc | 329 | 17,331 | (1,938 | ) | ||||||||
William Hill plc | 54,787 | 282,235 | (93,518 | ) | ||||||||
WM Morrison Supermarkets plc | 60,705 | 152,524 | (130 | ) | ||||||||
WPP plc | 10,961 | 209,387 | 19,056 | |||||||||
|
| |||||||||||
(468,411 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (433,196 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Australia | ||||||||||||
BHP Billiton plc | (12,010 | ) | (114,749 | ) | (37,261 | ) | ||||||
|
| |||||||||||
Chile | ||||||||||||
Antofagasta plc | (18,667 | ) | (90,127 | ) | (26,598 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
Experian plc | (16,503 | ) | (245,378 | ) | (67,718 | ) | ||||||
|
| |||||||||||
Luxembourg | ||||||||||||
B&M European Value Retail SA | (15,513 | ) | (56,808 | ) | 3,946 | |||||||
|
| |||||||||||
Netherlands | ||||||||||||
Royal Dutch Shell plc | (6,002 | ) | (101,640 | ) | (63,206 | ) | ||||||
|
| |||||||||||
South Africa | ||||||||||||
Investec plc | (2,317 | ) | (12,871 | ) | (1,531 | ) | ||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom | ||||||||||||
AA plc | (20,308 | ) | $ | (75,245 | ) | $ | 10,226 | |||||
Aberdeen Asset Management plc | (29,637 | ) | (86,592 | ) | (24,603 | ) | ||||||
Admiral Group plc | (1,846 | ) | (39,246 | ) | (10,947 | ) | ||||||
ARM Holdings plc | (8,555 | ) | (106,307 | ) | (23,641 | ) | ||||||
ASOS plc | (5,712 | ) | (226,588 | ) | (78,543 | ) | ||||||
Associated British Foods plc | (5,625 | ) | (226,888 | ) | 21,922 | |||||||
AstraZeneca plc | (1,881 | ) | (106,808 | ) | (5,644 | ) | ||||||
Auto Trader Group plc | (2,804 | ) | (14,815 | ) | 1,560 | |||||||
Barclays plc | (31,526 | ) | (69,795 | ) | 11,160 | |||||||
Booker Group plc | (64,010 | ) | (131,399 | ) | (16,835 | ) | ||||||
BP plc | (45,425 | ) | (193,735 | ) | (72,161 | ) | ||||||
British American Tobacco plc | (1,063 | ) | (50,227 | ) | (18,687 | ) | ||||||
BTG plc | (27,249 | ) | (214,064 | ) | (49,115 | ) | ||||||
Burberry Group plc | (7,168 | ) | (110,775 | ) | (727 | ) | ||||||
Capita plc | (8,992 | ) | (136,722 | ) | 20,856 | |||||||
Centrica plc | (126,668 | ) | (348,560 | ) | (34,483 | ) | ||||||
Croda International plc | (621 | ) | (24,472 | ) | (1,597 | ) | ||||||
Diageo plc | (20,833 | ) | (502,232 | ) | (79,751 | ) | ||||||
Drax Group plc | (22,768 | ) | (61,449 | ) | (37,368 | ) | ||||||
G4S plc | (46,352 | ) | (123,619 | ) | 10,040 | |||||||
GlaxoSmithKline plc | (13,010 | ) | (235,528 | ) | (43,862 | ) | ||||||
Halma plc | (2,556 | ) | (27,517 | ) | (7,247 | ) | ||||||
Hargreaves Lansdown plc | (13,880 | ) | (223,148 | ) | (8,385 | ) | ||||||
ICAP plc | (16,908 | ) | (102,738 | ) | 7,602 | |||||||
IMI plc | (5,036 | ) | (52,126 | ) | (13,137 | ) | ||||||
InterContinental Hotels Group plc | (5,705 | ) | (208,133 | ) | (2,269 | ) | ||||||
Intertek Group plc | (4,409 | ) | (156,422 | ) | (49,008 | ) | ||||||
Johnson Matthey plc | (410 | ) | (13,011 | ) | (2,367 | ) | ||||||
Just Eat plc | (2,368 | ) | (13,917 | ) | 399 | |||||||
Lloyds Banking Group plc | (160,136 | ) | (137,203 | ) | 21,218 | |||||||
Old Mutual plc | (79,497 | ) | (158,950 | ) | (55,808 | ) | ||||||
Pearson plc | (9,550 | ) | (97,392 | ) | (26,836 | ) | ||||||
Pennon Group plc | (23,826 | ) | (276,984 | ) | (24,351 | ) | ||||||
Petrofac Ltd. | (18,575 | ) | (173,343 | ) | (19,737 | ) | ||||||
Prudential plc | (5,124 | ) | (91,019 | ) | 4,070 | |||||||
Rio Tinto plc | (3,607 | ) | (84,935 | ) | (27,122 | ) | ||||||
Rolls-Royce Holdings plc (3) | (349,746 | ) | 45 | (511 | ) | |||||||
Rolls-Royce Holdings plc (3) | (9,409 | ) | 2 | (14 | ) | |||||||
Rolls-Royce Holdings plc | (4,926 | ) | (35,169 | ) | (11,850 | ) | ||||||
Rotork plc | (13,065 | ) | (27,158 | ) | (10,665 | ) | ||||||
Royal Bank of Scotland Group plc | (85,620 | ) | (295,271 | ) | 101,243 | |||||||
RSA Insurance Group plc | (28,262 | ) | (149,807 | ) | (39,615 | ) | ||||||
SABMiller plc | (5,484 | ) | (296,934 | ) | (22,888 | ) | ||||||
Serco Group plc | (403,336 | ) | (430,653 | ) | (169,595 | ) | ||||||
Severn Trent plc | (4,422 | ) | (123,350 | ) | (20,936 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
267
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Smiths Group plc | (1,090 | ) | $ | (12,731 | ) | $ | (4,113 | ) | ||||
Spectris plc | (1,261 | ) | (26,020 | ) | (4,675 | ) | ||||||
Spirax-Sarco Engineering plc | (813 | ) | (31,491 | ) | (9,219 | ) | ||||||
St. James’s Place plc | (6,530 | ) | (77,302 | ) | 8,438 | |||||||
Standard Chartered plc | (51,123 | ) | (335,803 | ) | (52,066 | ) | ||||||
Standard Life plc | (55,243 | ) | (265,759 | ) | 47,806 | |||||||
Tate & Lyle plc | (13,968 | ) | (111,205 | ) | (13,683 | ) | ||||||
Tesco plc | (295,200 | ) | (641,070 | ) | (52,235 | ) | ||||||
Thomas Cook Group plc | (62,485 | ) | (91,972 | ) | 39,462 | |||||||
UBM plc | (2,941 | ) | (22,372 | ) | (2,851 | ) | ||||||
Vodafone Group plc | (28,973 | ) | (85,025 | ) | (3,309 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Weir Group plc (The) | (3,689 | ) | $ | (38,429 | ) | $ | (32,818 | ) | ||||
|
| |||||||||||
(879,272 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (1,071,640 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (1,504,836 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 35,663 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (1,469,173 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
(3) | Level 3 security (See Note 5). |
Total Return Basket Swaps Outstanding at June 30, 2016
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | 55-60 months maturity 12/22/2020 | $(50,276 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
Waste Connections, Inc. | 1,715 | $ | 93,896 | $ | 29,670 | |||||||
|
| |||||||||||
Ireland | ||||||||||||
Accenture plc | 2,392 | 242,501 | 28,489 | |||||||||
XL Group plc | 1,345 | 47,586 | (2,784 | ) | ||||||||
|
| |||||||||||
25,705 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Frank’s International NV | 2,142 | 29,457 | 1,838 | |||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Singapore | ||||||||||||
Broadcom Ltd. | 1,118 | $ | 134,238 | $ | 39,499 | |||||||
Flextronics International Ltd. | 20,622 | 192,175 | 51,165 | |||||||||
|
| |||||||||||
90,664 | ||||||||||||
|
| |||||||||||
Sweden | ||||||||||||
Autoliv, Inc. | 283 | 29,766 | 642 | |||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Allied World Assurance Co. Holdings AG | 3,347 | 116,409 | 1,205 | |||||||||
Chubb Ltd. | 200 | 22,174 | 3,968 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
268
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Switzerland (continued) | ||||||||||||
TE Connectivity Ltd. | 1,300 | $ | 71,994 | $ | 2,249 | |||||||
Transocean Ltd. | 28,632 | 355,733 | (15,298 | ) | ||||||||
|
| |||||||||||
(7,876 | ) | |||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Noble Corp. plc | 23,804 | 231,962 | (35,817 | ) | ||||||||
STERIS plc | 2,931 | 196,611 | 4,895 | |||||||||
Willis Towers Watson plc | 127 | 14,072 | 1,716 | |||||||||
|
| |||||||||||
(29,206 | ) | |||||||||||
|
| |||||||||||
United States | ||||||||||||
3M Co. | 475 | 65,735 | 17,447 | |||||||||
Aaron’s, Inc. | 8,034 | 180,726 | (4,862 | ) | ||||||||
Abbott Laboratories | 8,640 | 349,892 | (10,254 | ) | ||||||||
AbbVie, Inc. | 1,972 | 108,440 | 13,646 | |||||||||
Abercrombie & Fitch Co. | 4,943 | 134,765 | (46,730 | ) | ||||||||
ACI Worldwide, Inc. | 4,132 | 74,202 | 6,413 | |||||||||
Activision Blizzard, Inc. | 9,926 | 348,763 | 44,604 | |||||||||
Acuity Brands, Inc. | 200 | 41,302 | 8,290 | |||||||||
Adobe Systems, Inc. | 840 | 72,312 | 8,152 | |||||||||
Aetna, Inc. | 5,910 | 619,604 | 102,184 | |||||||||
Aflac, Inc. | 8,684 | 490,559 | 136,078 | |||||||||
AGCO Corp. | 10,479 | 467,468 | 26,407 | |||||||||
Air Lease Corp. | 6,016 | 149,983 | 11,125 | |||||||||
Air Products & Chemicals, Inc. | 221 | 26,429 | 4,961 | |||||||||
Akamai Technologies, Inc. | 1,206 | 54,810 | 12,642 | |||||||||
Alaska Air Group, Inc. | 4,550 | 305,078 | (39,858 | ) | ||||||||
Albemarle Corp. | 733 | 58,951 | (817 | ) | ||||||||
Alleghany Corp. | 54 | 25,013 | 4,665 | |||||||||
Allstate Corp. (The) | 2,544 | 148,671 | 29,281 | |||||||||
Alphabet, Inc. | 254 | 182,671 | (3,974 | ) | ||||||||
Amazon.com, Inc. | 130 | 74,682 | 18,348 | |||||||||
AMC Networks, Inc. | 3,468 | 254,031 | (44,494 | ) | ||||||||
Amdocs Ltd. | 10,522 | 556,945 | 50,384 | |||||||||
AMERCO | 894 | 316,174 | 18,674 | |||||||||
Ameren Corp. | 17,443 | 754,291 | 180,305 | |||||||||
American Airlines Group, Inc. | 5,938 | 230,751 | (62,646 | ) | ||||||||
American Eagle Outfitters, Inc. | 27,593 | 399,082 | 40,474 | |||||||||
American Electric Power Co., Inc. | 18,456 | 1,100,447 | 193,134 | |||||||||
American Financial Group, Inc. | 4,026 | 272,790 | 24,852 | |||||||||
American International Group, Inc. | 2,115 | 118,778 | (6,916 | ) | ||||||||
Ameriprise Financial, Inc. | 2,307 | 213,490 | (6,206 | ) | ||||||||
AmerisourceBergen Corp. | 3,229 | 298,812 | (42,687 | ) | ||||||||
Amgen, Inc. | 1,945 | 294,664 | 1,268 | |||||||||
Amsurg Corp. | 1,766 | 128,472 | 8,464 | |||||||||
AmTrust Financial Services, Inc. | 16,014 | 444,759 | (52,416 | ) | ||||||||
Analog Devices, Inc. | 739 | 36,499 | 5,358 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Antero Resources Corp. | 15,576 | $ | 380,251 | $ | 24,414 | |||||||
Anthem, Inc. | 5,923 | 810,563 | (32,636 | ) | ||||||||
AO Smith Corp. | 6,451 | 415,503 | 152,895 | |||||||||
Apple, Inc. | 1,882 | 181,914 | (1,995 | ) | ||||||||
AptarGroup, Inc. | 296 | 21,146 | 2,277 | |||||||||
Arch Capital Group Ltd. | 2,493 | 166,408 | 13,088 | |||||||||
Archer-Daniels-Midland Co. | 7,204 | 219,794 | 89,186 | |||||||||
Armstrong World Industries, Inc. | 1,247 | 31,874 | 16,946 | |||||||||
Arrow Electronics, Inc. | 4,959 | 270,059 | 36,903 | |||||||||
Ashland, Inc. | 480 | 46,195 | 8,894 | |||||||||
Aspen Insurance Holdings Ltd. | 5,897 | 267,740 | 5,763 | |||||||||
Associated Banc-Corp. | 856 | 14,203 | 477 | |||||||||
Assurant, Inc. | 3,938 | 310,277 | 29,611 | |||||||||
Assured Guaranty Ltd. | 14,490 | 342,833 | 24,778 | |||||||||
AT&T, Inc. | 6,396 | 237,584 | 38,787 | |||||||||
Atmos Energy Corp. | 4,258 | 306,255 | 40,006 | |||||||||
AutoNation, Inc. | 2,659 | 118,914 | 6,006 | |||||||||
AutoZone, Inc. | 295 | 211,134 | 23,048 | |||||||||
Avery Dennison Corp. | 3,651 | 215,299 | 57,613 | |||||||||
Avnet, Inc. | 9,145 | 350,081 | 20,383 | |||||||||
Axis Capital Holdings Ltd. | 6,752 | 359,650 | 11,710 | |||||||||
Bank of Hawaii Corp. | 638 | 40,117 | 3,777 | |||||||||
Bank of New York Mellon Corp. (The) | 9,196 | 330,412 | 26,852 | |||||||||
Baxter International, Inc. | 6,707 | 289,405 | 13,886 | |||||||||
BB&T Corp. | 1,617 | 53,232 | 4,350 | |||||||||
Becton Dickinson and Co. | 597 | 85,073 | 16,173 | |||||||||
Bed Bath & Beyond, Inc. | 791 | 34,187 | — | |||||||||
Bemis Co., Inc. | 7,053 | 311,672 | 51,487 | |||||||||
Best Buy Co., Inc. | 9,251 | 239,323 | 43,757 | |||||||||
Big Lots, Inc. | 4,036 | 146,338 | 55,906 | |||||||||
Bio-Rad Laboratories, Inc. | 2,239 | 281,709 | 38,513 | |||||||||
Boeing Co. (The) | 3,128 | 394,316 | 11,918 | |||||||||
BOK Financial Corp. | 4,504 | 212,249 | 70,151 | |||||||||
Booz Allen Hamilton Holding Corp. | 2,000 | 59,400 | (120 | ) | ||||||||
Boston Beer Co., Inc. (The) | 189 | 32,471 | (146 | ) | ||||||||
Boston Scientific Corp. | 6,332 | 111,253 | 36,726 | |||||||||
Brinker International, Inc. | 7,215 | 347,979 | (19,481 | ) | ||||||||
Bristol-Myers Squibb Co. | 758 | 47,913 | 7,838 | |||||||||
Broadridge Financial Solutions, Inc. | 4,305 | 218,737 | 61,949 | |||||||||
Brocade Communications Systems, Inc. | 34,128 | 269,166 | 44,129 | |||||||||
Bruker Corp. | 2,713 | 72,099 | (10,405 | ) | ||||||||
Brunswick Corp. | 6,867 | 291,672 | 19,541 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
269
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Bunge Ltd. | 1,555 | $ | 94,622 | $ | (2,644 | ) | ||||||
CA, Inc. | 6,672 | 174,139 | 44,903 | |||||||||
Cabot Corp. | 5,004 | 221,010 | 7,473 | |||||||||
Cadence Design Systems, Inc. | 10,747 | 203,319 | 57,833 | |||||||||
Campbell Soup Co. | 3,364 | 204,218 | 19,588 | |||||||||
Capital One Financial Corp. | 6,622 | 411,822 | 8,741 | |||||||||
Cardinal Health, Inc. | 3,793 | 310,644 | (14,752 | ) | ||||||||
Carlisle Cos., Inc. | 3,124 | 245,234 | 84,910 | |||||||||
Carnival Corp. | 11,342 | 555,563 | (54,247 | ) | ||||||||
Carter’s, Inc. | 2,087 | 192,011 | 30,191 | |||||||||
Casey’s General Stores, Inc. | 3,902 | 438,816 | 74,336 | |||||||||
Catalent, Inc. | 2,732 | 65,349 | (2,541 | ) | ||||||||
CDK Global, Inc. | 720 | 30,226 | 9,727 | |||||||||
CDW Corp. | 4,292 | 160,314 | 11,710 | |||||||||
Celanese Corp. | 5,599 | 339,523 | 26,931 | |||||||||
Centene Corp. | 885 | 54,922 | 8,241 | |||||||||
CenturyLink, Inc. | 11,481 | 315,062 | 18,001 | |||||||||
Charles River Laboratories International, Inc. | 5,250 | 397,950 | 34,860 | |||||||||
Cheesecake Factory, Inc. (The) | 5,716 | 271,091 | 4,078 | |||||||||
Church & Dwight Co., Inc. | 3,863 | 308,419 | 89,046 | |||||||||
Cinemark Holdings, Inc. | 7,196 | 217,110 | 45,256 | |||||||||
Cintas Corp. | 4,572 | 381,112 | 67,539 | |||||||||
Cisco Systems, Inc. | 20,348 | 485,300 | 98,484 | |||||||||
Citigroup, Inc. | 2,156 | 90,423 | 970 | |||||||||
Citrix Systems, Inc. | 3,071 | 203,780 | 42,177 | |||||||||
Clorox Co. (The) | 3,672 | 463,167 | 45,001 | |||||||||
CME Group, Inc. | 479 | 41,418 | 5,237 | |||||||||
CMS Energy Corp. | 4,784 | 178,540 | 40,854 | |||||||||
Cognizant Technology Solutions Corp. | 2,047 | 122,697 | (5,527 | ) | ||||||||
Comcast Corp. | 4,635 | 251,449 | 50,707 | |||||||||
Commerce Bancshares, Inc. | 6,102 | 252,149 | 40,137 | |||||||||
Commercial Metals Co. | 35,194 | 461,680 | 133,099 | |||||||||
Community Health Systems, Inc. | 4,629 | 81,748 | (25,969 | ) | ||||||||
Computer Sciences Corp. | 9,560 | 286,525 | 188,129 | |||||||||
ConAgra Foods, Inc. | 2,139 | 83,143 | 19,123 | |||||||||
Concho Resources, Inc. | 1,095 | 97,492 | 33,109 | |||||||||
ConocoPhillips | 4,882 | 177,705 | 35,150 | |||||||||
Consolidated Edison, Inc. | 16,643 | 1,161,055 | 177,707 | |||||||||
Constellation Brands, Inc. | 2,513 | 369,275 | 46,375 | |||||||||
Convergys Corp. | 20,473 | 475,152 | 36,673 | |||||||||
Cooper Cos., Inc. (The) | 108 | 13,855 | 4,674 | |||||||||
Copart, Inc. | 1,067 | 35,607 | 16,687 | |||||||||
CoreLogic, Inc. | 3,794 | 122,129 | 23,864 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Costco Wholesale Corp. | 508 | $ | 76,439 | $ | 3,338 | |||||||
Coty, Inc. | 5,291 | 117,629 | 19,884 | |||||||||
CR Bard, Inc. | 1,729 | 308,955 | 97,637 | |||||||||
Cracker Barrel Old Country Store, Inc. | 2,033 | 252,844 | 95,754 | |||||||||
Crane Co. | 585 | 26,931 | 6,250 | |||||||||
Credit Acceptance Corp. | 231 | 41,328 | 1,425 | |||||||||
Crown Holdings, Inc. | 5,285 | 236,927 | 30,864 | |||||||||
CST Brands, Inc. | 6,066 | 224,416 | 36,907 | |||||||||
CSX Corp. | 2,203 | 50,074 | 7,380 | |||||||||
Cummins, Inc. | 3,276 | 273,612 | 94,742 | |||||||||
Curtiss-Wright Corp. | 496 | 43,261 | (1,473 | ) | ||||||||
CVR Energy, Inc. | 3,349 | 98,842 | (46,932 | ) | ||||||||
CVS Health Corp. | 1,465 | 139,263 | 996 | |||||||||
Danaher Corp. | 3,070 | 262,823 | 47,247 | |||||||||
Darden Restaurants, Inc. | 7,235 | 440,105 | 18,160 | |||||||||
Dean Foods Co. | 20,646 | 378,762 | (5,276 | ) | ||||||||
Deckers Outdoor Corp. | 1,412 | 59,685 | 21,533 | |||||||||
Delta Air Lines, Inc. | 13,897 | 645,077 | (138,810 | ) | ||||||||
Deluxe Corp. | 5,897 | 309,734 | 81,650 | |||||||||
DENTSPLY SIRONA, Inc. | 5,666 | 324,038 | 27,481 | |||||||||
Diamond Offshore Drilling, Inc. | 10,533 | 259,929 | (3,661 | ) | ||||||||
Dick’s Sporting Goods, Inc. | 5,117 | 175,820 | 54,752 | |||||||||
Dillard’s, Inc. | 908 | 57,313 | (2,288 | ) | ||||||||
Discover Financial Services | 2,121 | 103,285 | 10,380 | |||||||||
Dollar General Corp. | 488 | 34,326 | 11,546 | |||||||||
Dow Chemical Co. (The) | 12,134 | 511,494 | 91,687 | |||||||||
DR Horton, Inc. | 19,638 | 539,040 | 79,164 | |||||||||
Dr. Pepper Snapple Group, Inc. | 5,858 | 531,321 | 34,738 | |||||||||
Dril-Quip, Inc. | 3,931 | 214,373 | 15,315 | |||||||||
DST Systems, Inc. | 2,761 | 295,785 | 25,679 | |||||||||
DTE Energy Co. | 6,193 | 509,250 | 104,600 | |||||||||
Duke Energy Corp. | 709 | 52,973 | 7,852 | |||||||||
Dun & Bradstreet Corp. (The) | 398 | 38,196 | 10,296 | |||||||||
East West Bancorp, Inc. | 1,891 | 65,383 | (748 | ) | ||||||||
Eastman Chemical Co. | 3,253 | 220,171 | 708 | |||||||||
eBay, Inc. | 13,218 | 340,628 | (31,194 | ) | ||||||||
Edison International | 9,054 | 544,326 | 158,898 | |||||||||
Edwards Lifesciences Corp. | 1,286 | 98,558 | 29,695 | |||||||||
Electronic Arts, Inc. | 3,914 | 263,686 | 32,838 | |||||||||
Eli Lilly & Co. | 3,707 | 308,534 | (16,607 | ) | ||||||||
Endurance Specialty Holdings Ltd. | 1,821 | 109,825 | 12,474 | |||||||||
EOG Resources, Inc. | 883 | 53,845 | 19,815 | |||||||||
EP Energy Corp. | 51,144 | 175,567 | 89,359 | |||||||||
EQT Corp. | 2,049 | 121,624 | 37,030 | |||||||||
Equifax, Inc. | 4,980 | 517,223 | 122,209 | |||||||||
Everest Re Group Ltd. | 500 | 85,620 | 5,715 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
270
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Exelon Corp. | 20,580 | $ | 636,021 | $ | 112,268 | |||||||
Expedia, Inc. | 982 | 102,746 | 1,641 | |||||||||
Expeditors International of Washington, Inc. | 6,706 | 297,465 | 31,397 | |||||||||
Express Scripts Holding Co. | 1,339 | 98,391 | 3,105 | |||||||||
Facebook, Inc. | 1,120 | 134,364 | (6,370 | ) | ||||||||
FactSet Research Systems, Inc. | 1,335 | 194,510 | 20,986 | |||||||||
Fair Isaac Corp. | 1,074 | 91,623 | 29,750 | |||||||||
FedEx Corp. | 1,397 | 227,864 | (15,827 | ) | ||||||||
Fidelity National Information Services, Inc. | 1,133 | 66,518 | 16,961 | |||||||||
Fifth Third Bancorp | 10,182 | 172,358 | 6,744 | |||||||||
First American Financial Corp. | 6,808 | 226,364 | 47,454 | |||||||||
First Solar, Inc. | 7,206 | 449,151 | (99,804 | ) | ||||||||
FirstEnergy Corp. | 2,936 | 99,790 | 2,706 | |||||||||
Fiserv, Inc. | 1,814 | 161,519 | 35,718 | |||||||||
Flowers Foods, Inc. | 11,440 | 231,130 | (16,630 | ) | ||||||||
FNF Group | 9,667 | 307,604 | 54,909 | |||||||||
Foot Locker, Inc. | 6,452 | 405,766 | (51,810 | ) | ||||||||
Fortune Brands Home & Security, Inc. | 4,829 | 277,775 | 2,162 | |||||||||
FTI Consulting, Inc. | 1,517 | 47,315 | 14,396 | |||||||||
Fulton Financial Corp. | 8,771 | 110,811 | 7,598 | |||||||||
GameStop Corp. | 13,567 | 347,395 | 13,216 | |||||||||
Gannett Co., Inc. | 12,899 | 200,063 | (21,928 | ) | ||||||||
GATX Corp. | 1,956 | 78,896 | 7,109 | |||||||||
General Dynamics Corp. | 3,261 | 415,386 | 38,675 | |||||||||
General Mills, Inc. | 2,356 | 130,566 | 37,464 | |||||||||
General Motors Co. | 9,356 | 275,066 | (10,292 | ) | ||||||||
Genpact Ltd. | 15,653 | 371,642 | 48,485 | |||||||||
Gilead Sciences, Inc. | 4,287 | 386,038 | (28,416 | ) | ||||||||
Global Payments, Inc. | 4,549 | 260,729 | 63,979 | |||||||||
Goodyear Tire & Rubber Co. (The) | 15,931 | 441,319 | (32,529 | ) | ||||||||
Graham Holdings Co. | 458 | 199,015 | 25,195 | |||||||||
Graphic Packaging Holding Co. | 7,839 | 93,990 | 4,311 | |||||||||
Great Plains Energy, Inc. | 11,967 | 367,736 | (3,940 | ) | ||||||||
Guess?, Inc. | 9,111 | 163,936 | (26,815 | ) | ||||||||
Hanover Insurance Group, Inc. (The) | 6,668 | 534,757 | 29,489 | |||||||||
Harris Corp. | 1,924 | 164,376 | (3,837 | ) | ||||||||
Hartford Financial Services Group, Inc. (The) | 6,872 | 268,764 | 36,215 | |||||||||
Hasbro, Inc. | 3,547 | 253,417 | 44,495 | |||||||||
HCA Holdings, Inc. | 3,196 | 202,850 | 43,274 | |||||||||
HD Supply Holdings, Inc. | 2,950 | 106,796 | (4,077 | ) | ||||||||
Helmerich & Payne, Inc. | 3,277 | 144,004 | 75,981 | |||||||||
Herman Miller, Inc. | 14,381 | 355,863 | 73,986 | |||||||||
Hess Corp. | 2,823 | 103,785 | 65,877 | |||||||||
Hill-Rom Holdings, Inc. | 2,466 | 118,220 | 6,190 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
HollyFrontier Corp. | 10,001 | $ | 337,066 | $ | (99,342 | ) | ||||||
Hologic, Inc. | 1,807 | 65,472 | (2,950 | ) | ||||||||
Home Depot, Inc. (The) | 839 | 101,224 | 5,908 | |||||||||
Honeywell International, Inc. | 1,181 | 127,800 | 9,574 | |||||||||
Hormel Foods Corp. | 14,008 | 538,680 | (25,987 | ) | ||||||||
HP, Inc. | 15,190 | 148,254 | 42,380 | |||||||||
HSN, Inc. | 416 | 19,764 | 591 | |||||||||
Huntington Bancshares, Inc. | 10,077 | 95,530 | (5,442 | ) | ||||||||
Huntington Ingalls Industries, Inc. | 5,218 | 644,098 | 232,683 | |||||||||
IAC/InterActiveCorp. | 1,124 | 58,639 | 4,642 | |||||||||
IDACORP, Inc. | 4,445 | 303,582 | 58,019 | |||||||||
Illinois Tool Works, Inc. | 621 | 55,756 | 8,927 | |||||||||
Ingram Micro, Inc. | 225 | 6,180 | 1,645 | |||||||||
Ingredion, Inc. | 6,565 | 596,460 | 253,117 | |||||||||
Integrated Device Technology, Inc. | 7,679 | 161,605 | (7,027 | ) | ||||||||
Intel Corp. | 4,894 | 146,379 | 14,144 | |||||||||
Intercontinental Exchange, Inc. | 1,648 | 405,250 | 16,572 | |||||||||
InterDigital, Inc. | 2,317 | 100,071 | 28,939 | |||||||||
International Business Machines Corp. | 1,177 | 150,785 | 27,860 | |||||||||
International Flavors & Fragrances, Inc. | 721 | 81,819 | 9,077 | |||||||||
International Game Technology plc | 11,875 | 168,971 | 53,566 | |||||||||
Interpublic Group of Cos., Inc. (The) | 9,452 | 207,644 | 10,697 | |||||||||
Intrexon Corp. | 5,604 | 138,714 | (800 | ) | ||||||||
Ionis Pharmaceuticals, Inc. | 4,169 | 89,338 | 7,758 | |||||||||
ITT, Inc. | 12,686 | 392,021 | 13,678 | |||||||||
j2 Global, Inc. | 2,355 | 163,273 | (14,508 | ) | ||||||||
Jabil Circuit, Inc. | 24,859 | 472,374 | (13,228 | ) | ||||||||
Jack Henry & Associates, Inc. | 3,465 | 264,694 | 37,696 | |||||||||
Jack in the Box, Inc. | 234 | 16,778 | 3,327 | |||||||||
Jacobs Engineering Group, Inc. | 655 | 34,328 | (1,703 | ) | ||||||||
JetBlue Airways Corp. | 27,128 | 567,174 | (117,935 | ) | ||||||||
JM Smucker Co. (The) | 1,108 | 137,573 | 31,298 | |||||||||
John Wiley & Sons, Inc. | 3,820 | 159,673 | 39,655 | |||||||||
Johnson & Johnson | 2,190 | 217,869 | 47,778 | |||||||||
JPMorgan Chase & Co. | 6,292 | 364,035 | 26,950 | |||||||||
Juniper Networks, Inc. | 10,002 | 255,791 | (30,846 | ) | ||||||||
Juno Therapeutics, Inc. | 1,979 | 88,047 | (11,974 | ) | ||||||||
KAR Auction Services, Inc. | 414 | 13,889 | 3,392 | |||||||||
KB Home | 18,123 | 244,169 | 31,481 | |||||||||
KeyCorp. | 5,146 | 58,304 | (1,441 | ) | ||||||||
Kimberly-Clark Corp. | 2,675 | 341,620 | 26,139 | |||||||||
Kohl’s Corp. | 1,066 | 49,441 | (9,018 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
271
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Kroger Co. (The) | 14,351 | $ | 543,425 | $ | (15,452 | ) | ||||||
L Brands, Inc. | 926 | 86,257 | (24,095 | ) | ||||||||
L-3 Communications Holdings, Inc. | 482 | 67,516 | 3,188 | |||||||||
Lam Research Corp. | 4,742 | 343,380 | 55,232 | |||||||||
Lancaster Colony Corp. | 1,353 | 152,236 | 20,420 | |||||||||
Laredo Petroleum, Inc. | 10,130 | 70,520 | 35,642 | |||||||||
Las Vegas Sands Corp. | 1,977 | 82,560 | 3,420 | |||||||||
Lear Corp. | 6,577 | 674,471 | (5,196 | ) | ||||||||
Leggett & Platt, Inc. | 1,897 | 72,655 | 24,301 | |||||||||
Leidos Holdings, Inc. | 833 | 39,140 | 736 | |||||||||
Lennar Corp. | 1,499 | 62,697 | 6,407 | |||||||||
Lennox International, Inc. | 1,129 | 136,012 | 24,983 | |||||||||
Level 3 Communications, Inc. | 2,322 | 121,732 | (2,173 | ) | ||||||||
Liberty Interactive Corp. QVC Group | 601 | 15,187 | 60 | |||||||||
LifePoint Health, Inc. | 2,819 | 190,690 | (6,411 | ) | ||||||||
Lockheed Martin Corp. | 949 | 204,310 | 31,203 | |||||||||
Lowe’s Cos., Inc. | 1,757 | 122,178 | 16,924 | |||||||||
LyondellBasell Industries NV | 7,645 | 565,922 | 3,019 | |||||||||
Mallinckrodt plc | 1,252 | 80,666 | (4,570 | ) | ||||||||
Manhattan Associates, Inc. | 2,895 | 159,569 | 26,088 | |||||||||
ManpowerGroup, Inc. | 5,577 | 413,376 | (54,552 | ) | ||||||||
Marathon Petroleum Corp. | 7,924 | 325,932 | (25,137 | ) | ||||||||
MarketAxess Holdings, Inc. | 1,052 | 132,650 | 20,311 | |||||||||
Marriott International, Inc. | 550 | 32,109 | 4,444 | |||||||||
Masco Corp. | 9,906 | 278,361 | 28,130 | |||||||||
Mattel, Inc. | 1,949 | 61,714 | (730 | ) | ||||||||
McCormick & Co., Inc. | 351 | 28,529 | 8,912 | |||||||||
McKesson Corp. | 557 | 94,420 | 9,544 | |||||||||
MDC Holdings, Inc. | 2,388 | 50,772 | 7,352 | |||||||||
MEDNAX, Inc. | 1,225 | 82,112 | 6,615 | |||||||||
Memorial Resource Development Corp. | 13,522 | 135,080 | 79,649 | |||||||||
Mentor Graphics Corp. | 14,963 | 248,045 | 70,068 | |||||||||
Merck & Co., Inc. | 2,983 | 152,821 | 19,029 | |||||||||
Meredith Corp. | 667 | 34,654 | (30 | ) | ||||||||
MetLife, Inc. | 9,407 | 402,055 | (27,374 | ) | ||||||||
Microsoft Corp. | 4,300 | 217,408 | 2,623 | |||||||||
Minerals Technologies, Inc. | 2,923 | 108,239 | 57,788 | |||||||||
Mohawk Industries, Inc. | 556 | 90,817 | 14,690 | |||||||||
Molina Healthcare, Inc. | 9,534 | 518,164 | (42,417 | ) | ||||||||
Molson Coors Brewing Co. | 1,003 | 99,963 | 1,471 | |||||||||
Mondelez International, Inc. | 2,642 | 109,214 | 11,024 | |||||||||
Monster Beverage Corp. | 153 | 21,093 | 3,496 | |||||||||
Morgan Stanley | 6,150 | 161,010 | (1,233 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Mosaic Co. (The) | 3,135 | $ | 77,842 | $ | 4,232 | |||||||
MSC Industrial Direct Co., Inc. | 1,546 | 110,031 | (945 | ) | ||||||||
MSCI, Inc. | 3,553 | 236,690 | 37,317 | |||||||||
MSG Networks, Inc. | 12,236 | 216,825 | (29,125 | ) | ||||||||
Murphy Oil Corp. | 2,578 | 85,580 | (3,729 | ) | ||||||||
Murphy USA, Inc. | 4,645 | 263,815 | 80,658 | |||||||||
Mylan NV | 5,474 | 273,156 | (36,461 | ) | ||||||||
Nasdaq, Inc. | 10,156 | 606,238 | 50,550 | |||||||||
NeuStar, Inc. | 11,258 | 248,463 | 16,213 | |||||||||
Newfield Exploration Co. | 5,464 | 140,506 | 100,893 | |||||||||
NewMarket Corp. | 62 | 22,418 | 3,274 | |||||||||
NextEra Energy, Inc. | 2,860 | 308,337 | 64,607 | |||||||||
Nielsen Holdings plc | 1,635 | 84,769 | 202 | |||||||||
NIKE, Inc. | 2,932 | 172,364 | (10,518 | ) | ||||||||
NiSource, Inc. | 28,215 | 566,447 | 181,815 | |||||||||
Northern Trust Corp. | 1,672 | 106,891 | 3,896 | |||||||||
Northrop Grumman Corp. | 3,563 | 665,390 | 126,593 | |||||||||
Norwegian Cruise Line Holdings Ltd. | 1,674 | 78,986 | (12,294 | ) | ||||||||
Nu Skin Enterprises, Inc. | 5,088 | 154,820 | 80,195 | |||||||||
Nuance Communications, Inc. | 16,215 | 293,541 | (40,100 | ) | ||||||||
NVIDIA Corp. | 6,938 | 193,233 | 132,923 | |||||||||
NVR, Inc. | 223 | 344,049 | 52,967 | |||||||||
Oceaneering International, Inc. | 4,193 | 142,122 | (16,919 | ) | ||||||||
Old Republic International Corp. | 22,673 | 410,419 | 26,943 | |||||||||
Omnicom Group, Inc. | 2,192 | 152,524 | 26,102 | |||||||||
ON Semiconductor Corp. | 6,840 | 55,199 | 5,130 | |||||||||
ONE Gas, Inc. | 6,134 | 344,427 | 64,036 | |||||||||
OneMain Holdings, Inc. | 2,015 | 54,831 | (8,849 | ) | ||||||||
Oracle Corp. | 2,300 | 79,465 | 14,674 | |||||||||
Orbital ATK, Inc. | 1,456 | 125,241 | (1,277 | ) | ||||||||
O’Reilly Automotive, Inc. | 744 | 175,353 | 26,345 | |||||||||
Oshkosh Corp. | 3,745 | 127,315 | 51,359 | |||||||||
Owens & Minor, Inc. | 2,482 | 95,055 | (2,278 | ) | ||||||||
Owens Corning | 14,180 | 617,183 | 113,371 | |||||||||
PACCAR, Inc. | 4,708 | 212,001 | 32,203 | |||||||||
Packaging Corp. of America | 3,048 | 186,502 | 17,501 | |||||||||
Panera Bread Co. | 126 | 23,848 | 2,856 | |||||||||
PAREXEL International Corp. | 1,106 | 71,425 | (1,880 | ) | ||||||||
Parker-Hannifin Corp. | 728 | 63,969 | 14,691 | |||||||||
Patterson-UTI Energy, Inc. | 12,613 | 152,234 | 116,675 | |||||||||
PBF Energy, Inc. | 6,748 | �� | 216,165 | (55,697 | ) | |||||||
Penske Automotive Group, Inc. | 2,823 | 91,473 | (2,661 | ) | ||||||||
People’s United Financial, Inc. | 14,514 | 209,872 | 2,903 | |||||||||
PepsiCo, Inc. | 2,037 | 195,083 | 20,716 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
272
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Pfizer, Inc. | 12,026 | $ | 369,078 | $ | 54,358 | |||||||
PG&E Corp. | 11,977 | 634,541 | 131,028 | |||||||||
Phillips 66 | 2,837 | 223,187 | 1,901 | |||||||||
Pilgrim’s Pride Corp. | 12,136 | 274,392 | 34,834 | |||||||||
Pinnacle Foods, Inc. | 6,767 | 278,936 | 34,309 | |||||||||
Pinnacle West Capital Corp. | 11,833 | 805,379 | 153,804 | |||||||||
Plantronics, Inc. | 2,107 | 89,836 | 2,872 | |||||||||
PNC Financial Services Group, Inc. (The) | 7,588 | 647,484 | (29,897 | ) | ||||||||
PNM Resources, Inc. | 9,812 | 296,749 | 50,988 | |||||||||
Polycom, Inc. | 3,693 | 37,312 | 4,234 | |||||||||
Popular, Inc. | 8,000 | 200,099 | 34,301 | |||||||||
Post Holdings, Inc. | 4,060 | 273,962 | 61,759 | |||||||||
PPG Industries, Inc. | 400 | 36,640 | 5,020 | |||||||||
PPL Corp. | 5,161 | 178,319 | 16,508 | |||||||||
Prestige Brands Holdings, Inc. | 1,076 | 60,768 | (1,158 | ) | ||||||||
Procter & Gamble Co. (The) | 3,401 | 273,907 | 14,055 | |||||||||
Progressive Corp. (The) | 11,746 | 376,992 | 16,499 | |||||||||
Prudential Financial, Inc. | 3,612 | 251,626 | 6,054 | |||||||||
Public Service Enterprise Group, Inc. | 25,816 | 1,028,251 | 175,032 | |||||||||
PVH Corp. | 950 | 63,090 | 26,429 | |||||||||
QEP Resources, Inc. | 10,712 | 119,679 | 69,173 | |||||||||
Quest Diagnostics, Inc. | 1,381 | 90,767 | 21,660 | |||||||||
Quintiles Transnational Holdings, Inc. | 8,332 | 530,373 | 13,873 | |||||||||
Rackspace Hosting, Inc. | 6,306 | 115,526 | 16,017 | |||||||||
Ralph Lauren Corp. | 417 | 44,999 | (7,628 | ) | ||||||||
Raytheon Co. | 3,818 | 461,397 | 57,661 | |||||||||
Red Hat, Inc. | 490 | 33,957 | 1,617 | |||||||||
Regal Entertainment Group | 1,885 | 33,647 | 7,898 | |||||||||
Regeneron Pharmaceuticals, Inc. | 192 | 85,660 | (18,608 | ) | ||||||||
Reinsurance Group of America, Inc. | 3,858 | 311,341 | 62,847 | |||||||||
Reliance Steel & Aluminum Co. | 7,838 | 406,159 | 196,583 | |||||||||
RenaissanceRe Holdings Ltd. | 613 | 68,015 | 3,976 | |||||||||
Republic Services, Inc. | 16,676 | 745,450 | 110,195 | |||||||||
Rockwell Automation, Inc. | 1,080 | 98,561 | 25,445 | |||||||||
Ross Stores, Inc. | 1,600 | 84,128 | 6,576 | |||||||||
Rowan Cos. plc | 29,390 | 420,353 | 98,675 | |||||||||
Royal Caribbean Cruises Ltd. | 5,905 | 463,132 | (66,611 | ) | ||||||||
Ryder System, Inc. | 6,146 | 293,717 | 82,049 | |||||||||
S&P Global, Inc. | 619 | 51,581 | 14,813 | |||||||||
Sabre Corp. | 1,430 | 36,494 | 1,816 | |||||||||
SCANA Corp. | 9,441 | 584,217 | 130,089 | |||||||||
Science Applications International Corp. | 1,458 | 78,813 | 6,261 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Scotts Miracle-Gro Co. (The) | 1,393 | $ | 91,882 | $ | 5,502 | |||||||
Scripps Networks Interactive, Inc. | 1,386 | 89,578 | (3,271 | ) | ||||||||
SEI Investments Co. | 1,014 | 45,518 | 3,265 | |||||||||
Sensient Technologies Corp. | 2,581 | 143,529 | 39,825 | |||||||||
Service Corp. International | 4,774 | 113,573 | 15,515 | |||||||||
ServiceMaster Global Holdings, Inc. | 800 | 30,984 | 856 | |||||||||
Skechers U.S.A., Inc. | 13,361 | 365,958 | 31,131 | |||||||||
Skyworks Solutions, Inc. | 2,212 | 133,561 | 6,415 | |||||||||
SM Energy Co. | 2,997 | 37,880 | 43,039 | |||||||||
Snap-on, Inc. | 1,448 | 225,149 | 3,375 | |||||||||
Sonoco Products Co. | 4,466 | 170,294 | 51,488 | |||||||||
Southern Co. (The) | 10,863 | 520,541 | 62,042 | |||||||||
Southwest Airlines Co. | 4,274 | 169,250 | (1,667 | ) | ||||||||
Spectrum Brands Holdings, Inc. | 1,905 | 189,085 | 38,200 | |||||||||
Spirit AeroSystems Holdings, Inc. | 16,922 | 742,854 | (15,208 | ) | ||||||||
SS&C Technologies Holdings, Inc. | 3,026 | 95,697 | (10,727 | ) | ||||||||
Stanley Black & Decker, Inc. | 2,995 | 293,535 | 39,569 | |||||||||
Starbucks Corp. | 611 | 35,774 | (874 | ) | ||||||||
State Street Corp. | 2,004 | 111,302 | (3,246 | ) | ||||||||
Stryker Corp. | 1,917 | 175,521 | 54,194 | |||||||||
SunTrust Banks, Inc. | 9,768 | 362,588 | 38,681 | |||||||||
SUPERVALU, Inc. | 22,731 | 93,652 | 13,639 | |||||||||
Synaptics, Inc. | 1,557 | 101,766 | (18,077 | ) | ||||||||
Synchrony Financial | 7,186 | 204,868 | (23,206 | ) | ||||||||
SYNNEX Corp. | 3,471 | 309,075 | 20,045 | |||||||||
Synopsys, Inc. | 5,538 | 225,341 | 74,154 | |||||||||
Sysco Corp. | 1,156 | 51,595 | 7,060 | |||||||||
Talen Energy Corp. | 3,952 | 24,384 | 29,166 | |||||||||
Target Corp. | 3,619 | 250,580 | 2,099 | |||||||||
Tech Data Corp. | 9,522 | 600,488 | 83,668 | |||||||||
Teekay Corp. | 25,973 | 166,619 | 18,568 | |||||||||
TEGNA, Inc. | 12,865 | 298,486 | (404 | ) | ||||||||
Teledyne Technologies, Inc. | 1,428 | 110,425 | 31,019 | |||||||||
Teleflex, Inc. | 2,836 | 380,390 | 122,461 | |||||||||
Teradyne, Inc. | 14,815 | 295,528 | (3,821 | ) | ||||||||
Tesoro Corp. | 5,437 | 479,441 | (72,101 | ) | ||||||||
Texas Instruments, Inc. | 274 | 13,356 | 3,810 | |||||||||
Textron, Inc. | 7,252 | 250,388 | 14,745 | |||||||||
Thermo Fisher Scientific, Inc. | 627 | 93,136 | (490 | ) | ||||||||
Thomson Reuters Corp. | 3,084 | 109,204 | 15,451 | |||||||||
Thor Industries, Inc. | 3,076 | 154,086 | 45,054 | |||||||||
Time Warner, Inc. | 980 | 67,792 | 4,277 | |||||||||
Time, Inc. | 2,659 | 36,216 | 7,552 | |||||||||
TJX Cos., Inc. (The) | 473 | 32,500 | 4,030 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
273
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
TopBuild Corp. | 5,867 | $ | 161,462 | $ | 50,935 | |||||||
Torchmark Corp. | 5,189 | 274,342 | 46,442 | |||||||||
Toro Co. (The) | 1,622 | 121,575 | 21,486 | |||||||||
Total System Services, Inc. | 10,724 | 475,126 | 94,425 | |||||||||
Travelers Cos., Inc. (The) | 5,327 | 563,606 | 70,520 | |||||||||
Trinity Industries, Inc. | 20,737 | 405,088 | (20,002 | ) | ||||||||
Trustmark Corp. | 5,713 | 118,496 | 23,472 | |||||||||
Tupperware Brands Corp. | 2,058 | 100,863 | 14,962 | |||||||||
Tyler Technologies, Inc. | 724 | 113,718 | 6,980 | |||||||||
Tyson Foods, Inc. | 18,440 | 976,209 | 255,399 | |||||||||
UGI Corp. | 9,161 | 320,928 | 93,607 | |||||||||
Ulta Salon Cosmetics & Fragrance, Inc. | 160 | 28,220 | 10,763 | |||||||||
United Continental Holdings, Inc. | 7,929 | 351,968 | (26,561 | ) | ||||||||
United Parcel Service, Inc. | 5,023 | 509,167 | 31,911 | |||||||||
United Therapeutics Corp. | 4,166 | 534,037 | (92,775 | ) | ||||||||
UnitedHealth Group, Inc. | 4,610 | 518,994 | 131,938 | |||||||||
Universal Health Services, Inc. | 1,883 | 205,108 | 47,403 | |||||||||
Unum Group | 6,817 | 213,195 | 3,517 | |||||||||
US Bancorp. | 4,438 | 173,659 | 5,326 | |||||||||
Valero Energy Corp. | 9,804 | 652,358 | (152,354 | ) | ||||||||
Validus Holdings Ltd. | 7,729 | 334,280 | 41,272 | |||||||||
Valmont Industries, Inc. | 572 | 56,599 | 20,775 | |||||||||
Vantiv, Inc. | 2,241 | 97,973 | 28,868 | |||||||||
Varian Medical Systems, Inc. | 394 | 29,920 | 2,478 | |||||||||
Vectren Corp. | 900 | 37,314 | 10,089 | |||||||||
VeriSign, Inc. | 2,972 | 221,711 | 35,248 | |||||||||
Verizon Communications, Inc. | 3,521 | 162,165 | 34,448 | |||||||||
Visa, Inc. | 643 | 45,904 | 1,788 | |||||||||
Vishay Intertechnology, Inc. | 9,619 | 104,566 | 14,613 | |||||||||
Vista Outdoor, Inc. | 1,186 | 56,567 | 41 | |||||||||
VMware, Inc. | 1,107 | 49,891 | 13,452 | |||||||||
Voya Financial, Inc. | 3,300 | 99,561 | (17,853 | ) | ||||||||
VWR Corp. | 7,114 | 185,717 | 19,878 | |||||||||
Wabtec Corp. | 547 | 34,472 | 3,944 | |||||||||
Wal-Mart Stores, Inc. | 4,788 | 299,537 | 50,082 | |||||||||
Walt Disney Co. (The) | 2,094 | 198,609 | 6,226 | |||||||||
Waste Management, Inc. | 12,562 | 661,012 | 171,471 | |||||||||
Waters Corp. | 1,469 | 184,874 | 21,741 | |||||||||
WebMD Health Corp. | 1,539 | 98,890 | (9,458 | ) | ||||||||
WellCare Health Plans, Inc. | 5,635 | 497,512 | 107,010 | |||||||||
Wells Fargo & Co. | 6,055 | 291,912 | (5,328 | ) | ||||||||
Werner Enterprises, Inc. | 15,920 | 349,121 | 16,561 | |||||||||
West Pharmaceutical Services, Inc. | 2,709 | 164,810 | 40,749 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Western Refining, Inc. | 6,309 | $ | 205,792 | $ | (75,638 | ) | ||||||
Western Union Co. (The) | 2,631 | 43,254 | 7,209 | |||||||||
Westlake Chemical Corp. | 3,898 | 169,287 | (1,985 | ) | ||||||||
WGL Holdings, Inc. | 5,748 | 360,227 | 46,674 | |||||||||
Whirlpool Corp. | 2,355 | 299,580 | 92,858 | |||||||||
White Mountains Insurance Group Ltd. | 80 | 58,758 | 8,602 | |||||||||
Woodward, Inc. | 3,587 | 177,480 | 29,275 | |||||||||
World Fuel Services Corp. | 4,877 | 183,083 | 48,526 | |||||||||
WPX Energy, Inc. | 4,861 | 41,816 | 3,440 | |||||||||
WR Berkley Corp. | 1,544 | 83,879 | 8,638 | |||||||||
Wyndham Worldwide Corp. | 1,307 | 84,797 | 8,301 | |||||||||
Xcel Energy, Inc. | 24,889 | 928,246 | 186,284 | |||||||||
Xilinx, Inc. | 1,242 | 53,145 | 4,148 | |||||||||
Xylem, Inc. | 1,124 | 48,371 | 1,816 | |||||||||
|
| |||||||||||
11,584,107 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 11,695,544 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
Canada | ||||||||||||
lululemon athletica, Inc. | (2,603 | ) | (150,748 | ) | (41,510 | ) | ||||||
|
| |||||||||||
Ireland | ||||||||||||
Alkermes plc | (6,119 | ) | (250,020 | ) | (14,443 | ) | ||||||
Allegion plc | (5,184 | ) | (303,745 | ) | (56,181 | ) | ||||||
Endo International plc | (13,604 | ) | (492,592 | ) | 280,506 | |||||||
Jazz Pharmaceuticals plc | (1,315 | ) | (158,694 | ) | (27,128 | ) | ||||||
Medtronic plc | (2,837 | ) | (211,583 | ) | (34,583 | ) | ||||||
Perrigo Co. plc | (1,414 | ) | (161,452 | ) | 33,245 | |||||||
|
| |||||||||||
181,416 | ||||||||||||
|
| |||||||||||
Netherlands | ||||||||||||
Chicago Bridge & Iron Co. NV | (10,584 | ) | (403,295 | ) | 36,771 | |||||||
Core Laboratories NV | (392 | ) | (35,965 | ) | (12,600 | ) | ||||||
QIAGEN NV | (9,308 | ) | (206,967 | ) | 3,959 | |||||||
Sensata Technologies Holding NV | (8,290 | ) | (289,321 | ) | 83 | |||||||
|
| |||||||||||
28,213 | ||||||||||||
|
| |||||||||||
Norway | ||||||||||||
Golar LNG Ltd. | (26,703 | ) | (371,394 | ) | (42,503 | ) | ||||||
|
| |||||||||||
Switzerland | ||||||||||||
Garmin Ltd. | (2,524 | ) | (85,443 | ) | (21,625 | ) | ||||||
Weatherford International plc | (83,550 | ) | (501,667 | ) | 37,964 | |||||||
|
| |||||||||||
16,339 | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Aon plc | (4,801 | ) | (412,628 | ) | (111,786 | ) | ||||||
Delphi Automotive plc | (1,515 | ) | (103,957 | ) | 9,118 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
274
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Ensco plc | (23,909 | ) | $ | (222,363 | ) | $ | (9,794 | ) | ||||
Liberty Global plc | (7,965 | ) | (246,131 | ) | 14,668 | |||||||
Liberty Global plc LiLAC | (992 | ) | (30,654 | ) | (1,348 | ) | ||||||
LivaNova plc | (3,250 | ) | (174,033 | ) | 10,785 | |||||||
Michael Kors Holdings Ltd. | (1,098 | ) | (41,141 | ) | (13,188 | ) | ||||||
Pentair plc | (5,994 | ) | (266,623 | ) | (82,767 | ) | ||||||
|
| |||||||||||
(184,312 | ) | |||||||||||
|
| |||||||||||
United States | ||||||||||||
3D Systems Corp. | (2,525 | ) | (33,102 | ) | (1,465 | ) | ||||||
Acadia Healthcare Co., Inc. | (7,431 | ) | (436,312 | ) | 24,635 | |||||||
Acxiom Corp. | (4,788 | ) | (87,149 | ) | (18,139 | ) | ||||||
Advance Auto Parts, Inc. | (326 | ) | (49,686 | ) | (3,006 | ) | ||||||
Advanced Micro Devices, Inc. | (49,361 | ) | (106,297 | ) | (147,418 | ) | ||||||
AECOM | (4,378 | ) | (112,646 | ) | (26,443 | ) | ||||||
AES Corp. | (29,626 | ) | (264,047 | ) | (105,685 | ) | ||||||
Agilent Technologies, Inc. | (5,311 | ) | (197,569 | ) | (38,027 | ) | ||||||
Agios Pharmaceuticals, Inc. | (4,766 | ) | (204,768 | ) | 5,096 | |||||||
Akorn, Inc. | (12,031 | ) | (306,621 | ) | (36,082 | ) | ||||||
Alcoa, Inc. | (51,539 | ) | (364,261 | ) | (113,506 | ) | ||||||
Alexion Pharmaceuticals, Inc. | (1,478 | ) | (231,676 | ) | 59,105 | |||||||
Align Technology, Inc. | (2,953 | ) | (176,501 | ) | (61,363 | ) | ||||||
Allegheny Technologies, Inc. | (18,361 | ) | (190,658 | ) | (43,445 | ) | ||||||
Allergan plc | (610 | ) | (146,352 | ) | 5,387 | |||||||
Alliance Data Systems Corp. | (959 | ) | (241,639 | ) | 53,752 | |||||||
Alliant Energy Corp. | (700 | ) | (22,078 | ) | (5,712 | ) | ||||||
Allison Transmission Holdings, Inc. | (5,123 | ) | (118,195 | ) | (26,427 | ) | ||||||
Allscripts Healthcare Solutions, Inc. | (5,668 | ) | (80,769 | ) | 8,785 | |||||||
Ally Financial, Inc. | (901 | ) | (14,124 | ) | (1,256 | ) | ||||||
Alnylam Pharmaceuticals, Inc. | (7,446 | ) | (486,799 | ) | 73,621 | |||||||
American Express Co. | (4,722 | ) | (280,763 | ) | (6,146 | ) | ||||||
AMETEK, Inc. | (1,266 | ) | (59,307 | ) | 780 | |||||||
Amphenol Corp. | (4,602 | ) | (209,508 | ) | (54,325 | ) | ||||||
Anadarko Petroleum Corp. | (7,082 | ) | (233,543 | ) | (143,573 | ) | ||||||
Apache Corp. | (2,470 | ) | (85,166 | ) | (52,339 | ) | ||||||
Applied Materials, Inc. | (4,605 | ) | (75,752 | ) | (34,630 | ) | ||||||
Arista Networks, Inc. | (2,772 | ) | (173,367 | ) | (5,094 | ) | ||||||
ARRIS International plc | (8,191 | ) | (196,029 | ) | 24,346 | |||||||
Arthur J Gallagher & Co. | (9,191 | ) | (341,688 | ) | (95,804 | ) | ||||||
Artisan Partners Asset Management, Inc. | (7,349 | ) | (220,982 | ) | 17,561 | |||||||
Ascena Retail Group, Inc. | (25,438 | ) | (214,148 | ) | 36,337 | |||||||
athenahealth, Inc. | (356 | ) | (50,762 | ) | 1,630 | |||||||
Autodesk, Inc. | (6,718 | ) | (321,942 | ) | (41,770 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Automatic Data Processing, Inc. | (2,280 | ) | $ | (180,371 | ) | $ | (29,093 | ) | ||||
Avis Budget Group, Inc. | (1,471 | ) | (40,258 | ) | (7,152 | ) | ||||||
Avon Products, Inc. | (50,201 | ) | (123,640 | ) | (66,120 | ) | ||||||
Axalta Coating Systems Ltd. | (6,419 | ) | (183,614 | ) | 13,318 | |||||||
B/E Aerospace, Inc. | (19,075 | ) | (727,559 | ) | (153,230 | ) | ||||||
Baker Hughes, Inc. | (5,754 | ) | (260,504 | ) | 826 | |||||||
Ball Corp. | (5,102 | ) | (353,773 | ) | (15,051 | ) | ||||||
BancorpSouth, Inc. | (2,300 | ) | (47,357 | ) | (4,830 | ) | ||||||
Bank of America Corp. | (13,559 | ) | (193,080 | ) | 13,152 | |||||||
Bank of the Ozarks, Inc. | (884 | ) | (34,075 | ) | 908 | |||||||
BankUnited, Inc. | (1,788 | ) | (58,539 | ) | 3,612 | |||||||
Belden, Inc. | (2,464 | ) | (98,166 | ) | (50,586 | ) | ||||||
Biogen, Inc. | (166 | ) | (42,311 | ) | 2,169 | |||||||
BioMarin Pharmaceutical, Inc. | (4,550 | ) | (380,179 | ) | 26,189 | |||||||
Bio-Techne Corp. | (3,594 | ) | (296,669 | ) | (108,627 | ) | ||||||
Black Hills Corp. | (4,165 | ) | (199,947 | ) | (62,615 | ) | ||||||
Black Knight Financial Services, Inc. | (13,670 | ) | (399,865 | ) | (114,127 | ) | ||||||
BlackRock, Inc. | (106 | ) | (31,339 | ) | (4,969 | ) | ||||||
Bluebird Bio, Inc. | (4,994 | ) | (209,251 | ) | (6,939 | ) | ||||||
BorgWarner, Inc. | (12,848 | ) | (389,808 | ) | 10,535 | |||||||
Brookdale Senior Living, Inc. | (25,449 | ) | (383,510 | ) | (9,422 | ) | ||||||
Brown & Brown, Inc. | (6,000 | ) | (177,495 | ) | (47,325 | ) | ||||||
Brown-Forman Corp. | (851 | ) | (78,828 | ) | (6,068 | ) | ||||||
Buffalo Wild Wings, Inc. | (512 | ) | (74,445 | ) | 3,302 | |||||||
BWX Technologies, Inc. | (1,288 | ) | (36,644 | ) | (9,428 | ) | ||||||
Cabela’s, Inc. | (7,264 | ) | (303,780 | ) | (59,855 | ) | ||||||
Cable One, Inc. | (124 | ) | (52,183 | ) | (11,232 | ) | ||||||
Cabot Oil & Gas Corp. | (11,351 | ) | (186,497 | ) | (105,678 | ) | ||||||
CalAtlantic Group, Inc. | (14,194 | ) | (442,406 | ) | (78,656 | ) | ||||||
California Resources Corp. | (7,956 | ) | (133,229 | ) | 36,166 | |||||||
Calpine Corp. | (31,803 | ) | (454,341 | ) | (14,754 | ) | ||||||
CarMax, Inc. | (5,512 | ) | (241,570 | ) | (28,684 | ) | ||||||
Carpenter Technology Corp. | (7,758 | ) | (195,191 | ) | (60,280 | ) | ||||||
Caterpillar, Inc. | (5,056 | ) | (298,456 | ) | (84,840 | ) | ||||||
CBOE Holdings, Inc. | (2,413 | ) | (154,693 | ) | (6,061 | ) | ||||||
CBS Corp. | (3,457 | ) | (156,913 | ) | (31,286 | ) | ||||||
CEB, Inc. | (4,058 | ) | (230,717 | ) | (19,580 | ) | ||||||
Celgene Corp. | (219 | ) | (22,779 | ) | 1,179 | |||||||
CenterPoint Energy, Inc. | (17,211 | ) | (299,655 | ) | (113,409 | ) | ||||||
Cerner Corp. | (4,378 | ) | (247,066 | ) | (9,485 | ) | ||||||
CF Industries Holdings, Inc. | (6,503 | ) | (208,440 | ) | 51,717 | |||||||
CH Robinson Worldwide, Inc. | (3,499 | ) | (223,077 | ) | (36,724 | ) | ||||||
Charles Schwab Corp. (The) | (12,807 | ) | (339,514 | ) | 15,368 | |||||||
Chemours Co. (The) | (36,435 | ) | (156,687 | ) | (143,538 | ) | ||||||
Cheniere Energy, Inc. | (8,237 | ) | (245,755 | ) | (63,545 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
275
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Chesapeake Energy Corp. | (37,993 | ) | $ | (201,408 | ) | $ | 38,797 | |||||
Chevron Corp. | (2,407 | ) | (199,745 | ) | (52,581 | ) | ||||||
Chico’s FAS, Inc. | (10,118 | ) | (101,490 | ) | (6,873 | ) | ||||||
Chipotle Mexican Grill, Inc. | (1,488 | ) | (697,213 | ) | 97,906 | |||||||
Choice Hotels International, Inc. | (589 | ) | (30,827 | ) | 2,778 | |||||||
Ciena Corp. | (10,002 | ) | (177,394 | ) | (10,144 | ) | ||||||
Cimarex Energy Co. | (546 | ) | (44,330 | ) | (20,819 | ) | ||||||
CLARCOR, Inc. | (1,798 | ) | (82,003 | ) | (27,370 | ) | ||||||
Clean Harbors, Inc. | (831 | ) | (32,841 | ) | (10,462 | ) | ||||||
CNO Financial Group, Inc. | (4,694 | ) | (76,137 | ) | (5,821 | ) | ||||||
Coach, Inc. | (3,000 | ) | (93,480 | ) | (28,740 | ) | ||||||
Cobalt International Energy, Inc. | (86,601 | ) | (250,621 | ) | 134,576 | |||||||
Coca-Cola Co. (The) | (1,844 | ) | (77,300 | ) | (6,288 | ) | ||||||
Cognex Corp. | (14,933 | ) | (456,590 | ) | (187,022 | ) | ||||||
Colfax Corp. | (11,536 | ) | (223,337 | ) | (81,906 | ) | ||||||
Colgate-Palmolive Co. | (8,884 | ) | (571,152 | ) | (79,156 | ) | ||||||
Comerica, Inc. | (5,665 | ) | (193,602 | ) | (39,399 | ) | ||||||
CommScope Holding Co., Inc. | (8,328 | ) | (183,447 | ) | (74,971 | ) | ||||||
CommVault Systems, Inc. | (5,715 | ) | (177,222 | ) | (69,609 | ) | ||||||
Compass Minerals International, Inc. | (7,709 | ) | (558,597 | ) | (13,334 | ) | ||||||
comScore, Inc. | (2,148 | ) | (64,251 | ) | 12,957 | |||||||
CONSOL Energy, Inc. | (9,753 | ) | (113,643 | ) | (43,283 | ) | ||||||
Corning, Inc. | (6,823 | ) | (122,256 | ) | (17,479 | ) | ||||||
CoStar Group, Inc. | (1,081 | ) | (191,588 | ) | (44,784 | ) | ||||||
Covanta Holding Corp. | (46,541 | ) | (640,807 | ) | (124,793 | ) | ||||||
Cree, Inc. | (4,960 | ) | (127,975 | ) | 6,753 | |||||||
Cypress Semiconductor Corp. | (51,177 | ) | (394,650 | ) | (145,267 | ) | ||||||
Dana Holding Corp. | (8,436 | ) | (94,701 | ) | 5,617 | |||||||
DaVita HealthCare Partners, Inc. | (5,293 | ) | (347,803 | ) | (61,452 | ) | ||||||
Deere & Co. | (2,761 | ) | (201,285 | ) | (22,466 | ) | ||||||
Devon Energy Corp. | (2,026 | ) | (47,120 | ) | (26,323 | ) | ||||||
DexCom, Inc. | (6,467 | ) | (450,077 | ) | (62,950 | ) | ||||||
Diebold, Inc. | (4,369 | ) | (112,168 | ) | 3,686 | |||||||
Discovery Communications, Inc. | (13,608 | ) | (350,950 | ) | 7,620 | |||||||
DISH Network Corp. | (3,416 | ) | (171,003 | ) | (7,995 | ) | ||||||
Dolby Laboratories, Inc. | (3,799 | ) | (119,805 | ) | (61,977 | ) | ||||||
Dollar Tree, Inc. | (6,232 | ) | (479,178 | ) | (108,125 | ) | ||||||
Dominion Resources, Inc. | (9,838 | ) | (687,676 | ) | (78,999 | ) | ||||||
Domino’s Pizza, Inc. | (1,840 | ) | (204,550 | ) | (37,189 | ) | ||||||
Donaldson Co., Inc. | (15,298 | ) | (409,451 | ) | (116,188 | ) | ||||||
Dover Corp. | (750 | ) | (39,930 | ) | (12,060 | ) | ||||||
DreamWorks Animation SKG, Inc. | (4,891 | ) | (123,906 | ) | (75,989 | ) | ||||||
DSW, Inc. | (7,450 | ) | (170,742 | ) | 12,951 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Dunkin’ Brands Group, Inc. | (9,146 | ) | $ | (346,527 | ) | $ | (52,422 | ) | ||||
E*TRADE Financial Corp. | (3,200 | ) | (79,392 | ) | 4,224 | |||||||
Eaton Corp plc | (2,066 | ) | (100,905 | ) | (22,497 | ) | ||||||
Eaton Vance Corp. | (6,370 | ) | (177,920 | ) | (47,195 | ) | ||||||
Ecolab, Inc. | (1,339 | ) | (137,073 | ) | (21,732 | ) | ||||||
Edgewell Personal Care Co. | (624 | ) | (44,447 | ) | (8,224 | ) | ||||||
Emerson Electric Co. | (5,904 | ) | (254,699 | ) | (53,254 | ) | ||||||
Energen Corp. | (495 | ) | (16,987 | ) | (6,877 | ) | ||||||
Entergy Corp. | (1,893 | ) | (131,688 | ) | (22,307 | ) | ||||||
Envision Healthcare Holdings, Inc. | (18,383 | ) | (409,869 | ) | (56,508 | ) | ||||||
Estee Lauder Cos., Inc. (The) | (900 | ) | (75,492 | ) | (6,426 | ) | ||||||
Esterline Technologies Corp. | (3,703 | ) | (276,540 | ) | 46,806 | |||||||
Eversource Energy | (3,176 | ) | (166,226 | ) | (24,016 | ) | ||||||
Exxon Mobil Corp. | (2,197 | ) | (167,864 | ) | (38,082 | ) | ||||||
F5 Networks, Inc. | (728 | ) | (68,147 | ) | (14,729 | ) | ||||||
Fairchild Semiconductor International, Inc. | (2,193 | ) | (44,540 | ) | 1,009 | |||||||
FEI Co. | (1,338 | ) | (92,145 | ) | (50,860 | ) | ||||||
FireEye, Inc. | (13,228 | ) | (180,251 | ) | (37,614 | ) | ||||||
First Data Corp. | (34,229 | ) | (425,269 | ) | 46,354 | |||||||
First Horizon National Corp. | (36,516 | ) | (458,313 | ) | (44,877 | ) | ||||||
First Republic Bank | (800 | ) | (50,728 | ) | (5,264 | ) | ||||||
FleetCor Technologies, Inc. | (2,436 | ) | (279,775 | ) | (68,890 | ) | ||||||
FLIR Systems, Inc. | (6,288 | ) | (185,167 | ) | (9,446 | ) | ||||||
Flowserve Corp. | (7,459 | ) | (264,049 | ) | (72,874 | ) | ||||||
Fluor Corp. | (3,093 | ) | (127,339 | ) | (25,084 | ) | ||||||
FMC Corp. | (14,652 | ) | (510,034 | ) | (168,500 | ) | ||||||
Ford Motor Co. | (3,987 | ) | (47,645 | ) | (2,472 | ) | ||||||
Fortinet, Inc. | (3,206 | ) | (84,856 | ) | (16,422 | ) | ||||||
Fossil Group, Inc. | (1,070 | ) | (30,766 | ) | 239 | |||||||
Franklin Resources, Inc. | (4,845 | ) | (160,127 | ) | (1,550 | ) | ||||||
Freeport-McMoRan, Inc. | (20,758 | ) | (97,069 | ) | (134,176 | ) | ||||||
Frontier Communications Corp. | (14,318 | ) | (59,849 | ) | (10,882 | ) | ||||||
Gap, Inc. (The) | (7,015 | ) | (161,191 | ) | 12,333 | |||||||
Gartner, Inc. | (2,184 | ) | (184,759 | ) | (27,984 | ) | ||||||
GCP Applied Technologies, Inc. | (881 | ) | (39,372 | ) | 16,431 | |||||||
General Electric Co. | (1,876 | ) | (53,447 | ) | (5,609 | ) | ||||||
Genesee & Wyoming, Inc. | (8,776 | ) | (451,322 | ) | (66,023 | ) | ||||||
Gentex Corp. | (15,778 | ) | (211,874 | ) | (31,897 | ) | ||||||
Genworth Financial, Inc. | (89,321 | ) | (220,486 | ) | (9,962 | ) | ||||||
GNC Holdings, Inc. | (7,693 | ) | (181,247 | ) | (5,616 | ) | ||||||
GoPro, Inc. | (6,355 | ) | (56,916 | ) | (11,782 | ) | ||||||
Graco, Inc. | (1,573 | ) | (103,886 | ) | (20,365 | ) | ||||||
Granite Construction, Inc. | (610 | ) | (23,558 | ) | (4,227 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
276
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Greif, Inc. | (6,151 | ) | $ | (159,873 | ) | $ | (69,375 | ) | ||||
Groupon, Inc. | (12,730 | ) | (31,743 | ) | (9,629 | ) | ||||||
H&R Block, Inc. | (5,596 | ) | (117,297 | ) | (11,411 | ) | ||||||
Hain Celestial Group, Inc. (The) | (10,254 | ) | (370,944 | ) | (139,192 | ) | ||||||
Halliburton Co. | (7,497 | ) | (223,336 | ) | (116,204 | ) | ||||||
Halyard Health, Inc. | (5,040 | ) | (133,498 | ) | (30,403 | ) | ||||||
Hanesbrands, Inc. | (1,676 | ) | (47,816 | ) | 5,698 | |||||||
Harley-Davidson, Inc. | (642 | ) | (26,104 | ) | (2,979 | ) | ||||||
Harman International Industries, Inc. | (461 | ) | (37,002 | ) | 3,893 | |||||||
Hershey Co. (The) | (3,752 | ) | (317,945 | ) | (107,869 | ) | ||||||
Hertz Global Holdings, Inc. | (16,941 | ) | (165,227 | ) | (22,310 | ) | ||||||
Hexcel Corp. | (2,013 | ) | (78,366 | ) | (5,455 | ) | ||||||
Hilton Worldwide Holdings, Inc. | (11,945 | ) | (206,768 | ) | (62,353 | ) | ||||||
Hubbell, Inc. | (433 | ) | (38,316 | ) | (7,352 | ) | ||||||
Huntsman Corp. | (2,694 | ) | (23,143 | ) | (13,091 | ) | ||||||
IDEXX Laboratories, Inc. | (4,898 | ) | (325,391 | ) | (129,438 | ) | ||||||
Illumina, Inc. | (4,203 | ) | (697,589 | ) | 107,571 | |||||||
Incyte Corp. | (3,853 | ) | (276,783 | ) | (31,380 | ) | ||||||
International Paper Co. | (491 | ) | (16,252 | ) | (4,556 | ) | ||||||
Intersil Corp. | (9,830 | ) | (112,239 | ) | (20,859 | ) | ||||||
Intuit, Inc. | (988 | ) | (89,789 | ) | (20,481 | ) | ||||||
Invesco Ltd. | (555 | ) | (15,995 | ) | 1,820 | |||||||
IPG Photonics Corp. | (444 | ) | (38,291 | ) | 2,771 | |||||||
ITC Holdings Corp. | (13,730 | ) | (525,740 | ) | (117,099 | ) | ||||||
Janus Capital Group, Inc. | (1,132 | ) | (13,736 | ) | (2,021 | ) | ||||||
JB Hunt Transport Services, Inc. | (1,315 | ) | (88,065 | ) | (18,357 | ) | ||||||
Johnson Controls, Inc. | (1,174 | ) | (41,814 | ) | (10,147 | ) | ||||||
Joy Global, Inc. | (17,437 | ) | (157,955 | ) | (210,663 | ) | ||||||
Kansas City Southern | (5,410 | ) | (356,411 | ) | (130,976 | ) | ||||||
Kate Spade & Co. | (20,897 | ) | (330,219 | ) | (100,469 | ) | ||||||
KBR, Inc. | (17,742 | ) | (249,197 | ) | 14,293 | |||||||
Kellogg Co. | (2,360 | ) | (168,446 | ) | (24,248 | ) | ||||||
Kennametal, Inc. | (14,544 | ) | (242,325 | ) | (79,243 | ) | ||||||
Keysight Technologies, Inc. | (6,434 | ) | (152,268 | ) | (34,897 | ) | ||||||
Kinder Morgan, Inc. | (14,804 | ) | (189,943 | ) | (87,188 | ) | ||||||
KLX, Inc. | (5,440 | ) | (151,610 | ) | (17,030 | ) | ||||||
Knowles Corp. | (14,686 | ) | (179,808 | ) | (21,096 | ) | ||||||
Kosmos Energy Ltd. | (13,496 | ) | (48,046 | ) | (25,507 | ) | ||||||
Landstar System, Inc. | (2,695 | ) | (155,978 | ) | (29,060 | ) | ||||||
Legg Mason, Inc. | (9,950 | ) | (323,168 | ) | 29,742 | |||||||
LendingClub Corp. | (23,514 | ) | (92,321 | ) | (8,790 | ) | ||||||
Leucadia National Corp. | (16,498 | ) | (262,978 | ) | (22,932 | ) | ||||||
Lexmark International, Inc. | (3,442 | ) | (94,346 | ) | (35,590 | ) | ||||||
Liberty Broadband Corp. | (3,098 | ) | (149,660 | ) | (36,220 | ) | ||||||
Lincoln Electric Holdings, Inc. | (952 | ) | (48,637 | ) | (7,608 | ) | ||||||
Linear Technology Corp. | (2,285 | ) | (90,952 | ) | (15,369 | ) | ||||||
LinkedIn Corp. | (1,668 | ) | (211,427 | ) | (104,242 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Lions Gate Entertainment Corp. | (22,155 | ) | $ | (500,454 | ) | $ | 52,258 | |||||
Live Nation Entertainment, Inc. | (9,886 | ) | (220,612 | ) | (11,709 | ) | ||||||
Loews Corp. | (8,394 | ) | (294,379 | ) | (50,531 | ) | ||||||
M&T Bank Corp. | (1,585 | ) | (170,518 | ) | (16,877 | ) | ||||||
Macy’s, Inc. | (3,714 | ) | (143,955 | ) | 19,127 | |||||||
Manitowoc Co., Inc. (The) | (2,712 | ) | (18,002 | ) | 3,222 | |||||||
Manitowoc Foodservice, Inc. | (18,759 | ) | (124,521 | ) | (206,012 | ) | ||||||
Marathon Oil Corp. | (10,959 | ) | (118,758 | ) | (45,736 | ) | ||||||
Marsh & McLennan Cos., Inc. | (9,426 | ) | (491,566 | ) | (153,738 | ) | ||||||
Marvell Technology Group Ltd. | (3,607 | ) | (29,888 | ) | (4,486 | ) | ||||||
MasterCard, Inc. | (3,529 | ) | (304,270 | ) | (6,493 | ) | ||||||
MAXIMUS, Inc. | (2,061 | ) | (107,087 | ) | (7,031 | ) | ||||||
MDU Resources Group, Inc. | (17,665 | ) | (294,829 | ) | (129,131 | ) | ||||||
Mead Johnson Nutrition Co. | (7,364 | ) | (509,683 | ) | (158,600 | ) | ||||||
Mercury General Corp. | (11,934 | ) | (535,560 | ) | (98,851 | ) | ||||||
MGM Resorts International | (4,757 | ) | (93,380 | ) | (14,271 | ) | ||||||
Michaels Cos., Inc. (The) | (4,115 | ) | (87,599 | ) | (29,431 | ) | ||||||
Microchip Technology, Inc. | (1,197 | ) | (52,229 | ) | (8,531 | ) | ||||||
Micron Technology, Inc. | (5,222 | ) | (50,602 | ) | (21,253 | ) | ||||||
Middleby Corp. (The) | (1,759 | ) | (158,192 | ) | (44,533 | ) | ||||||
Moody’s Corp. | (503 | ) | (44,391 | ) | (2,746 | ) | ||||||
Motorola Solutions, Inc. | (982 | ) | (60,030 | ) | (4,753 | ) | ||||||
Nabors Industries Ltd. | (25,594 | ) | (171,511 | ) | (85,709 | ) | ||||||
National Fuel Gas Co. | (425 | ) | (18,113 | ) | (6,061 | ) | ||||||
National Instruments Corp. | (8,289 | ) | (233,711 | ) | 6,592 | |||||||
National Oilwell Varco, Inc. | (7,534 | ) | (228,532 | ) | (24,987 | ) | ||||||
Navient Corp. | (12,135 | ) | (106,509 | ) | (38,504 | ) | ||||||
NetApp, Inc. | (8,890 | ) | (208,639 | ) | (9,966 | ) | ||||||
Netflix, Inc. | (506 | ) | (54,592 | ) | 8,303 | |||||||
NetScout Systems, Inc. | (16,998 | ) | (411,551 | ) | 33,345 | |||||||
NetSuite, Inc. | (6,953 | ) | (483,562 | ) | (22,616 | ) | ||||||
New York Times Co. (The) | (1,540 | ) | (19,219 | ) | 585 | |||||||
Newell Brands, Inc. | (876 | ) | (33,089 | ) | (9,458 | ) | ||||||
News Corp. | (1,359 | ) | (16,896 | ) | 1,471 | |||||||
Noble Energy, Inc. | (3,994 | ) | (103,125 | ) | (40,140 | ) | ||||||
Nordson Corp. | (4,151 | ) | (235,266 | ) | (111,799 | ) | ||||||
NorthStar Asset Management Group, Inc. | (22,843 | ) | (253,329 | ) | 20,102 | |||||||
NOW, Inc. | (5,578 | ) | (100,182 | ) | (1,003 | ) | ||||||
NRG Energy, Inc. | (36,269 | ) | (444,320 | ) | (99,353 | ) | ||||||
Nucor Corp. | (8,446 | ) | (299,956 | ) | (117,360 | ) | ||||||
Occidental Petroleum Corp. | (6,991 | ) | (397,657 | ) | (130,583 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
277
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Ocwen Financial Corp. | (5,500 | ) | $ | (30,415 | ) | $ | 21,010 | |||||
Office Depot, Inc. | (18,886 | ) | (66,652 | ) | 4,140 | |||||||
OGE Energy Corp. | (30,273 | ) | (753,440 | ) | (238,001 | ) | ||||||
Oil States International, Inc. | (6,520 | ) | (165,608 | ) | (48,770 | ) | ||||||
Old Dominion Freight Line, Inc. | (2,826 | ) | (146,080 | ) | (24,356 | ) | ||||||
Olin Corp. | (22,748 | ) | (366,935 | ) | (198,125 | ) | ||||||
ONEOK, Inc. | (1,297 | ) | (26,965 | ) | (34,578 | ) | ||||||
Owens-Illinois, Inc. | (24,527 | ) | (321,181 | ) | (120,550 | ) | ||||||
PacWest Bancorp | (3,529 | ) | (125,327 | ) | (15,057 | ) | ||||||
Palo Alto Networks, Inc. | (2,159 | ) | (301,615 | ) | 36,835 | |||||||
Pandora Media, Inc. | (24,992 | ) | (265,330 | ) | (45,820 | ) | ||||||
Patterson Cos., Inc. | (6,423 | ) | (260,133 | ) | (47,464 | ) | ||||||
Paychex, Inc. | (550 | ) | (26,125 | ) | (6,600 | ) | ||||||
PayPal Holdings, Inc. | (7,131 | ) | (229,618 | ) | (30,735 | ) | ||||||
PerkinElmer, Inc. | (704 | ) | (33,630 | ) | (3,274 | ) | ||||||
Pitney Bowes, Inc. | (4,202 | ) | (77,527 | ) | 2,731 | |||||||
Platform Specialty Products Corp. | (44,064 | ) | (330,208 | ) | (61,081 | ) | ||||||
Polaris Industries, Inc. | (585 | ) | (44,450 | ) | (3,380 | ) | ||||||
PolyOne Corp. | (610 | ) | (15,287 | ) | (6,210 | ) | ||||||
Praxair, Inc. | (3,940 | ) | (387,042 | ) | (55,774 | ) | ||||||
Premier, Inc. | (13,456 | ) | (428,776 | ) | (11,235 | ) | ||||||
Priceline Group, Inc. (The) | (62 | ) | (67,859 | ) | (9,542 | ) | ||||||
Primerica, Inc. | (1,555 | ) | (67,105 | ) | (21,903 | ) | ||||||
Principal Financial Group, Inc. | (6,029 | ) | (229,489 | ) | (18,363 | ) | ||||||
PTC, Inc. | (3,158 | ) | (95,056 | ) | (23,622 | ) | ||||||
PulteGroup, Inc. | (4,512 | ) | (73,198 | ) | (14,741 | ) | ||||||
Qorvo, Inc. | (2,422 | ) | (89,871 | ) | (43,969 | ) | ||||||
QUALCOMM, Inc. | (4,594 | ) | (211,977 | ) | (34,124 | ) | ||||||
Quanta Services, Inc. | (10,062 | ) | (176,588 | ) | (56,045 | ) | ||||||
Regal Beloit Corp. | (778 | ) | (41,914 | ) | (915 | ) | ||||||
Rent-A-Center, Inc. | (5,466 | ) | (76,994 | ) | 9,872 | |||||||
ResMed, Inc. | (2,082 | ) | (121,265 | ) | (10,380 | ) | ||||||
Restoration Hardware Holdings, Inc. | (4,494 | ) | (154,760 | ) | 25,872 | |||||||
Rice Energy, Inc. | (3,353 | ) | (28,433 | ) | (45,467 | ) | ||||||
Robert Half International, Inc. | (1,032 | ) | (44,924 | ) | 5,543 | |||||||
Rockwell Collins, Inc. | (1,487 | ) | (127,317 | ) | 714 | |||||||
Rollins, Inc. | (7,669 | ) | (200,165 | ) | (24,307 | ) | ||||||
Roper Technologies, Inc. | (1,472 | ) | (249,533 | ) | (1,531 | ) | ||||||
RR Donnelley & Sons Co. | (3,637 | ) | (47,717 | ) | (13,821 | ) | ||||||
salesforce.com, Inc. | (2,175 | ) | (153,990 | ) | (18,727 | ) | ||||||
Sally Beauty Holdings, Inc. | (8,379 | ) | (217,351 | ) | (29,075 | ) | ||||||
Santander Consumer USA Holdings, Inc. | (9,190 | ) | (105,156 | ) | 10,223 | |||||||
SBA Communications Corp. | (3,181 | ) | (288,898 | ) | (54,459 | ) | ||||||
Schlumberger Ltd. | (3,914 | ) | (254,165 | ) | (55,354 | ) | ||||||
Seagate Technology plc | (7,402 | ) | (200,797 | ) | 20,484 | |||||||
Sealed Air Corp. | (1,958 | ) | (78,257 | ) | (11,752 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Seattle Genetics, Inc. | (5,110 | ) | $ | (179,281 | ) | $ | (27,215 | ) | ||||
Sempra Energy | (6,547 | ) | (605,597 | ) | (140,891 | ) | ||||||
ServiceNow, Inc. | (1,907 | ) | (134,574 | ) | 7,949 | |||||||
Sherwin-Williams Co. (The) | (466 | ) | (117,098 | ) | (19,752 | ) | ||||||
Signet Jewelers Ltd. | (1,201 | ) | (146,415 | ) | 47,440 | |||||||
Silgan Holdings, Inc. | (5,062 | ) | (262,479 | ) | 1,989 | |||||||
Silicon Laboratories, Inc. | (1,469 | ) | (62,932 | ) | (8,667 | ) | ||||||
Sirius XM Holdings, Inc. | (73,872 | ) | (270,372 | ) | (21,423 | ) | ||||||
Six Flags Entertainment Corp. | (3,518 | ) | (168,829 | ) | (35,039 | ) | ||||||
SLM Corp. | (60,323 | ) | (337,474 | ) | (35,322 | ) | ||||||
Sotheby’s | (12,367 | ) | (308,473 | ) | (30,382 | ) | ||||||
Southwestern Energy Co. | (3,357 | ) | (40,241 | ) | (1,990 | ) | ||||||
Spectra Energy Corp. | (10,663 | ) | (260,924 | ) | (129,662 | ) | ||||||
Spirit Airlines, Inc. | (1,920 | ) | (89,119 | ) | 2,969 | |||||||
Splunk, Inc. | (8,760 | ) | (423,366 | ) | (51,251 | ) | ||||||
Sprouts Farmers Market, Inc. | (20,913 | ) | (456,949 | ) | (21,959 | ) | ||||||
SPX Corp. | (13,260 | ) | (141,253 | ) | (55,658 | ) | ||||||
Staples, Inc. | (13,856 | ) | (122,929 | ) | 3,491 | |||||||
Steel Dynamics, Inc. | (2,864 | ) | (46,626 | ) | (23,542 | ) | ||||||
Stericycle, Inc. | (2,437 | ) | (283,956 | ) | 30,215 | |||||||
Stifel Financial Corp. | (5,391 | ) | (184,366 | ) | 14,819 | |||||||
SunPower Corp. | (11,292 | ) | (220,420 | ) | 45,507 | |||||||
Superior Energy Services, Inc. | (22,070 | ) | (259,287 | ) | (147,021 | ) | ||||||
SVB Financial Group | (3,271 | ) | (321,162 | ) | 9,894 | |||||||
Synovus Financial Corp. | (4,641 | ) | (136,003 | ) | 1,461 | |||||||
T Rowe Price Group, Inc. | (356 | ) | (23,339 | ) | (2,638 | ) | ||||||
Targa Resources Corp. | (10,037 | ) | (239,342 | ) | (183,617 | ) | ||||||
TCF Financial Corp. | (15,633 | ) | (188,293 | ) | (9,464 | ) | ||||||
Tempur Sealy International, Inc. | (4,061 | ) | (224,189 | ) | (466 | ) | ||||||
Tenet Healthcare Corp. | (17,648 | ) | (423,728 | ) | (64,062 | ) | ||||||
Teradata Corp. | (11,249 | ) | (256,563 | ) | (25,450 | ) | ||||||
TerraForm Power, Inc. | (19,824 | ) | (177,644 | ) | (38,437 | ) | ||||||
Tiffany & Co. | (5,914 | ) | (379,797 | ) | 21,172 | |||||||
Timken Co. (The) | (3,038 | ) | (72,444 | ) | (20,701 | ) | ||||||
Toll Brothers, Inc. | (1,016 | ) | (29,027 | ) | 1,687 | |||||||
TransDigm Group, Inc. | (1,435 | ) | (316,877 | ) | (61,518 | ) | ||||||
TreeHouse Foods, Inc. | (3,254 | ) | (236,280 | ) | (97,743 | ) | ||||||
TRI Pointe Group, Inc. | (3,559 | ) | (36,011 | ) | (6,057 | ) | ||||||
Trimble Navigation Ltd. | (17,803 | ) | (348,227 | ) | (85,454 | ) | ||||||
TripAdvisor, Inc. | (3,050 | ) | (217,129 | ) | 21,015 | |||||||
Triumph Group, Inc. | (4,238 | ) | (138,554 | ) | (11,895 | ) | ||||||
Twenty-First Century Fox, Inc. | (1,909 | ) | (50,321 | ) | (1,317 | ) | ||||||
Twitter, Inc. | (20,069 | ) | (363,429 | ) | 24,062 | |||||||
Ultimate Software Group, Inc. (The) | (168 | ) | (28,792 | ) | (6,537 | ) | ||||||
Umpqua Holdings Corp. | (8,530 | ) | (119,498 | ) | (12,461 | ) | ||||||
Under Armour, Inc. | (2,066 | ) | (69,603 | ) | (13,306 | ) | ||||||
Union Pacific Corp. | (6,373 | ) | (465,333 | ) | (90,712 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
278
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
United Natural Foods, Inc. | (2,365 | ) | $ | (83,745 | ) | $ | (26,937 | ) | ||||
United Rentals, Inc. | (3,400 | ) | (183,600 | ) | (44,540 | ) | ||||||
United Technologies Corp. | (3,575 | ) | (304,733 | ) | (61,883 | ) | ||||||
Urban Outfitters, Inc. | (6,189 | ) | (128,669 | ) | (41,528 | ) | ||||||
USG Corp. | (9,375 | ) | (168,937 | ) | (83,813 | ) | ||||||
Valley National Bancorp | (19,047 | ) | (161,728 | ) | (11,981 | ) | ||||||
VCA, Inc. | (280 | ) | (13,082 | ) | (5,849 | ) | ||||||
Veeva Systems, Inc. | (12,975 | ) | (311,465 | ) | (131,242 | ) | ||||||
VeriFone Systems, Inc. | (8,964 | ) | (199,167 | ) | 32,974 | |||||||
Verisk Analytics, Inc. | (951 | ) | (68,025 | ) | (9,082 | ) | ||||||
Vertex Pharmaceuticals, Inc. | (5,925 | ) | (549,251 | ) | 39,582 | |||||||
VF Corp. | (1,698 | ) | (100,030 | ) | (4,381 | ) | ||||||
Viacom, Inc. | (1,778 | ) | (74,178 | ) | 445 | |||||||
Viavi Solutions, Inc. | (44,240 | ) | (217,826 | ) | (75,485 | ) | ||||||
Visteon Corp. | (1,143 | ) | (117,386 | ) | 42,165 | |||||||
WABCO Holdings, Inc. | (1,473 | ) | (146,100 | ) | 11,217 | |||||||
Waddell & Reed Financial, Inc. | (2,875 | ) | (71,731 | ) | 22,224 | |||||||
Walgreens Boots Alliance, Inc. | (532 | ) | (42,932 | ) | (1,367 | ) | ||||||
WEC Energy Group, Inc. | (8,113 | ) | (439,643 | ) | (90,135 | ) | ||||||
Wendy’s Co. (The) | (18,350 | ) | (178,019 | ) | 1,492 | |||||||
WESCO International, Inc. | (3,038 | ) | (111,431 | ) | (44,996 | ) | ||||||
WestRock Co. | (3,884 | ) | (121,381 | ) | (29,591 | ) | ||||||
WEX, Inc. | (2,498 | ) | (175,613 | ) | (45,884 | ) | ||||||
WhiteWave Foods Co. (The) | (19,386 | ) | (697,199 | ) | (212,779 | ) | ||||||
Whiting Petroleum Corp. | (4,383 | ) | (39,793 | ) | (794 | ) | ||||||
Whole Foods Market, Inc. | (5,318 | ) | (156,402 | ) | (13,880 | ) | ||||||
Williams-Sonoma, Inc. | (2,244 | ) | (113,759 | ) | (3,220 | ) | ||||||
WisdomTree Investments, Inc. | (40,907 | ) | (475,436 | ) | 74,956 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Workday, Inc. | (4,492 | ) | $ | (296,649 | ) | $ | (38,769 | ) | ||||
Worthington Industries, Inc. | (1,433 | ) | (39,135 | ) | (21,481 | ) | ||||||
WR Grace & Co. | (4,222 | ) | (215,498 | ) | (93,595 | ) | ||||||
Wynn Resorts Ltd. | (3,322 | ) | (201,946 | ) | (99,160 | ) | ||||||
Xerox Corp. | (3,380 | ) | (30,889 | ) | (1,187 | ) | ||||||
Yahoo!, Inc. | (11,406 | ) | (339,214 | ) | (89,195 | ) | ||||||
Yelp, Inc. | (8,447 | ) | (196,981 | ) | (59,470 | ) | ||||||
Yum! Brands, Inc. | (3,666 | ) | (252,111 | ) | (51,874 | ) | ||||||
Zayo Group Holdings, Inc. | (3,454 | ) | (93,295 | ) | (3,175 | ) | ||||||
Zebra Technologies Corp. | (6,885 | ) | (394,681 | ) | 49,743 | |||||||
Zions Bancorporation | (21,147 | ) | (464,077 | ) | (67,347 | ) | ||||||
Zoetis, Inc. | (4,920 | ) | (212,495 | ) | (21,008 | ) | ||||||
Zynga, Inc. | (73,159 | ) | (168,377 | ) | (13,789 | ) | ||||||
|
| |||||||||||
(11,771,579 | ) | |||||||||||
|
| |||||||||||
Total of Short Equity Positions | (11,813,936 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (118,392 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 68,116 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (50,276 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
279
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
Total Return Basket Swaps Outstanding at June 30, 2016
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 5) | |||||
GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps. | 1 - 60 months maturity ranging from 07/20/2016 - 12/21/2020 | $(337,882 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2016.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Aeroports de Paris | 659 | $ | 72,232 | $ | (25 | ) | ||||||
Air France-KLM | 27,655 | 239,902 | (65,376 | ) | ||||||||
Atos SE | 3,506 | 283,737 | 5,329 | |||||||||
AXA SA | 11,667 | 292,138 | (61,451 | ) | ||||||||
BNP Paribas SA | 5,544 | 276,285 | (33,150 | ) | ||||||||
Capgemini SA | 3,283 | 287,272 | (3,972 | ) | ||||||||
Christian Dior SE | 1,244 | 205,335 | (6,056 | ) | ||||||||
Cie Generale des Etablissements Michelin | 3,802 | 336,403 | 21,900 | |||||||||
Credit Agricole SA | 2,267 | 24,497 | (5,438 | ) | ||||||||
Dassault Systemes | 352 | 25,250 | 1,289 | |||||||||
Eiffage SA | 1,684 | 105,373 | 14,342 | |||||||||
Eutelsat Communications SA | 3,312 | 99,218 | (36,704 | ) | ||||||||
Imerys SA | 1,156 | 74,210 | (450 | ) | ||||||||
Ipsen SA | 3,730 | 224,649 | 3,891 | |||||||||
Lagardere SCA | 10,015 | 278,061 | (60,215 | ) | ||||||||
Orange SA | 22,651 | 398,535 | (30,219 | ) | ||||||||
Orpea | 864 | 68,292 | 2,553 | |||||||||
Peugeot SA | 15,478 | 235,617 | (50,097 | ) | ||||||||
Publicis Groupe SA | 1,360 | 79,803 | 11,185 | |||||||||
Safran SA | 607 | 37,439 | 3,437 | |||||||||
Sanofi | 2,060 | 164,143 | 7,008 | |||||||||
SCOR SE | 10,374 | 355,909 | (49,201 | ) | ||||||||
SEB SA | 1,716 | 171,448 | 35,461 | |||||||||
Societe BIC SA | 513 | 82,286 | (10,007 | ) | ||||||||
Societe Generale SA | 8,543 | 339,385 | (72,109 | ) | ||||||||
Sodexo SA | 1,921 | 186,703 | 19,092 | |||||||||
Suez | 3,530 | 63,482 | (8,423 | ) | ||||||||
Teleperformance | 3,067 | 248,660 | 12,593 | |||||||||
Television Francaise 1 | 1,275 | 13,916 | (413 | ) | ||||||||
Thales SA | 3,442 | 261,748 | 24,090 | |||||||||
Valeo SA | 3,180 | 144,674 | (3,501 | ) | ||||||||
Veolia Environnement SA | 24,354 | 561,432 | (35,516 | ) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
Vinci SA | 3,140 | $ | 200,672 | $ | 20,908 | |||||||
|
| |||||||||||
(349,245 | ) | |||||||||||
|
| |||||||||||
Total of Long Equity Positions | (349,245 | ) | ||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Common Stocks | ||||||||||||
France | ||||||||||||
Accor SA | (2,780 | ) | (104,134 | ) | (2,385 | ) | ||||||
Air Liquide SA | (346 | ) | (36,282 | ) | 235 | |||||||
Airbus Group SE | (785 | ) | (49,155 | ) | 4,159 | |||||||
Alstom SA | (1,378 | ) | (33,873 | ) | 2,057 | |||||||
Arkema SA | (626 | ) | (38,425 | ) | (9,435 | ) | ||||||
Bollore SA | (27,896 | ) | (113,179 | ) | 19,267 | |||||||
Bureau Veritas SA | (4,536 | ) | (87,454 | ) | (7,779 | ) | ||||||
Carrefour SA | (582 | ) | (15,525 | ) | 1,211 | |||||||
Cie de Saint-Gobain | (1,688 | ) | (66,533 | ) | 2,548 | |||||||
Edenred | (18,477 | ) | (327,204 | ) | (51,133 | ) | ||||||
Electricite de France SA | (1,411 | ) | (17,262 | ) | 154 | |||||||
Engie SA | (8,422 | ) | (133,599 | ) | (1,630 | ) | ||||||
Hermes International | (1,250 | ) | (414,941 | ) | (51,032 | ) | ||||||
Iliad SA | (499 | ) | (122,194 | ) | 21,464 | |||||||
Ingenico Group SA | (554 | ) | (61,210 | ) | (3,002 | ) | ||||||
JCDecaux SA | (1,382 | ) | (52,143 | ) | 5,546 | |||||||
Kering | (341 | ) | (53,640 | ) | (1,255 | ) | ||||||
L’Oreal SA | (523 | ) | (88,588 | ) | (11,542 | ) | ||||||
LVMH Moet Hennessy Louis Vuitton SE | (970 | ) | (157,591 | ) | 11,378 | |||||||
Natixis SA | (52,338 | ) | (249,008 | ) | 52,067 | |||||||
Numericable-SFR SA | (3,987 | ) | (147,645 | ) | 48,010 | |||||||
Pernod Ricard SA | (1,145 | ) | (127,898 | ) | 1,128 | |||||||
Plastic Omnium SA | (4,749 | ) | (153,932 | ) | 21,168 | |||||||
Remy Cointreau SA | (3,204 | ) | (216,259 | ) | (59,544 | ) | ||||||
Renault SA | (369 | ) | (30,936 | ) | 3,078 | |||||||
Rexel SA | (2,148 | ) | (24,395 | ) | (2,611 | ) | ||||||
Schneider Electric SE | (2,157 | ) | (111,411 | ) | (14,430 | ) | ||||||
Technip SA | (4,547 | ) | (184,879 | ) | (61,227 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
280
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
France (continued) | ||||||||||||
TOTAL SA | (4,588 | ) | $ | (186,847 | ) | $ | (33,175 | ) | ||||
Vallourec SA | (44,225 | ) | (198,906 | ) | 42,484 | |||||||
Vivendi SA | (10,737 | ) | (235,995 | ) | 35,119 | |||||||
Zodiac Aerospace | (13,126 | ) | (279,414 | ) | (26,795 | ) | ||||||
|
| |||||||||||
(65,902 | ) | |||||||||||
|
| |||||||||||
Luxembourg | ||||||||||||
Eurofins Scientific SE | (66 | ) | (22,192 | ) | (2,259 | ) | ||||||
SES SA | (8,704 | ) | (231,113 | ) | 44,781 | |||||||
|
| |||||||||||
42,522 | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | (23,380 | ) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | (372,625 | ) | ||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 34,743 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | (337,882 | ) | |||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral pledged to, or (received from), each counterparty at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
BANA | ||||||||||||
Cash | $(190,000 | ) | $— | $(190,000 | ) | |||||||
| ||||||||||||
BARC | ||||||||||||
Cash | — | 5,498,078 | 5,498,078 | |||||||||
| ||||||||||||
CITI | ||||||||||||
Cash | (340,000 | ) | — | (340,000 | ) | |||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | 3,830,901 | 3,830,901 | |||||||||
| ||||||||||||
GSIN | ||||||||||||
Investment Companies | 20,200,000 | — | 20,200,000 | |||||||||
| ||||||||||||
JPMC | ||||||||||||
Cash | 2,440,000 | — | 2,440,000 | |||||||||
| ||||||||||||
JPMS | ||||||||||||
Cash | — | 4,402,776 | 4,402,776 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | 141,829 | 141,829 | |||||||||
| ||||||||||||
MSCS | ||||||||||||
Investment Companies | 1,030,341 | — | 1,030,341 | |||||||||
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
281
Consolidated Schedule of Investments | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2016 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED | TOTAL | |||||||||
CITI | ||||||||||||
Cash | $(360,000 | ) | $— | $(360,000 | ) | |||||||
| ||||||||||||
GSCO | ||||||||||||
Cash | — | 44,632 | 44,632 | |||||||||
| ||||||||||||
JPPC | ||||||||||||
Cash | — | 547,566 | 547,566 | |||||||||
| ||||||||||||
MACQ | ||||||||||||
Investment Companies | 720,005 | — | 720,005 | |||||||||
| ||||||||||||
MSCL | ||||||||||||
Cash | — | 2,237,128 | 2,237,128 | |||||||||
| ||||||||||||
SOCG | ||||||||||||
Cash | (460,000 | ) | — | (460,000 | ) | |||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
282
Schedule of Investments | June 30, 2016 (Unaudited) |
The following abbreviations are used for counterparty descriptions:
BANA - Bank of America NA
BARC - Barclays Capital, Inc.
CITG - Citigroup Global Markets, Inc.
CITI - Citibank NA
CRSU - Credit Suisse Securities (USA) LLC
DTBK - Deutsche Bank AG
GSCO - Goldman Sachs & Co.
GSIN - Goldman Sachs International
JPMC - J.P. Morgan Chase Bank NA
JPMS - J.P. Morgan Securities LLC
JPPC - J.P. Morgan Securities plc
MACQ - Macquarie Bank Ltd.
MLIN - Merrill Lynch International
MPFS - Merrill Lynch, Pierce, Fenner & Smith, Inc.
MSCL - Morgan Stanley & Co. LLC
MSCS - Morgan Stanley Capital Services LLC
MSIP - Morgan Stanley & Co. International plc
SOCG - Societe Generale
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
283
Statements of Assets and Liabilities | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY | AQR GLOBAL MACRO FUND** | AQR LONG-SHORT | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 764,455,998 | $ | 1,029,921,270 | $ | 29,417,719 | $ | 1,451,323,505 | ||||||||
Investments in securities, at value | $ | 686,451,073 | $ | 1,037,559,357 | $ | 29,426,596 | $ | 1,460,464,060 | ||||||||
Cash | — | 2,020,643 | — | — | ||||||||||||
Cash denominated in foreign currencies‡ | 1,422,415 | 842,707 | 1,312 | 1,031,637 | ||||||||||||
Due from brokers | 57,392,936 | 21,483,781 | 96,472 | 40,712,715 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 81,387 | 585,646 | 1,680,175 | 4,645,020 | ||||||||||||
Unrealized appreciation on OTC swaps | 2,850,607 | 10,747,195 | 56,515 | 13,829,152 | ||||||||||||
Deposits with brokers for exchange-traded and centrally cleared derivatives | 3,331,946 | 52 | 3,761,928 | 37,092,621 | ||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | — | — | 72,606 | 7,736,754 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 38,438,174 | 209,236 | 944,449 | 2,611 | ||||||||||||
Foreign tax reclaims | 65,461 | 190,063 | — | 285,790 | ||||||||||||
Dividends and interest | 2,126,855 | 270,420 | 3,122 | 307,951 | ||||||||||||
Capital shares sold | 168,529 | 3,933,026 | 12,868 | 9,170,335 | ||||||||||||
Prepaid expenses | 62,627 | 108,409 | 44,185 | 155,560 | ||||||||||||
Total Assets | 792,392,010 | 1,077,950,535 | 36,100,228 | 1,575,434,206 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Securities sold short, at value (proceeds $206,995,430, $179,740,406, $— and $262,161,662, respectively) | 198,263,458 | 175,457,301 | — | 253,889,443 | ||||||||||||
Options written, at value (proceeds $10,879, $—, $— and $—, respectively) | 5,530 | — | — | — | ||||||||||||
Due to custodian | 27,741,636 | — | — | 15,008 | ||||||||||||
Due to brokers | — | — | 118,015 | 2,611 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 218,559 | 42,089 | 1,098,788 | 4,733,835 | ||||||||||||
Unrealized depreciation on OTC swaps | 840,793 | 3,342,053 | 54,895 | 15,762,744 | ||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | 611,892 | — | 169,172 | — | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 39,980,150 | 209,854 | 945,032 | 2,608 | ||||||||||||
Accrued investment advisory fees | 381,997 | 778,739 | 18,657 | 1,133,384 | ||||||||||||
Accrued distribution fees—Class N | 27,356 | 39,389 | 1,462 | 32,350 | ||||||||||||
Accrued Trustee fees | 1,158 | 98 | 23 | 53 | ||||||||||||
Capital shares redeemed | 858,460 | 3,843,844 | 1,453,067 | 3,499,216 | ||||||||||||
Dividends and interest payable on securities sold short | 470,403 | 403,103 | — | 616,694 | ||||||||||||
Other accrued expenses and liabilities | 605,222 | 176,623 | 90,365 | 722,894 | ||||||||||||
Total Liabilities | 270,006,614 | 184,293,093 | 3,949,476 | 280,410,840 | ||||||||||||
Net Assets | $ | 522,385,396 | $ | 893,657,442 | $ | 32,150,752 | $ | 1,295,023,366 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 854,270,078 | $ | 897,333,500 | $ | 33,666,446 | $ | 1,268,661,385 | ||||||||
Undistributed accumulated net investment income (loss) | 11,610,807 | (7,417,069 | ) | (203,584 | ) | (779,863 | ) | |||||||||
Undistributed accumulated net realized gain (loss) | (274,347,669 | ) | (16,073,239 | ) | (1,991,168 | ) | 7,745,150 | |||||||||
Net unrealized appreciation (depreciation) | (69,147,820 | ) | 19,814,250 | 679,058 | 19,396,694 | |||||||||||
Net Assets | $ | 522,385,396 | $ | 893,657,442 | $ | 32,150,752 | $ | 1,295,023,366 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 405,300,510 | $ | 564,685,255 | $ | 23,894,863 | $ | 984,543,684 | ||||||||
Class N | 113,449,924 | 182,821,745 | 4,030,802 | 155,919,745 | ||||||||||||
Class R6 | 3,634,962 | 146,150,442 | 4,225,087 | 154,559,937 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 43,963,762 | 49,083,849 | 2,570,508 | 79,851,497 | ||||||||||||
Class N | 12,332,692 | 15,939,789 | 436,203 | 12,714,201 | ||||||||||||
Class R6 | 394,748 | 12,694,896 | 454,425 | 12,517,119 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 9.22 | $ | 11.50 | $ | 9.30 | $ | 12.33 | ||||||||
Class N | $ | 9.20 | $ | 11.47 | $ | 9.24 | $ | 12.26 | ||||||||
Class R6 | $ | 9.21 | $ | 11.51 | $ | 9.30 | $ | 12.35 | ||||||||
‡Cash denominated in foreign currencies at cost | $ | 1,595,819 | $ | 848,795 | $ | 1,321 | $ | 1,036,906 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
284
Statements of Assets and Liabilities | June 30, 2016 (Unaudited) |
AQR MANAGED | AQR MANAGED FUTURES STRATEGY HV FUND** | AQR MULTI- | AQR RISK- BALANCED COMMODITIES STRATEGY FUND** | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 12,907,363,966 | $ | 670,441,975 | $ | 3,396,833,255 | $ | 147,529,856 | ||||||||
Investments in securities, at value | $ | 12,912,371,899 | $ | 670,593,318 | $ | 3,426,358,213 | $ | 147,559,891 | ||||||||
Cash | 24,770,378 | 2,119,507 | 2,019,163 | — | ||||||||||||
Cash denominated in foreign currencies‡ | 2,555,698 | 59,743 | 30,753,653 | — | ||||||||||||
Due from brokers | 39,345,817 | 2,195,939 | 984,412,268 | 786,602 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 552,050,171 | 44,320,263 | 109,791,404 | — | ||||||||||||
Unrealized appreciation on OTC swaps | 17,533,903 | 1,528,997 | 31,284,918 | 5,474,026 | ||||||||||||
Deposits with brokers for exchange-traded and centrally cleared derivatives | 136,307,740 | 30,424,112 | 76,581,436 | 13,408,773 | ||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | 10,106,031 | 946,734 | 8,535,391 | — | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 2,878,440,222 | 230,571,312 | 466,944,660 | — | ||||||||||||
Foreign tax reclaims | — | — | 1,012,119 | — | ||||||||||||
Dividends and interest | 371,577 | 22,733 | 4,806,979 | 14,851 | ||||||||||||
Capital shares sold | 51,125,133 | 1,293,082 | 3,502,140 | 1,178,989 | ||||||||||||
Prepaid expenses | 479,215 | 104,332 | 192,119 | 39,362 | ||||||||||||
Total Assets | 16,625,457,784 | 984,180,072 | 5,146,194,463 | 168,462,494 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Securities sold short, at value (proceeds $—, $—, $972,914,850 and $—, respectively) | — | — | 972,059,782 | — | ||||||||||||
Options written, at value (proceeds $—, $—, $4,430,484 and $—, respectively) | — | — | 7,787,440 | — | ||||||||||||
Due to brokers | 62,938,987 | 4,585,184 | 23,021,725 | 332,777 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 299,418,415 | 24,095,295 | 41,209,694 | — | ||||||||||||
Unrealized depreciation on OTC swaps | 45,658,987 | 3,503,424 | 55,594,208 | 5,133,735 | ||||||||||||
Deposits from brokers for exchange-traded and centrally cleared derivatives | 20,342,872 | 70,968 | — | — | ||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | 32,035,552 | 1,439,095 | 1,146,356 | 994,017 | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 2,849,629,590 | 230,578,283 | 482,220,251 | — | ||||||||||||
Accrued investment advisory fees | 11,017,870 | 797,174 | 5,290,618 | 93,932 | ||||||||||||
Accrued distribution fees—Class N | 612,059 | 30,393 | 99,220 | 740 | ||||||||||||
Accrued Trustee fees | 91 | 10 | 226 | 34 | ||||||||||||
Capital shares redeemed | 13,139,874 | 515,545 | 3,218,528 | 8,710 | ||||||||||||
Dividends and interest payable on securities sold short | — | — | 1,309,705 | — | ||||||||||||
Other accrued expenses and liabilities | 1,572,776 | 59,114 | 977,679 | 96,554 | ||||||||||||
Total Liabilities | 3,336,367,073 | 265,674,485 | 1,593,935,432 | 6,660,499 | ||||||||||||
Net Assets | $ | 13,289,090,711 | $ | 718,505,587 | $ | 3,552,259,031 | $ | 161,801,995 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 13,200,274,037 | $ | 716,594,134 | $ | 3,688,767,371 | $ | 148,237,112 | ||||||||
Undistributed accumulated net investment income (loss) | 23,540,772 | 2,294,310 | (155,486,850 | ) | (9,069,829 | ) | ||||||||||
Undistributed accumulated net realized gain (loss) | (488,743,115 | ) | (45,110,439 | ) | (60,942,698 | ) | 14,144,776 | |||||||||
Net unrealized appreciation (depreciation) | 554,019,017 | 44,727,582 | 79,921,208 | 8,489,936 | ||||||||||||
Net Assets | $ | 13,289,090,711 | $ | 718,505,587 | $ | 3,552,259,031 | $ | 161,801,995 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 9,577,768,224 | $ | 369,183,988 | $ | 2,789,500,908 | $ | 65,610,621 | ||||||||
Class N | 3,059,908,587 | 153,790,133 | 481,776,036 | 3,844,036 | ||||||||||||
Class R6 | 651,413,900 | 195,531,466 | 280,982,087 | 92,347,338 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 920,359,232 | 33,693,000 | 293,616,308 | 9,787,793 | ||||||||||||
Class N | 297,019,556 | 14,106,060 | 50,888,439 | 579,602 | ||||||||||||
Class R6 | 62,601,744 | 17,838,522 | 29,558,095 | 13,747,606 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 10.41 | $ | 10.96 | $ | 9.50 | $ | 6.70 | ||||||||
Class N | $ | 10.30 | $ | 10.90 | $ | 9.47 | $ | 6.63 | ||||||||
Class R6 | $ | 10.41 | $ | 10.96 | $ | 9.51 | $ | 6.72 | ||||||||
‡Cash denominated in foreign currencies at cost | $ | 2,520,525 | $ | 59,754 | $ | 30,806,526 | $ | — |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
285
Statements of Assets and Liabilities | June 30, 2016 (Unaudited) |
AQR RISK | AQR RISK | AQR RISK | AQR STYLE | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 408,972,984 | $ | 63,005,125 | $ | 90,777,722 | $ | 3,970,644,363 | ||||||||
Investments in securities, at value | $ | 411,480,400 | $ | 63,396,429 | $ | 91,182,209 | $ | 3,988,917,199 | ||||||||
Cash | 2,679 | 120,310 | 130,201 | 11,442,045 | ||||||||||||
Cash denominated in foreign currencies‡ | 922,982 | 16,769 | 86,543 | 7,380,575 | ||||||||||||
Due from brokers | 280,505 | 176,054 | 318,620 | 66,525,538 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 6,246,558 | 376,871 | 440,895 | 100,085,033 | ||||||||||||
Unrealized appreciation on OTC swaps | 3,295,967 | 742,668 | 1,457,777 | 83,987,103 | ||||||||||||
Deposits with brokers for exchange-traded and centrally cleared derivatives | 23,036,780 | 3,165,188 | 2,344,963 | 233,635,797 | ||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | 1,695,501 | 223,857 | 300,218 | 15,147,365 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 1,030,940 | 209,256 | — | 20,915,543 | ||||||||||||
Foreign tax reclaims | — | — | — | 1,584,241 | ||||||||||||
Dividends and interest | 337,037 | 54,488 | 64,003 | 1,237,822 | ||||||||||||
Capital shares sold | 115,857 | 225,114 | 233,464 | 8,957,653 | ||||||||||||
Prepaid expenses | 43,038 | 36,812 | 43,226 | 406,623 | ||||||||||||
Total Assets | 448,488,244 | 68,743,816 | 96,602,119 | 4,540,222,537 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Securities sold short, at value (proceeds $—, $—, $— and $785,923,278, respectively) | — | — | — | 728,621,386 | ||||||||||||
Reverse repurchase agreements, at value | — | 10,953,690 | — | — | ||||||||||||
Due to brokers | 1,437,163 | 11,908 | 88,449 | 13,825,604 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 918,025 | 1,162 | 1,992 | 49,277,389 | ||||||||||||
Unrealized depreciation on OTC swaps | 1,731,096 | 516,020 | 1,158,179 | 141,570,907 | ||||||||||||
Deposits from brokers for exchange-traded and centrally cleared derivatives | 35,533 | — | 95,268 | — | ||||||||||||
Variation margin on exchange-traded and centrally cleared derivatives | 914,552 | 223,319 | 212,263 | 7,866,907 | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | — | 211,209 | — | 20,864,241 | ||||||||||||
Accrued investment advisory fees | 263,187 | 26,484 | 44,144 | 3,768,103 | ||||||||||||
Accrued distribution fees—Class N | 4,318 | 1,260 | 1,502 | 41,841 | ||||||||||||
Accrued Trustee fees | 366 | 5 | 3 | 89 | ||||||||||||
Capital shares redeemed | 354,562 | 9 | 25,264 | 3,497,302 | ||||||||||||
Dividends and interest payable on securities sold short | — | — | — | 1,451,883 | ||||||||||||
Interest payable for reverse repurchase agreements | — | 2,791 | — | — | ||||||||||||
Other accrued expenses and liabilities | 286,088 | 88,491 | 111,513 | 1,200,700 | ||||||||||||
Total Liabilities | 5,944,890 | 12,036,348 | 1,738,577 | 971,986,352 | ||||||||||||
Net Assets | $ | 442,543,354 | $ | 56,707,468 | $ | 94,863,542 | $ | 3,568,236,185 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 425,233,499 | $ | 54,916,931 | $ | 92,534,473 | $ | 3,582,911,094 | ||||||||
Undistributed accumulated net investment income (loss) | (12,425,491 | ) | (2,623,521 | ) | (3,040,585 | ) | 20,159,309 | |||||||||
Undistributed accumulated net realized gain (loss) | 9,719,596 | 1,338,329 | 1,900,537 | (112,515,695 | ) | |||||||||||
Net unrealized appreciation (depreciation) | 20,015,750 | 3,075,729 | 3,469,117 | 77,681,477 | ||||||||||||
Net Assets | $ | 442,543,354 | $ | 56,707,468 | $ | 94,863,542 | $ | 3,568,236,185 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 420,574,386 | $ | 47,697,288 | $ | 86,845,590 | $ | 2,199,855,538 | ||||||||
Class N | 21,562,630 | 6,313,053 | 7,404,207 | 224,580,873 | ||||||||||||
Class R6 | 406,338 | 2,697,127 | 613,745 | 1,143,799,774 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 41,711,713 | 5,302,710 | 9,170,595 | 217,589,147 | ||||||||||||
Class N | 2,145,858 | 701,864 | 785,365 | 22,254,413 | ||||||||||||
Class R6 | 40,261 | 299,966 | 64,823 | 112,979,585 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 10.08 | $ | 8.99 | $ | 9.47 | $ | 10.11 | ||||||||
Class N | $ | 10.05 | $ | 8.99 | $ | 9.43 | $ | 10.09 | ||||||||
Class R6 | $ | 10.09 | $ | 8.99 | $ | 9.47 | $ | 10.12 | ||||||||
‡Cash denominated in foreign currencies at cost | $ | 1,009,854 | $ | 16,978 | $ | 91,362 | $ | 7,392,874 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
286
Statements of Assets and Liabilities | June 30, 2016 (Unaudited) |
AQR STYLE | ||||
ASSETS: | ||||
Investments in securities, at cost | $ | 409,174,896 | ||
Investments in securities, at value | $ | 410,298,479 | ||
Cash | 1,201,261 | |||
Cash denominated in foreign currencies‡ | 328,207 | |||
Due from brokers | 3,412,787 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 5,561,027 | |||
Unrealized appreciation on OTC swaps | 1,122,426 | |||
Deposits with brokers for exchange-traded and centrally cleared derivatives | 16,616,222 | |||
Variation margin on exchange-traded and centrally cleared derivatives | 724,419 | |||
Receivables: | ||||
Securities sold | 2,033,627 | |||
Foreign tax reclaims | 43,778 | |||
Dividends and interest | 103,615 | |||
Capital shares sold | 3,189,912 | |||
Prepaid expenses | 48,061 | |||
Total Assets | 444,683,821 | |||
LIABILITIES: | ||||
Securities sold short, at value (proceeds $41,709,948) | 38,617,266 | |||
Due to brokers | 903,098 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 2,746,121 | |||
Unrealized depreciation on OTC swaps | 3,509,717 | |||
Variation margin on exchange-traded and centrally cleared derivatives | 260,414 | |||
Payables: | ||||
Securities purchased | 2,083,266 | |||
Accrued investment advisory fees | 202,288 | |||
Accrued distribution fees—Class N | 9,551 | |||
Accrued Trustee fees | 11 | |||
Capital shares redeemed | 1,965,435 | |||
Dividends and interest payable on securities sold short | 72,617 | |||
Other accrued expenses and liabilities | 188,559 | |||
Total Liabilities | 50,558,343 | |||
Net Assets | $ | 394,125,478 | ||
NET ASSETS CONSIST OF: | ||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 393,162,956 | ||
Undistributed accumulated net investment income (loss) | (1,669,411 | ) | ||
Undistributed accumulated net realized gain (loss) | (2,473,799 | ) | ||
Net unrealized appreciation (depreciation) | 5,105,732 | |||
Net Assets | $ | 394,125,478 | ||
NET ASSETS: | ||||
Class I | $ | 293,849,188 | ||
Class N | 47,293,621 | |||
Class R6 | 52,982,669 | |||
SHARES OUTSTANDING: | ||||
Class I | 28,108,466 | |||
Class N | 4,532,182 | |||
Class R6 | 5,062,811 | |||
NET ASSET VALUE: | ||||
Class I | $ | 10.45 | ||
Class N | $ | 10.44 | ||
Class R6 | $ | 10.47 | ||
‡ Cash denominated in foreign currencies at cost | $ | 326,788 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
287
Statements of Operations | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY | AQR GLOBAL MACRO FUND** | AQR LONG-SHORT | |||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $4,334,537 | $4,247,952 | $15,167 | $5,537,071 | ||||||||||||
Interest income | 4,903,342 | 313,685 | 46,048 | 651,793 | ||||||||||||
Total Income | 9,237,879 | 4,561,637 | 61,215 | 6,188,864 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 3,373,890 | 3,687,296 | 291,034 | 5,178,540 | ||||||||||||
Custody fees | 76,256 | 8,843 | 12,161 | 17,856 | ||||||||||||
Administration & accounting fees | 91,200 | 95,777 | 8,096 | 136,931 | ||||||||||||
Legal fees | 53,098 | 4,696 | 4,598 | 6,672 | ||||||||||||
Audit & tax fees | 126,032 | 23,843 | 34,227 | 21,765 | ||||||||||||
Shareholder reporting fees | 63,978 | 43,199 | 5,420 | 49,958 | ||||||||||||
Transfer agent fees | 310,211 | 264,105 | 20,393 | 334,342 | ||||||||||||
Trustee fees | 16,110 | 11,290 | 3,770 | 14,785 | ||||||||||||
Distribution fees—Class N | 203,609 | 229,253 | 12,910 | 160,341 | ||||||||||||
Dividends and interest on securities sold short (Note 4) | 3,529,255 | 4,194,375 | — | 5,356,123 | ||||||||||||
Recoupment of waiver | — | 58,892 | — | 120,090 | ||||||||||||
Registration fees | 44,103 | 34,894 | 25,431 | 40,491 | ||||||||||||
Pricing fee | 160,131 | 10,575 | 24,478 | 10,616 | ||||||||||||
Other expenses | 27,666 | 19,887 | 2,760 | 25,457 | ||||||||||||
Total Expenses | 8,075,539 | 8,686,925 | 445,278 | 11,473,967 | ||||||||||||
Less fee waivers and/or reimbursements | (336,239) | — | (105,625) | — | ||||||||||||
Net Expenses | 7,739,300 | 8,686,925 | 339,653 | 11,473,967 | ||||||||||||
Net Investment Income (Loss) | 1,498,579 | (4,125,288) | (278,438) | (5,285,103) | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | (160,005,097) | 142,048 | (170,934) | (2,010,182) | ||||||||||||
Foreign currency and foreign currency transactions | (109,591) | 59,474 | 34,060 | (121,861) | ||||||||||||
Forward foreign currency exchange contracts | (453,452) | (490,674) | 220,595 | 4,921,572 | ||||||||||||
Futures contracts | (2,208,227) | 813,308 | (884,295) | 15,583,838 | ||||||||||||
Securities sold short | 99,511,709 | (5,357,590) | — | (2,404,696) | ||||||||||||
Swap contracts | (3,860,571) | (11,225,942) | (256,893) | (1,442,151) | ||||||||||||
Written options | 2,400,355 | — | — | — | ||||||||||||
Net realized gain (loss) | (64,724,874) | (16,059,376) | (1,057,467) | 14,526,520 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 144,421,918 | 7,411,469 | 8,908 | 11,407,760 | ||||||||||||
Foreign currency and foreign currency translations | 113,374 | (2,619) | 30,798 | (77,887) | ||||||||||||
Forward foreign currency exchange contracts | (1,240,512) | 613,295 | 71,565 | (353,864) | ||||||||||||
Futures contracts | (718,546) | — | 165,938 | 926,124 | ||||||||||||
Securities sold short | (85,723,085) | 1,980,144 | — | (2,040,778) | ||||||||||||
Swap contracts | 1,741,847 | 1,704,979 | (470,195) | (2,301,280) | ||||||||||||
Written options | (2,181,646) | — | — | — | ||||||||||||
Net change in unrealized appreciation (depreciation) | 56,413,350 | 11,707,268 | (192,986) | 7,560,075 | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (8,311,524) | (4,352,108) | (1,250,453) | 22,086,595 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $(6,812,945) | $(8,477,396) | $(1,528,891) | $16,801,492 | ||||||||||||
† Net of foreign taxes withheld of | $6,245 | $579,015 | $10 | $796,376 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
288
Statements of Operations | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND** | AQR MANAGED FUTURES STRATEGY HV FUND** | AQR MULTI- | AQR RISK- BALANCED COMMODITIES STRATEGY FUND** | |||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $1,617,865 | $115,501 | $13,502,275 | $63,026 | ||||||||||||
Interest income | 19,555,491 | 921,310 | 6,311,649 | 107,672 | ||||||||||||
Total Income | 21,173,356 | 1,036,811 | 19,813,924 | 170,698 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 58,648,096 | 4,555,489 | 28,884,936 | 533,545 | ||||||||||||
Custody fees | 507,422 | 30,776 | 37,016 | 6,914 | ||||||||||||
Administration & accounting fees | 1,834,492 | 103,424 | 506,201 | 21,641 | ||||||||||||
Legal fees | 128,441 | 5,500 | 34,329 | 2,603 | ||||||||||||
Audit & tax fees | 57,990 | 56,779 | 115,389 | 56,718 | ||||||||||||
Shareholder reporting fees | 487,463 | 44,279 | 118,275 | 5,374 | ||||||||||||
Transfer agent fees | 4,214,374 | 207,235 | 1,280,892 | 15,639 | ||||||||||||
Trustee fees | 162,217 | 11,940 | 48,149 | 4,817 | ||||||||||||
Distribution fees—Class N | 2,550,356 | 178,564 | 466,978 | 3,317 | ||||||||||||
Dividends and interest on securities sold short (Note 4) | — | — | 8,207,892 | — | ||||||||||||
Recoupment of waiver | 31,142 | — | 222,194 | — | ||||||||||||
Registration fees | 209,555 | 43,509 | 58,209 | 17,485 | ||||||||||||
Pricing fee | — | — | 12,543 | — | ||||||||||||
Other expenses | 230,110 | 13,964 | 80,431 | 3,957 | ||||||||||||
Total Expenses | 69,061,658 | 5,251,459 | 40,073,434 | 672,010 | ||||||||||||
Less fee waivers and/or reimbursements | — | (8,470) | — | (61,580) | ||||||||||||
Net Expenses | 69,061,658 | 5,242,989 | 40,073,434 | 610,430 | ||||||||||||
Net Investment Income (Loss) | (47,888,302) | (4,206,178) | (20,259,510) | (439,732) | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | 31,038 | (217) | 29,556,425 | 281 | ||||||||||||
Foreign currency and foreign currency transactions | (10,970,868) | (768,683) | (2,540,153) | — | ||||||||||||
Forward foreign currency exchange contracts | (111,663,080) | (11,505,393) | 18,590,098 | — | ||||||||||||
Futures contracts | (183,887,508) | (18,058,471) | (76,000,643) | 12,449,413 | ||||||||||||
Securities sold short | — | — | (7,397,475) | — | ||||||||||||
Swap contracts | 35,512,389 | 2,285,023 | 64,661,678 | 1,707,712 | ||||||||||||
Written options | — | — | 51,630 | — | ||||||||||||
Net realized gain (loss) | (270,978,029) | (28,047,741) | 26,921,560 | 14,157,406 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 3,756,479 | 117,404 | (1,626,269) | 27,032 | ||||||||||||
Foreign currency and foreign currency translations | 1,589,062 | 182,293 | (982,218) | — | ||||||||||||
Forward foreign currency exchange contracts | 294,276,065 | 23,511,340 | 54,871,521 | — | ||||||||||||
Futures contracts | 325,952,280 | 26,271,440 | 15,521,344 | 11,474,732 | ||||||||||||
Securities sold short | — | — | (103,404) | — | ||||||||||||
Swap contracts | (38,196,998) | (2,662,823) | (160,953,327) | 574,213 | ||||||||||||
Written options | — | — | (3,356,956) | — | ||||||||||||
Net change in unrealized appreciation (depreciation) | 587,376,888 | 47,419,654 | (96,629,309) | 12,075,977 | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 316,398,859 | 19,371,913 | (69,707,749) | 26,233,383 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $268,510,557 | $15,165,735 | $(89,967,259) | $25,793,651 | ||||||||||||
† Net of foreign taxes withheld of | $29,053 | $261 | $335,330 | $3,222 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
289
Statements of Operations | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND** | AQR RISK PARITY II HV FUND** | AQR RISK PARITY II MV FUND** | AQR STYLE PREMIA ALTERNATIVE FUND** | |||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $174,378 | $20,827 | $37,829 | $18,817,088 | ||||||||||||
Interest income | 1,144,711 | 182,343 | 203,050 | 1,407,421 | ||||||||||||
Total Income | 1,319,089 | 203,170 | 240,879 | 20,224,509 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 1,830,003 | 233,597 | 327,988 | 19,346,668 | ||||||||||||
Custody fees | 32,930 | 10,802 | 10,094 | 38,722 | ||||||||||||
Administration & accounting fees | 83,453 | 8,039 | 14,634 | 432,326 | ||||||||||||
Legal fees | 11,857 | 2,064 | 2,744 | 18,867 | ||||||||||||
Audit & tax fees | 65,275 | 56,799 | 56,799 | 51,353 | ||||||||||||
Shareholder reporting fees | 22,205 | 1,947 | 3,628 | 104,178 | ||||||||||||
Transfer agent fees | 167,237 | 16,563 | 48,727 | 893,380 | ||||||||||||
Trustee fees | 10,733 | 3,700 | 4,303 | 39,381 | ||||||||||||
Distribution fees—Class N | 25,458 | 7,258 | 7,754 | 205,601 | ||||||||||||
Dividends and interest on securities sold short and reverse repurchase agreements (Note 4) | — | 23,873 | — | 15,077,715 | ||||||||||||
Registration fees | 22,767 | 19,605 | 21,943 | 62,039 | ||||||||||||
Pricing fee | 15,049 | 25 | 25 | 10,617 | ||||||||||||
Other expenses | 11,717 | 2,568 | 2,885 | 74,224 | ||||||||||||
Total Expenses | 2,298,684 | 386,840 | 501,524 | 36,355,071 | ||||||||||||
Less fee waivers and/or reimbursements | (37,845) | (88,594) | (80,673) | (108,022) | ||||||||||||
Net Expenses | 2,260,839 | 298,246 | 420,851 | 36,247,049 | ||||||||||||
Net Investment Income (Loss) | (941,750) | (95,076) | (179,972) | (16,022,540) | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | (673,849) | 11,526 | (16,720) | (17,174,030) | ||||||||||||
Foreign currency and foreign currency transactions | 1,226,764 | �� | 84,989 | 170,506 | (2,137,482) | |||||||||||
Forward foreign currency exchange contracts | (4,543,675) | (265,414) | (335,204) | 53,810,526 | ||||||||||||
Futures contracts | 18,559,790 | 3,318,577 | 4,500,984 | (92,036,371) | ||||||||||||
Securities sold short | — | — | — | (1,914,773) | ||||||||||||
Swap contracts | 3,868,277 | (78,474) | (204,384) | (21,612,740) | ||||||||||||
Net realized gain (loss) | 18,437,307 | 3,071,204 | 4,115,182 | (81,064,870) | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 6,836,097 | 745,002 | 1,076,789 | 2,728,224 | ||||||||||||
Foreign currency and foreign currency translations | (1,395,189) | (62,819) | (161,440) | 1,854,955 | ||||||||||||
Forward foreign currency exchange contracts | 9,249,223 | 492,576 | 592,950 | 43,175,351 | ||||||||||||
Futures contracts | 13,958,213 | 2,798,430 | 3,352,574 | 27,014,454 | ||||||||||||
Securities sold short | — | — | — | 37,683,294 | ||||||||||||
Swap contracts | 3,077,895 | 330,976 | 534,050 | (34,659,955) | ||||||||||||
Net change in unrealized appreciation (depreciation) | 31,726,239 | 4,304,165 | 5,394,923 | 77,796,323 | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 50,163,546 | 7,375,369 | 9,510,105 | (3,268,547) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $49,221,796 | $7,280,293 | $9,330,133 | $(19,291,087) | ||||||||||||
† Net of foreign taxes withheld of | $9,530 | $1,490 | $1,637 | $2,787,009 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
290
Statements of Operations | June 30, 2016 (Unaudited) |
AQR STYLE | ||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 | ||||
INVESTMENT INCOME: | ||||
Dividend income† | $1,044,104 | |||
Interest income | 176,242 | |||
Total Income | 1,220,346 | |||
EXPENSES: | ||||
Investment advisory fees | 1,011,349 | |||
Custody fees | 6,669 | |||
Administration & accounting fees | 46,482 | |||
Legal fees | 16,253 | |||
Audit & tax fees | 51,990 | |||
Shareholder reporting fees | 10,870 | |||
Transfer agent fees | 119,303 | |||
Trustee fees | 6,882 | |||
Distribution fees—Class N | 44,965 | |||
Dividends and interest on securities sold short (Note 4) | 742,264 | |||
Registration fees | 27,012 | |||
Pricing fee | 10,568 | |||
Other expenses | 9,704 | |||
Total Expenses | 2,104,311 | |||
Less fee waivers and/or reimbursements | (37,120) | |||
Net Expenses | 2,067,191 | |||
Net Investment Income (Loss) | (846,845) | |||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||
Net realized gain (loss) from: | ||||
Investments in securities | (656,473) | |||
Foreign currency and foreign currency transactions | 246,360 | |||
Forward foreign currency exchange contracts | 2,705,724 | |||
Futures contracts | (5,255,244) | |||
Securities sold short | (77,857) | |||
Swap contracts | 1,853,882 | |||
Net realized gain (loss) | (1,183,608) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in securities | 229,479 | |||
Foreign currency and foreign currency translations | 88,143 | |||
Forward foreign currency exchange contracts | 2,424,872 | |||
Futures contracts | 1,397,623 | |||
Securities sold short | 2,494,660 | |||
Swap contracts | (3,697,032) | |||
Net change in unrealized appreciation (depreciation) | 2,937,745 | |||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 1,754,137 | |||
Net increase (decrease) in net assets resulting from operations | $907,292 | |||
† Net of foreign taxes withheld of | $139,444 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
291
Statements of Changes in Net Assets | June 30, 2016 |
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY MARKET NEUTRAL FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $1,498,579 | $10,123,129 | $(4,125,288 | ) | $(956,286 | ) | ||||||||||
Net realized gain (loss) | (64,724,874 | ) | (55,638,448 | ) | (16,059,376 | ) | 3,359,474 | |||||||||
Net change in unrealized appreciation (depreciation) | 56,413,350 | (20,671,654 | ) | 11,707,268 | 7,770,120 | |||||||||||
Net increase (decrease) in net assets resulting from operations | (6,812,945 | ) | (66,186,973 | ) | (8,477,396 | ) | 10,173,308 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (40,065,363 | ) | — | (3,278,442 | ) | ||||||||||
Class N | — | (7,997,308 | ) | — | (1,906,094 | ) | ||||||||||
Class R6 | — | (37,869 | ) | — | (3,572 | ) | ||||||||||
Total | — | (48,100,540 | ) | — | (5,188,108 | ) | ||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | — | — | (142,370 | ) | |||||||||||
Class N | — | — | — | (85,124 | ) | |||||||||||
Class R6 | — | — | — | (154 | ) | |||||||||||
Total | — | — | — | (227,648 | ) | |||||||||||
Total distributions | — | (48,100,540 | ) | — | (5,415,756 | ) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 91,592,193 | 411,629,572 | 507,308,704 | 181,517,201 | ||||||||||||
Reinvestment of distributions | — | 32,791,578 | — | 3,185,521 | ||||||||||||
Cost of shares redeemed | (452,036,504 | ) | (1,125,689,923 | ) | (117,956,534 | ) | (9,905,135 | ) | ||||||||
Net increase (decrease) from capital transactions | (360,444,311 | ) | (681,268,773 | ) | 389,352,170 | 174,797,587 | ||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 16,348,292 | 61,092,221 | 194,078,275 | 104,772,329 | ||||||||||||
Reinvestment of distributions | — | 7,939,623 | — | 1,973,213 | ||||||||||||
Cost of shares redeemed | (85,732,744 | ) | (543,339,575 | ) | (98,677,591 | ) | (19,614,748 | ) | ||||||||
Net increase (decrease) from capital transactions | (69,384,452 | ) | (474,307,731 | ) | 95,400,684 | 87,130,794 | ||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 3,573,796 | 1,113,193 | 152,532,939 | — | ||||||||||||
Reinvestment of distributions | — | 37,869 | — | 3,726 | ||||||||||||
Cost of shares redeemed | (835,937 | ) | (305,690 | ) | (4,366,230 | ) | (3,363,015 | ) | ||||||||
Net increase (decrease) from capital transactions | 2,737,859 | 845,372 | 148,166,709 | (3,359,289 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (427,090,904 | ) | (1,154,731,132 | ) | 632,919,563 | 258,569,092 | ||||||||||
Total increase (decrease) in net assets | (433,903,849 | ) | (1,269,018,645 | ) | 624,442,167 | 263,326,644 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 956,289,245 | 2,225,307,890 | 269,215,275 | 5,888,631 | ||||||||||||
End of period | $522,385,396 | $956,289,245 | $893,657,442 | $269,215,275 | ||||||||||||
Undistributed accumulated net investment income (loss) | $11,610,807 | $10,112,228 | $(7,417,069 | ) | $(3,291,781 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 293) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
292
Statements of Changes in Net Assets | June 30, 2016 |
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY MARKET NEUTRAL FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 83,828,615 | 152,568,773 | 15,613,151 | 144,471 | ||||||||||||
Shares sold | 10,023,991 | 41,096,650 | 43,648,136 | 16,108,285 | ||||||||||||
Shares issued on reinvestment of distributions | — | 3,575,962 | — | 274,141 | ||||||||||||
Shares redeemed | (49,888,844 | ) | (113,412,770 | ) | (10,177,438 | ) | (913,746 | ) | ||||||||
Shares outstanding, end of period | 43,963,762 | 83,828,615 | 49,083,849 | 15,613,151 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 19,881,331 | 67,172,038 | 7,826,988 | 123,239 | ||||||||||||
Shares sold | 1,792,211 | 6,110,275 | 16,674,443 | 9,253,007 | ||||||||||||
Shares issued on reinvestment of distributions | — | 866,771 | — | 169,958 | ||||||||||||
Shares redeemed | (9,340,850 | ) | (54,267,753 | ) | (8,561,642 | ) | (1,719,216 | ) | ||||||||
Shares outstanding, end of period | 12,332,692 | 19,881,331 | 15,939,789 | 7,826,988 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 94,204 | 9,281 | 12,859 | 320,778 | ||||||||||||
Shares sold | 391,643 | 111,175 | 13,060,255 | — | ||||||||||||
Shares issued on reinvestment of distributions | — | 4,139 | — | 320 | ||||||||||||
Shares redeemed | (91,099 | ) | (30,391 | ) | (378,218 | ) | (308,239 | ) | ||||||||
Shares outstanding, end of period | 394,748 | 94,204 | 12,694,896 | 12,859 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
293
Statements of Changes in Net Assets | June 30, 2016 |
AQR GLOBAL MACRO FUND** | AQR LONG-SHORT EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(278,438 | ) | $(1,077,510 | ) | $(5,285,103 | ) | $(2,581,503 | ) | ||||||||
Net realized gain (loss) | (1,057,467 | ) | 1,388,379 | 14,526,520 | 27,471,141 | |||||||||||
Net change in unrealized appreciation (depreciation) | (192,986 | ) | 80,064 | 7,560,075 | 7,649,879 | |||||||||||
Net increase (decrease) in net assets resulting from operations | (1,528,891 | ) | 390,933 | 16,801,492 | 32,539,517 | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | — | — | (17,673,255 | ) | |||||||||||
Class N | — | — | — | (3,926,547 | ) | |||||||||||
Class R6 | — | — | — | (740,867 | ) | |||||||||||
Total | — | — | — | (22,340,669 | ) | |||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (1,495,562 | ) | — | (606,302 | ) | ||||||||||
Class N | — | (1,247,409 | ) | — | (137,481 | ) | ||||||||||
Class R6 | — | (5,243 | ) | — | (25,262 | ) | ||||||||||
Total | — | (2,748,214 | ) | — | (769,045 | ) | ||||||||||
Total distributions | — | (2,748,214 | ) | — | (23,109,714 | ) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 10,780,175 | 14,970,480 | 738,740,197 | 424,856,199 | ||||||||||||
Reinvestment of distributions | — | 1,453,010 | — | 18,090,946 | ||||||||||||
Cost of shares redeemed | (17,131,110 | ) | (19,541,806 | ) | (222,300,775 | ) | (42,029,793 | ) | ||||||||
Net increase (decrease) from capital transactions | (6,350,935 | ) | (3,118,316 | ) | 516,439,422 | 400,917,352 | ||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 4,976,521 | 92,106,568 | 122,730,699 | 94,735,102 | ||||||||||||
Reinvestment of distributions | — | 1,247,361 | — | 4,042,317 | ||||||||||||
Cost of shares redeemed | (21,647,131 | ) | (72,106,801 | ) | (58,781,190 | ) | (20,804,635 | ) | ||||||||
Net increase (decrease) from capital transactions | (16,670,610 | ) | 21,247,128 | 63,949,509 | 77,972,784 | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 5,432,564 | — | 141,949,347 | 15,455,318 | ||||||||||||
Reinvestment of distributions | — | 5,243 | — | 766,129 | ||||||||||||
Cost of shares redeemed | (1,126,719 | ) | — | (3,124,543 | ) | (315,394 | ) | |||||||||
Net increase (decrease) from capital transactions | 4,305,845 | 5,243 | 138,824,804 | 15,906,053 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (18,715,700 | ) | 18,134,055 | 719,213,735 | 494,796,189 | |||||||||||
Total increase (decrease) in net assets | (20,244,591 | ) | 15,776,774 | 736,015,227 | 504,225,992 | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 52,395,343 | 36,618,569 | 559,008,139 | 54,782,147 | ||||||||||||
End of period | $32,150,752 | $52,395,343 | $1,295,023,366 | $559,008,139 | ||||||||||||
Undistributed accumulated net investment income (loss) | $(203,584 | ) | $74,854 | $(779,863 | ) | $4,505,240 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 295) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
294
Statements of Changes in Net Assets | June 30, 2016 |
AQR GLOBAL MACRO FUND** | AQR LONG-SHORT EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 3,276,016 | 3,569,196 | 37,352,680 | 4,018,314 | ||||||||||||
Shares sold | 1,113,590 | 1,496,068 | 60,604,704 | 35,398,027 | ||||||||||||
Shares issued on reinvestment of distributions | — | 151,830 | — | 1,487,742 | ||||||||||||
Shares redeemed | (1,819,098 | ) | (1,941,078 | ) | (18,105,887 | ) | (3,551,403 | ) | ||||||||
Shares outstanding, end of period | 2,570,508 | 3,276,016 | 79,851,497 | 37,352,680 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 2,181,378 | 105,875 | 7,468,130 | 985,542 | ||||||||||||
Shares sold | 519,034 | 9,137,851 | 10,062,658 | 7,884,421 | ||||||||||||
Shares issued on reinvestment of distributions | — | 131,025 | — | 333,800 | ||||||||||||
Shares redeemed | (2,264,209 | ) | (7,193,373 | ) | (4,816,587 | ) | (1,735,633 | ) | ||||||||
Shares outstanding, end of period | 436,203 | 2,181,378 | 12,714,201 | 7,468,130 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 10,855 | 10,307 | 1,335,480 | 39,315 | ||||||||||||
Shares sold | 561,243 | — | 11,436,305 | 1,260,159 | ||||||||||||
Shares issued on reinvestment of distributions | — | 548 | — | 62,953 | ||||||||||||
Shares redeemed | (117,673 | ) | — | (254,666 | ) | (26,947 | ) | |||||||||
Shares outstanding, end of period | 454,425 | 10,855 | 12,517,119 | 1,335,480 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
295
Statements of Changes in Net Assets | June 30, 2016 |
AQR MANAGED FUTURES STRATEGY FUND** | AQR MANAGED FUTURES STRATEGY HV FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(47,888,302 | ) | $(100,238,136 | ) | $(4,206,178 | ) | $(5,452,820 | ) | ||||||||
Net realized gain (loss) | (270,978,029 | ) | 497,065,985 | (28,047,741 | ) | 22,303,745 | ||||||||||
Net change in unrealized appreciation (depreciation) | 587,376,888 | (315,151,266 | ) | 47,419,654 | (15,569,317 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 268,510,557 | 81,676,583 | 15,165,735 | 1,281,608 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (333,412,139 | ) | — | (10,861,577 | ) | ||||||||||
Class N | — | (62,161,470 | ) | — | (5,846,098 | ) | ||||||||||
Class R6 | — | (9,756,818 | ) | — | (5,368,164 | ) | ||||||||||
Total | — | (405,330,427 | ) | — | (22,075,839 | ) | ||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (150,600,543 | ) | — | (6,374,127 | ) | ||||||||||
Class N | — | (29,875,741 | ) | — | (3,527,619 | ) | ||||||||||
Class R6 | — | (4,339,168 | ) | — | (3,115,965 | ) | ||||||||||
Total | — | (184,815,452 | ) | — | (13,017,711 | ) | ||||||||||
Total distributions | — | (590,145,879 | ) | — | (35,093,550 | ) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 3,183,028,080 | 4,675,004,433 | 197,047,039 | 260,007,721 | ||||||||||||
Reinvestment of distributions | — | 364,985,185 | — | 15,296,145 | ||||||||||||
Cost of shares redeemed | (1,559,393,364 | ) | (2,479,666,459 | ) | (95,923,332 | ) | (146,144,807 | ) | ||||||||
Net increase (decrease) from capital transactions | 1,623,634,716 | 2,560,323,159 | 101,123,707 | 129,159,059 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 1,760,708,357 | 757,841,192 | 39,691,180 | 165,922,423 | ||||||||||||
Reinvestment of distributions | — | 91,102,480 | — | 9,373,717 | ||||||||||||
Cost of shares redeemed | (366,392,355 | ) | (498,673,872 | ) | (26,592,150 | ) | (38,822,595 | ) | ||||||||
Net increase (decrease) from capital transactions | 1,394,316,002 | 350,269,800 | 13,099,030 | 136,473,545 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 456,123,512 | 272,280,313 | 80,495,567 | 107,102,117 | ||||||||||||
Reinvestment of distributions | — | 11,617,386 | — | 5,273,052 | ||||||||||||
Cost of shares redeemed | (59,762,150 | ) | (24,442,841 | ) | (20,906,450 | ) | (15,732,433 | ) | ||||||||
Net increase (decrease) from capital transactions | 396,361,362 | 259,454,858 | 59,589,117 | 96,642,736 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 3,414,312,080 | 3,170,047,817 | 173,811,854 | 362,275,340 | ||||||||||||
Total increase (decrease) in net assets | 3,682,822,637 | 2,661,578,521 | 188,977,589 | 328,463,398 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 9,606,268,074 | 6,944,689,553 | 529,527,998 | 201,064,600 | ||||||||||||
End of period | $13,289,090,711 | $9,606,268,074 | $718,505,587 | $529,527,998 | ||||||||||||
Undistributed accumulated net investment income (loss) | $23,540,772 | $71,429,074 | $2,294,310 | $6,500,488 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 297) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
296
Statements of Changes in Net Assets | June 30, 2016 |
AQR MANAGED FUTURES STRATEGY FUND** | AQR MANAGED FUTURES STRATEGY HV FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 763,949,205 | 530,096,760 | 24,165,693 | 13,022,456 | ||||||||||||
Shares sold | 308,198,407 | 425,915,818 | 18,243,429 | 22,257,187 | ||||||||||||
Shares issued on reinvestment of distributions | — | 35,817,977 | — | 1,426,879 | ||||||||||||
Shares redeemed | (151,788,380 | ) | (227,881,350 | ) | (8,716,122 | ) | (12,540,829 | ) | ||||||||
Shares outstanding, end of period | 920,359,232 | 763,949,205 | 33,693,000 | 24,165,693 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 157,339,524 | 124,354,461 | 12,859,668 | 835,483 | ||||||||||||
Shares sold | 175,796,650 | 69,839,741 | 3,709,865 | 14,517,195 | ||||||||||||
Shares issued on reinvestment of distributions | — | 9,020,048 | — | 877,689 | ||||||||||||
Shares redeemed | (36,116,618 | ) | (45,874,726 | ) | (2,463,473 | ) | (3,370,699 | ) | ||||||||
Shares outstanding, end of period | 297,019,556 | 157,339,524 | 14,106,060 | 12,859,668 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 23,597,686 | 10,639 | 12,494,290 | 4,047,305 | ||||||||||||
Shares sold | 44,763,948 | 24,725,163 | 7,248,399 | 9,320,019 | ||||||||||||
Shares issued on reinvestment of distributions | — | 1,140,077 | — | 492,349 | ||||||||||||
Shares redeemed | (5,759,890 | ) | (2,278,193 | ) | (1,904,167 | ) | (1,365,383 | ) | ||||||||
Shares outstanding, end of period | 62,601,744 | 23,597,686 | 17,838,522 | 12,494,290 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
297
Statements of Changes in Net Assets | June 30, 2016 |
AQR MULTI-STRATEGY ALTERNATIVE FUND** | AQR RISK-BALANCED COMMODITIES STRATEGY FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(20,259,510 | ) | $(28,174,290 | ) | $(439,732 | ) | $(809,925 | ) | ||||||||
Net realized gain (loss) | 26,921,560 | 122,351,560 | 14,157,406 | (22,173,242 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) | (96,629,309 | ) | 83,853,640 | 12,075,977 | 2,497,671 | |||||||||||
Net increase (decrease) in net assets resulting from operations | (89,967,259 | ) | 178,030,910 | 25,793,651 | (20,485,496 | ) | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (157,002,548 | ) | — | — | |||||||||||
Class N | — | (6,675,209 | ) | — | — | |||||||||||
Class R6 | — | (5,408,560 | ) | — | — | |||||||||||
Total | — | (169,086,317 | ) | — | — | |||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (33,179,441 | ) | — | — | |||||||||||
Class N | — | (1,461,342 | ) | — | — | |||||||||||
Class R6 | — | (1,132,757 | ) | — | — | |||||||||||
Total | — | (35,773,540 | ) | — | — | |||||||||||
Total distributions | — | (204,859,857 | ) | — | — | |||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 1,091,284,086 | 1,169,866,016 | 32,825,252 | 80,849,012 | ||||||||||||
Reinvestment of distributions | — | 156,410,369 | — | — | ||||||||||||
Cost of shares redeemed | (513,463,591 | ) | (460,959,852 | ) | (47,392,010 | ) | (40,454,118 | ) | ||||||||
Net increase (decrease) from capital transactions | 577,820,495 | 865,316,533 | (14,566,758 | ) | 40,394,894 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 437,241,074 | 46,717,322 | 1,482,314 | 1,419,312 | ||||||||||||
Reinvestment of distributions | — | 8,127,028 | — | — | ||||||||||||
Cost of shares redeemed | (47,848,931 | ) | (35,225,745 | ) | (227,315 | ) | (3,390,548 | ) | ||||||||
Net increase (decrease) from capital transactions | 389,392,143 | 19,618,605 | 1,254,999 | (1,971,236 | ) | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 214,429,381 | 72,737,226 | 48,121,537 | 20,111,252 | ||||||||||||
Reinvestment of distributions | — | 3,351,013 | — | — | ||||||||||||
Cost of shares redeemed | (28,163,463 | ) | (8,953,831 | ) | (1,327,822 | ) | (2,211,786 | ) | ||||||||
Net increase (decrease) from capital transactions | 186,265,918 | 67,134,408 | 46,793,715 | 17,899,466 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,153,478,556 | 952,069,546 | 33,481,956 | 56,323,124 | ||||||||||||
Total increase (decrease) in net assets | 1,063,511,297 | 925,240,599 | 59,275,607 | 35,837,628 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 2,488,747,734 | 1,563,507,135 | 102,526,388 | 66,688,760 | ||||||||||||
End of period | $3,552,259,031 | $2,488,747,734 | $161,801,995 | $102,526,388 | ||||||||||||
Undistributed accumulated net investment income (loss) | $(155,486,850 | ) | $(135,227,340 | ) | $(9,069,829 | ) | $(8,630,097 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 299) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
298
Statements of Changes in Net Assets | June 30, 2016 |
AQR MULTI-STRATEGY ALTERNATIVE FUND** | AQR RISK-BALANCED COMMODITIES STRATEGY FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 234,044,091 | 147,968,675 | 12,690,552 | 6,649,535 | ||||||||||||
Shares sold | 112,730,856 | 116,000,850 | 5,791,509 | 12,903,642 | ||||||||||||
Shares issued on reinvestment of distributions | — | 16,042,089 | — | — | ||||||||||||
Shares redeemed | (53,158,639 | ) | (45,967,523 | ) | (8,694,268 | ) | (6,862,625 | ) | ||||||||
Shares outstanding, end of period | 293,616,308 | 234,044,091 | 9,787,793 | 12,690,552 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 10,628,943 | 8,674,153 | 374,027 | 686,315 | ||||||||||||
Shares sold | 45,269,986 | 4,641,085 | 244,456 | 220,408 | ||||||||||||
Shares issued on reinvestment of distributions | — | 836,114 | — | — | ||||||||||||
Shares redeemed | (5,010,490 | ) | (3,522,409 | ) | (38,881 | ) | (532,696 | ) | ||||||||
Shares outstanding, end of period | 50,888,439 | 10,628,943 | 579,602 | 374,027 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 10,345,164 | 3,611,564 | 5,175,399 | 2,214,833 | ||||||||||||
Shares sold | 22,133,674 | 7,257,387 | 8,794,950 | 3,321,846 | ||||||||||||
Shares issued on reinvestment of distributions | — | 344,047 | — | — | ||||||||||||
Shares redeemed | (2,920,743 | ) | (867,834 | ) | (222,743 | ) | (361,280 | ) | ||||||||
Shares outstanding, end of period | 29,558,095 | 10,345,164 | 13,747,606 | 5,175,399 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
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Statements of Changes in Net Assets | June 30, 2016 |
AQR RISK PARITY FUND** | AQR RISK PARITY II HV FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(941,750 | ) | $(4,531,218 | ) | $(95,076 | ) | $(482,677 | ) | ||||||||
Net realized gain (loss) | 18,437,307 | (45,198,822 | ) | 3,071,204 | (7,796,961 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 31,726,239 | (1,165,631 | ) | 4,304,165 | 358,287 | |||||||||||
Net increase (decrease) in net assets resulting from operations | 49,221,796 | (50,895,671 | ) | 7,280,293 | (7,921,351 | ) | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | — | — | (137,937 | ) | |||||||||||
Class R6 | — | — | — | (9,369 | ) | |||||||||||
Total | — | — | — | (147,306 | ) | |||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (12,535,697 | ) | — | (2,013,017 | ) | ||||||||||
Class N | — | (576,410 | ) | — | (314,049 | ) | ||||||||||
Class R6 | — | (68,124 | ) | — | (131,274 | ) | ||||||||||
Total | — | (13,180,231 | ) | — | (2,458,340 | ) | ||||||||||
Total distributions | — | (13,180,231 | ) | — | (2,605,646 | ) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 50,828,452 | 163,806,681 | 14,068,041 | 31,920,624 | ||||||||||||
Reinvestment of distributions | — | 12,321,075 | — | 2,110,673 | ||||||||||||
Cost of shares redeemed | (170,393,962 | ) | (206,762,569 | ) | (13,399,911 | ) | (27,142,112 | ) | ||||||||
Net increase (decrease) from capital transactions | (119,565,510 | ) | (30,634,813 | ) | 668,130 | 6,889,185 | ||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 1,711,439 | 6,056,561 | 1,369,926 | 4,174,086 | ||||||||||||
Reinvestment of distributions | — | 573,734 | — | 314,049 | ||||||||||||
Cost of shares redeemed | (4,192,623 | ) | (17,543,068 | ) | (1,375,273 | ) | (5,237,521 | ) | ||||||||
Net increase (decrease) from capital transactions | (2,481,184 | ) | (10,912,773 | ) | (5,347 | ) | (749,386 | ) | ||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 367,486 | 3,728,681 | 2,285,018 | 3,295,675 | ||||||||||||
Reinvestment of distributions | — | 68,124 | — | 140,643 | ||||||||||||
Cost of shares redeemed | (2,777,200 | ) | (650,157 | ) | (2,316,557 | ) | (460,254 | ) | ||||||||
Net increase (decrease) from capital transactions | (2,409,714 | ) | 3,146,648 | (31,539 | ) | 2,976,064 | ||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (124,456,408 | ) | (38,400,938 | ) | 631,244 | 9,115,863 | ||||||||||
Total increase (decrease) in net assets | (75,234,612 | ) | (102,476,840 | ) | 7,911,537 | (1,411,134 | ) | |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 517,777,966 | 620,254,806 | 48,795,931 | 50,207,065 | ||||||||||||
End of period | $442,543,354 | $517,777,966 | $56,707,468 | $48,795,931 | ||||||||||||
Undistributed accumulated net investment income (loss) | $(12,425,491 | ) | $(11,483,741 | ) | $(2,623,521 | ) | $(2,528,445 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 301) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
300
Statements of Changes in Net Assets | June 30, 2016 |
AQR RISK PARITY FUND** | AQR RISK PARITY II HV FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 54,203,404 | 57,585,796 | 5,250,810 | 4,427,252 | ||||||||||||
Shares sold | 5,446,067 | 16,155,868 | 1,692,211 | 3,429,710 | ||||||||||||
Shares issued on reinvestment of distributions | — | 1,356,946 | — | 270,252 | ||||||||||||
Shares redeemed | (17,937,758 | ) | (20,895,206 | ) | (1,640,311 | ) | (2,876,404 | ) | ||||||||
Shares outstanding, end of period | 41,711,713 | 54,203,404 | 5,302,710 | 5,250,810 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 2,424,293 | 3,571,499 | 704,394 | 819,606 | ||||||||||||
Shares sold | 184,083 | 595,100 | 163,523 | 417,890 | ||||||||||||
Shares issued on reinvestment of distributions | — | 63,326 | — | 40,160 | ||||||||||||
Shares redeemed | (462,518 | ) | (1,805,632 | ) | (166,053 | ) | (573,262 | ) | ||||||||
Shares outstanding, end of period | 2,145,858 | 2,424,293 | 701,864 | 704,394 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 307,370 | 9,472 | 310,087 | 9,937 | ||||||||||||
Shares sold | 40,261 | 354,328 | 289,411 | 330,887 | ||||||||||||
Shares issued on reinvestment of distributions | — | 7,503 | — | 18,031 | ||||||||||||
Shares redeemed | (307,370 | ) | (63,933 | ) | (299,532 | ) | (48,768 | ) | ||||||||
Shares outstanding, end of period | 40,261 | 307,370 | 299,966 | 310,087 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
301
Statements of Changes in Net Assets | June 30, 2016 |
AQR RISK PARITY II MV FUND** | AQR STYLE PREMIA ALTERNATIVE FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(179,972 | ) | $(836,894 | ) | $(16,022,540 | ) | $(13,944,348 | ) | ||||||||
Net realized gain (loss) | 4,115,182 | (7,484,622 | ) | (81,064,870 | ) | 145,026,929 | ||||||||||
Net change in unrealized appreciation (depreciation) | 5,394,923 | 488,161 | 77,796,323 | (15,233,229 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | 9,330,133 | (7,833,355 | ) | (19,291,087 | ) | 115,849,352 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (226,926 | ) | — | (63,874,268 | ) | ||||||||||
Class N | — | — | — | (3,935,997 | ) | |||||||||||
Class R6 | — | (323 | ) | — | (20,714,913 | ) | ||||||||||
Total | — | (227,249 | ) | — | (88,525,178 | ) | ||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (4,531,332 | ) | — | (2,856,032 | ) | ||||||||||
Class N | — | (232,047 | ) | — | (180,968 | ) | ||||||||||
Class R6 | — | (4,866 | ) | — | (918,104 | ) | ||||||||||
Total | — | (4,768,245 | ) | — | (3,955,104 | ) | ||||||||||
Total distributions | — | (4,995,494 | ) | — | (92,480,282 | ) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 14,288,153 | 57,846,534 | 1,296,237,183 | 1,212,906,493 | ||||||||||||
Reinvestment of distributions | — | 4,373,088 | — | 61,353,974 | ||||||||||||
Cost of shares redeemed | (21,948,899 | ) | (70,812,276 | ) | (425,927,197 | ) | (335,771,223 | ) | ||||||||
Net increase (decrease) from capital transactions | (7,660,746 | ) | (8,592,654 | ) | 870,309,986 | 938,489,244 | ||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 4,373,255 | 1,827,231 | 187,959,385 | 76,216,175 | ||||||||||||
Reinvestment of distributions | — | 232,047 | — | 4,116,723 | ||||||||||||
Cost of shares redeemed | (1,897,222 | ) | (4,760,078 | ) | (54,663,681 | ) | (14,178,162 | ) | ||||||||
Net increase (decrease) from capital transactions | 2,476,033 | (2,700,800 | ) | 133,295,704 | 66,154,736 | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 459,405 | 11,115 | 806,542,951 | 300,087,686 | ||||||||||||
Reinvestment of distributions | — | 5,189 | — | 18,986,659 | ||||||||||||
Cost of shares redeemed | — | — | (51,368,788 | ) | (7,472,854 | ) | ||||||||||
Net increase (decrease) from capital transactions | 459,405 | 16,304 | 755,174,163 | 311,601,491 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (4,725,308 | ) | (11,277,150 | ) | 1,758,779,853 | 1,316,245,471 | ||||||||||
Total increase (decrease) in net assets | 4,604,825 | (24,105,999 | ) | 1,739,488,766 | 1,339,614,541 | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 90,258,717 | 114,364,716 | 1,828,747,419 | 489,132,878 | ||||||||||||
End of period | $94,863,542 | $90,258,717 | $3,568,236,185 | $1,828,747,419 | ||||||||||||
Undistributed accumulated net investment income (loss) | $(3,040,585 | ) | $(2,860,613 | ) | $20,159,309 | $36,181,849 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 303) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
302
Statements of Changes in Net Assets | June 30, 2016 |
AQR RISK PARITY II MV FUND** | AQR STYLE PREMIA ALTERNATIVE FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 10,090,660 | 10,758,104 | 132,222,963 | 39,308,249 | ||||||||||||
Shares sold | 1,603,990 | 6,110,780 | 127,347,367 | 120,523,767 | ||||||||||||
Shares issued on reinvestment of distributions | — | 512,672 | — | 5,974,097 | ||||||||||||
Shares redeemed | (2,524,055 | ) | (7,290,896 | ) | (41,981,183 | ) | (33,583,150 | ) | ||||||||
Shares outstanding, end of period | 9,170,595 | 10,090,660 | 217,589,147 | 132,222,963 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 499,865 | 790,138 | 9,168,045 | 2,694,354 | ||||||||||||
Shares sold | 500,981 | 184,037 | 18,518,548 | 7,463,692 | ||||||||||||
Shares issued on reinvestment of distributions | — | 27,300 | — | 401,240 | ||||||||||||
Shares redeemed | (215,481 | ) | (501,610 | ) | (5,432,180 | ) | (1,391,241 | ) | ||||||||
Shares outstanding, end of period | 785,365 | 499,865 | 22,254,413 | 9,168,045 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 11,671 | 9,763 | 38,861,071 | 7,587,508 | ||||||||||||
Shares sold | 53,152 | 1,300 | 79,172,581 | 30,135,455 | ||||||||||||
Shares issued on reinvestment of distributions | — | 608 | — | 1,846,951 | ||||||||||||
Shares redeemed | — | — | (5,054,067 | ) | (708,843 | ) | ||||||||||
Shares outstanding, end of period | 64,823 | 11,671 | 112,979,585 | 38,861,071 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
303
Statements of Changes in Net Assets | June 30, 2016 |
AQR STYLE PREMIA ALTERNATIVE LV FUND** | ||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $(846,845 | ) | $(577,078 | ) | ||||
Net realized gain (loss) | (1,183,608 | ) | 1,803,761 | |||||
Net change in unrealized appreciation (depreciation) | 2,937,745 | 1,841,412 | ||||||
Net increase (decrease) in net assets resulting from operations | 907,292 | 3,068,095 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income: | ||||||||
Class I | — | (2,291,598 | ) | |||||
Class N | — | (161,010 | ) | |||||
Class R6 | — | (350,210 | ) | |||||
Total | — | (2,802,818 | ) | |||||
Net realized gain: | ||||||||
Class I | — | (467,704 | ) | |||||
Class N | — | (39,469 | ) | |||||
Class R6 | — | (70,896 | ) | |||||
Total | — | (578,069 | ) | |||||
Total distributions | — | (3,380,887 | ) | |||||
CAPITAL TRANSACTIONS: | ||||||||
CLASS I | ||||||||
Proceeds from shares sold | 222,378,041 | 158,309,029 | ||||||
Reinvestment of distributions | — | 2,746,926 | ||||||
Cost of shares redeemed | (81,407,745 | ) | (36,778,993 | ) | ||||
Net increase (decrease) from capital transactions | 140,970,296 | 124,276,962 | ||||||
CLASS N | ||||||||
Proceeds from shares sold | 39,280,159 | 6,450,074 | ||||||
Reinvestment of distributions | — | 199,845 | ||||||
Cost of shares redeemed | (5,472,616 | ) | (1,965,686 | ) | ||||
Net increase (decrease) from capital transactions | 33,807,543 | 4,684,233 | ||||||
CLASS R6 | ||||||||
Proceeds from shares sold | 33,205,436 | 22,000,001 | ||||||
Reinvestment of distributions | — | 421,106 | ||||||
Cost of shares redeemed | (2,557,542 | ) | (23,642,959 | ) | ||||
Net increase (decrease) from capital transactions | 30,647,894 | (1,221,852 | ) | |||||
Net increase (decrease) in net assets resulting from capital transactions | 205,425,733 | 127,739,343 | ||||||
Total increase (decrease) in net assets | 206,333,025 | 127,426,551 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 187,792,453 | 60,365,902 | ||||||
End of period | $394,125,478 | $187,792,453 | ||||||
Undistributed accumulated net investment income (loss) | $(1,669,411 | ) | $(822,566 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 305) |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
304
Statements of Changes in Net Assets | June 30, 2016 |
AQR STYLE PREMIA ALTERNATIVE LV FUND** | ||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2015 | |||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||
CLASS I | ||||||||
Shares outstanding, beginning of period | 14,645,410 | 2,760,295 | ||||||
Shares sold | 21,261,393 | 15,255,549 | ||||||
Shares issued on reinvestment of distributions | — | 263,115 | ||||||
Shares redeemed | (7,798,337 | ) | (3,633,549 | ) | ||||
Shares outstanding, end of period | 28,108,466 | 14,645,410 | ||||||
CLASS N | ||||||||
Shares outstanding, beginning of period | 1,294,548 | 843,532 | ||||||
Shares sold | 3,762,822 | 624,669 | ||||||
Shares issued on reinvestment of distributions | — | 19,161 | ||||||
Shares redeemed | (525,188 | ) | (192,814 | ) | ||||
Shares outstanding, end of period | 4,532,182 | 1,294,548 | ||||||
CLASS R6 | ||||||||
Shares outstanding, beginning of period | 2,132,230 | 2,329,001 | ||||||
Shares sold | 3,176,237 | 2,091,933 | ||||||
Shares issued on reinvestment of distributions | — | 40,297 | ||||||
Shares redeemed | (245,656 | ) | (2,329,001 | ) | ||||
Shares outstanding, end of period | 5,062,811 | 2,132,230 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
305
Statements of Cash Flows | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY MARKET | AQR LONG-SHORT EQUITY FUND | ||||||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (6,812,945 | ) | $ | (8,477,396 | ) | $ | 16,801,492 | ||||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities: | ||||||||||||
Payments to purchase securities | (399,984,084 | ) | (187,531,082 | ) | (201,705,261 | ) | ||||||
Payments to cover short securities | (374,166,158 | ) | (86,550,888 | ) | (96,341,187 | ) | ||||||
Proceeds from sales of securities | 772,985,513 | 59,668,149 | 67,712,346 | |||||||||
Proceeds from securities sold short | 240,141,574 | 195,026,138 | 222,553,520 | |||||||||
Proceeds from written options | 22,803 | — | — | |||||||||
(Purchases) sales of short-term investments, net | 222,585,799 | (597,433,178 | ) | (683,352,895 | ) | |||||||
Realized (gain) loss on investments in securities | 160,005,097 | (142,048 | ) | 2,010,182 | ||||||||
Realized (gain) loss on securities sold short | (99,511,709 | ) | 5,357,590 | 2,404,696 | ||||||||
Realized (gain) loss on written options | (2,400,355 | ) | — | — | ||||||||
Realized (gain) loss on paydowns | (14,071 | ) | — | — | ||||||||
Change in unrealized (appreciation) depreciation on investments in securities | (144,421,918 | ) | (7,411,469 | ) | (11,407,760 | ) | ||||||
Change in unrealized (appreciation) depreciation on securities sold short | 85,723,085 | (1,980,144 | ) | 2,040,778 | ||||||||
Change in unrealized (appreciation) depreciation on written options | 2,181,646 | — | — | |||||||||
Amortization (accretion) of bond premium (discount) | 2,830,161 | (313,685 | ) | (663,063 | ) | |||||||
(Increases) decreases in operating assets: | ||||||||||||
Due from brokers | (57,392,936 | ) | (10,790,373 | ) | (12,202,660 | ) | ||||||
Unrealized appreciation on forward foreign currency exchange contracts | 1,386,341 | (531,305 | ) | (3,680,366 | ) | |||||||
Unrealized appreciation on OTC swaps | 1,587,860 | (4,670,695 | ) | (8,006,412 | ) | |||||||
Deposits with brokers for exchange-traded and centrally cleared derivatives | 4,137,003 | 751 | (21,497,465 | ) | ||||||||
Variation margin on exchange-traded and centrally cleared derivatives | 377,552 | — | (7,736,754 | ) | ||||||||
Receivable for securities sold | (19,101,302 | ) | 10,710,701 | 27,013,685 | ||||||||
Foreign tax reclaims | (2,507 | ) | (180,569 | ) | (253,466 | ) | ||||||
Dividends and interest | 2,353,398 | (251,913 | ) | (272,471 | ) | |||||||
Prepaid expenses | 11,033 | (60,849 | ) | (99,393 | ) | |||||||
Increases (decreases) in operating liabilities | ||||||||||||
Due to brokers | (21,215,234 | ) | — | (287,389 | ) | |||||||
Unrealized depreciation on forward foreign currency exchange contracts | (145,829 | ) | (81,990 | ) | 4,034,230 | |||||||
Unrealized depreciation on OTC swaps | (2,269,820 | ) | 2,965,716 | 10,307,692 | ||||||||
Deposits from brokers for exchange-traded and centrally cleared derivatives | — | — | — | |||||||||
Variation margin on exchange-traded and centrally cleared derivatives | 566,117 | — | (2,159,684 | ) | ||||||||
Payable for securities purchased | 25,511,580 | (10,204,157 | ) | (22,385,826 | ) | |||||||
Accrued investment advisory fees | (293,708 | ) | 616,502 | 741,358 | ||||||||
Accrued distribution fees—Class N | (12,931 | ) | 22,540 | 14,263 | ||||||||
Accrued Trustees fees | 310 | (31 | ) | (206 | ) | |||||||
Dividends and Interest payable on securities sold short | (682,278 | ) | 315,098 | 467,632 | ||||||||
Other accrued expenses and liabilities | (235,241 | ) | 83,476 | 548,152 | ||||||||
Net cash provided by (used in) operating activities | $ | 393,743,846 | $ | (641,845,111 | ) | $ | (715,402,232 | ) | ||||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||||||||||
Proceeds from shares sold | 111,996,829 | 853,649,599 | 1,003,678,783 | |||||||||
Payments on shares redeemed | (543,781,059 | ) | (217,176,907 | ) | (281,791,281 | ) | ||||||
Due to custodian | 25,410,857 | — | (7,093,043 | ) | ||||||||
Net cash provided by (used in) financing activities | $ | (406,373,373 | ) | $ | 636,472,692 | $ | 714,794,459 | |||||
Net change in cash and cash denominated in foreign currencies | (12,629,527 | ) | (5,372,419 | ) | (607,773 | ) | ||||||
Cash, beginning of period | 14,051,942 | 8,235,769 | 1,639,410 | |||||||||
Cash, end of period | $ | 1,422,415 | $ | 2,863,350 | $ | 1,031,637 |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $1,399,607, $477,459 and $585,917.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
306
Statements of Cash Flows | June 30, 2016 (Unaudited) |
AQR MULTI- STRATEGY ALTERNATIVE FUND** | AQR RISK PARITY II HV FUND** | AQR STYLE PREMIA ALTERNATIVE FUND** | ||||||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (89,967,259 | ) | $ | 7,280,293 | $ | (19,291,087 | ) | ||||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities: | ||||||||||||
Payments to purchase securities | (1,398,692,590 | ) | (14,824,358 | ) | (417,605,540 | ) | ||||||
Payments to cover short securities | (509,409,917 | ) | — | (180,202,006 | ) | |||||||
Proceeds from sales of securities | 668,544,047 | 1,877,313 | 101,877,836 | |||||||||
Proceeds from securities sold short | 885,562,019 | — | 456,252,525 | |||||||||
Proceeds from written options | 4,482,355 | — | — | |||||||||
(Purchases) sales of short-term investments, net | (378,372,110 | ) | 3,077,512 | (1,526,497,936 | ) | |||||||
Realized (gain) loss on investments in securities | (29,556,425 | ) | (11,526 | ) | 17,174,030 | |||||||
Realized (gain) loss on securities sold short | 7,397,475 | — | 1,914,773 | |||||||||
Realized (gain) loss on written options | (51,630 | ) | — | — | ||||||||
Change in unrealized (appreciation) depreciation on investments in securities | 1,626,269 | (745,002 | ) | (2,728,224 | ) | |||||||
Change in unrealized (appreciation) depreciation on securities sold short | 103,404 | — | (37,683,294 | ) | ||||||||
Change in unrealized (appreciation) depreciation on written options | 3,356,956 | — | — | |||||||||
Amortization (accretion) of bond premium (discount) | (667,271 | ) | (116,825 | ) | (1,428,328 | ) | ||||||
(Increases) decreases in operating assets: | ||||||||||||
Due from brokers | (428,556,253 | ) | (167,994 | ) | (61,979,066 | ) | ||||||
Repurchase Agreements | — | 2,525,961 | — | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | (73,545,045 | ) | (335,719 | ) | (80,616,545 | ) | ||||||
Unrealized appreciation on OTC swaps | 119,354,502 | (706,278 | ) | (81,594,739 | ) | |||||||
Deposits with brokers for exchange-traded and centrally cleared derivatives | (606,449 | ) | (571,524 | ) | (98,099,300 | ) | ||||||
Variation margin on exchange-traded and centrally cleared derivatives | 1,917,015 | (86,389 | ) | (10,882,252 | ) | |||||||
Receivable for securities sold | (444,641,366 | ) | (197,427 | ) | (20,140,522 | ) | ||||||
Foreign tax reclaims | 125,835 | — | (1,040,789 | ) | ||||||||
Dividends and interest | (1,346,500 | ) | (24,360 | ) | (742,196 | ) | ||||||
Due from Investment Adviser | — | 5,604 | — | |||||||||
Prepaid expenses | (90,401 | ) | (6,901 | ) | (308,273 | ) | ||||||
Increases (decreases) in operating liabilities | ||||||||||||
Due to brokers | 16,050,208 | (55,220 | ) | 10,888,772 | ||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 18,673,524 | (156,857 | ) | 37,441,194 | ||||||||
Unrealized depreciation on OTC swaps | 41,684,990 | 375,302 | 116,254,694 | |||||||||
Variation margin on exchange-traded and centrally cleared derivatives | 68,781 | 93,538 | 4,389,758 | |||||||||
Payable for securities purchased | 455,343,090 | 199,381 | 20,094,828 | |||||||||
Accrued investment advisory fees | 1,813,876 | 26,484 | 2,148,476 | |||||||||
Accrued Shareholder servicing fees | — | — | — | |||||||||
Accrued distribution fees—Class N | 78,623 | 48 | 25,311 | |||||||||
Accrued Trustees fees | (39 | ) | (26 | ) | (435 | ) | ||||||
Dividends and Interest payable on securities sold short and reverse repurchase agreements | 835,220 | (2,771 | ) | 928,354 | ||||||||
Other accrued expenses and liabilities | (23,464 | ) | (12,129 | ) | 673,863 | |||||||
Net cash provided by (used in) operating activities | $ | (1,128,508,530 | ) | $ | (2,559,870 | ) | $ | (1,770,776,118 | ) | |||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||||||||||
Proceeds from shares sold | 1,778,623,256 | 18,152,420 | 2,315,136,239 | |||||||||
Net change in reverse repurchase agreements | — | 1,720,655 | — | |||||||||
Payments on shares redeemed | (592,649,971 | ) | (17,195,537 | ) | (531,760,563 | ) | ||||||
Due to custodian | (68,691,851 | ) | (13,813 | ) | — | |||||||
Net cash provided by (used in) financing activities | $ | 1,117,281,434 | $ | 2,663,725 | $ | 1,783,375,676 | ||||||
Net change in cash and cash denominated in foreign currencies | (11,227,096 | ) | 103,855 | 12,599,558 | ||||||||
Cash, beginning of period | 43,999,912 | 33,224 | 6,223,062 | |||||||||
Cash, end of period | $ | 32,772,816 | $ | 137,079 | $ | 18,822,620 |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $469,012, $23,873 and $2,246,424.
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
307
Statements of Cash Flows | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND** | ||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
Net increase (decrease) in net assets resulting from operations | $ | 907,292 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities: | ||||
Payments to purchase securities | (17,815,811 | ) | ||
Payments to cover short securities | (5,678,295 | ) | ||
Proceeds from sales of securities | 3,205,064 | |||
Proceeds from securities sold short | 18,974,535 | |||
(Purchases) sales of short-term investments, net | (190,736,712 | ) | ||
Realized (gain) loss on investments in securities | 656,473 | |||
Realized (gain) loss on securities sold short | 77,857 | |||
Change in unrealized (appreciation) depreciation on investments in securities | (229,479 | ) | ||
Change in unrealized (appreciation) depreciation on securities sold short | (2,494,660 | ) | ||
Amortization (accretion) of bond premium (discount) | (177,013 | ) | ||
(Increases) decreases in operating assets: | ||||
Due From Brokers | (3,397,264 | ) | ||
Unrealized appreciation on forward foreign currency exchange contracts | (4,491,476 | ) | ||
Unrealized appreciation on OTC swaps | 554,301 | |||
Deposits with brokers for exchange-traded and centrally cleared derivatives | (9,281,521 | ) | ||
Variation margin on exchange-traded and centrally cleared derivatives | (475,176 | ) | ||
Receivable for securities sold | 2,014,933 | |||
Foreign tax reclaims | (37,024 | ) | ||
Dividends and interest | (66,421 | ) | ||
Prepaid expenses | (11,229 | ) | ||
Increases (decreases) in operating liabilities: | ||||
Due to brokers | 813,407 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 2,066,604 | |||
Unrealized depreciation on OTC swaps | 3,142,731 | |||
Variation margin on exchange-traded and centrally cleared derivatives | 119,125 | |||
Payable for securities purchased | (1,567,067 | ) | ||
Accrued investment advisory fees | 159,011 | |||
Accrued distribution fees—Class N | 6,945 | |||
Accrued Trustees fees | (92 | ) | ||
Dividends and Interest payable on securities sold short | 44,477 | |||
Other accrued expenses and liabilities | 43,094 | |||
Net cash provided by (used in) operating activities | $ | (203,673,391 | ) | |
CASH FLOWS FROM FINANCING ACTIVITIES | ||||
Proceeds from shares sold | 292,449,784 | |||
Payments on shares redeemed | (87,474,942 | ) | ||
Net cash provided by (used in) financing activities | $ | 204,974,842 | ||
Net change in cash and cash denominated in foreign currencies | 1,301,451 | |||
Cash, beginning of period | 228,017 | |||
Cash, end of period | $ | 1,529,468 |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $121,262.
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
308
[Intentionally Left Blank]
Financial Highlights | June 30, 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 | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.21 | 0.02 | (0.01 | ) | 0.01 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.14 | 0.07 | (0.55 | ) | (0.48 | ) | (0.45 | ) | — | — | (0.45 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.91 | 0.23 | (0.80 | ) | (0.57 | ) | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.05 | 0.17 | 0.02 | 0.19 | (0.18 | ) | (0.06 | ) | (0.09 | ) | (0.33 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.89 | 0.10 | 6 | 0.24 | 0.34 | (0.13 | ) | (0.05 | ) | — | (0.18 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | $11.15 | 0.13 | (0.02 | ) | 0.11 | (0.09 | ) | (0.28 | ) | — | (0.37 | ) | ||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.21 | 0.01 | (0.02 | ) | (0.01 | ) | — | — | — | — | ||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.10 | 0.03 | (0.51 | ) | (0.48 | ) | (0.41 | ) | — | — | (0.41 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.87 | 0.21 | (0.81 | ) | (0.60 | ) | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.01 | 0.13 | 0.04 | 0.17 | (0.16 | ) | (0.06 | ) | (0.09 | ) | (0.31 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.85 | 0.06 | 6 | 0.24 | 0.30 | (0.09 | ) | (0.05 | ) | — | (0.14 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $11.12 | 0.10 | (0.02 | ) | 0.08 | (0.07 | ) | (0.28 | ) | — | (0.35 | ) | ||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.20 | 0.05 | (0.04 | ) | 0.01 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.13 | 0.09 | (0.55 | ) | (0.46 | ) | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||
FOR THE PERIOD 9/02/147—12/31/14 | $11.00 | 0.16 | (0.82 | ) | (0.66 | ) | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||
AQR EQUITY MARKET NEUTRAL FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $11.48 | (0.07 | ) | 0.09 | 8 | 0.02 | — | — | — | — | ||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.01 | (0.15 | ) | 1.91 | 1.76 | (0.28 | ) | (0.01 | ) | — | (0.29 | ) | ||||||||||||||||||||
FOR THE PERIOD 10/07/1410—12/31/14 | $10.00 | (0.02 | ) | 0.62 | 0.60 | (0.59 | ) | — | (0.00 | )11 | (0.59 | ) | ||||||||||||||||||||
AQR EQUITY MARKET NEUTRAL FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $11.47 | (0.08 | ) | 0.08 | 8 | — | — | — | — | — | ||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.01 | (0.19 | ) | 1.94 | 1.75 | (0.28 | ) | (0.01 | ) | — | (0.29 | ) | ||||||||||||||||||||
FOR THE PERIOD 10/07/1410—12/31/14 | $10.00 | (0.03 | ) | 0.62 | 0.59 | (0.58 | ) | — | (0.00 | )11 | (0.58 | ) | ||||||||||||||||||||
AQR EQUITY MARKET NEUTRAL FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $11.49 | (0.07 | ) | 0.09 | 8 | 0.02 | — | — | — | — | ||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.01 | (0.13 | ) | 1.90 | 1.77 | (0.28 | ) | (0.01 | ) | — | (0.29 | ) | ||||||||||||||||||||
FOR THE PERIOD 10/07/1410—12/31/14 | $10.00 | (0.02 | ) | 0.62 | 0.60 | (0.59 | ) | — | (0.00 | )11 | (0.59 | ) | ||||||||||||||||||||
AQR GLOBAL MACRO FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.60 | (0.05 | ) | (0.25 | ) | (0.30 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.94 | (0.15 | ) | 0.32 | 0.17 | — | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||
FOR THE PERIOD 4/08/1410—12/31/14 | $10.00 | (0.10 | ) | 0.06 | (0.04 | ) | — | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||
AQR GLOBAL MACRO FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.55 | (0.07 | ) | (0.24 | ) | (0.31 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.92 | (0.16 | ) | 0.30 | 0.14 | — | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||
FOR THE PERIOD 4/08/1410—12/31/14 | $10.00 | (0.12 | ) | 0.06 | (0.06 | ) | — | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||
AQR GLOBAL MACRO FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.60 | (0.05 | ) | (0.25 | ) | (0.30 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.94 | (0.14 | ) | 0.31 | 0.17 | — | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||
FOR THE PERIOD 9/02/147—12/31/14 | $9.72 | (0.04 | ) | 0.28 | 0.24 | — | (0.02 | ) | — | (0.02 | ) |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
310
Financial Highlights | June 30, 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, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$9.22 | 0.11 | % | $405,300 | 2.33 | % | 2.23 | % | 1.19 | % | 0.49 | % | 129 | % | |||||||||||||||||||||
$9.21 | (4.67 | )% | $772,394 | 2.44 | % | 2.42 | % | 1.19 | % | 0.71 | % | 249 | % | |||||||||||||||||||||
$10.14 | (5.25 | )% | $1,546,685 | 1.88 | % | 1.88 | % | 1.20 | % | 2.07 | % | 380 | % | |||||||||||||||||||||
$10.91 | 1.75 | % | $1,876,481 | 1.64 | % | 1.64 | % | 1.20 | % | 1.52 | % | 349 | % | |||||||||||||||||||||
$11.05 | 3.13 | % | $1,752,724 | 2.32 | % | 2.30 | % | 1.21 | % | 0.88 | %6 | 312 | % | |||||||||||||||||||||
$10.89 | 0.99 | % | $1,456,748 | 2.84 | % | 2.75 | % | 1.20 | % | 1.18 | % | 298 | % | |||||||||||||||||||||
$9.20 | (0.11 | )% | $113,450 | 2.58 | % | 2.48 | % | 1.43 | % | 0.28 | % | 129 | % | |||||||||||||||||||||
$9.21 | (4.75 | )% | $183,029 | 2.69 | % | 2.67 | % | 1.45 | % | 0.32 | % | 249 | % | |||||||||||||||||||||
$10.10 | (5.51 | )% | $678,528 | 2.12 | % | 2.12 | % | 1.44 | % | 1.99 | % | 380 | % | |||||||||||||||||||||
$10.87 | 1.51 | % | $836,355 | 1.88 | % | 1.88 | % | 1.44 | % | 1.21 | % | 349 | % | |||||||||||||||||||||
$11.01 | 2.83 | % | $761,371 | 2.62 | % | 2.62 | % | 1.52 | % | 0.57 | %6 | 312 | % | |||||||||||||||||||||
$10.85 | 0.68 | % | $651,791 | 3.08 | % | 3.05 | % | 1.50 | % | 0.89 | % | 298 | % | |||||||||||||||||||||
$9.21 | 0.11 | % | $3,635 | 2.28 | % | 2.15 | % | 1.10 | % | 1.16 | % | 129 | % | |||||||||||||||||||||
$9.20 | (4.55 | )% | $866 | 2.36 | % | 2.33 | % | 1.10 | % | 0.92 | % | 249 | % | |||||||||||||||||||||
$10.13 | (5.99 | )% | $94 | 1.94 | % | 1.94 | % | 1.10 | % | 4.69 | % | 380 | % | |||||||||||||||||||||
$11.50 | 0.17 | % | $564,685 | 2.52 | % | 2.52 | % | 1.27 | % | (1.17 | )% | 150 | % | |||||||||||||||||||||
$11.48 | 17.60 | % | $179,312 | 2.17 | %9 | 1.90 | % | 1.25 | % | (1.36 | )% | 383 | % | |||||||||||||||||||||
$10.01 | 5.93 | % | $1,445 | 4.57 | %9 | 1.63 | % | 1.30 | % | (1.04 | )% | 152 | % | |||||||||||||||||||||
$11.47 | 0.00 | % | $182,822 | 2.79 | % | 2.79 | % | 1.54 | % | (1.40 | )% | 150 | % | |||||||||||||||||||||
$11.47 | 17.43 | % | $89,755 | 2.41 | %9 | 2.16 | % | 1.51 | % | (1.69 | )% | 383 | % | |||||||||||||||||||||
$10.01 | 5.88 | % | $1,233 | 4.83 | %9 | 1.88 | % | 1.55 | % | (1.29 | )% | 152 | % | |||||||||||||||||||||
$11.51 | 0.17 | % | $146,150 | 2.45 | % | 2.45 | % | 1.20 | % | (1.17 | )% | 150 | % | |||||||||||||||||||||
$11.49 | 17.72 | % | $148 | 3.05 | %9 | 1.85 | % | 1.20 | % | (1.26 | )% | 383 | % | |||||||||||||||||||||
$10.01 | 5.95 | % | $3,210 | 4.49 | %9 | 1.53 | % | 1.20 | % | (0.95 | )% | 152 | % | |||||||||||||||||||||
$9.30 | (3.12 | )% | $23,895 | 1.87 | % | 1.41 | % | 1.41 | % | (1.14 | )% | 0 | % | |||||||||||||||||||||
$9.60 | 1.71 | % | $31,453 | 1.78 | %9 | 1.38 | % | 1.38 | % | (1.45 | )% | 0 | % | |||||||||||||||||||||
$9.94 | (0.42 | )% | $35,466 | 2.24 | %9 | 1.45 | % | 1.45 | % | (1.44 | )% | 0 | % | |||||||||||||||||||||
$9.24 | (3.25 | )% | $4,031 | 2.10 | % | 1.65 | % | 1.65 | % | (1.42 | )% | 0 | % | |||||||||||||||||||||
$9.55 | 1.41 | % | $20,838 | 1.88 | %9 | 1.70 | % | 1.70 | % | (1.56 | )% | 0 | % | |||||||||||||||||||||
$9.92 | (0.62 | )% | $1,050 | 2.49 | %9 | 1.70 | % | 1.70 | % | (1.69 | )% | 0 | % | |||||||||||||||||||||
$9.30 | (3.12 | )% | $4,225 | 1.82 | % | 1.35 | % | 1.35 | % | (1.06 | )% | 0 | % | |||||||||||||||||||||
$9.60 | 1.71 | % | $104 | 1.72 | %9 | 1.35 | % | 1.35 | % | (1.41 | )% | 0 | % | |||||||||||||||||||||
$9.94 | 2.45 | % | $102 | 2.02 | %9 | 1.35 | % | 1.35 | % | (1.37 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
311
Financial Highlights | June 30, 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 | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR LONG-SHORT EQUITY FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $12.12 | (0.07 | ) | 0.28 | 0.21 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.87 | (0.15 | ) | 2.00 | 1.85 | (0.58 | ) | (0.02 | ) | — | (0.60 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.21 | (0.14 | ) | 1.67 | 1.53 | (0.74 | ) | (0.10 | ) | (0.03 | ) | (0.87 | ) | |||||||||||||||||||
FOR THE PERIOD 7/16/1310—12/31/13 | $10.00 | (0.06 | ) | 1.17 | 1.11 | (0.67 | ) | (0.23 | ) | — | (0.90 | ) | ||||||||||||||||||||
AQR LONG-SHORT EQUITY FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $12.07 | (0.09 | ) | 0.28 | 0.19 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.84 | (0.19 | ) | 2.01 | 1.82 | (0.57 | ) | (0.02 | ) | — | (0.59 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.21 | (0.20 | ) | 1.70 | 1.50 | (0.74 | ) | (0.10 | ) | (0.03 | ) | (0.87 | ) | |||||||||||||||||||
FOR THE PERIOD 7/16/1310—12/31/13 | $10.00 | (0.07 | ) | 1.17 | 1.10 | (0.66 | ) | (0.23 | ) | — | (0.89 | ) | ||||||||||||||||||||
AQR LONG-SHORT EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $12.13 | (0.06 | ) | 0.28 | 0.22 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.87 | (0.15 | ) | 2.02 | 1.87 | (0.59 | ) | (0.02 | ) | — | (0.61 | ) | ||||||||||||||||||||
FOR THE PERIOD 9/02/147—12/31/14 | $11.05 | (0.08 | ) | 0.78 | 0.70 | (0.75 | ) | (0.10 | ) | (0.03 | ) | (0.88 | ) | |||||||||||||||||||
AQR MANAGED FUTURES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.18 | (0.04 | ) | 0.27 | 0.23 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.63 | (0.12 | ) | 0.34 | 0.22 | (0.46 | ) | (0.21 | ) | — | (0.67 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.59 | (0.12 | ) | 1.13 | 1.01 | (0.44 | ) | (0.53 | ) | — | (0.97 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.78 | (0.12 | ) | 1.04 | 0.92 | — | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.57 | (0.12 | ) | 0.40 | 0.28 | (0.07 | ) | — | — | (0.07 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $10.30 | (0.12 | ) | (0.53 | ) | (0.65 | ) | (0.04 | ) | (0.04 | ) | — | (0.08 | ) | ||||||||||||||||||
AQR MANAGED FUTURES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.09 | (0.05 | ) | 0.26 | 0.21 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.54 | (0.15 | ) | 0.34 | 0.19 | (0.43 | ) | (0.21 | ) | — | (0.64 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.51 | (0.15 | ) | 1.11 | 0.96 | (0.40 | ) | (0.53 | ) | — | (0.93 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.73 | (0.15 | ) | 1.04 | 0.89 | — | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.55 | (0.14 | ) | 0.39 | 0.25 | (0.07 | ) | — | — | (0.07 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $10.28 | (0.15 | ) | (0.52 | ) | (0.67 | ) | (0.02 | ) | (0.04 | ) | — | (0.06 | ) | ||||||||||||||||||
AQR MANAGED FUTURES STRATEGY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.18 | (0.04 | ) | 0.27 | 0.23 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.62 | (0.11 | ) | 0.34 | 0.23 | (0.46 | ) | (0.21 | ) | — | (0.67 | ) | ||||||||||||||||||||
FOR THE PERIOD 9/02/147—12/31/14 | $10.28 | (0.04 | ) | 1.36 | 1.32 | (0.45 | ) | (0.53 | ) | — | (0.98 | ) | ||||||||||||||||||||
AQR MANAGED FUTURES STRATEGY HV FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.70 | (0.07 | ) | 0.33 | 0.26 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $11.23 | (0.18 | ) | 0.46 | 0.28 | (0.51 | ) | (0.30 | ) | — | (0.81 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.80 | (0.17 | ) | 1.72 | 1.55 | (0.86 | ) | (0.26 | ) | — | (1.12 | ) | ||||||||||||||||||||
FOR THE PERIOD 7/16/1310—12/31/13 | $10.00 | (0.08 | ) | 0.89 | 0.81 | — | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.66 | (0.08 | ) | 0.32 | 0.24 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $11.21 | (0.21 | ) | 0.46 | 0.25 | (0.50 | ) | (0.30 | ) | — | (0.80 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.79 | (0.19 | ) | 1.71 | 1.52 | (0.84 | ) | (0.26 | ) | — | (1.10 | ) | ||||||||||||||||||||
FOR THE PERIOD 7/16/1310—12/31/13 | $10.00 | (0.09 | ) | 0.89 | 0.80 | — | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||
AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.70 | (0.07 | ) | 0.33 | 0.26 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $11.23 | (0.17 | ) | 0.46 | 0.29 | (0.52 | ) | (0.30 | ) | — | (0.82 | ) | ||||||||||||||||||||
FOR THE PERIOD 9/02/147—12/31/14 | $10.33 | (0.06 | ) | 2.09 | 2.03 | (0.87 | ) | (0.26 | ) | — | (1.13 | ) |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
312
Financial Highlights | June 30, 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, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$12.33 | 1.73 | % | $984,543 | 2.40 | % | 2.40 | % | 1.27 | % | (1.09 | )% | 124 | % | |||||||||||||||||||||
$12.12 | 17.04 | % | $452,667 | 1.86 | % | 1.81 | % | 1.27 | % | (1.28 | )% | 303 | % | |||||||||||||||||||||
$10.87 | 14.91 | % | $43,667 | 2.34 | % | 1.30 | % | 1.30 | % | (1.26 | )% | 0 | % | |||||||||||||||||||||
$10.21 | 11.17 | % | $5,246 | 3.56 | %9 | 1.30 | % | 1.30 | % | (1.29 | )% | 0 | % | |||||||||||||||||||||
$12.26 | 1.57 | % | $155,920 | 2.69 | % | 2.69 | % | 1.53 | % | (1.42 | )% | 124 | % | |||||||||||||||||||||
$12.07 | 16.79 | % | $90,141 | 2.12 | % | 2.07 | % | 1.53 | % | (1.58 | )% | 303 | % | |||||||||||||||||||||
$10.84 | 14.55 | % | $10,688 | 2.46 | % | 1.55 | % | 1.55 | % | (1.81 | )% | 0 | % | |||||||||||||||||||||
$10.21 | 11.04 | % | $910 | 5.49 | %9 | 1.55 | % | 1.55 | % | (1.54 | )% | 0 | % | |||||||||||||||||||||
$12.35 | 1.81 | % | $154,560 | 2.33 | % | 2.33 | % | 1.18 | % | (0.91 | )% | 124 | % | |||||||||||||||||||||
$12.13 | 17.16 | % | $16,200 | 1.77 | % | 1.74 | % | 1.20 | % | (1.21 | )% | 303 | % | |||||||||||||||||||||
$10.87 | 6.19 | % | $427 | 1.99 | % | 1.20 | % | 1.20 | % | (2.21 | )% | 0 | % | |||||||||||||||||||||
$10.41 | 2.26 | % | $9,577,768 | 1.19 | % | 1.19 | % | 1.19 | % | (0.81 | )% | 0 | % | |||||||||||||||||||||
$10.18 | 2.00 | % | $7,778,072 | 1.21 | % | 1.21 | % | 1.21 | % | (1.11 | )% | 0 | % | |||||||||||||||||||||
$10.63 | 9.69 | % | $5,633,607 | 1.23 | % | 1.23 | % | 1.23 | % | (1.20 | )% | 0 | % | |||||||||||||||||||||
$10.59 | 9.40 | % | $4,506,181 | 1.23 | % | 1.23 | % | 1.23 | % | (1.22 | )% | 0 | % | |||||||||||||||||||||
$9.78 | 2.99 | % | $2,136,959 | 1.25 | % | 1.25 | % | 1.25 | % | (1.24 | )% | 0 | % | |||||||||||||||||||||
$9.57 | (6.37 | )% | $1,078,662 | 1.30 | % | 1.25 | % | 1.25 | % | (1.22 | )% | 0 | % | |||||||||||||||||||||
$10.30 | 2.08 | % | $3,059,909 | 1.46 | % | 1.46 | % | 1.46 | % | (1.07 | )% | 0 | % | |||||||||||||||||||||
$10.09 | 1.75 | % | $1,588,011 | 1.47 | % | 1.47 | % | 1.47 | % | (1.38 | )% | 0 | % | |||||||||||||||||||||
$10.54 | 9.34 | % | $1,310,969 | 1.50 | % | 1.50 | % | 1.50 | % | (1.47 | )% | 0 | % | |||||||||||||||||||||
$10.51 | 9.14 | % | $1,408,085 | 1.50 | % | 1.50 | % | 1.50 | % | (1.48 | )% | 0 | % | |||||||||||||||||||||
$9.73 | 2.68 | % | $527,318 | 1.52 | % | 1.50 | % | 1.50 | % | (1.48 | )% | 0 | % | |||||||||||||||||||||
$9.55 | (6.59 | )% | $476,854 | 1.57 | % | 1.50 | % | 1.50 | % | (1.47 | )% | 0 | % | |||||||||||||||||||||
$10.41 | 2.26 | % | $651,414 | 1.12 | % | 1.12 | % | 1.12 | % | (0.73 | )% | 0 | % | |||||||||||||||||||||
$10.18 | 2.16 | % | $240,185 | 1.13 | % | 1.13 | % | 1.13 | % | (1.01 | )% | 0 | % | |||||||||||||||||||||
$10.62 | 12.99 | % | $113 | 1.16 | % | 1.15 | % | 1.15 | % | (1.11 | )% | 0 | % | |||||||||||||||||||||
$10.96 | 2.43 | % | $369,184 | 1.64 | % | 1.64 | % | 1.64 | % | (1.31 | )% | 0 | % | |||||||||||||||||||||
$10.70 | 2.48 | % | $258,691 | 1.65 | % | 1.61 | % | 1.61 | % | (1.52 | )% | 0 | % | |||||||||||||||||||||
$11.23 | 14.68 | % | $146,261 | 1.76 | %9 | 1.65 | % | 1.65 | % | (1.62 | )% | 0 | % | |||||||||||||||||||||
$10.80 | 8.14 | % | $37,078 | 2.51 | %9 | 1.68 | % | 1.65 | % | (1.66 | )% | 0 | % | |||||||||||||||||||||
$10.90 | 2.25 | % | $153,790 | 1.89 | % | 1.88 | % | 1.88 | % | (1.56 | )% | 0 | % | |||||||||||||||||||||
$10.66 | 2.19 | % | $137,115 | 1.92 | % | 1.89 | % | 1.89 | % | (1.78 | )% | 0 | % | |||||||||||||||||||||
$11.21 | 14.37 | % | $9,367 | 2.12 | %9 | 1.90 | % | 1.90 | % | (1.88 | )% | 0 | % | |||||||||||||||||||||
$10.79 | 8.04 | % | $1,644 | 4.03 | %9 | 1.93 | % | 1.90 | % | (1.92 | )% | 0 | % | |||||||||||||||||||||
$10.96 | 2.43 | % | $195,532 | 1.55 | % | 1.55 | % | 1.55 | % | (1.22 | )% | 0 | % | |||||||||||||||||||||
$10.70 | 2.54 | % | $133,722 | 1.59 | % | 1.55 | % | 1.55 | % | (1.45 | )% | 0 | % | |||||||||||||||||||||
$11.23 | 19.94 | % | $45,436 | 1.68 | %9 | 1.55 | % | 1.55 | % | (1.52 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
313
Financial Highlights | June 30, 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 | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.76 | (0.06 | ) | (0.20 | ) | (0.26 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.76 | (0.15 | ) | 1.05 | 0.90 | (0.74 | ) | (0.16 | ) | — | (0.90 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.78 | (0.14 | ) | 0.85 | 0.71 | (0.73 | ) | — | — | (0.73 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.90 | (0.17 | ) | 0.61 | 0.44 | (0.44 | ) | (0.12 | ) | — | (0.56 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.70 | (0.17 | ) | 0.40 | 0.23 | (0.01 | ) | (0.02 | ) | — | (0.03 | ) | ||||||||||||||||||||
FOR THE PERIOD 7/18/1110—12/31/11 | $10.00 | (0.05 | ) | (0.21 | ) | (0.26 | ) | (0.04 | ) | — | — | (0.04 | ) | |||||||||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.74 | (0.06 | ) | (0.21 | ) | (0.27 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.74 | (0.17 | ) | 1.05 | 0.88 | (0.72 | ) | (0.16 | ) | — | (0.88 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.76 | (0.17 | ) | 0.85 | 0.68 | (0.70 | ) | — | — | (0.70 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.89 | (0.20 | ) | 0.61 | 0.41 | (0.42 | ) | (0.12 | ) | — | (0.54 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.69 | (0.23 | ) | 0.45 | 0.22 | — | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||
FOR THE PERIOD 7/18/1110—12/31/11 | $10.00 | (0.06 | ) | (0.21 | ) | (0.27 | ) | (0.04 | ) | — | — | (0.04 | ) | |||||||||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.76 | (0.04 | ) | (0.21 | ) | (0.25 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.75 | (0.13 | ) | 1.05 | 0.92 | (0.75 | ) | (0.16 | ) | — | (0.91 | ) | ||||||||||||||||||||
FOR THE PERIOD 9/02/147—12/31/14 | $9.88 | (0.11 | ) | 0.71 | 0.60 | (0.73 | ) | — | — | (0.73 | ) | |||||||||||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $5.62 | (0.02 | ) | 1.10 | 1.08 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $6.98 | (0.05 | ) | (1.31 | ) | (1.36 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $8.29 | (0.08 | ) | (1.23 | ) | (1.31 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.87 | (0.09 | ) | (1.49 | ) | (1.58 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 7/09/1210—12/31/12 | $10.00 | (0.05 | ) | (0.08 | ) | (0.13 | ) | — | — | — | — | |||||||||||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $5.57 | (0.03 | ) | 1.09 | 1.06 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $6.94 | (0.08 | ) | (1.29 | ) | (1.37 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $8.27 | (0.11 | ) | (1.22 | ) | (1.33 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.86 | (0.11 | ) | (1.48 | ) | (1.59 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 7/09/1210—12/31/12 | $10.00 | (0.06 | ) | (0.08 | ) | (0.14 | ) | — | — | — | — | |||||||||||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $5.63 | (0.02 | ) | 1.11 | 1.09 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $6.99 | (0.05 | ) | (1.31 | ) | (1.36 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 9/02/147—12/31/14 | $8.60 | (0.02 | ) | (1.59 | ) | (1.61 | ) | — | — | — | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
314
Financial Highlights | June 30, 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, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$9.50 | (2.66 | )%14 | $2,789,501 | 2.48 | % | 2.48 | % | 1.96 | % | (1.28 | )% | 118 | % | |||||||||||||||||||||
$9.76 | 9.25 | % | $2,284,285 | 2.41 | % | 2.41 | % | 1.97 | % | (1.44 | )% | 208 | % | |||||||||||||||||||||
$9.76 | 7.31 | % | $1,443,799 | 3.67 | % | 3.65 | % | 1.98 | % | (1.46 | )% | 204 | % | |||||||||||||||||||||
$9.78 | 4.46 | % | $1,453,977 | 3.37 | % | 3.34 | % | 1.98 | % | (1.67 | )% | 137 | % | |||||||||||||||||||||
$9.90 | 2.36 | % | $808,262 | 3.60 | % | 3.52 | % | 1.98 | % | (1.73 | )% | 208 | % | |||||||||||||||||||||
$9.70 | (2.57 | )%12 | $257,168 | 2.59 | % | 2.23 | % | 1.98 | % | (1.09 | )% | 133 | % | |||||||||||||||||||||
$9.47 | (2.77 | )%14 | $481,776 | 2.72 | % | 2.72 | % | 2.20 | % | (1.29 | )% | 118 | % | |||||||||||||||||||||
$9.74 | 9.02 | % | $103,504 | 2.68 | % | 2.67 | % | 2.23 | % | (1.66 | )% | 208 | % | |||||||||||||||||||||
$9.74 | 7.03 | % | $84,480 | 3.96 | % | 3.91 | % | 2.23 | % | (1.75 | )% | 204 | % | |||||||||||||||||||||
$9.76 | 4.16 | % | $74,641 | 3.66 | % | 3.59 | % | 2.23 | % | (1.95 | )% | 137 | % | |||||||||||||||||||||
$9.89 | 2.22 | % | $43,104 | 3.93 | % | 3.76 | % | 2.23 | % | (2.32 | )% | 208 | % | |||||||||||||||||||||
$9.69 | (2.73 | )%12 | $44,676 | 2.85 | % | 2.48 | % | 2.23 | % | (1.37 | )% | 133 | % | |||||||||||||||||||||
$9.51 | (2.56 | )%14 | $280,982 | 2.38 | % | 2.38 | % | 1.87 | % | (0.94 | )% | 118 | % | |||||||||||||||||||||
$9.76 | 9.44 | % | $100,959 | 2.33 | % | 2.32 | % | 1.88 | % | (1.29 | )% | 208 | % | |||||||||||||||||||||
$9.75 | 6.19 | % | $35,228 | 3.21 | % | 3.14 | % | 1.88 | % | (3.41 | )% | 204 | % | |||||||||||||||||||||
$6.70 | 19.22 | % | $65,611 | 1.02 | % | 0.92 | % | 0.92 | % | (0.65 | )% | 0 | % | |||||||||||||||||||||
$5.62 | (19.48 | )% | $71,321 | 1.14 | % | 0.94 | % | 0.94 | % | (0.88 | )% | 0 | % | |||||||||||||||||||||
$6.98 | (15.80 | )% | $46,443 | 1.34 | % | 1.01 | % | 1.01 | % | (1.00 | )% | 0 | % | |||||||||||||||||||||
$8.29 | (16.01 | )% | $28,375 | 1.32 | % | 1.05 | % | 1.05 | % | (1.05 | )% | 0 | % | |||||||||||||||||||||
$9.87 | (1.30 | )% | $63,331 | 1.72 | % | 1.05 | % | 1.05 | % | (1.04 | )% | 0 | % | |||||||||||||||||||||
$6.63 | 19.03 | % | $3,844 | 1.34 | % | 1.25 | % | 1.25 | % | (1.01 | )% | 0 | % | |||||||||||||||||||||
$5.57 | (19.74 | )% | $2,083 | 1.48 | % | 1.25 | % | 1.25 | % | (1.21 | )% | 0 | % | |||||||||||||||||||||
$6.94 | (16.08 | )% | $4,764 | 1.59 | % | 1.26 | % | 1.26 | % | (1.25 | )% | 0 | % | |||||||||||||||||||||
$8.27 | (16.13 | )% | $3,861 | 1.70 | % | 1.30 | % | 1.30 | % | (1.28 | )% | 0 | % | |||||||||||||||||||||
$9.86 | (1.40 | )% | $2,206 | 4.00 | % | 1.30 | % | 1.30 | % | (1.30 | )% | 0 | % | |||||||||||||||||||||
$6.72 | 19.36 | % | $92,347 | 0.99 | % | 0.90 | % | 0.90 | % | (0.66 | )% | 0 | % | |||||||||||||||||||||
$5.63 | (19.46 | )% | $29,122 | 1.11 | % | 0.90 | % | 0.90 | % | (0.85 | )% | 0 | % | |||||||||||||||||||||
$6.99 | (18.72 | )% | $15,482 | 1.31 | % | 0.90 | % | 0.90 | % | (0.89 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
315
Financial Highlights | June 30, 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 | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR RISK PARITY FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.09 | (0.02 | ) | 1.01 | 0.99 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.14 | (0.07 | ) | (0.75 | ) | (0.82 | ) | — | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.77 | (0.04 | ) | 0.81 | 0.77 | (0.30 | ) | (1.10 | ) | — | (1.40 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.49 | (0.07 | ) | 0.08 | 8 | 0.01 | (0.27 | ) | (0.46 | ) | — | (0.73 | ) | |||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.62 | — | 1.49 | 1.49 | (0.14 | ) | (0.48 | ) | — | (0.62 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $10.28 | 0.04 | 0.51 | 0.55 | (0.21 | ) | (0.00 | )11 | — | (0.21 | ) | |||||||||||||||||||||
AQR RISK PARITY FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.08 | (0.03 | ) | 1.00 | 0.97 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.14 | (0.10 | ) | (0.73 | ) | (0.83 | ) | — | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.76 | (0.07 | ) | 0.80 | 0.73 | (0.25 | ) | (1.10 | ) | — | (1.35 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.47 | (0.11 | ) | 0.08 | 8 | (0.03 | ) | (0.22 | ) | (0.46 | ) | — | (0.68 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.59 | (0.03 | ) | 1.50 | 1.47 | (0.11 | ) | (0.48 | ) | — | (0.59 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $10.27 | 0.03 | 0.49 | 0.52 | (0.20 | ) | (0.00 | )11 | — | (0.20 | ) | |||||||||||||||||||||
AQR RISK PARITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $9.10 | (0.01 | ) | 1.00 | 0.99 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.14 | (0.04 | ) | (0.77 | ) | (0.81 | ) | — | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
FOR THE PERIOD 9/02/147—12/31/14 | $12.01 | (0.04 | ) | (0.43 | )8 | (0.47 | ) | (0.30 | ) | (1.10 | ) | — | (1.40 | ) | ||||||||||||||||||
AQR RISK PARITY II HV FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $7.79 | (0.02 | ) | 1.22 | 1.20 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.55 | (0.08 | ) | (1.19 | ) | (1.27 | ) | (0.03 | ) | (0.46 | ) | — | (0.49 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.87 | (0.03 | ) | 0.95 | 0.92 | (0.06 | ) | (1.18 | ) | — | (1.24 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.21 | (0.06 | ) | (0.23 | ) | (0.29 | ) | (0.03 | ) | (0.02 | ) | — | (0.05 | ) | ||||||||||||||||||
FOR THE PERIOD 11/05/1210—12/31/12 | $10.00 | 0.01 | 0.23 | 0.24 | (0.03 | ) | — | — | (0.03 | ) | ||||||||||||||||||||||
AQR RISK PARITY II HV FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $7.80 | (0.02 | ) | 1.21 | 1.19 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.56 | (0.10 | ) | (1.20 | ) | (1.30 | ) | — | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.86 | (0.04 | ) | 0.93 | 0.89 | (0.01 | ) | (1.18 | ) | — | (1.19 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.23 | (0.09 | ) | (0.23 | ) | (0.32 | ) | (0.03 | ) | (0.02 | ) | — | (0.05 | ) | ||||||||||||||||||
FOR THE PERIOD 11/05/1210—12/31/12 | $10.00 | (0.01 | ) | 0.25 | 0.24 | (0.01 | ) | — | — | (0.01 | ) | |||||||||||||||||||||
AQR RISK PARITY II HV FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $7.78 | (0.00 | )11 | 1.21 | 1.21 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.55 | (0.03 | ) | (1.25 | ) | (1.28 | ) | (0.03 | ) | (0.46 | ) | — | (0.49 | ) | ||||||||||||||||||
FOR THE PERIOD 9/02/147—12/31/14 | $11.37 | (0.05 | ) | (0.53 | )8 | (0.58 | ) | (0.06 | ) | (1.18 | ) | — | (1.24 | ) | ||||||||||||||||||
AQR RISK PARITY II MV FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $8.51 | (0.02 | ) | 0.98 | 0.96 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.90 | (0.08 | ) | (0.79 | ) | (0.87 | ) | (0.02 | ) | (0.50 | ) | — | (0.52 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.02 | (0.04 | ) | 0.65 | 0.61 | (0.02 | ) | (0.71 | ) | — | (0.73 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.17 | (0.06 | ) | (0.08 | ) | (0.14 | ) | (0.01 | ) | (0.00 | )11 | — | (0.01 | ) | ||||||||||||||||||
FOR THE PERIOD 11/05/1210—12/31/12 | $10.00 | — | 0.19 | 0.19 | (0.02 | ) | — | — | (0.02 | ) | ||||||||||||||||||||||
AQR RISK PARITY II MV FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $8.49 | (0.02 | ) | 0.96 | 0.94 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.87 | (0.10 | ) | (0.78 | ) | (0.88 | ) | — | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.99 | (0.06 | ) | 0.65 | 0.59 | — | (0.71 | ) | — | (0.71 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.18 | (0.07 | ) | (0.11 | ) | (0.18 | ) | (0.01 | ) | (0.00 | )11 | — | (0.01 | ) | ||||||||||||||||||
FOR THE PERIOD 11/05/1210—12/31/12 | $10.00 | — | 0.18 | 0.18 | — | — | — | — | ||||||||||||||||||||||||
AQR RISK PARITY II MV FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $8.51 | (0.01 | ) | 0.97 | 0.96 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.89 | (0.07 | ) | (0.78 | ) | (0.85 | ) | (0.03 | ) | (0.50 | ) | — | (0.53 | ) | ||||||||||||||||||
FOR THE PERIOD 9/02/147—12/31/14 | $11.00 | (0.04 | ) | (0.33 | )8 | (0.37 | ) | (0.03 | ) | (0.71 | ) | — | (0.74 | ) |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
316
Financial Highlights | June 30, 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, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$10.08 | 10.89 | % | $420,574 | 0.93 | % | 0.92 | % | 0.92 | % | (0.38 | )% | 25 | % | |||||||||||||||||||||
$9.09 | (8.10 | )% | $492,977 | 0.94 | % | 0.93 | % | 0.93 | % | (0.71 | )% | 157 | % | |||||||||||||||||||||
$10.14 | 7.04 | % | $583,927 | 0.90 | % | 0.90 | % | 0.90 | % | (0.34 | )% | 94 | % | |||||||||||||||||||||
$10.77 | 0.12 | % | $855,024 | 0.89 | % | 0.89 | % | 0.88 | % | (0.64 | )% | 167 | % | |||||||||||||||||||||
$11.49 | 14.05 | % | $868,661 | 0.95 | % | 0.95 | % | 0.95 | % | (0.03 | )% | 72 | % | |||||||||||||||||||||
$10.62 | 5.45 | %13 | $337,526 | 1.06 | % | 0.95 | % | 0.95 | % | 0.41 | % | 66 | % | |||||||||||||||||||||
$10.05 | 10.68 | % | $21,563 | 1.20 | % | 1.18 | % | 1.18 | % | (0.59 | )% | 25 | % | |||||||||||||||||||||
$9.08 | (8.20 | )% | $22,005 | 1.19 | % | 1.18 | % | 1.18 | % | (0.96 | )% | 157 | % | |||||||||||||||||||||
$10.14 | 6.69 | % | $36,232 | 1.20 | % | 1.20 | % | 1.20 | % | (0.65 | )% | 94 | % | |||||||||||||||||||||
$10.76 | (0.23 | )% | $79,026 | 1.20 | % | 1.20 | % | 1.20 | % | (0.92 | )% | 167 | % | |||||||||||||||||||||
$11.47 | 13.89 | % | $170,953 | 1.23 | % | 1.20 | % | 1.20 | % | (0.26 | )% | 72 | % | |||||||||||||||||||||
$10.59 | 5.12 | %13 | $51,560 | 1.42 | % | 1.20 | % | 1.20 | % | 0.30 | % | 66 | % | |||||||||||||||||||||
$10.09 | 10.88 | % | $406 | 0.87 | % | 0.85 | % | 0.85 | % | (0.25 | )% | 25 | % | |||||||||||||||||||||
$9.10 | (8.00 | )% | $2,796 | 0.86 | % | 0.85 | % | 0.85 | % | (0.37 | )% | 157 | % | |||||||||||||||||||||
$10.14 | (3.96 | )% | $96 | 0.86 | % | 0.85 | % | 0.85 | % | (0.99 | )% | 94 | % | |||||||||||||||||||||
$8.99 | 15.40 | % | $47,697 | 1.54 | % | 1.18 | % | 1.08 | % | (0.37 | )% | 8 | % | |||||||||||||||||||||
$7.79 | (13.33 | )% | $40,890 | 1.43 | % | 1.13 | % | 1.08 | % | (0.83 | )% | 184 | % | |||||||||||||||||||||
$9.55 | 9.23 | % | $42,279 | 1.54 | % | 1.20 | % | 1.15 | % | (0.28 | )% | 108 | % | |||||||||||||||||||||
$9.87 | (2.83 | )% | $17,577 | 1.85 | % | 1.23 | % | 1.15 | % | (0.62 | )% | 257 | % | |||||||||||||||||||||
$10.21 | 2.44 | % | $16,254 | 2.26 | % | 1.28 | % | 1.15 | % | 0.53 | % | 0 | % | |||||||||||||||||||||
$8.99 | 15.26 | % | $6,313 | 1.86 | % | 1.49 | % | 1.40 | % | (0.61 | )% | 8 | % | |||||||||||||||||||||
$7.80 | (13.64 | )% | $5,493 | 1.77 | % | 1.45 | % | 1.40 | % | (1.04 | )% | 184 | % | |||||||||||||||||||||
$9.56 | 9.02 | % | $7,834 | 1.86 | % | 1.45 | % | 1.40 | % | (0.37 | )% | 108 | % | |||||||||||||||||||||
$9.86 | (3.12 | )% | $8,652 | 2.22 | % | 1.48 | % | 1.40 | % | (0.84 | )% | 257 | % | |||||||||||||||||||||
$10.23 | 2.38 | % | $5,805 | 3.44 | % | 1.53 | % | 1.40 | % | (0.62 | )% | 0 | % | |||||||||||||||||||||
$8.99 | 15.55 | % | $2,697 | 1.51 | % | 1.15 | % | 1.05 | % | (0.04 | )% | 8 | % | |||||||||||||||||||||
$7.78 | (13.42 | )% | $2,413 | 1.43 | % | 1.11 | % | 1.05 | % | (0.36 | )% | 184 | % | |||||||||||||||||||||
$9.55 | (5.10 | )% | $95 | 1.47 | % | 1.10 | % | 1.05 | % | (1.49 | )% | 108 | % | |||||||||||||||||||||
$9.47 | 11.28 | % | $86,846 | 1.13 | % | 0.95 | % | 0.95 | % | (0.41 | )% | 1 | % | |||||||||||||||||||||
$8.51 | (8.77 | )% | $85,918 | 1.10 | % | 0.93 | % | 0.93 | % | (0.80 | )% | 159 | % | |||||||||||||||||||||
$9.90 | 6.04 | % | $106,473 | 1.12 | % | 0.95 | % | 0.95 | % | (0.34 | )% | 128 | % | |||||||||||||||||||||
$10.02 | (1.32 | )% | $37,848 | 1.18 | % | 0.95 | % | 0.95 | % | (0.61 | )% | 234 | % | |||||||||||||||||||||
$10.17 | 1.87 | % | $29,993 | 2.07 | % | 0.95 | % | 0.95 | % | 0.18 | % | 0 | % | |||||||||||||||||||||
$9.43 | 11.07 | % | $7,404 | 1.38 | % | 1.19 | % | 1.19 | % | (0.52 | )% | 1 | % | |||||||||||||||||||||
$8.49 | (8.94 | )% | $4,242 | 1.38 | % | 1.20 | % | 1.20 | % | (0.99 | )% | 159 | % | |||||||||||||||||||||
$9.87 | 5.87 | % | $7,795 | 1.44 | % | 1.20 | % | 1.20 | % | (0.54 | )% | 128 | % | |||||||||||||||||||||
$9.99 | (1.71 | )% | $9,397 | 1.59 | % | 1.20 | % | 1.20 | % | (0.71 | )% | 234 | % | |||||||||||||||||||||
$10.18 | 1.80 | % | $2,259 | 2.81 | % | 1.20 | % | 1.20 | % | (0.29 | )% | 0 | % | |||||||||||||||||||||
$9.47 | 11.28 | % | $614 | 1.04 | % | 0.85 | % | 0.85 | % | (0.13 | )% | 1 | % | |||||||||||||||||||||
$8.51 | (8.59 | )% | $99 | 1.03 | % | 0.85 | % | 0.85 | % | (0.68 | )% | 159 | % | |||||||||||||||||||||
$9.89 | (3.44 | )% | $97 | 1.03 | % | 0.85 | % | 0.85 | % | (1.13 | )% | 128 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
317
Financial Highlights | June 30, 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 | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.14 | (0.06 | ) | 0.03 | 8 | (0.03 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.86 | (0.14 | ) | 1.01 | 0.87 | (0.56 | ) | (0.03 | ) | — | (0.59 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.18 | (0.10 | ) | 1.24 | 1.14 | (1.16 | ) | (0.30 | ) | — | (1.46 | ) | ||||||||||||||||||||
FOR THE PERIOD 10/30/1310—12/31/13 | $10.00 | (0.03 | ) | 0.44 | 0.41 | (0.20 | ) | (0.03 | ) | — | (0.23 | ) | ||||||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.14 | (0.07 | ) | 0.02 | 8 | (0.05 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.87 | (0.17 | ) | 1.02 | 0.85 | (0.55 | ) | (0.03 | ) | — | (0.58 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.18 | (0.16 | ) | 1.28 | 1.12 | (1.13 | ) | (0.30 | ) | — | (1.43 | ) | ||||||||||||||||||||
FOR THE PERIOD 10/30/1310—12/31/13 | $10.00 | (0.04 | ) | 0.45 | 0.41 | (0.20 | ) | (0.03 | ) | — | (0.23 | ) | ||||||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.15 | (0.05 | ) | 0.02 | 8 | (0.03 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.87 | (0.14 | ) | 1.02 | 0.88 | (0.57 | ) | (0.03 | ) | — | (0.60 | ) | ||||||||||||||||||||
FOR THE PERIOD 9/02/147—12/31/14 | $10.35 | (0.07 | ) | 0.86 | 0.79 | (1.16 | ) | (0.11 | ) | — | (1.27 | ) | ||||||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.39 | (0.03 | ) | 0.09 | 0.06 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.18 | (0.08 | ) | 0.49 | 0.41 | (0.17 | ) | (0.03 | ) | — | (0.20 | ) | ||||||||||||||||||||
FOR THE PERIOD 9/17/1410—12/31/14 | $10.00 | (0.02 | ) | 0.32 | 0.30 | (0.09 | ) | (0.03 | ) | — | (0.12 | ) | ||||||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.39 | (0.04 | ) | 0.09 | 0.05 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.17 | (0.09 | ) | 0.48 | 0.39 | (0.14 | ) | (0.03 | ) | — | (0.17 | ) | ||||||||||||||||||||
FOR THE PERIOD 9/17/1410—12/31/14 | $10.00 | (0.03 | ) | 0.32 | 0.29 | (0.09 | ) | (0.03 | ) | — | (0.12 | ) | ||||||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS R6 | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2016 (Unaudited) | $10.40 | (0.02 | ) | 0.09 | 0.07 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.17 | (0.05 | ) | 0.48 | 0.43 | (0.17 | ) | (0.03 | ) | — | (0.20 | ) | ||||||||||||||||||||
FOR THE PERIOD 9/17/1410—12/31/14 | $10.00 | (0.01 | ) | 0.31 | 0.30 | (0.10 | ) | (0.03 | ) | — | (0.13 | ) |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
318
Financial Highlights | June 30, 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, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$10.11 | (0.30 | )% | $2,199,855 | 2.55 | % | 2.54 | % | 1.49 | % | (1.18 | )% | 62 | % | |||||||||||||||||||||
$10.14 | 8.76 | % | $1,341,232 | 2.29 | % | 2.25 | % | 1.48 | % | (1.39 | )% | 138 | % | |||||||||||||||||||||
$9.86 | 11.30 | % | $387,666 | 2.56 | % | 2.56 | % | 1.50 | % | (0.95 | )% | 145 | % | |||||||||||||||||||||
$10.18 | 4.08 | % | $403,243 | 2.11 | %9 | 2.07 | % | 1.50 | % | (1.77 | )% | 133 | % | |||||||||||||||||||||
$10.09 | (0.49 | )% | $224,581 | 2.80 | % | 2.79 | % | 1.74 | % | (1.38 | )% | 62 | % | |||||||||||||||||||||
$10.14 | 8.50 | % | $92,947 | 2.56 | % | 2.52 | % | 1.75 | % | (1.65 | )% | 138 | % | |||||||||||||||||||||
$9.87 | 11.08 | % | $26,594 | 2.92 | % | 2.81 | % | 1.75 | % | (1.50 | )% | 145 | % | |||||||||||||||||||||
$10.18 | 4.05 | % | $15,972 | 2.70 | %9 | 2.44 | % | 1.75 | % | (2.05 | )% | 133 | % | |||||||||||||||||||||
$10.12 | (0.30 | )% | $1,143,800 | 2.46 | % | 2.45 | % | 1.40 | % | (0.92 | )% | 62 | % | |||||||||||||||||||||
$10.15 | 8.80 | % | $394,568 | 2.21 | % | 2.17 | % | 1.40 | % | (1.37 | )% | 138 | % | |||||||||||||||||||||
$9.87 | 7.67 | % | $74,872 | 2.57 | % | 2.46 | % | 1.40 | % | (1.94 | )% | 145 | % | |||||||||||||||||||||
$10.45 | 0.58 | % | $293,849 | 1.33 | % | 1.31 | % | 0.83 | % | (0.53 | )% | 46 | % | |||||||||||||||||||||
$10.39 | 4.02 | % | $152,172 | 1.46 | % | 1.11 | % | 0.79 | % | (0.80 | )% | 213 | % | |||||||||||||||||||||
$10.18 | 3.07 | % | $28,094 | 1.49 | %9 | 1.01 | % | 0.85 | % | (0.68 | )% | 191 | % | |||||||||||||||||||||
$10.44 | 0.48 | % | $47,294 | 1.58 | % | 1.56 | % | 1.08 | % | (0.72 | )% | 46 | % | |||||||||||||||||||||
$10.39 | 3.85 | % | $13,444 | 1.90 | % | 1.41 | % | 1.09 | % | (0.91 | )% | 213 | % | |||||||||||||||||||||
$10.17 | 2.94 | % | $8,577 | 1.92 | %9 | 1.32 | % | 1.10 | % | (0.91 | )% | 191 | % | |||||||||||||||||||||
$10.47 | 0.67 | % | $52,983 | 1.26 | % | 1.23 | % | 0.75 | % | (0.43 | )% | 46 | % | |||||||||||||||||||||
$10.40 | 4.23 | % | $22,176 | 1.57 | % | 1.08 | % | 0.75 | % | (0.50 | )% | 213 | % | |||||||||||||||||||||
$10.17 | 2.98 | % | $23,695 | 1.75 | %9 | 1.00 | % | 0.75 | % | (0.32 | )% | 191 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
319
Financial Highlights | June 30, 2016 |
* | Annualized for periods less than one year. |
† | Redemption fees of less than $0.005 per share were incurred by the share class. |
1 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
2 | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized. |
3 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
4 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
5 | Portfolio turnover is not annualized. |
6 | For the period ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR Diversified Arbitrage Fund—Class I | $0.08 | 0.73 | % | |||||
AQR Diversified Arbitrage Fund—Class N | 0.04 | 0.42 |
7 | Commencement of offering of shares. |
8 | 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. |
9 | Certain expenses incurred by the Fund were not annualized for the period. |
10 | Commencement of operations. |
11 | Amount is less than $.005 per share. |
12 | For the year ended December 31, 2011, the Adviser contributed $208,438 into the Fund to compensate the Fund for a loss incurred due to a trade processing error. The impact of the Adviser’s contribution increased the Fund’s total return by 0.14%. |
13 | For the year ended December 31, 2011, a service provider contributed $354,026 into the Fund to compensate the Fund for a loss incurred due to a valuation error. The impact of this contribution increased the Fund’s total return by 0.21%. |
14 | The Adviser made a payment to the AQR Multi-Strategy Alternative Fund of $3,553,831 relating to a trading error. The impact of the Adviser’s contribution on the Fund’s total return was 0.11%, 0.10% and 0.10% for Class I, N and R6 respectively. The amount has been included in Net realized gain (loss) from investments in securities in the Statements of Operations. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
320
Notes to Financial Statements | June 30, 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 June 30, 2016, the Trust consists of thirty-three active series, thirteen of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund. The remaining active series, which have a fiscal year-end of September 30th, are reported in a separate book. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (the “Sub-Adviser”), an affiliate of the Adviser, to serve as an investment sub-adviser to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.
The investment objective of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Global Macro Fund, the AQR Managed Futures Strategy Fund, the AQR Managed Futures Strategy HV Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund is to seek positive absolute returns. The investment objective of the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II HV Fund and the AQR Risk Parity II MV Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each fund offers Class I, Class N and Class R6 shares.
On January 22, 2016 the Board of Trustees approved the closure of the AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund to new investors, effective March 31, 2016, subject to certain exceptions.
The following Funds are closed to new investors, subject to certain exceptions: AQR Diversified Arbitrage Fund, AQR Risk Parity Fund, AQR Multi-Strategy Alternative Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund.
2. Consolidation of Subsidiaries
The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows, where applicable, and the Financial Highlights of the AQR Global Macro Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund (“Consolidated Funds”) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Managed Futures Strategy Offshore Fund Ltd., AQR Managed Futures Strategy HV Offshore Fund Ltd., AQR Multi-Strategy Alternative Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Style Premia Alternative Offshore Fund Ltd., and AQR Style Premia Alternative LV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.
Each consolidated Fund may invest up to 25% of their total assets in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.
INCEPTION DATE OF SUBSIDIARY | SUBSIDIARY NET ASSETS AT JUNE 30, 2016 | % OF TOTAL NET ASSETS AT JUNE 30, 2016 | NET REALIZED GAIN(LOSS) ON INVESTMENTS HELD IN SUBSIDIARY | |||||||||||||
AQR Global Macro Offshore Fund Ltd. | April 8, 2014 | $ | 7,705,411 | 24.0 | % | $ | (485,374 | ) | ||||||||
AQR Managed Futures Strategy Offshore Fund Ltd. | January 5, 2010 | 3,081,268,943 | 23.2 | % | 26,968,110 | |||||||||||
AQR Managed Futures Strategy HV Offshore Fund Ltd. | July 16, 2013 | 168,129,439 | 23.4 | % | 224,877 | |||||||||||
AQR Multi-Strategy Alternative Offshore Fund Ltd. | July 18, 2011 | 563,841,977 | 15.9 | % | 35,462,444 | |||||||||||
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd. | July 9, 2012 | 36,814,487 | 22.8 | % | 14,154,234 | |||||||||||
AQR Risk Parity Offshore Fund Ltd. | September 29, 2010 | 88,446,240 | 20.0 | % | 4,916,577 | |||||||||||
AQR Risk Parity II HV Offshore Fund Ltd. | November 5, 2012 | 12,763,423 | 22.5 | % | 991,761 | |||||||||||
AQR Risk Parity II MV Offshore Fund Ltd. | November 5, 2012 | 14,007,979 | 14.8 | % | 1,097,869 | |||||||||||
AQR Style Premia Alternative Offshore Fund Ltd. | October 30, 2013 | 817,722,927 | 22.9 | % | 67,695,321 | |||||||||||
AQR Style Premia Alternative LV Offshore Fund Ltd. | September 17, 2014 | 91,491,888 | 23.2 | % | 3,718,994 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
321
Notes to Financial Statements | June 30, 2016 (Unaudited) |
3. 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 5.
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 on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.
Realized gains (losses) on foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translation reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.
Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income (expense) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification. Interest purchased and interest sold on bonds is included in interest receivable and interest payable, respectively, in the Statements of Assets and Liabilities. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.
Multi-class Operations: Each class of shares offered by the Trust has equal rights as to 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.
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
322
Notes to Financial Statements | June 30, 2016 (Unaudited) |
Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.
The 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 June 30, 2016, the Funds had no examinations in progress.
For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Internal Revenue Code of 1986 (“the Code”) and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.
Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on the 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.
4. Securities and Other Investments
Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if they had invested in that company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, entail less risk than the corporation’s common stock. The Funds may attempt to hedge some of their investments in convertible debt securities by selling short the issuer’s common stock. The premiums attributable to the conversion feature are not amortized.
High Yield Securities: Certain Funds invest in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.
Inflation-Indexed Bonds: Certain Funds may invest in Inflation-indexed bonds which are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index.
Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When a Fund purchases a loan participation, the Fund enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
323
Notes to Financial Statements | June 30, 2016 (Unaudited) |
persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor.
The Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded loan commitments are marked to market daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid. There were no unfunded commitments as of June 30, 2016.
Defaulted Securities and Distressed Investments: Certain Funds held defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. The securities have been identified on the Schedules of Investments. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable. The Fund may invest in distressed investments, which are issued by companies that are, or might be, involved in reorganizations or financial restructurings, either out of court or in bankruptcy.
Securities Sold Short: Certain Funds sell securities they do not own as a hedge against some of their long positions and/or in anticipation of a decline in the market value of that security, a short sale. When one of the Funds makes a short sale, it must borrow the security sold short and deliver it to the broker through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.
The Funds are required to pledge cash or liquid securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with the broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.
The net amount of fees incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:
FUND | ||||
AQR Diversified Arbitrage Fund | $ | 739,455 | ||
AQR Equity Market Neutral Fund | 300,529 | |||
AQR Long-Short Equity Fund | 375,543 | |||
AQR Multi-Strategy Alternative Fund | 344,850 | |||
AQR Style Premia Alternative Fund | 1,148,079 | |||
AQR Style Premia Alternative LV Fund | 64,599 |
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
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
324
Notes to Financial Statements | June 30, 2016 (Unaudited) |
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 on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received (paid) by a Fund are recorded as realized gains (losses) on swap contracts in the Statements of Operations.
The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly, including: market risk related to unfavorable changes in interest rates or in the price(s) of the underlying security(ies); credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Funds to close out their position(s).
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Total Return Basket Swaps: Certain Funds may enter into an equity basket swap agreement to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any realized gains (losses) on positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Funds and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Funds and the counterparty. A change in the market value of a total return basket swap contract is recognized as a change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as realized gains (losses) on swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
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Credit Default Swap Contracts: Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up-front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss on swap contracts in the Statements of Operations.
Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.
Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of their investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Funds are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
Repurchase Agreements: Certain Funds may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price. Repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are included within each Fund’s Schedule of Investments.
Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements under the terms of a master repurchase agreement. A Fund sells a security that it holds to a counterparty with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made on reverse repurchase agreements are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited. Reverse repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after each Fund’s Schedule of Investments.
The collateral held in relation to the repurchase agreements and reverse repurchase agreements was in U.S. Treasury Inflation Protected Securities with a maturity of up to 30 days in the amount of $11,107,782 for AQR Risk Parity II HV Fund.
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Options: Certain Funds may write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, a Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject a Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject a Fund to risk of loss if the value of the security declines below the exercise price minus the put premium. A Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.
Transactions in call and put options written during the period for the AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund were as follows:
CALL OPTIONS | ||||||||
AQR DIVERSIFIED ARBITRAGE FUND | NUMBER OF CONTRACTS SUBJECT TO CALL | PREMIUM | ||||||
Options outstanding, December 31, 2015 | (4,796 | ) | $ | (2,216,380 | ) | |||
Options written | (335 | ) | (22,777 | ) | ||||
Options terminated | — | — | ||||||
Options expired | 4,870 | 2,222,893 | ||||||
Options exercised | 180 | 5,385 | ||||||
Options outstanding, June 30, 2016 | (81 | ) | $ | (10,879 | ) | |||
PUT OPTIONS | ||||||||
AQR DIVERSIFIED ARBITRAGE FUND | NUMBER OF CONTRACTS SUBJECT TO PUT | PREMIUM | ||||||
Options outstanding, December 31, 2015 | (67 | ) | $ | (172,051 | ) | |||
Options written | — | — | ||||||
Options terminated | — | — | ||||||
Options expired | — | — | ||||||
Options exercised | 67 | 172,051 | ||||||
Options outstanding, June 30, 2016 | — | $ | — | |||||
CALL OPTIONS | ||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND | NUMBER OF CONTRACTS SUBJECT TO CALL | PREMIUM | ||||||
Options outstanding, December 31, 2015 | — | $ | — | |||||
Options written | (2,080 | ) | (4,481,955 | ) | ||||
Options terminated | — | — | ||||||
Options expired | 581 | 51,471 | ||||||
Options exercised | — | — | ||||||
Options outstanding, June 30, 2016 | (1,499 | ) | $ | (4,430,484 | ) |
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
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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.
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.
5. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees (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
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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.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.
Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market in which each security trades and are therefore considered Level 1.
An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore considered Level 2. In addition, equities traded outside of the Western Hemisphere are also considered Level 2 because they are fair valued daily based on the application of a fair value factor (unless the 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 of the fair value hierarchy.
Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation techniques (e.g., the
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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 and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.
The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.
Generally, a valuation model is used consistently for similar derivative types and model inputs, including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.
The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).
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Quantitative Information
The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.
AQR DIVERSIFIED ARBITRAGE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 98,662,115 | $ | 40,014,355 | $ | 3,633,959 | $ | 142,310,429 | ||||||||
Convertible Preferred Stocks | 35,097,140 | 10,295,583 | 28,451,526 | 73,844,249 | ||||||||||||
Corporate Bonds | — | 14,440,500 | 3,236,520 | 17,677,020 | ||||||||||||
Convertible Bonds | — | 206,578,139 | 914,799 | 207,492,938 | ||||||||||||
Closed End Funds | 34,615,532 | — | — | 34,615,532 | ||||||||||||
Loan Participations | — | 523,318 | 2,229,777 | 2,753,095 | ||||||||||||
Preferred Stocks | 1,434,037 | 113,732 | 841,787 | 2,389,556 | ||||||||||||
Rights | 506,683 | 417,607 | 577,883 | 1,502,173 | ||||||||||||
Securities in Litigation | — | — | 99,820 | 99,820 | ||||||||||||
Warrants | 9,879,832 | 4,372,099 | 15,861 | 14,267,792 | ||||||||||||
Short-Term Investments | — | 189,498,469 | — | 189,498,469 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 81,387 | — | 81,387 | ||||||||||||
Total Return Basket Swaps Contracts* | — | 2,420,380 | 430,227 | 2,850,607 | ||||||||||||
Total Assets | $ | 180,195,339 | $ | 468,755,569 | $ | 40,432,159 | $ | 689,383,067 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short) | $ | (192,700,505 | ) | $ | — | $ | (453 | ) | $ | (192,700,958 | ) | |||||
Convertible Bonds (Sold Short) | — | (5,562,500 | ) | — | (5,562,500 | ) | ||||||||||
Written Options (Sold Short)* | (5,330 | ) | (200 | ) | — | (5,530 | ) | |||||||||
Futures Contracts* | (915,649 | ) | — | — | (915,649 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (218,559 | ) | — | (218,559 | ) | ||||||||||
Credit Default Swap Contracts* | — | (1,154,184 | ) | — | (1,154,184 | ) | ||||||||||
Total Return Basket Swaps Contracts* | — | (840,793 | ) | — | (840,793 | ) | ||||||||||
Total Liabilities | $ | (193,621,484 | ) | $ | (7,776,236 | ) | $ | (453 | ) | $ | (201,398,173 | ) | ||||
AQR EQUITY MARKET NEUTRAL FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Common Stocks† | $ | 41,973,837 | $ | 168,495,532 | $ | — | $ | 210,469,369 | ||||||||
Preferred Stocks† | — | 545,792 | — | 545,792 | ||||||||||||
Rights† | — | 49,401 | — | 49,401 | ||||||||||||
Short-Term Investments | — | 826,494,795 | — | 826,494,795 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 585,646 | — | 585,646 | ||||||||||||
Total Return Basket Swaps Contracts* | — | 10,747,195 | — | 10,747,195 | ||||||||||||
Total Assets | $ | 41,973,837 | $ | 1,006,918,361 | $ | — | $ | 1,048,892,198 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | (41,904,499 | ) | $ | (130,520,759 | ) | $ | — | $ | (172,425,258 | ) | |||||
Preferred Stocks (Sold Short)† | — | (3,032,043 | ) | — | (3,032,043 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (42,089 | ) | — | (42,089 | ) | ||||||||||
Total Return Basket Swaps Contracts* | — | (3,342,053 | ) | — | (3,342,053 | ) | ||||||||||
Total Liabilities | $ | (41,904,499 | ) | $ | (136,936,944 | ) | $ | — | $ | (178,841,443 | ) | |||||
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
331
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Short-Term Investments | $ | — | $ | 29,426,596 | $ | — | $ | 29,426,596 | ||||||||
Futures Contracts* | 341,754 | — | — | 341,754 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 1,680,175 | — | 1,680,175 | ||||||||||||
Total Return Swap Contracts* | — | 56,515 | — | 56,515 | ||||||||||||
Total Assets | $ | 341,754 | $ | 31,163,286 | $ | — | $ | 31,505,040 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (180,352 | ) | $ | — | $ | — | $ | (180,352 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (1,098,788 | ) | — | (1,098,788 | ) | ||||||||||
Interest Rate Swap Contracts* | — | (271,070 | ) | — | (271,070 | ) | ||||||||||
Total Return Swap Contracts* | — | (54,895 | ) | — | (54,895 | ) | ||||||||||
Total Liabilities | $ | (180,352 | ) | $ | (1,424,753 | ) | $ | — | $ | (1,605,105 | ) | |||||
AQR LONG-SHORT EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Common Stocks† | $ | 55,970,343 | $ | 240,324,341 | $ | — | $ | 296,294,684 | ||||||||
Preferred Stocks† | — | 1,657,664 | — | 1,657,664 | ||||||||||||
Rights† | — | 82,602 | — | 82,602 | ||||||||||||
Short-Term Investments | — | 1,162,429,110 | — | 1,162,429,110 | ||||||||||||
Futures Contracts* | 4,222,387 | — | — | 4,222,387 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 4,645,020 | — | 4,645,020 | ||||||||||||
Total Return Basket Swaps Contracts* | — | 12,661,075 | — | 12,661,075 | ||||||||||||
Total Return Swap Contracts* | — | 1,168,077 | — | 1,168,077 | ||||||||||||
Total Assets | $ | 60,192,730 | $ | 1,422,967,889 | $ | — | $ | 1,483,160,619 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | (53,804,673 | ) | $ | (194,573,534 | ) | $ | — | $ | (248,378,207 | ) | |||||
Preferred Stocks (Sold Short)† | — | (5,511,236 | ) | — | (5,511,236 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (4,733,835 | ) | — | (4,733,835 | ) | ||||||||||
Total Return Basket Swaps Contracts* | — | (15,762,744 | ) | — | (15,762,744 | ) | ||||||||||
Total Liabilities | $ | (53,804,673 | ) | $ | (220,581,349 | ) | $ | — | $ | (274,386,022 | ) | |||||
AQR MANAGED FUTURES STRATEGY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Short-Term Investments | $ | — | $ | 12,912,371,899 | $ | — | $ | 12,912,371,899 | ||||||||
Futures Contracts* | 351,499,383 | — | — | 351,499,383 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 552,050,171 | — | 552,050,171 | ||||||||||||
Total Return Swap Contracts* | — | 17,533,903 | — | 17,533,903 | ||||||||||||
Total Assets | $ | 351,499,383 | $ | 13,481,955,973 | $ | — | $ | 13,833,455,356 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (29,121,292 | ) | $ | — | $ | — | $ | (29,121,292 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (299,418,415 | ) | — | (299,418,415 | ) | ||||||||||
Total Return Swap Contracts* | — | (45,658,987 | ) | — | (45,658,987 | ) | ||||||||||
Total Liabilities | $ | (29,121,292 | ) | $ | (345,077,402 | ) | $ | — | $ | (374,198,694 | ) | |||||
AQR MANAGED FUTURES STRATEGY HV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Short-Term Investments | $ | — | $ | 670,593,318 | $ | — | $ | 670,593,318 | ||||||||
Futures Contracts* | 28,446,466 | — | — | 28,446,466 | ||||||||||||
Forward Foreign Currency Exchange Contracts * | — | 44,320,263 | — | 44,320,263 | ||||||||||||
Total Return Swap Contracts* | — | 1,528,997 | — | 1,528,997 | ||||||||||||
Total Assets | $ | 28,446,466 | $ | 716,442,578 | $ | — | $ | 744,889,044 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
332
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (2,350,469 | ) | $ | — | $ | — | $ | (2,350,469 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (24,095,295 | ) | — | (24,095,295 | ) | ||||||||||
Total Return Swap Contracts* | — | (3,503,424 | ) | — | (3,503,424 | ) | ||||||||||
Total Liabilities | $ | (2,350,469 | ) | $ | (27,598,719 | ) | $ | — | $ | (29,949,188 | ) | |||||
AQR MULTI-STRATEGY ALTERNATIVE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 534,995,184 | $ | 27,858,158 | $ | — | $ | 562,853,342 | ||||||||
Convertible Preferred Stocks† | 371,494,934 | 80,130,153 | — | 451,625,087 | ||||||||||||
Corporate Bonds† | — | 79,000 | — | 79,000 | ||||||||||||
Convertible Bonds† | — | 676,123,254 | — | 676,123,254 | ||||||||||||
Short-Term Investments | — | 1,735,677,530 | — | 1,735,677,530 | ||||||||||||
Futures Contracts* | 18,776,862 | — | — | 18,776,862 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 109,791,404 | — | 109,791,404 | ||||||||||||
Total Return Basket Swap Contracts* | — | 28,397,226 | — | 28,397,226 | ||||||||||||
Total Return Swap Contracts* | — | 2,887,692 | — | 2,887,692 | ||||||||||||
Total Assets | $ | 925,266,980 | $ | 2,660,944,417 | $ | — | $ | 3,586,211,397 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | (972,059,782 | ) | $ | — | $ | — | $ | (972,059,782 | ) | ||||||
Written Options (Sold Short)* | (7,785,660 | ) | (1,780 | ) | — | (7,787,440 | ) | |||||||||
Futures Contracts* | (5,825,350 | ) | — | — | (5,825,350 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (41,209,694 | ) | — | (41,209,694 | ) | ||||||||||
Credit Default Swap Contracts* | — | (171,586 | ) | — | (171,586 | ) | ||||||||||
Total Return Basket Swap Contracts* | — | (40,042,527 | ) | (77,046 | ) | (40,119,573 | ) | |||||||||
Total Return Swap Contracts* | — | (15,474,635 | ) | — | (15,474,635 | ) | ||||||||||
Total Liabilities | $ | (985,670,792 | ) | $ | (96,900,222 | ) | $ | (77,046 | ) | $ | (1,082,648,060 | ) | ||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Short-Term Investments | $ | — | $ | 147,559,891 | $ | — | $ | 147,559,891 | ||||||||
Futures Contracts* | 8,776,837 | — | — | 8,776,837 | ||||||||||||
Total Return Swap Contracts* | — | 5,474,026 | — | 5,474,026 | ||||||||||||
Total Assets | $ | 8,776,837 | $ | 153,033,917 | $ | — | $ | 161,810,754 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (657,227 | ) | $ | — | $ | — | $ | (657,227 | ) | ||||||
Total Return Swap Contracts* | — | (5,133,735 | ) | — | (5,133,735 | ) | ||||||||||
Total Liabilities | $ | (657,227 | ) | $ | (5,133,735 | ) | $ | — | $ | (5,790,962 | ) | |||||
AQR RISK PARITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Foreign Government Securities | $ | — | $ | 65,777,174 | $ | — | $ | 65,777,174 | ||||||||
U.S. Treasury Obligations | — | 112,516,798 | — | 112,516,798 | ||||||||||||
Short-Term Investments | — | 233,186,428 | — | 233,186,428 | ||||||||||||
Futures Contracts* | 9,206,919 | — | — | 9,206,919 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 6,246,558 | — | 6,246,558 | ||||||||||||
Interest Rate Swap Contracts* | — | 3,511,971 | — | 3,511,971 | ||||||||||||
Credit Default Swap Contracts* | — | 3,812,798 | — | 3,812,798 | ||||||||||||
Total Return Swap Contracts* | — | 2,526,994 | — | 2,526,994 | ||||||||||||
Total Assets | $ | 9,206,919 | $ | 427,578,721 | $ | — | $ | 436,785,640 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
333
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (424,406 | ) | $ | — | $ | — | $ | (424,406 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (918,025 | ) | — | (918,025 | ) | ||||||||||
Interest Rate Swap Contracts* | — | (114,909 | ) | — | (114,909 | ) | ||||||||||
Total Return Swap Contracts* | — | (1,616,187 | ) | — | (1,616,187 | ) | ||||||||||
Total Liabilities | $ | (424,406 | ) | $ | (2,649,121 | ) | $ | — | $ | (3,073,527 | ) | |||||
AQR RISK PARITY II HV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Foreign Government Securities | $ | — | $ | 10,774,702 | $ | — | $ | 10,774,702 | ||||||||
U.S. Treasury Obligations | — | 20,158,576 | — | 20,158,576 | ||||||||||||
Short-Term Investments | — | 32,463,151 | — | 32,463,151 | ||||||||||||
Futures Contracts* | 2,186,414 | — | — | 2,186,414 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 376,871 | — | 376,871 | ||||||||||||
Total Return Swap Contracts* | — | 742,668 | — | 742,668 | ||||||||||||
Total Assets | $ | 2,186,414 | $ | 64,515,968 | $ | — | $ | 66,702,382 | ||||||||
LIABILITIES | ||||||||||||||||
Reverse Repurchase Agreements (Sold Short) | $ | — | $ | (10,953,690 | ) | $ | — | $ | (10,953,690 | ) | ||||||
Futures Contracts* | (98,618 | ) | — | — | (98,618 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (1,162 | ) | — | (1,162 | ) | ||||||||||
Total Return Swap Contracts* | — | (516,020 | ) | — | (516,020 | ) | ||||||||||
Total Liabilities | $ | (98,618 | ) | $ | (11,470,872 | ) | $ | — | $ | (11,569,490 | ) | |||||
AQR RISK PARITY II MV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Foreign Government Securities | $ | — | $ | 12,048,783 | $ | — | $ | 12,048,783 | ||||||||
U.S. Treasury Obligations | — | 23,225,420 | — | 23,225,420 | ||||||||||||
Short-Term Investments | — | 55,908,006 | — | 55,908,006 | ||||||||||||
Futures Contracts* | 2,448,515 | — | — | 2,448,515 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 440,895 | — | 440,895 | ||||||||||||
Total Return Swap Contracts* | — | 1,457,777 | — | 1,457,777 | ||||||||||||
Total Assets | $ | 2,448,515 | $ | 93,080,881 | $ | — | $ | 95,529,396 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (110,378 | ) | $ | — | $ | — | $ | (110,378 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (1,992 | ) | — | (1,992 | ) | ||||||||||
Total Return Swap Contracts* | — | (1,158,179 | ) | — | (1,158,179 | ) | ||||||||||
Total Liabilities | $ | (110,378 | ) | $ | (1,160,171 | ) | $ | — | $ | (1,270,549 | ) | |||||
AQR STYLE PREMIA ALTERNATIVE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Common Stocks† | $ | — | $ | 971,223,138 | $ | — | $ | 971,223,138 | ||||||||
Preferred Stocks† | — | 8,517,798 | — | 8,517,798 | ||||||||||||
Rights† | — | 30,823 | — | 30,823 | ||||||||||||
Short-Term Investments | — | 3,009,145,440 | — | 3,009,145,440 | ||||||||||||
Futures Contracts* | 20,834,354 | — | — | 20,834,354 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 100,085,033 | — | 100,085,033 | ||||||||||||
Total Return Swap Contracts* | — | 83,987,103 | — | 83,987,103 | ||||||||||||
Total Assets | $ | 20,834,354 | $ | 4,172,989,335 | $ | — | $ | 4,193,823,689 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
334
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | — | $ | (719,252,331 | ) | $ | (3 | ) | $ | (719,252,334 | ) | |||||
Preferred Stocks (Sold Short)† | — | (9,369,052 | ) | — | (9,369,052 | ) | ||||||||||
Futures Contracts* | (13,851,528 | ) | — | — | (13,851,528 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (49,277,389 | ) | — | (49,277,389 | ) | ||||||||||
Total Return Basket Swaps Contracts* | — | (47,623,436 | ) | — | (47,623,436 | ) | ||||||||||
Total Return Swap Contracts* | — | (93,947,471 | ) | — | (93,947,471 | ) | ||||||||||
Total Liabilities | $ | (13,851,528 | ) | $ | (919,469,679 | ) | $ | (3 | ) | $ | (933,321,210 | ) | ||||
AQR STYLE PREMIA ALTERNATIVE LV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Common Stocks† | $ | — | $ | 51,079,892 | $ | — | $ | 51,079,892 | ||||||||
Preferred Stocks† | — | 367,833 | — | 367,833 | ||||||||||||
Short-Term Investments | — | 358,850,754 | — | 358,850,754 | ||||||||||||
Futures Contracts* | 1,195,260 | — | — | 1,195,260 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 5,561,027 | — | 5,561,027 | ||||||||||||
Total Return Swap Contracts* | — | 1,122,426 | — | 1,122,426 | ||||||||||||
Total Assets | $ | 1,195,260 | $ | 416,981,932 | $ | — | $ | 418,177,192 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | — | $ | (38,078,514 | ) | $ | — | $ | (38,078,514 | ) | ||||||
Preferred Stocks (Sold Short)† | — | (538,752 | ) | — | (538,752 | ) | ||||||||||
Futures Contracts* | (817,941 | ) | — | — | (817,941 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (2,746,121 | ) | — | (2,746,121 | ) | ||||||||||
Total Return Basket Swaps Contracts* | — | (1,857,268 | ) | — | (1,857,268 | ) | ||||||||||
Total Return Swap Contracts* | — | (1,652,386 | ) | — | (1,652,386 | ) | ||||||||||
Total Liabilities | $ | (817,941 | ) | $ | (44,873,041 | ) | $ | — | $ | (45,690,982 | ) |
* | Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Credit default swaps, interest rate swaps and option contracts are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives. |
† | Please refer to the Schedule of Investments to view securities segregated by country. |
The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price. During the period ended June 30, 2016, the amount of securities that transferred from Level 1 into Level 2 for the AQR Diversified Arbitrage Fund was $9,557,483 and the amount transferred from Level 2 into Level 1 for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund was $13,656,724 and $37,773,795, respectively. There were no transfers of investments between levels for any of the remaining Funds.
There were no other Level 3 securities held at period end, except where note in AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund. Securities classified as Level 3 in the Schedules of Investments are considered quantitatively insignificant in the aggregate for AQR Style Premia Alternative Fund.
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
335
Notes to Financial Statements | June 30, 2016 (Unaudited) |
The following tables include a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period for each Fund that held Level 3 securities that were considered quantitatively significant:
AQR DIVERSIFIED ARBITRAGE FUND | COMMON STOCK | CONVERTIBLE PREFERRED STOCK | LOAN PARTICIPATIONS/ CORPORATE | CONVERTIBLE BOND | PREFERRED STOCK | RIGHTS | WARRANT | SECURITIES IN LITIGATION | SHORT COMMON STOCKS | TOTAL CONTRACTS | ||||||||||||||||||||||||||||||
Balance as of December 31, 2015 | $ | 11,396,171 | $ | 27,393,124 | $ | 6,950,723 | $ | 574,719 | $ | 817,262 | $ | 715,900 | $ | 1,573,200 | $ | 90,995 | $ | (453 | ) | $ | — | |||||||||||||||||||
Accrued discounts/(premiums) | — | — | 594,850 | 2,449 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Realized gain/(loss) | 8 | 1,453 | (21,631,870 | ) | (5,039,860 | ) | — | 261,441 | — | — | — | — | ||||||||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | 2,069,294 | 1,066,107 | 19,422,507 | 5,076,657 | 24,525 | (138,017 | ) | (124,933 | ) | 8,825 | — | (131,016 | ) | |||||||||||||||||||||||||||
Purchases1 | 67,812 | — | 3,626,905 | 591,532 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Sales2 | (6,334,831 | ) | (9,158 | ) | (2,580,456 | ) | (648,701 | ) | — | (261,441 | ) | — | — | — | — | |||||||||||||||||||||||||
Transfers in to Level 3 | 114,480 | — | 1,418,873 | 358,003 | — | — | 32,866 | — | — | 561,243 | ||||||||||||||||||||||||||||||
Transfers out of Level 3 | (3,678,975 | ) | — | (2,335,235 | ) | — | — | — | (1,465,272 | ) | — | — | — | |||||||||||||||||||||||||||
Balance as of June 30, 2016 | $ | 3,633,959 | $ | 28,451,526 | $ | 5,466,297 | $ | 914,799 | $ | 841,787 | $ | 577,883 | $ | 15,861 | $ | 99,820 | $ | (453 | ) | $ | 430,227 | |||||||||||||||||||
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2016 | $ | 40,331 | $ | 1,067,543 | $ | (1,091,760 | ) | $ | (570,675 | ) | $ | 24,525 | $ | (138,015 | ) | $ | (124,933 | ) | $ | 8,825 | $ | — | $ | (131,016 | ) |
AQR MULTI-STRATEGY ALTERNATIVE FUND | COMMON STOCK | CONVERTIBLE BOND | TOTAL RETURN BASKET SWAP | |||||||||
Balance as of December 31, 2015 | $ | 408,524 | $ | 416,739 | $ | — | ||||||
Accrued discounts/(premiums) | — | 717 | — | |||||||||
Realized gain/(loss) | (54,988 | ) | (1 | ) | — | |||||||
Change in unrealized appreciation/(depreciation) | (90,483 | ) | (455 | ) | 121,210 | |||||||
Purchases1 | — | — | — | |||||||||
Sales2 | (263,053 | ) | (417,000 | ) | — | |||||||
Transfers in to Level 3 | — | — | (198,256 | ) | ||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Balance as of June 30, 2016 | $ | — | $ | — | $ | (77,046 | ) | |||||
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2016 | $ | — | $ | — | $ | 121,210 |
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action. |
The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the 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 | June 2016 | ||||||||||||||
336
Notes to Financial Statements | June 30, 2016 (Unaudited) |
At June 30, 2016, all of the investments classified within Level 3 of the fair value hierarchy held by the AQR Multi-Strategy Alternative Fund are valued by vendor pricing or brokers. The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended June 30, 2016 for the AQR Diversified Arbitrage Fund:
Quantitative Information about Level 3 Fair Value Measurements*
INVESTMENT TYPE | TOTAL FAIR VALUE | VALUATION METHODOLOGY | UNOBSERVABLE INPUT(S) | INPUT VALUE/RANGE | WEIGHTED AVERAGE | |||||||
Common Stock | $24,171 | Black-Scholes | EBITDA Multiple | 5.25x | N/A | |||||||
Discount for Lack of Marketability** | 23.4% | N/A | ||||||||||
Term | 2.0 yrs | N/A | ||||||||||
Volatility | 43.2% | N/A | ||||||||||
$1,605,346 | Enterprise Value Waterfall Analysis | Discount for Lack of Marketability** | 19.0%—30.4% | 28.85% | ||||||||
Revenue Multiple | 1.05x to 1.10x | N/A | ||||||||||
Selected Point in Range | Midpoint | N/A | ||||||||||
Term | 2.0 yrs | N/A | ||||||||||
Volatility | 51.2%—56.8% | 60.79% | ||||||||||
EBITDA Multiple | 7.0x to 8.0x | N/A | ||||||||||
$1,627,372 | Probability Weighted Expected Return | Discount for Lack of Marketability** | 6.4%—44.6% | 39.24% | ||||||||
Equity Cost of Capital | 30.0% | N/A | ||||||||||
Scenario Probability | 10.0%—90.0% | N/A | ||||||||||
Term | 0.2—2.0 yrs | N/A | ||||||||||
Volatility | 39.4%—85.4% | 78.97% | ||||||||||
Legal Fees | $1,159,533 | N/A | ||||||||||
EBITDA Multiple | 7.0x | |||||||||||
$70,487 | Public Price Adjusted for Lack of Marketability | Discount for Lack of Marketability** | 44.6%—50.8% | 46.90% | ||||||||
Term | 2.0 yrs | N/A | ||||||||||
Volatility | 85.4%—145.1% | 107.91% | ||||||||||
Convertible Preferred Stock | $28,450,624 | Discounted Cash Flows Analysis | Discount Rate | 5.7% | N/A | |||||||
Loan Participation | $2,229,777 | Probability Weighted Expected Return | Scenario Probability | 50.0% | N/A | |||||||
Discount Rate | 26.2% | 26.2% | ||||||||||
Preferred Stock | $841,787 | Enterprise Value Waterfall Analysis | Equity Cost of Capital | 13.8% | N/A |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
337
Notes to Financial Statements | June 30, 2016 (Unaudited) |
INVESTMENT TYPE | TOTAL FAIR VALUE | VALUATION METHODOLOGY | UNOBSERVABLE INPUT(S) | INPUT VALUE/RANGE | WEIGHTED AVERAGE | |||||||
Right | $193,168 | Options Pricing Model | Discount for Lack of Marketability** | 20.5% | N/A | |||||||
Term | 1.5 yrs | N/A | ||||||||||
Volatility | 66.2% | N/A | ||||||||||
$485,335 | Probability Weighted Expected Return | Discount for Lack of Marketability** | 14.0%—39.8% | 30.02% | ||||||||
Equity Cost of Capital | 7.5%—19.0% | 16.05% | ||||||||||
Scenario Probability | 0.0%—75.0% | N/A | ||||||||||
Term | 0.6—4.2yrs | N/A | ||||||||||
Volatility | 29.3%—102.3% | 62.47% | ||||||||||
Securities in Litigation | $99,820 | Liquidation Analysis | Recovery Probability | 2.5% | N/A | |||||||
Liquidation Cost (% of capital) | 28.1% | N/A | ||||||||||
Warrant | $3,636 | Options Pricing Model | Discount for Lack of Marketability** | 32.9% | N/A | |||||||
Term | 6.0 yrs | N/A | ||||||||||
Volatility | 39.8% | N/A |
* | The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2016, the value of these securities was $4,800,184. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 5. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events. |
** | Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments. |
6. Federal Income Tax Matters
At June 30, 2016, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:
FUND | COST OF INVESTMENTS | GROSS UNREALIZED APPRECIATION | GROSS UNREALIZED DEPRECIATION | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
AQR Diversified Arbitrage Fund | $ | 764,738,393 | $ | 50,458,009 | $ | (128,745,329 | ) | $ | (78,287,320 | ) | ||||||
AQR Equity Market Neutral Fund | 1,030,427,930 | 16,247,956 | (9,116,529 | ) | 7,131,427 | |||||||||||
AQR Global Macro Fund | 29,417,719 | 8,877 | — | 8,877 | ||||||||||||
AQR Long-Short Equity Fund | 1,451,777,725 | 22,535,061 | (13,848,726 | ) | 8,686,335 | |||||||||||
AQR Managed Futures Strategy Fund | 12,907,363,966 | 5,007,933 | — | 5,007,933 | ||||||||||||
AQR Managed Futures Strategy HV Fund | 670,441,975 | 151,343 | — | 151,343 | ||||||||||||
AQR Multi-Strategy Alternative Fund | 3,397,276,600 | 132,517,309 | (103,435,696 | ) | 29,081,613 | |||||||||||
AQR Risk-Balanced Commodities Strategy Fund | 147,529,856 | 30,035 | — | 30,035 | ||||||||||||
AQR Risk Parity Fund | 410,346,703 | 2,977,666 | (1,843,969 | ) | 1,133,697 | |||||||||||
AQR Risk Parity II HV Fund | 63,227,857 | 394,550 | (225,978 | ) | 168,572 | |||||||||||
AQR Risk Parity II MV Fund | 91,005,516 | 584,117 | (407,424 | ) | 176,693 | |||||||||||
AQR Style Premia Alternative Fund | 3,970,809,094 | 83,862,904 | (65,754,799 | ) | 18,108,105 | |||||||||||
AQR Style Premia Alternative LV Fund | 409,175,121 | 4,828,924 | (3,705,566 | ) | 1,123,358 |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
338
Notes to Financial Statements | June 30, 2016 (Unaudited) |
As of December 31, 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 Diversified Arbitrage Fund | $ | 84,405,717 | $ | 47,807,088 | ||||
AQR Multi-Strategy Alternative Fund | 6,568,303 | — | ||||||
AQR Risk Balanced Commodities Strategy Fund | 12,630 | — | ||||||
AQR Style Premia Alternative Fund | 22,115,573 | 9,668,388 | ||||||
AQR Style Premia Alternative LV Fund | 674,702 | 607,693 |
7. Investment Transactions
During the period ended June 30, 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 | SECURITIES SOLD SHORT | COVERS ON SECURITIES SOLD SHORT | ||||||||||||
AQR Diversified Arbitrage Fund | $ | 396,325,822 | $ | 780,452,298 | $ | 240,141,574 | $ | 374,178,326 | ||||||||
AQR Equity Market Neutral Fund | 187,405,224 | 59,586,478 | 194,952,827 | 86,217,146 | ||||||||||||
AQR Long-Short Equity Fund | 201,472,924 | 67,527,736 | 222,468,016 | 96,020,983 | ||||||||||||
AQR Multi-Strategy Alternative Fund | 1,385,332,844 | 654,147,710 | 885,562,019 | 509,409,678 | ||||||||||||
AQR Risk Parity Fund | 58,206,535 | 43,322,284 | — | — | ||||||||||||
AQR Risk Parity II HV Fund | 14,698,305 | 1,776,220 | — | — | ||||||||||||
AQR Risk Parity II MV Fund | 8,708,988 | 212,110 | — | — | ||||||||||||
AQR Style Premia Alternative Fund | 417,292,164 | 101,351,422 | 456,098,196 | 178,460,025 | ||||||||||||
AQR Style Premia Alternative LV Fund | 17,805,392 | 3,194,040 | 18,968,959 | 5,588,227 |
During the period ended June 30, 2016, the Funds had purchases and sales of long-term U.S. Government obligations as follows:
FUND | PURCHASES | SALES | ||||||
AQR Diversified Arbitrage Fund | $ | 465,256 | $ | 465,394 | ||||
AQR Risk Parity Fund | 41,459,805 | 28,210,271 | ||||||
AQR Risk Parity II HV Fund | 10,635,220 | 1,528,195 | ||||||
AQR Risk Parity II MV Fund | 7,062,606 | 96,576 |
8. Transactions with Affiliates
The funds are permitted to purchase and sell securities from and/or to other affiliated Funds that have a common investment adviser (or affiliated investment advisers), common Trustees and/or common Officers under specified conditions pursuant to procedures adopted by the Board in compliance with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. For the period ended June 30, 2016, the following Funds engaged in purchase and sale transactions with an affiliate:
AQR Diversified Arbitrage Fund—sales $58,184,315
AQR Multi-Strategy Alternative Fund—purchases $58,184,315
9. 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, 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.
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
339
Notes to Financial Statements | June 30, 2016 (Unaudited) |
The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at June 30, 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 | WRITTEN OPTIONS AT MARKET | |||||||||||||||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | $ | — | $ | 2,850,607 | $ | — | $ | 127,842 | $ | 273,235 | $ | — | $ | 5,530 | ||||||||||||||
AQR Equity Market Neutral Fund | — | 10,747,195 | — | — | 3,342,053 | — | — | |||||||||||||||||||||
AQR Global Macro Fund | 334,650 | 24,319 | — | 167,034 | 38,018 | — | — | |||||||||||||||||||||
AQR Long-Short Equity Fund | 8,464,391 | 13,829,152 | — | 4,242,004 | 15,762,744 | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | 36,910,095 | — | — | 41,002,262 | 9,854,227 | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 3,034,357 | — | — | 3,332,482 | 790,903 | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 4,656,391 | 28,746,909 | — | 8,726,386 | 49,989,766 | — | 7,787,440 | |||||||||||||||||||||
AQR Risk Parity Fund | 536,435 | 390,119 | — | 416,079 | 79,469 | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 151,925 | 118,637 | — | 26,108 | 4,614 | — | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 182,188 | 128,003 | — | 144,104 | 10,472 | — | — | |||||||||||||||||||||
AQR Style Premia Alternative Fund | 19,775,318 | 11,926,255 | — | 19,149,524 | 54,133,185 | — | — | |||||||||||||||||||||
AQR Style Premia Alternative LV Fund | 1,071,237 | 737,035 | — | 1,138,893 | 2,259,410 | — | — | |||||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | — | 81,387 | — | — | 218,559 | — | |||||||||||||||||||||
AQR Equity Market Neutral Fund | — | — | 585,646 | — | — | 42,089 | — | |||||||||||||||||||||
AQR Global Macro Fund | — | — | 1,680,175 | — | — | 1,098,788 | — | |||||||||||||||||||||
AQR Long-Short Equity Fund | — | — | 4,645,020 | — | — | 4,733,835 | — | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | — | — | 552,050,171 | — | — | 299,418,415 | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | — | — | 44,320,263 | — | — | 24,095,295 | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | — | 109,791,404 | — | — | 41,209,694 | — | |||||||||||||||||||||
AQR Risk Parity Fund | — | — | 6,246,558 | — | — | 918,025 | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | — | — | 376,871 | — | — | 1,162 | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | — | — | 440,895 | — | — | 1,992 | — | |||||||||||||||||||||
AQR Style Premia Alternative Fund | — | — | 100,085,033 | — | — | 49,277,389 | — | |||||||||||||||||||||
AQR Style Premia Alternative LV Fund | — | — | 5,561,027 | — | — | 2,746,121 | — | |||||||||||||||||||||
Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | — | — | 787,807 | 567,558 | — | — | |||||||||||||||||||||
AQR Global Macro Fund | 251,897 | 11,309,676 | — | 383,849 | 11,580,746 | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | 266,005,310 | — | — | 1,377,402 | — | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 21,606,733 | — | — | 106,636 | — | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 22,822,073 | — | — | 11,237,383 | — | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | 7,102,001 | 4,116,354 | — | — | 719,292 | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 1,678,143 | — | — | 106,011 | — | — | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 1,881,256 | — | — | — | — | — | — | |||||||||||||||||||||
AQR Style Premia Alternative Fund | 107,098,211 | — | — | 100,059,392 | — | — | — | |||||||||||||||||||||
AQR Style Premia Alternative LV Fund | 6,007,740 | — | — | 5,551,911 | — | — | — | |||||||||||||||||||||
Credit Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | — | — | — | 1,154,184 | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | — | — | — | 171,586 | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | — | 5,053,802 | — | — | 1,241,004 | — | — | |||||||||||||||||||||
Commodity Risk Exposure: | ||||||||||||||||||||||||||||
AQR Global Macro Fund | 245,748 | 32,196 | — | 120,010 | 16,877 | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | 127,473,306 | �� | 17,533,903 | — | 65,630,956 | 35,804,760 | — | — | ||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 10,362,738 | 1,528,997 | — | 5,468,713 | 2,712,521 | — | — |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
340
Notes to Financial Statements | June 30, 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 | WRITTEN OPTIONS AT MARKET | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | $ | 17,005,395 | $ | 2,538,009 | $ | — | $ | 11,568,578 | $ | 5,604,442 | $ | — | $ | — | ||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | 12,609,310 | 5,474,026 | — | 4,489,700 | 5,133,735 | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | 3,411,251 | 2,136,875 | — | 1,851,095 | 1,536,718 | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 752,796 | 624,031 | — | 362,949 | 511,406 | — | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 806,044 | 1,329,774 | — | 387,247 | 1,147,707 | — | — | |||||||||||||||||||||
AQR Style Premia Alternative Fund | 23,153,425 | 72,060,848 | — | 23,835,212 | 87,437,722 | — | — | |||||||||||||||||||||
AQR Style Premia Alternative LV Fund | 1,310,215 | 385,391 | — | 1,321,069 | 1,250,307 | — | — | |||||||||||||||||||||
Netting: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | (1,994,977 | ) | (81,387 | ) | — | (1,994,977 | ) | (81,387 | ) | — | |||||||||||||||||
AQR Equity Market Neutral Fund | — | (3,342,053 | ) | (42,089 | ) | — | (3,342,053 | ) | (42,089 | ) | — | |||||||||||||||||
AQR Global Macro Fund | (670,893 | ) | (11,366,191 | ) | (1,098,788 | ) | (670,893 | ) | (11,366,191 | ) | (1,098,788 | ) | — | |||||||||||||||
AQR Long-Short Equity Fund | (4,242,004 | ) | (13,829,152 | ) | (4,645,020 | ) | (4,242,004 | ) | (13,829,152 | ) | (4,645,020 | ) | — | |||||||||||||||
AQR Managed Futures Strategy Fund | (108,010,620 | ) | (17,533,903 | ) | (299,418,415 | ) | (108,010,620 | ) | (17,533,903 | ) | (299,418,415 | ) | — | |||||||||||||||
AQR Managed Futures Strategy HV Fund | (8,907,831 | ) | (1,528,997 | ) | (24,095,295 | ) | (8,907,831 | ) | (1,528,997 | ) | (24,095,295 | ) | — | |||||||||||||||
AQR Multi-Strategy Alternative Fund | (31,532,347 | ) | (31,284,918 | ) | (41,209,694 | ) | (31,532,347 | ) | (31,284,918 | ) | (41,209,694 | ) | — | |||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | (4,489,700 | ) | (5,133,735 | ) | — | (4,489,700 | ) | (5,133,735 | ) | — | — | |||||||||||||||||
AQR Risk Parity Fund | (2,267,174 | ) | (3,576,483 | ) | (918,025 | ) | (2,267,174 | ) | (3,576,483 | ) | (918,025 | ) | — | |||||||||||||||
AQR Risk Parity II HV Fund | (495,068 | ) | (516,020 | ) | (1,162 | ) | (495,068 | ) | (516,020 | ) | (1,162 | ) | — | |||||||||||||||
AQR Risk Parity II MV Fund | (531,351 | ) | (1,158,179 | ) | (1,992 | ) | (531,351 | ) | (1,158,179 | ) | (1,992 | ) | — | |||||||||||||||
AQR Style Premia Alternative Fund | (143,044,128 | ) | (83,987,103 | ) | (49,277,389 | ) | (143,044,128 | ) | (83,987,103 | ) | (49,277,389 | ) | — | |||||||||||||||
AQR Style Premia Alternative LV Fund | (8,011,873 | ) | (1,122,426 | ) | (2,746,121 | ) | (8,011,873 | ) | (1,122,426 | ) | (2,746,121 | ) | — | |||||||||||||||
Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | 855,630 | — | 915,649 | — | 137,172 | 5,530 | |||||||||||||||||||||
AQR Equity Market Neutral Fund | — | 7,405,142 | 543,557 | — | — | — | — | |||||||||||||||||||||
AQR Global Macro Fund | 161,402 | — | 581,387 | — | 269,450 | — | — | |||||||||||||||||||||
AQR Long-Short Equity Fund | 4,222,387 | — | — | — | 1,933,592 | 88,815 | — | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | 322,378,091 | — | 252,631,756 | — | 28,125,084 | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 26,095,997 | — | 20,224,968 | — | 1,974,427 | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 12,951,512 | — | 68,581,710 | — | 24,480,876 | — | 7,787,440 | |||||||||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | 8,119,610 | 340,291 | — | — | — | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | 8,782,513 | 8,120,667 | 5,328,533 | — | — | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 2,087,796 | 226,648 | 375,709 | — | — | — | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 2,338,137 | 299,598 | 438,903 | — | — | — | — | |||||||||||||||||||||
AQR Style Premia Alternative Fund | 6,982,826 | — | 50,807,644 | — | 57,583,804 | — | — | |||||||||||||||||||||
AQR Style Premia Alternative LV Fund | 377,319 | — | 2,814,906 | — | 2,387,291 | — | — |
* | 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. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
341
Notes to Financial Statements | June 30, 2016 (Unaudited) |
The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended June 30, 2016:
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)ONDERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | |||||||||||||||||||||||||||||||
FUND | FUTURES CONTRACTS | SWAPS CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS | FUTURES CONTRACTS | SWAPS CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS | ||||||||||||||||||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | $ | (55,843 | ) | $ | (354,695 | ) | $ | — | $ | 2,400,355 | $ | 407,137 | $ | 1,439,857 | $ | — | $ | (2,181,646 | ) | |||||||||||||
AQR Equity Market Neutral Fund | 813,308 | (11,225,942 | ) | — | — | — | 1,704,979 | — | — | |||||||||||||||||||||||
AQR Global Macro Fund | (555,823 | ) | (426,721 | ) | — | — | (10,606 | ) | (106,753 | ) | — | — | ||||||||||||||||||||
AQR Long-Short Equity Fund | 15,583,838 | (1,442,151 | ) | — | — | 926,124 | (2,301,280 | ) | — | — | ||||||||||||||||||||||
AQR Managed Futures Strategy Fund | (304,373,150 | ) | (31,855,148 | ) | — | — | 13,525,722 | (14,910,634 | ) | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | (25,817,773 | ) | (3,186,436 | ) | — | — | 1,095,274 | (1,128,849 | ) | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | (67,851,231 | ) | 40,582,618 | — | 51,630 | (599,577 | ) | (159,160,471 | ) | — | (3,356,956 | ) | ||||||||||||||||||||
AQR Risk Parity Fund | (1,981,592 | ) | 5,162,895 | — | — | (941,254 | ) | 452,624 | — | — | ||||||||||||||||||||||
AQR Risk Parity II HV Fund | (307,032 | ) | (189,077 | ) | — | — | (52,210 | ) | 124,795 | — | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | (649,984 | ) | (336,561 | ) | — | — | (229,024 | ) | 143,956 | — | — | |||||||||||||||||||||
AQR Style Premia Alternative Fund | (22,196,040 | ) | (65,832,902 | ) | — | — | 12,237,727 | (22,668,030 | ) | — | — | |||||||||||||||||||||
AQR Style Premia Alternative LV Fund | (1,412,069 | ) | (602,995 | ) | — | — | 602,729 | (2,998,365 | ) | — | — | |||||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | — | (453,452 | ) | — | — | — | (1,240,512 | ) | — | ||||||||||||||||||||||
AQR Equity Market Neutral Fund | — | — | (490,674 | ) | — | — | — | 613,295 | — | |||||||||||||||||||||||
AQR Global Macro Fund | — | — | 220,595 | — | — | — | 71,565 | — | ||||||||||||||||||||||||
AQR Long-Short Equity Fund | — | — | 4,921,572 | — | — | — | (353,864 | ) | — | |||||||||||||||||||||||
AQR Managed Futures Strategy Fund | — | — | (111,663,080 | ) | — | — | — | 294,276,065 | — | |||||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | — | — | (11,505,393 | ) | — | — | — | 23,511,340 | — | |||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | — | 18,590,098 | — | — | — | 54,871,521 | — | ||||||||||||||||||||||||
AQR Risk Parity Fund | — | — | (4,543,675 | ) | — | — | — | 9,249,223 | — | |||||||||||||||||||||||
AQR Risk Parity II HV Fund | — | — | (265,414 | ) | — | — | — | 492,576 | — | |||||||||||||||||||||||
AQR Risk Parity II MV Fund | — | — | (335,204 | ) | — | — | — | 592,950 | — | |||||||||||||||||||||||
AQR Style Premia Alternative Fund | — | — | 53,810,526 | — | — | — | 43,175,351 | — | ||||||||||||||||||||||||
AQR Style Premia Alternative LV Fund | — | — | 2,705,724 | — | — | — | 2,424,872 | — | ||||||||||||||||||||||||
Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | (2,152,384 | ) | (707,707 | ) | — | — | (1,125,683 | ) | (757,897 | ) | — | — | ||||||||||||||||||||
AQR Global Macro Fund | 8,893 | 317,697 | — | — | 212,497 | (365,333 | ) | — | — | |||||||||||||||||||||||
AQR Managed Futures Strategy Fund | 160,933,765 | — | — | — | 289,007,891 | — | — | — | ||||||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 12,961,881 | — | — | — | 23,400,199 | — | — | — | ||||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | (17,509,556 | ) | (1,255,223 | ) | — | — | 12,563,835 | (164,019 | ) | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | 16,442,334 | (3,957,067 | ) | — | — | 8,889,297 | 3,245,288 | — | — |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
342
Notes to Financial Statements | June 30, 2016 (Unaudited) |
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | |||||||||||||||||||||||||||||||
FUND | FUTURES CONTRACTS | SWAPS CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS | FUTURES CONTRACTS | SWAPS CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS | ||||||||||||||||||||||||
AQR Risk Parity II HV Fund | $ | 2,743,163 | $ | — | $ | — | $ | — | $ | 1,842,155 | $ | — | $ | — | $ | — | ||||||||||||||||
AQR Risk Parity II MV Fund | 4,185,826 | — | — | — | 2,281,795 | — | — | — | ||||||||||||||||||||||||
AQR Style Premia Alternative Fund | (93,334,422 | ) | — | — | — | 10,164,621 | — | — | — | |||||||||||||||||||||||
AQR Style Premia Alternative LV Fund | (5,106,001 | ) | — | — | — | 679,079 | — | — | — | |||||||||||||||||||||||
Credit Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | (2,798,169 | ) | — | — | — | 1,059,887 | — | — | |||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | (769,385 | ) | — | — | — | 86,165 | — | — | |||||||||||||||||||||||
AQR Risk Parity Fund | — | 1,842,810 | — | — | — | (1,777,745 | ) | — | — | |||||||||||||||||||||||
Commodity Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Global Macro Fund | (337,365 | ) | (147,869 | ) | — | — | (35,953 | ) | 1,891 | — | — | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | (40,448,123 | ) | 67,367,537 | — | — | 23,418,667 | (23,286,364 | ) | — | — | ||||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | (5,202,579 | ) | 5,471,459 | — | — | 1,775,967 | (1,533,974 | ) | — | — | ||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 9,360,144 | 26,103,668 | — | — | 3,557,086 | (1,715,002 | ) | — | — | |||||||||||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | 12,449,413 | 1,707,712 | — | — | 11,474,732 | (574,213 | ) | — | — | |||||||||||||||||||||||
AQR Risk Parity Fund | 4,099,048 | 819,639 | — | — | 6,010,170 | 1,157,728 | — | — | ||||||||||||||||||||||||
AQR Risk Parity II HV Fund | 882,446 | 110,603 | — | — | 1,008,485 | 206,181 | — | — | ||||||||||||||||||||||||
AQR Risk Parity II MV Fund | 965,142 | 132,177 | — | — | 1,299,803 | 390,094 | — | — | ||||||||||||||||||||||||
AQR Style Premia Alternative Fund | 23,494,091 | 44,220,162 | — | — | 4,612,106 | (11,991,925 | ) | — | — | |||||||||||||||||||||||
AQR Style Premia Alternative LV Fund | 1,262,826 | 2,456,877 | — | — | 115,815 | (698,667 | ) | — | — |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
343
Notes to Financial Statements | June 30, 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 June 30, 2016.
AQR DIVERSIFIED ARBITRAGE FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS ASSETS & | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Basket Swaps Contracts | $ | 92,829 | $ | — | $ | 92,829 | $ | — | $ | — | $ | 92,829 | |||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 37,461 | (37,461 | ) | — | — | — | — | ||||||||||||||||||
DTBK | Total Return Basket Swaps Contracts | 2,327,551 | (840,793 | ) | 1,486,758 | — | — | 1,486,758 | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 43,926 | (43,926 | ) | — | — | — | — | ||||||||||||||||||
Total Return Basket Swaps Contracts | 430,227 | — | 430,227 | — | — | 430,227 | ||||||||||||||||||||
Total JPMC | 474,153 | (43,926 | ) | 430,227 | — | — | 430,227 | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 2,931,994 | (922,180 | ) | 2,009,814 | — | — | 2,009,814 | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | $ | 75,332 | $ | (37,461 | ) | $ | 37,871 | $ | — | $ | (37,871 | ) | $ | — | |||||||||||
DTBK | Total Return Basket Swaps Contracts | 840,793 | (840,793 | ) | — | — | — | — | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 143,227 | (43,926 | ) | 99,301 | — | (99,301 | ) | — | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,059,352 | (922,180 | ) | 137,172 | — | (137,172 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $21,988,422. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
344
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | $ | 297,993 | $ | (32,851 | ) | $ | 265,142 | $ | — | $ | — | $ | 265,142 | ||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 287,653 | (9,238 | ) | 278,415 | — | — | 278,415 | ||||||||||||||||||
MSIP | Total Return Basket Swaps Contracts | 10,747,195 | (3,342,053 | ) | 7,405,142 | — | — | 7,405,142 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 11,332,841 | (3,384,142 | ) | 7,948,699 | — | — | 7,948,699 | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | $ | 32,851 | $ | (32,851 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 9,238 | (9,238 | ) | — | — | — | — | ||||||||||||||||||
MSIP | Total Return Basket Swaps Contracts | 3,342,053 | (3,342,053 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 3,384,142 | (3,384,142 | ) | — | — | — | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $136,827,039. |
AQR GLOBAL MACRO FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 19,123 | $ | (19,123 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 682,019 | (500,573 | ) | 181,446 | — | (30,000 | ) | 151,446 | |||||||||||||||||
GSIN | Total Return Swap Contracts | 5,196 | (1,858 | ) | 3,338 | — | — | 3,338 | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 998,156 | (598,215 | ) | 399,941 | — | — | 399,941 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,704,494 | (1,119,769 | ) | 584,725 | — | (30,000 | ) | 554,725 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
345
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR GLOBAL MACRO FUND (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 36,160 | $ | (19,123 | ) | $ | 17,037 | $ | — | $ | (17,037 | ) | $ | — | |||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 500,573 | (500,573 | ) | — | — | — | — | ||||||||||||||||||
GSIN | Total Return Swap Contracts | 1,858 | (1,858 | ) | — | — | — | — | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 598,215 | (598,215 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,136,806 | (1,119,769 | ) | 17,037 | — | (17,037 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $192,985. |
AQR GLOBAL MACRO OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 6,626 | $ | — | $ | 6,626 | $ | — | $ | — | $ | 6,626 | |||||||||||||
MACQ | Total Return Swap Contracts | 21,480 | (13,495 | ) | 7,985 | — | — | 7,985 | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 4,090 | (3,382 | ) | 708 | — | — | 708 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 32,196 | (16,877 | ) | 15,319 | — | — | 15,319 | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
MACQ | Total Return Swap Contracts | $ | 13,495 | $ | (13,495 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
SOCG | Total Return Swap Contracts | 3,382 | (3,382 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 16,877 | (16,877 | ) | — | — | — | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $60,028. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
346
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR LONG-SHORT EQUITY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | $ | 1,904,650 | $ | (1,904,560 | ) | $ | 90 | $ | — | $ | — | $ | 90 | ||||||||||||
DTBK | Total Return Basket Swaps Contracts | 12,661,075 | — | 12,661,075 | — | — | 12,661,075 | |||||||||||||||||||
GSIN | Total Return Swap Contracts | 1,168,077 | (1,168,077 | ) | — | — | — | — | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 2,740,370 | (2,740,370 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 18,474,172 | (5,813,007 | ) | 12,661,165 | — | — | 12,661,165 | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | $ | 1,904,560 | $ | (1,904,560 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
GSIN | Total Return Basket Swaps Contracts | 15,762,744 | (1,168,077 | ) | 14,594,667 | — | (14,594,667 | ) | — | |||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 2,829,275 | (2,740,370 | ) | 88,905 | — | (88,905 | ) | — | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 20,496,579 | (5,813,007 | ) | 14,683,572 | — | (14,683,572 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $251,355,609. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
347
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | $ | 220,874,889 | $ | (120,022,877 | ) | $ | 100,852,012 | $ | — | $ | (35,070,000 | ) | $ | 65,782,012 | |||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 331,175,282 | (179,395,538 | ) | 151,779,744 | — | (17,670,000 | ) | 134,109,744 | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 552,050,171 | (299,418,415 | ) | 252,631,756 | — | (52,740,000 | ) | 199,891,756 | ||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 6,819,672 | $ | — | $ | 6,819,672 | $ | — | $ | (6,819,672 | ) | $ | — | ||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 120,022,877 | (120,022,877 | ) | — | — | — | — | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 179,395,538 | (179,395,538 | ) | — | — | — | — | ||||||||||||||||||
MSCS | Total Return Swap Contracts | 3,034,555 | — | 3,034,555 | — | (3,034,555 | ) | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 309,272,642 | (299,418,415 | ) | 9,854,227 | — | (9,854,227 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $18,889,992. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
348
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 7,446,600 | $ | (6,182,980 | ) | $ | 1,263,620 | $ | — | $ | (1,263,620 | ) | $ | — | |||||||||||
MACQ | Total Return Swap Contracts | 6,389,879 | (6,389,879 | ) | — | — | — | — | ||||||||||||||||||
MLIN | Total Return Swap Contracts | 1,181,878 | (1,181,878 | ) | — | — | — | — | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 2,515,546 | (2,400,872 | ) | 114,674 | — | — | 114,674 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 17,533,903 | (16,155,609 | ) | 1,378,294 | — | (1,263,620 | ) | 114,674 | ||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (b) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 6,182,980 | $ | (6,182,980 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
MACQ | Total Return Swap Contracts | 7,796,785 | (6,389,879 | ) | 1,406,906 | — | (1,406,906 | ) | — | |||||||||||||||||
MLIN | Total Return Swap Contracts | 19,424,123 | (1,181,878 | ) | 18,242,245 | — | (18,242,245 | ) | — | |||||||||||||||||
SOCG | Total Return Swap Contracts | 2,400,872 | (2,400,872 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 35,804,760 | (16,155,609 | ) | 19,649,151 | — | (19,649,151 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $2,366,380. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $57,072,263. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
349
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | $ | 17,738,278 | $ | (9,672,267 | ) | $ | 8,066,011 | $ | — | $ | (2,700,000 | ) | $ | 5,366,011 | |||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 26,581,985 | (14,423,028 | ) | 12,158,957 | — | (1,220,000 | ) | 10,938,957 | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 44,320,263 | (24,095,295 | ) | 20,224,968 | — | (3,920,000 | ) | 16,304,968 | ||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 596,058 | $ | — | $ | 596,058 | $ | — | $ | (596,058 | ) | $ | — | ||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 9,672,267 | (9,672,267 | ) | — | — | — | — | ||||||||||||||||||
GSIN | Total Return Swap Contracts | 194,844 | — | 194,844 | — | (194,844 | ) | — | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 14,423,028 | (14,423,028 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 24,886,197 | (24,095,295 | ) | 790,902 | — | (790,902 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $549,447. |
AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 633,069 | $ | (403,722 | ) | $ | 229,347 | $ | — | $ | (229,347 | ) | $ | — | |||||||||||
MACQ | Total Return Swap Contracts | 586,266 | (586,266 | ) | — | — | — | — | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 309,662 | (309,662 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,528,997 | (1,299,650 | ) | 229,347 | — | (229,347 | ) | — |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
350
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD. (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (b) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 403,722 | $ | (403,722 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
MACQ | Total Return Swap Contracts | 1,951,800 | (586,266 | ) | 1,365,534 | — | (1,365,534 | ) | — | |||||||||||||||||
SOCG | Total Return Swap Contracts | 357,000 | (309,662 | ) | 47,338 | — | (47,338 | ) | — | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 2,712,522 | (1,299,650 | ) | 1,412,872 | — | (1,412,872 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $700,653. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,887,810. |
AQR MULTI-STRATEGY ALTERNATIVE FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 101,914 | |||||||||||||||||||||||
Total Return Basket Swaps Contracts | 213,130 | |||||||||||||||||||||||||
Total BANA | 315,044 | $ | — | $ | 315,044 | $ | — | $ | — | $ | 315,044 | |||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 44,238,029 | (16,801,995 | ) | 27,436,034 | — | (15,260,000 | ) | 12,176,034 | |||||||||||||||||
DTBK | Total Return Basket Swaps Contracts | 10,117,053 | (5,541,437 | ) | 4,575,616 | — | — | 4,575,616 | ||||||||||||||||||
GSIN | Total Return Swap Contracts | 23,054 | ||||||||||||||||||||||||
Total Return Basket Swaps Contracts | 4,556,091 | |||||||||||||||||||||||||
Total GSIN | 4,579,145 | (3,223,191 | ) | 1,355,954 | — | — | 1,355,954 | |||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 65,553,375 | (24,407,699 | ) | 41,145,676 | — | — | 41,145,676 | ||||||||||||||||||
Total Return Basket Swaps Contracts | 12,367,208 | (12,367,208 | ) | — | — | — | — | |||||||||||||||||||
Total JPMC | 77,920,583 | (36,774,907 | ) | 41,145,676 | — | — | 41,145,676 | |||||||||||||||||||
MSCS | Total Return Swap Contracts | 224,715 | (224,715 | ) | — | — | — | — | ||||||||||||||||||
MSIP | Total Return Basket Swaps Contracts | 1,143,744 | (388,416 | ) | 755,328 | — | — | 755,328 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 138,538,313 | (62,954,661 | ) | 75,583,652 | — | (15,260,000 | ) | 60,323,652 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
351
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | $ | 16,801,995 | $ | (16,801,995 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
DTBK | Total Return Basket Swaps Contracts | 5,541,437 | (5,541,437 | ) | — | — | — | — | ||||||||||||||||||
GSIN | Total Return Swap Contracts | 290,503 | ||||||||||||||||||||||||
Total Return Basket Swaps Contracts | 2,932,688 | |||||||||||||||||||||||||
Total GSIN | 3,223,191 | (3,223,191 | ) | — | — | — | — | |||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 24,407,699 | (24,407,699 | ) | — | — | — | — | ||||||||||||||||||
Total Return Basket Swaps Contracts | 31,257,032 | (12,367,208 | ) | 18,889,824 | — | (18,889,824 | ) | — | ||||||||||||||||||
Total JPMC | 55,664,731 | (36,774,907 | ) | 18,889,824 | — | (18,889,824 | ) | — | ||||||||||||||||||
MSCS | Total Return Swap Contracts | 9,579,690 | (224,715 | ) | 9,354,975 | — | — | 9,354,975 | ||||||||||||||||||
MSIP | Total Return Basket Swaps Contracts | 388,416 | (388,416 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 91,199,460 | (62,954,661 | ) | 28,244,799 | — | (18,889,824 | ) | 9,354,975 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $674,368,991. |
AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 798,864 | $ | (798,864 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
MACQ | Total Return Swap Contracts | 765,994 | (553,970 | ) | 212,024 | — | — | 212,024 | ||||||||||||||||||
MLIN | Total Return Swap Contracts | 762,622 | (762,622 | ) | — | — | — | — | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 210,529 | (200,274 | ) | 10,255 | — | (10,255 | ) | — | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 2,538,009 | (2,315,730 | ) | 222,279 | — | (10,255 | ) | 212,024 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
352
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD. (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (b) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 3,228,780 | $ | (798,864 | ) | $ | 2,429,916 | $ | — | $ | — | $ | 2,429,916 | ||||||||||||
MACQ | Total Return Swap Contracts | 553,970 | (553,970 | ) | — | — | — | — | ||||||||||||||||||
MLIN | Total Return Swap Contracts | 1,621,418 | (762,622 | ) | 858,796 | — | (858,796 | ) | — | |||||||||||||||||
SOCG | Total Return Swap Contracts | 200,274 | (200,274 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 5,604,442 | (2,315,730 | ) | 3,288,712 | — | (858,796 | ) | 2,429,916 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $6,679,745. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $6,121,356. |
AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 1,191,895 | $ | (505,510 | ) | $ | 686,385 | $ | — | $ | (686,385 | ) | $ | — | |||||||||||
DTBK | Total Return Swap Contracts | 3,682,528 | (3,682,528 | ) | — | — | — | — | ||||||||||||||||||
MACQ | Total Return Swap Contracts | 155,462 | (155,462 | ) | — | — | — | — | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 444,141 | (407,093 | ) | 37,048 | — | — | 37,048 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 5,474,026 | (4,750,593 | ) | 723,433 | — | (686,385 | ) | 37,048 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
353
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD. (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (b) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 505,510 | $ | (505,510 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
DTBK | Total Return Swap Contracts | 3,685,018 | (3,682,528 | ) | 2,490 | — | (2,490 | ) | — | |||||||||||||||||
MACQ | Total Return Swap Contracts | 536,114 | (155,462 | ) | 380,652 | — | (380,652 | ) | — | |||||||||||||||||
SOCG | Total Return Swap Contracts | 407,093 | (407,093 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 5,133,735 | (4,750,593 | ) | 383,142 | — | (383,142 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $1,033,615. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $547,255. |
AQR RISK PARITY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 232,853 | $ | — | $ | 232,853 | $ | — | $ | (120,000 | ) | $ | 112,853 | ||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 2,505,673 | (503,292 | ) | 2,002,381 | — | — | 2,002,381 | ||||||||||||||||||
Interest Rate Swap Contracts | 768,973 | (114,909 | ) | 654,064 | — | (654,064 | ) | — | ||||||||||||||||||
Total CITI | 3,274,646 | (618,201 | ) | 2,656,445 | — | (654,064 | ) | 2,002,381 | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 3,740,885 | (414,733 | ) | 3,326,152 | — | — | 3,326,152 | ||||||||||||||||||
MSCS | Total Return Swap Contracts | 157,266 | (79,469 | ) | 77,797 | — | — | 77,797 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 7,405,650 | (1,112,403 | ) | 6,293,247 | — | (774,064 | ) | 5,519,183 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
354
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR RISK PARITY FUND (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (b) | NET AMOUNT | |||||||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | $ | 503,292 | $ | (503,292 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Interest Rate Swap Contracts | 114,909 | (114,909 | ) | — | — | — | — | |||||||||||||||||||
Total CITI | 618,201 | (618,201 | ) | — | — | — | — | |||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 414,733 | (414,733 | ) | — | — | — | — | ||||||||||||||||||
MSCS | Total Return Swap Contracts | 79,469 | (79,469 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,112,403 | (1,112,403 | ) | — | — | — | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $485,936. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $8,482,428. |
AQR RISK PARITY OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 388,345 | $ | (249,463 | ) | $ | 138,882 | $ | — | $ | (138,882 | ) | $ | — | |||||||||||
DTBK | Total Return Swap Contracts | 1,119,007 | (1,117,682 | ) | 1,325 | — | — | 1,325 | ||||||||||||||||||
MACQ | Total Return Swap Contracts | 327,900 | (75,789 | ) | 252,111 | — | — | 252,111 | ||||||||||||||||||
MLIN | Total Return Swap Contracts | 13,890 | (13,228 | ) | 662 | — | — | 662 | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 287,733 | (80,556 | ) | 207,177 | — | (207,177 | ) | — | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 2,136,875 | (1,536,718 | ) | 600,157 | — | (346,059 | ) | 254,098 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
355
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR RISK PARITY OFFSHORE FUND LTD. (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (b) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 249,463 | $ | (249,463 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
DTBK | Total Return Swap Contracts | 1,117,682 | (1,117,682 | ) | — | — | — | — | ||||||||||||||||||
MACQ | Total Return Swap Contracts | 75,789 | (75,789 | ) | — | — | — | — | ||||||||||||||||||
MLIN | Total Return Swap Contracts | 13,228 | (13,228 | ) | — | — | — | — | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 80,556 | (80,556 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,536,718 | (1,536,718 | ) | — | — | — | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $603,941. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $80,948. |
AQR RISK PARITY II HV FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 47,066 | $ | (4,614 | ) | $ | 42,452 | $ | — | $ | — | $ | 42,452 | ||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 150,961 | (482 | ) | 150,479 | — | — | 150,479 | ||||||||||||||||||
GSIN | Total Return Swap Contracts | 71,571 | — | 71,571 | — | — | 71,571 | |||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 225,910 | (680 | ) | 225,230 | — | — | 225,230 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 495,508 | (5,776 | ) | 489,732 | — | — | 489,732 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
356
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR RISK PARITY II HV FUND (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 4,614 | $ | (4,614 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 482 | (482 | ) | — | — | — | — | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 680 | (680 | ) | — | — | — | — | ||||||||||||||||||
JPMS | Reverse Repurchase Agreements | 5,185,275 | — | 5,185,275 | (5,185,275 | ) | — | — | ||||||||||||||||||
MPFS | Reverse Repurchase Agreements | 5,768,415 | — | 5,768,415 | (5,768,415 | ) | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 10,959,466 | (5,776 | ) | 10,953,690 | (10,953,690 | ) | — | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $340,404. |
AQR RISK PARITY II HV OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 95,673 | $ | (17,564 | ) | $ | 78,109 | $ | — | $ | (78,109 | ) | $ | — | |||||||||||
DTBK | Total Return Swap Contracts | 469,881 | (469,881 | ) | — | — | — | — | ||||||||||||||||||
MACQ | Total Return Swap Contracts | 52,470 | (4,889 | ) | 47,581 | — | — | 47,581 | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 6,007 | (6,007 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 624,031 | (498,341 | ) | 125,690 | — | (78,109 | ) | 47,581 |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (b) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 17,564 | $ | (17,564 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
DTBK | Total Return Swap Contracts | 472,922 | (469,881 | ) | 3,041 | — | (3,041 | ) | — | |||||||||||||||||
MACQ | Total Return Swap Contracts | 4,889 | (4,889 | ) | — | — | — | — | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 16,031 | (6,007 | ) | 10,024 | — | — | 10,024 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 511,406 | (498,341 | ) | 13,065 | — | (3,041 | ) | 10,024 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $21,891. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $7,042. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
357
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR RISK PARITY II MV FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 54,426 | $ | (10,472 | ) | $ | 43,954 | $ | — | $ | — | $ | 43,954 | ||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 192,642 | (835 | ) | 191,807 | — | — | 191,807 | ||||||||||||||||||
GSIN | Total Return Swap Contracts | 73,577 | �� | — | 73,577 | — | — | 73,577 | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 248,253 | (1,157 | ) | 247,096 | — | — | 247,096 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 568,898 | (12,464 | ) | 556,434 | — | — | 556,434 | |||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 10,472 | $ | (10,472 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 835 | (835 | ) | — | — | — | — | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 1,157 | (1,157 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 12,464 | (12,464 | ) | — | — | — | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $450,570. |
AQR RISK PARITY II MV OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 124,518 | $ | (37,353 | ) | $ | 87,165 | $ | — | $ | (87,165 | ) | $ | — | |||||||||||
DTBK | Total Return Swap Contracts | 1,047,266 | (1,047,266 | ) | — | — | — | — | ||||||||||||||||||
MACQ | Total Return Swap Contracts | 121,775 | (40,088 | ) | 81,687 | — | — | 81,687 | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 36,215 | (16,111 | ) | 20,104 | — | — | 20,104 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,329,774 | (1,140,818 | ) | 188,956 | — | (87,165 | ) | 101,791 | ||||||||||||||||||
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
358
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR RISK PARITY II MV OFFSHORE FUND LTD. (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 37,353 | $ | (37,353 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
DTBK | Total Return Swap Contracts | 1,054,155 | (1,047,266 | ) | 6,889 | — | — | 6,889 | ||||||||||||||||||
MACQ | Total Return Swap Contracts | 40,088 | (40,088 | ) | — | — | — | — | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 16,111 | (16,111 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,147,707 | (1,140,818 | ) | 6,889 | — | — | 6,889 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $122,835. |
AQR STYLE PREMIA ALTERNATIVE FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 10,306,714 | $ | (6,314,781 | ) | $ | 3,991,933 | $ | — | $ | — | $ | 3,991,933 | ||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 40,289,494 | (19,637,189 | ) | 20,652,305 | — | (7,390,000 | ) | 13,262,305 | |||||||||||||||||
GSIN | Total Return Swap Contracts | 1,619,541 | (1,619,541 | ) | — | — | — | — | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 59,795,539 | (29,640,200 | ) | 30,155,339 | — | — | 30,155,339 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 112,011,288 | (57,211,711 | ) | 54,799,577 | — | (7,390,000 | ) | 47,409,577 | ||||||||||||||||||
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
359
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 6,314,781 | $ | (6,314,781 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 19,637,189 | (19,637,189 | ) | — | — | — | — | ||||||||||||||||||
GSIN | Total Return Swap Contracts | 194,968 | ||||||||||||||||||||||||
Total Return Basket Swap Contracts | 47,623,436 | |||||||||||||||||||||||||
Total GSIN | 47,818,404 | (1,619,541 | ) | 46,198,863 | — | (46,198,863 | ) | — | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 29,640,200 | (29,640,200 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 103,410,574 | (57,211,711 | ) | 46,198,863 | — | (46,198,863 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $432,941,137. |
AQR STYLE PREMIA ALTERNATIVE OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 274,431 | $ | (274,431 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
DTBK | Total Return Swap Contracts | 68,944,709 | (68,944,709 | ) | — | — | — | — | ||||||||||||||||||
MACQ | Total Return Swap Contracts | 153,647 | (153,647 | ) | — | — | — | — | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 2,688,061 | (2,688,061 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 72,060,848 | (72,060,848 | ) | — | — | — | — |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
360
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE OFFSHORE FUND LTD. (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (b) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 2,575,103 | $ | (274,431 | ) | $ | 2,300,672 | $ | — | $ | — | $ | 2,300,672 | ||||||||||||
DTBK | Total Return Swap Contracts | 68,951,006 | (68,944,709 | ) | 6,297 | — | — | 6,297 | ||||||||||||||||||
MACQ | Total Return Swap Contracts | 4,783,206 | (153,647 | ) | 4,629,559 | — | (4,629,559 | ) | — | |||||||||||||||||
SOCG | Total Return Swap Contracts | 11,128,407 | (2,688,061 | ) | 8,440,346 | — | — | 8,440,346 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 87,437,722 | (72,060,848 | ) | 15,376,874 | — | (4,629,559 | ) | 10,747,315 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $11,851,000. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $4,590,465. |
AQR STYLE PREMIA ALTERNATIVE LV FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 650,858 | $ | (310,029 | ) | $ | 340,829 | $ | — | $ | (190,000 | ) | $ | 150,829 | |||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 2,238,585 | (1,097,092 | ) | 1,141,493 | — | (340,000 | ) | 801,493 | |||||||||||||||||
GSIN | Total Return Swap Contracts | 2,062 | (2,062 | ) | — | — | — | — | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 3,322,442 | (1,649,029 | ) | 1,673,413 | — | — | 1,673,413 | ||||||||||||||||||
MSCS | Total Return Swap Contracts | 84,115 | (84,115 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 6,298,062 | (3,142,327 | ) | 3,155,735 | — | (530,000 | ) | 2,625,735 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
361
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
BANA | Total Return Swap Contracts | $ | 310,029 | $ | (310,029 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | 1,097,092 | (1,097,092 | ) | — | — | — | — | ||||||||||||||||||
GSIN | Total Return Swap Contracts | 408 | ||||||||||||||||||||||||
Total Return Basket Swap Contracts | 1,857,331 | |||||||||||||||||||||||||
Total GSIN | 1,857,739 | (2,062 | ) | 1,855,677 | — | (1,855,677 | ) | — | ||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 1,649,029 | (1,649,029 | ) | — | — | — | — | ||||||||||||||||||
MSCS | Total Return Swap Contracts | 91,642 | (84,115 | ) | 7,527 | — | (7,527 | ) | — | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 5,005,531 | (3,142,327 | ) | 1,863,204 | — | (1,863,204 | ) | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $21,807,137. |
AQR STYLE PREMIA ALTERNATIVE LV OFFSHORE FUND LTD.
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 15,096 | $ | (15,096 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
MACQ | Total Return Swap Contracts | 6,206 | (6,206 | ) | — | — | — | — | ||||||||||||||||||
SOCG | Total Return Swap Contracts | 364,089 | (364,089 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 385,391 | (385,391 | ) | — | — | — | — |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
362
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV OFFSHORE FUND LTD. (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF | GROSS AMOUNTS OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL PLEDGED (B) | NET AMOUNT | |||||||||||||||||||
CITI | Total Return Swap Contracts | $ | 94,519 | $ | (15,096 | ) | $ | 79,423 | $ | — | $ | — | $ | 79,423 | ||||||||||||
MACQ | Total Return Swap Contracts | 513,964 | (6,206 | ) | 507,758 | — | (507,758 | ) | — | |||||||||||||||||
SOCG | Total Return Swap Contracts | 641,824 | (364,089 | ) | 277,735 | — | — | 277,735 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,250,307 | (385,391 | ) | 864,916 | — | (507,758 | ) | 357,158 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $820,000. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $212,247. |
For the period ended June 30, 2016, the quarterly average notional values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
AQR DIVERSIFIED FUND | AQR EQUITY MARKET NEUTRAL FUND | AQR GLOBAL MACRO FUND | AQR LONG- SHORT EQUITY FUND | AQR MANAGED FUTURES STRATEGY FUND | AQR MANAGED FUTURES STRATEGY HV FUND | AQR MULTI- STRATEGY ALTERNATIVE FUND | AQR RISK- FUND | |||||||||||||||||||||||||
Futures Contracts: | ||||||||||||||||||||||||||||||||
Average Notional Balance—Long | $ | — | $ | — | $ | 184,245,455 | $ | 518,848,436 | $ | 37,238,950,676 | $ | 3,044,022,937 | $ | 4,495,814,045 | $ | 184,539,584 | ||||||||||||||||
Average Notional Balance—Short | 151,637,176 | — | 159,085,846 | — | 8,620,248,451 | 697,278,827 | 2,509,030,384 | 49,525,435 | ||||||||||||||||||||||||
Ending Notional Balance—Long | — | — | 57,790,509 | 711,469,669 | 52,461,598,031 | 4,260,954,348 | 5,412,573,017 | 274,249,957 | ||||||||||||||||||||||||
Ending Notional Balance—Short | 117,511,591 | — | 31,369,821 | — | 5,092,115,442 | 412,666,335 | 2,550,818,999 | 74,079,177 | ||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||||||||||||
Average Settlement Value—Purchased | 7,257,695 | 14,059,475 | 41,030,817 | 164,791,557 | 12,129,904,190 | 985,303,239 | 2,128,786,134 | — | ||||||||||||||||||||||||
Average Settlement Value—Sold | 37,714,796 | 38,785,352 | 40,366,455 | 18,545,678 | 12,522,807,208 | 1,011,410,839 | 2,245,872,897 | — | ||||||||||||||||||||||||
Ending Value—Purchased | 5,600,480 | 14,990,805 | 45,737,835 | 220,071,171 | 14,702,844,684 | 1,175,100,264 | 2,333,742,196 | — | ||||||||||||||||||||||||
Ending Value—Sold | 24,820,206 | 45,965,669 | 44,473,291 | 9,414,174 | 14,335,338,715 | 1,146,158,081 | 2,375,055,906 | — | ||||||||||||||||||||||||
Exchange-Traded Options: | ||||||||||||||||||||||||||||||||
Average Number of Contracts—Written | 1,639 | — | — | — | — | — | 1,321 | — | ||||||||||||||||||||||||
Ending Number of Contracts— Written | 81 | — | — | — | — | — | 1,499 | — | ||||||||||||||||||||||||
Credit Default Swaps: | ||||||||||||||||||||||||||||||||
Average Notional Balance—Buy Protection | 62,366,667 | — | — | — | — | — | 6,100,000 | — | ||||||||||||||||||||||||
Average Notional Balance—Sell Protection | — | — | — | — | — | — | 15,125,000 | — | ||||||||||||||||||||||||
Ending Notional Balance—Buy Protection | 36,475,000 | — | — | — | — | — | 5,400,000 | — | ||||||||||||||||||||||||
Ending Notional Balance—Sell Protection | — | — | — | — | — | — | — | — |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
363
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED FUND | AQR EQUITY MARKET NEUTRAL FUND | AQR GLOBAL MACRO FUND | AQR LONG- SHORT EQUITY FUND | AQR MANAGED FUTURES STRATEGY FUND | AQR MANAGED FUTURES STRATEGY HV FUND | AQR MULTI- STRATEGY ALTERNATIVE FUND | AQR RISK- FUND | |||||||||||||||||||||||||
Total Return Swaps: | ||||||||||||||||||||||||||||||||
Average Notional Balance—Long | $ | — | $ | — | $ | 2,922,595 | $ | 19,155,789 | $ | 555,671,577 | $ | 45,246,033 | $ | 182,586,668 | $ | 32,455,072 | ||||||||||||||||
Average Notional Balance— Short | — | — | 1,938,330 | — | 868,876,344 | 70,693,954 | 376,393,018 | 14,824,280 | ||||||||||||||||||||||||
Ending Notional Balance— Long | — | — | 3,335,153 | 26,080,877 | 1,001,977,933 | 81,112,671 | 230,422,902 | 31,398,504 | ||||||||||||||||||||||||
Ending Notional Balance—Short | — | — | 1,587,599 | — | 750,546,352 | 61,936,216 | 281,332,297 | 10,407,704 | ||||||||||||||||||||||||
Interest Rate-Related Swaps (Interest Rate Swaps): | ||||||||||||||||||||||||||||||||
Average Notional Balance—Pays Fixed rate | — | — | 686,723,703 | — | — | — | — | — | ||||||||||||||||||||||||
Average Notional Balance—Receives Fixed rate | — | — | 750,327,844 | — | — | — | — | — | ||||||||||||||||||||||||
Ending Notional Balance—Pays Fixed Rate | — | — | 862,062,552 | — | — | — | — | — | ||||||||||||||||||||||||
Ending Notional Balance—Receives Fixed Rate | — | — | 947,413,345 | — | — | — | — | — | ||||||||||||||||||||||||
Total Return Basket Swaps: | ||||||||||||||||||||||||||||||||
Average Notional of Underlying Positions—Long | 196,182,376 | 809,624,689 | — | 1,231,267,006 | — | — | 4,602,354,287 | — | ||||||||||||||||||||||||
Average Notional of Underlying Positions—Short | 76,508,310 | 754,474,324 | — | 1,137,097,459 | — | — | 3,791,996,461 | — | ||||||||||||||||||||||||
Ending Notional Balance—Long | 145,294,855 | 1,151,350,911 | — | 1,640,120,596 | — | — | 4,634,936,473 | — | ||||||||||||||||||||||||
Ending Notional Balance—Short | 56,728,233 | 1,060,346,349 | — | 1,494,207,096 | — | — | 3,820,569,226 | — |
AQR RISK FUND | AQR RISK HV FUND | AQR RISK MV FUND | AQR STYLE PREMIA FUND | AQR STYLE PREMIA ALTERNATIVE LV FUND | ||||||||||||||||
Futures Contracts: | ||||||||||||||||||||
Average Notional Balance—Long | $ | 555,162,253 | $ | 105,177,233 | $ | 134,795,063 | $ | 13,333,783,287 | $ | 727,557,306 | ||||||||||
Average Notional Balance—Short | 15,838,587 | 1,748,409 | 2,353,095 | 8,522,975,061 | 468,569,951 | |||||||||||||||
Ending Notional Balance—Long | 500,800,779 | 124,863,728 | 138,851,496 | 17,776,385,812 | 987,130,861 | |||||||||||||||
Ending Notional Balance—Short | 15,648,963 | 1,430,245 | 1,763,178 | 11,886,464,012 | 660,499,189 | |||||||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||
Average Settlement Value—Purchased | 128,008,603 | 1,017,100 | 744,508 | 1,849,199,841 | 101,414,607 | |||||||||||||||
Average Settlement Value—Sold | 154,866,656 | 10,040,287 | 12,089,385 | 1,966,199,380 | 106,315,159 | |||||||||||||||
Ending Value—Purchased | 139,160,136 | 75,432 | 163,355 | 2,802,327,864 | 159,047,408 | |||||||||||||||
Ending Value—Sold | 139,160,135 | 11,217,246 | 12,672,985 | 2,936,822,101 | 163,687,317 | |||||||||||||||
Credit Default Swaps: | ||||||||||||||||||||
Average Notional Balance—Buy Protection | — | — | — | — | — | |||||||||||||||
Average Notional Balance—Sell Protection | 287,483,333 | — | — | — | — | |||||||||||||||
Ending Notional Balance—Buy Protection | — | — | — | — | — | |||||||||||||||
Ending Notional Balance—Sell Protection | 246,650,000 | — | — | — | — | |||||||||||||||
Total Return Swaps: | ||||||||||||||||||||
Average Notional Balance—Long | 39,639,594 | 6,525,786 | 9,676,835 | 403,090,423 | 23,299,502 | |||||||||||||||
Average Notional Balance—Short | 7,484,300 | 1,128,846 | 2,101,998 | 134,428,712 | 7,145,858 | |||||||||||||||
Ending Notional Balance—Long | 33,330,656 | 6,688,378 | 7,864,891 | 610,883,431 | 37,002,431 | |||||||||||||||
Ending Notional Balance—Short | 6,639,809 | 635,676 | 1,241,621 | 186,579,768 | 10,552,223 | |||||||||||||||
Interest Rate-Related Swaps (Interest Rate Swaps): | ||||||||||||||||||||
Average Notional Balance—Pays Fixed rate | 65,017,031 | — | — | — | — | |||||||||||||||
Average Notional Balance—Receives Fixed rate | 238,519,721 | — | — | — | — | |||||||||||||||
Ending Notional Balance—Pays Fixed Rate | 52,839,112 | — | — | — | — | |||||||||||||||
Ending Notional Balance—Receives Fixed Rate | 216,142,486 | — | — | — | — | |||||||||||||||
Total Return Basket Swaps: | ||||||||||||||||||||
Average Notional of Underlying Positions—Long | — | — | — | 2,366,411,644 | 118,749,118 | |||||||||||||||
Average Notional of Underlying Positions—Short | — | — | — | 1,904,259,402 | 94,589,600 | |||||||||||||||
Ending Notional Balance—Long | — | — | — | 2,624,507,742 | 127,975,648 | |||||||||||||||
Ending Notional Balance—Short | — | — | — | 2,010,627,895 | 93,628,826 |
* | Notional values as of each quarter end are used to calculate the average represented. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
364
Notes to Financial Statements | June 30, 2016 (Unaudited) |
10. Investment Advisory and Other Agreements
The Adviser serves as the investment adviser to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended, entered into by the Trust, on behalf of the Funds (the “Advisory Agreement”). Under the Advisory Agreement, the 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 Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:
FUND | RATIO | |||
AQR Diversified Arbitrage Fund | 1.00 | % | ||
AQR Equity Market Neutral Fund | 1.10 | |||
AQR Global Macro Fund | 1.25 | |||
AQR Long-Short Equity Fund | 1.10 | |||
AQR Managed Futures Strategy Fund | 1.05 | |||
AQR Managed Futures Strategy HV Fund | 1.45 | |||
AQR Multi-Strategy Alternative Fund | 1.80 | |||
AQR Risk-Balanced Commodities Strategy Fund | 0.80 | |||
AQR Risk Parity Fund | 0.75 | (a) | ||
AQR Risk Parity II HV Fund | 0.95 | (b) | ||
AQR Risk Parity II MV Fund | 0.75 | (c) | ||
AQR Style Premia Alternative Fund | 1.35 | |||
AQR Style Premia Alternative LV Fund | 0.65 |
(a) | The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion. |
(b) | The AQR Risk Parity II HV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.95% of the first $1 billion of net assets; the second tier charges 0.925% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.90% on net assets in excess of $3 billion. |
(c) | The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.75% of the first $1 billion of net assets; the second tier charges 0.725% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.70% on net assets in excess of $3 billion. |
The Trust and the 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 April 30, 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 (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR Diversified Arbitrage Fund | 1.20 | % | 1.45 | % | 1.10 | % | ||||||
AQR Equity Market Neutral Fund | 1.30 | 1.55 | 1.20 | |||||||||
AQR Global Macro Fund | 1.45 | 1.70 | 1.35 | |||||||||
AQR Long-Short Equity Fund | 1.30 | 1.55 | 1.20 | |||||||||
AQR Managed Futures Strategy Fund | 1.25 | 1.50 | 1.15 | |||||||||
AQR Managed Futures Strategy HV Fund | 1.65 | 1.90 | 1.55 | |||||||||
AQR Multi-Strategy Alternative Fund | 1.98 | 2.23 | 1.88 | |||||||||
AQR Risk-Balanced Commodities Strategy Fund | 1.00 | 1.25 | 0.90 | |||||||||
AQR Risk Parity Fund | 0.95 | 1.20 | 0.85 | |||||||||
AQR Risk Parity II HV Fund | 1.15 | 1.40 | 1.05 | |||||||||
AQR Risk Parity II MV Fund | 0.95 | 1.20 | 0.85 | |||||||||
AQR Style Premia Alternative Fund | 1.50 | 1.75 | 1.40 | |||||||||
AQR Style Premia Alternative LV Fund | 0.85 | 1.10 | 0.75 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
365
Notes to Financial Statements | June 30, 2016 (Unaudited) |
For the period ended June 30, 2016 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:
FUND | INVESTMENT ADVISORY FEES WAIVED | EXPENSE REIMBURSEMENTS | TOTAL | |||||||||
AQR Diversified Arbitrage Fund | $ | 331,151 | $ | 5,088 | $ | 336,239 | ||||||
AQR Global Macro Fund | 103,123 | 2,502 | 105,625 | |||||||||
AQR Managed Futures Strategy HV Fund | 6,282 | 2,188 | 8,470 | |||||||||
AQR Risk-Balanced Commodity Fund | 59,907 | 1,673 | 61,580 | |||||||||
AQR Risk Parity Fund | 37,845 | — | 37,845 | |||||||||
AQR Risk Parity II HV Fund | 88,403 | 191 | 88,594 | |||||||||
AQR Risk Parity II MV Fund | 80,645 | 28 | 80,673 | |||||||||
AQR Style Premia Alternative Fund | 102,524 | 5,498 | 108,022 | |||||||||
AQR Style Premia Alternative LV Fund | 32,725 | 4,395 | 37,120 |
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 June 30, 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 June 30, 2016 are as follows:
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2016 | TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2016 | POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 | ||||||||||||||||||||||
2016 | 2017 | 2018 | 2019 | |||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND | ||||||||||||||||||||||||
Class I | $ | 250,273 | $ | 549,947 | $ | — | $ | 6,759 | $ | 292,915 | $ | 250,273 | ||||||||||||
Class N | 84,578 | 155,664 | — | — | 71,086 | 84,578 | ||||||||||||||||||
Class R6 | 1,388 | 1,595 | — | 1 | 206 | 1,388 | ||||||||||||||||||
Totals | $ | 336,239 | $ | 707,206 | $ | — | $ | 6,760 | $ | 364,207 | $ | 336,239 | ||||||||||||
AQR EQUITY MARKET NEUTRAL FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | 87,104 | $ | — | $ | — | $ | 87,104 | $ | — | ||||||||||||
Class N | — | 53,323 | — | — | 53,323 | — | ||||||||||||||||||
Class R6 | — | 68,059 | — | 41,711 | 26,348 | — | ||||||||||||||||||
Totals | $ | — | $ | 208,486 | $ | — | $ | 41,711 | $ | 166,775 | $ | — | ||||||||||||
AQR GLOBAL MACRO FUND | ||||||||||||||||||||||||
Class I | $ | 73,243 | $ | 411,005 | $ | — | $ | 211,421 | $ | 126,341 | $ | 73,243 | ||||||||||||
Class N | 22,871 | 101,649 | — | 7,011 | 71,767 | 22,871 | ||||||||||||||||||
Class R6 | 9,511 | 10,259 | — | 365 | 383 | 9,511 | ||||||||||||||||||
Totals | $ | 105,625 | $ | 522,913 | $ | — | $ | 218,797 | $ | 198,491 | $ | 105,625 | ||||||||||||
AQR LONG-SHORT EQUITY FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | 234,635 | $ | — | $ | 154,030 | $ | 80,605 | $ | — | ||||||||||||
Class N | — | 45,006 | 4,250 | 24,081 | 16,675 | — | ||||||||||||||||||
Class R6 | — | — | — | — | — | — | ||||||||||||||||||
Totals | $ | — | $ | 279,641 | $ | 4,250 | $ | 178,111 | $ | 97,280 | $ | — | ||||||||||||
AQR MANAGED FUTURES STRATEGY HV FUND | ||||||||||||||||||||||||
Class I | $ | 4,698 | $ | 390,953 | $ | 180,370 | $ | 132,064 | $ | 73,821 | $ | 4,698 | ||||||||||||
Class N | 1,427 | 50,907 | 16,709 | 13,815 | 18,956 | 1,427 | ||||||||||||||||||
Class R6 | 2,345 | 33,103 | — | 187 | 30,571 | 2,345 | ||||||||||||||||||
Totals | $ | 8,470 | $ | 474,963 | $ | 197,079 | $ | 146,066 | $ | 123,348 | $ | 8,470 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
366
Notes to Financial Statements | June 30, 2016 (Unaudited) |
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2016 | TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2016 | POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 | ||||||||||||||||||||||
2016 | 2017 | 2018 | 2019 | |||||||||||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | 426,573 | $ | 74,376 | $ | 193,951 | $ | 158,246 | $ | — | ||||||||||||
Class N | — | 60,401 | 11,925 | 39,755 | 8,721 | — | ||||||||||||||||||
Class R6 | — | — | — | — | — | — | ||||||||||||||||||
Totals | $ | — | $ | 486,974 | $ | 86,301 | $ | 233,706 | $ | 166,967 | $ | — | ||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND | ||||||||||||||||||||||||
Class I | $ | 25,156 | $ | 460,465 | $ | 150,384 | $ | 146,283 | $ | 138,642 | $ | 25,156 | ||||||||||||
Class N | 1,188 | 53,017 | 17,595 | 26,863 | 7,371 | 1,188 | ||||||||||||||||||
Class R6 | 35,236 | 77,757 | — | 366 | 42,155 | 35,236 | ||||||||||||||||||
Totals | $ | 61,580 | $ | 591,239 | $ | 167,979 | $ | 173,512 | $ | 188,168 | $ | 61,580 | ||||||||||||
AQR RISK PARITY FUND | ||||||||||||||||||||||||
Class I | $ | 36,227 | $ | 105,345 | $ | — | $ | — | $ | 69,118 | $ | 36,227 | ||||||||||||
Class N | 1,589 | 6,282 | — | — | 4,693 | 1,589 | ||||||||||||||||||
Class R6 | 29 | 289 | — | 1 | 259 | 29 | ||||||||||||||||||
Totals | $ | 37,845 | $ | 111,916 | $ | — | $ | 1 | $ | 74,070 | $ | 37,845 | ||||||||||||
AQR RISK PARITY II HV FUND | ||||||||||||||||||||||||
Class I | $ | 74,452 | $ | 474,093 | $ | 141,678 | $ | 118,124 | $ | 139,839 | $ | 74,452 | ||||||||||||
Class N | 10,461 | 173,040 | 95,743 | 38,672 | 28,164 | 10,461 | ||||||||||||||||||
Class R6 | 3,681 | 11,138 | — | 122 | 7,335 | 3,681 | ||||||||||||||||||
Totals | $ | 88,594 | $ | 658,271 | $ | 237,421 | $ | 156,918 | $ | 175,338 | $ | 88,594 | ||||||||||||
AQR RISK PARITY II MV FUND | ||||||||||||||||||||||||
Class I | $ | 74,475 | $ | 496,260 | $ | 130,853 | $ | 126,164 | $ | 164,768 | $ | 74,475 | ||||||||||||
Class N | 5,755 | 93,179 | 58,403 | 16,202 | 12,819 | 5,755 | ||||||||||||||||||
Class R6 | 443 | 667 | — | 57 | 167 | 443 | ||||||||||||||||||
Totals | $ | 80,673 | $ | 590,106 | $ | 189,256 | $ | 142,423 | $ | 177,754 | $ | 80,673 | ||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND | ||||||||||||||||||||||||
Class I | $ | 68,750 | $ | 468,715 | $ | 111,025 | $ | — | $ | 288,940 | $ | 68,750 | ||||||||||||
Class N | 6,473 | 56,525 | 9,672 | 23,532 | 16,848 | 6,473 | ||||||||||||||||||
Class R6 | 32,799 | 114,537 | — | 3,725 | 78,013 | 32,799 | ||||||||||||||||||
Totals | $ | 108,022 | $ | 639,777 | $ | 120,697 | $ | 27,257 | $ | 383,801 | $ | 108,022 | ||||||||||||
AQR STYLE PREMIA ALTERNATIVE LV FUND | ||||||||||||||||||||||||
Class I | $ | 29,382 | $ | 219,006 | $ | — | $ | 12,440 | $ | 177,184 | $ | 29,382 | ||||||||||||
Class N | 3,827 | 66,701 | — | 12,768 | 50,106 | 3,827 | ||||||||||||||||||
Class R6 | 3,911 | 190,198 | — | 113,104 | 73,183 | 3,911 | ||||||||||||||||||
Totals | $ | 37,120 | $ | 475,905 | $ | — | $ | 138,312 | $ | 300,473 | $ | 37,120 |
During the period ended June 30, 2016, the Funds recouped amounts as follows:
FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR Equity Market Neutral Fund | $ | 38,265 | $ | 18,886 | $ | 1,741 | ||||||
AQR Long-Short Equity Fund | 100,900 | 17,531 | 1,659 | |||||||||
AQR Managed Futures Strategy Fund | — | 31,134 | 8 | |||||||||
AQR Multi-Strategy Alternative Fund | 189,601 | 27,885 | 4,708 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
367
Notes to Financial Statements | June 30, 2016 (Unaudited) |
Pursuant to the Sub-Advisory Agreements between the Sub-Adviser, the Adviser and the Trust, the Adviser will pay the Sub-Adviser an annual fee, payable monthly, at the annual rate of 0.50% and 0.35% of the average daily net assets for the AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund, respectively.
JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent and Custodian.
State Street Bank and Trust Company, together with JPMorgan Chase Bank, N.A., serve as Custodian of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Long-Short Equity Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
The Adviser made a payment to the AQR Multi-Strategy Alternative Fund of $3,553,831 relating to a trading error. The impact of the Adviser’s contribution on the Fund’s total return was 0.11%, 0.10% and 0.10% for Class I, N and R6 respectively. The amount has been included in Net realized gain (loss) from investments in securities in the Statements of Operations.
11. 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.
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 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.
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
368
Notes to Financial Statements | June 30, 2016 (Unaudited) |
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. Holdings of 5% Voting Securities
The 1940 Act defines affiliates as companies in which the Fund owns at least 5% of the outstanding voting securities. The following is a summary of transactions with each affiliated company during the period ended June 30, 2016:
AQR DIVERSIFIED ARBITRAGE FUND | ||||||||||||||||||||||||||||
NAME OF ISSUER | NUMBER OF SHARES/ UNITS AT 12/31/15 | GROSS ADDITIONS | GROSS REDUCTIONS | NUMBER OF SHARES/ UNITS HELD AT END OF PERIOD 6/30/16 | VALUE AT END OF PERIOD 6/30/16 | INVESTMENT INCOME | REALIZED GAIN (LOSS) | |||||||||||||||||||||
1347 Capital Corp. (Common Stock) | 420,504 | — | — | 420,504 | $ | 3,893,867 | $ | — | $ | — | ||||||||||||||||||
Arowana, Inc. (Common Stock) | 787,920 | — | — | 787,920 | 7,894,958 | — | — | |||||||||||||||||||||
Barington/Hilco Acquisition Corp. (Common Stock) | 487,260 | — | (487,260 | ) | — | — | — | (68,321 | ) | |||||||||||||||||||
CB Pharma Acquisition Corp. (Common Stock) | 325,500 | — | — | 325,500 | 3,326,610 | — | — | |||||||||||||||||||||
Dundee Acquisition Ltd., Class A (Common Stock) | 1,260,000 | — | (1,260,000 | ) | — | — | — | (1,302,864 | ) | |||||||||||||||||||
Education Management Corp. (Common Stock)* | 26,919,323 | — | (1,879,274 | ) | 25,040,049 | 638,521 | — | (32,197 | ) | |||||||||||||||||||
FinTech Acquisition Corp. (Common Stock) | 810,000 | — | (116,195 | ) | 693,805 | 6,854,793 | — | 25,494 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
369
Notes to Financial Statements | June 30, 2016 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND (continued) | ||||||||||||||||||||||||||||
NAME OF ISSUER | NUMBER OF SHARES/ UNITS AT 12/31/15 | GROSS ADDITIONS | GROSS REDUCTIONS | NUMBER OF SHARES/ UNITS HELD AT END OF PERIOD 6/30/16 | VALUE AT END OF PERIOD 6/30/16 | INVESTMENT INCOME | REALIZED GAIN (LOSS) | |||||||||||||||||||||
Garnero Group Acquisition Co. (Common Stock) | 1,800,200 | — | (1,800,200 | ) | — | $ | — | $ | — | $ | 90,011 | |||||||||||||||||
Gibraltar Growth Corp., Class A (Common Stock)** | 1,274,000 | — | (100 | ) | 1,273,900 | 9,525,039 | — | (63 | ) | |||||||||||||||||||
GP Investments Acquisition Corp. (Common Stock) | 2,130,000 | — | (2,130,000 | ) | — | — | — | (916,345 | ) | |||||||||||||||||||
HarmonyMerger Corp. (Common Stock) | 1,375,100 | — | (1,375,100 | ) | — | — | — | (214,926 | ) | |||||||||||||||||||
Hydra Industries Acquisition Corp. (Common Stock) | 1,620,000 | — | (1,098,818 | ) | 521,182 | 5,154,490 | — | (146,387 | ) | |||||||||||||||||||
KLR Energy Acquisition (Common Stock) | — | 500,000 | — | 500,000 | 5,050,000 | — | — | |||||||||||||||||||||
Pacific Special Acquisition Corp. (Common Stock)* | 373,500 | — | — | 373,500 | 3,768,615 | — | — | |||||||||||||||||||||
1347 Capital Corp. (Rights) | 420,504 | — | — | 420,504 | 109,331 | — | — | |||||||||||||||||||||
Arowana, Inc. (Rights) | 720,000 | — | — | 720,000 | 92,880 | — | — | |||||||||||||||||||||
Barington/Hilco Acquisition Corp. (Rights)** | 487,260 | — | — | 487,260 | 58,471 | — | — | |||||||||||||||||||||
CB Pharma Acquisition Corp. (Rights) | 325,500 | — | (325,500 | ) | — | — | — | — | ||||||||||||||||||||
Garnero Group Acquisition Co. (Rights)** | 2,430,200 | — | — | 2,430,200 | 206,567 | — | — | |||||||||||||||||||||
Hydra Industries Acquisition Corp. (Rights) | 1,720,000 | — | — | 1,720,000 | 266,256 | — | — | |||||||||||||||||||||
Pacific Special Acquisition Corp. (Rights)* | 373,500 | — | — | 373,500 | 78,435 | — | — | |||||||||||||||||||||
1347 Capital Corp. (Warrants) | 420,504 | — | — | 420,504 | 126,151 | — | — | |||||||||||||||||||||
Arowana, Inc. (Warrants) | 720,000 | — | — | 720,000 | 48,960 | — | — | |||||||||||||||||||||
Barington/Hilco Acquisition Corp. (Warrants)** | 487,260 | — | — | 487,260 | 24,363 | — | — | |||||||||||||||||||||
CB Pharma Acquisition Corp. (Warrants) | 325,500 | — | — | 325,500 | 22,785 | — | — | |||||||||||||||||||||
Dundee Acquisition Ltd. (Warrants)** | 630,000 | — | — | 630,000 | 97,527 | — | — | |||||||||||||||||||||
Education Management corp. (Warrants)* | 16,528,497 | — | — | 16,528,497 | 3,636 | — | — | |||||||||||||||||||||
FinTech Acquisition Corp. (Warrants) | 810,000 | — | — | 810,000 | 648,000 | — | — | |||||||||||||||||||||
Garnero Group Acquisition Co. (Warrants)** | 2,430,200 | — | — | 2,430,200 | 97,451 | — | — | |||||||||||||||||||||
Gibraltar Growth Corp. (Warrants)** | 1,274,000 | — | — | 1,274,000 | 147,916 | — | — | |||||||||||||||||||||
GP Investments Acquisition Corp. (Warrants)** | 1,237,500 | — | — | 1,237,500 | 618,750 | — | — | |||||||||||||||||||||
HarmonyMerger Corp. (Warrants)** | 1,475,100 | — | — | 1,475,100 | 295,020 | — | — | |||||||||||||||||||||
Hydra Industries Acquisition Corp. (Warrants) | 1,720,000 | — | — | 1,720,000 | 309,600 | — | — | |||||||||||||||||||||
Pacific Special Acquisition Corp. (Warrants)* | 373,500 | — | — | 373,500 | 37,350 | — | — | |||||||||||||||||||||
$ | 49,396,342 | $ | — | $ | (2,565,598 | ) |
* | Affiliated as of June 30, 2016. |
** | No longer affiliated as of June 30, 2016. |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
370
Notes to Financial Statements | June 30, 2016 (Unaudited) |
14. 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. Effective July 22, 2016 the line of credit was increased to $285,000,000 from $275,000,000. Prior to February 29, 2016, the line of credit available was $225,000,000, subject to substantially similar terms. The Funds did not have any borrowings for the period ended June 30, 2016.
15. Principal Ownership
As of June 30, 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 Diversified Arbitrage Fund | 5 | 84.59 | % | |||||
AQR Equity Market Neutral Fund | 5 | 73.45 | % | |||||
AQR Global Macro Fund* | 6 | 85.24 | % | |||||
AQR Long-Short Equity Fund | 6 | 79.65 | % | |||||
AQR Managed Futures Strategy Fund | 8 | 79.99 | % | |||||
AQR Managed Futures Strategy HV Fund | 5 | 83.32 | % | |||||
AQR Multi-Strategy Alternative Fund | 4 | 79.85 | % | |||||
AQR Risk-Balanced Commodities Strategy Fund | 6 | 95.23 | % | |||||
AQR Risk Parity Fund | 4 | 77.61 | % | |||||
AQR Risk Parity II HV Fund* | 8 | 91.51 | % | |||||
AQR Risk Parity II MV Fund | 6 | 83.08 | % | |||||
AQR Style Premia Alternative Fund | 5 | 74.55 | % | |||||
AQR Style Premia Alternative LV Fund | 5 | 84.88 | % |
* | The percentage held by the Adviser and/or affiliates is 23.56% and 18.78% respectively. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
16. Subsequent Events
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events other than those noted above.
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
371
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 06/30/16” 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.
FUND | BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/16 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/16 | ||||||||||||
AQR Diversified Arbitrage Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,001.10 | 2.23 | % | $11.10 | |||||||||||
Hypothetical Return | $1,000.00 | $1,013.77 | 2.23 | % | $11.17 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $998.90 | 2.48 | % | $12.33 | |||||||||||
Hypothetical Return | $1,000.00 | $1,012.53 | 2.48 | % | $12.41 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,001.10 | 2.15 | % | $10.70 | |||||||||||
Hypothetical Return | $1,000.00 | $1,014.17 | 2.15 | % | $10.77 | |||||||||||
AQR Equity Market Neutral Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,001.70 | 2.52 | % | $12.54 | |||||||||||
Hypothetical Return | $1,000.00 | $1,012.33 | 2.52 | % | $12.61 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,000.00 | 2.79 | % | $13.87 | |||||||||||
Hypothetical Return | $1,000.00 | $1,010.99 | 2.79 | % | $13.95 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,001.70 | 2.45 | % | $12.19 | |||||||||||
Hypothetical Return | $1,000.00 | $1,012.68 | 2.45 | % | $12.26 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
372
Fund Expense Examples (Unaudited) |
FUND | BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/16 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/16 | ||||||||||||
AQR Global Macro Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $968.80 | 1.41 | % | $6.90 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.85 | 1.41 | % | $7.07 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $967.50 | 1.65 | % | $8.07 | |||||||||||
Hypothetical Return | $1,000.00 | $1,016.66 | 1.65 | % | $8.27 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $968.80 | 1.35 | % | $6.61 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.15 | 1.35 | % | $6.77 | |||||||||||
AQR Long-Short Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,017.30 | 2.40 | % | $12.04 | |||||||||||
Hypothetical Return | $1,000.00 | $1,012.93 | 2.40 | % | $12.01 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,015.70 | 2.69 | % | $13.48 | |||||||||||
Hypothetical Return | $1,000.00 | $1,011.49 | 2.69 | % | $13.45 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,018.10 | 2.33 | % | $11.69 | |||||||||||
Hypothetical Return | $1,000.00 | $1,013.28 | 2.33 | % | $11.66 | |||||||||||
AQR Managed Futures Strategy Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,022.60 | 1.19 | % | $5.98 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.95 | 1.19 | % | $5.97 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,020.80 | 1.46 | % | $7.34 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.60 | 1.46 | % | $7.32 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,022.60 | 1.12 | % | $5.63 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.29 | 1.12 | % | $5.62 | |||||||||||
AQR Managed Futures Strategy HV Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,024.30 | 1.64 | % | $8.25 | |||||||||||
Hypothetical Return | $1,000.00 | $1,016.71 | 1.64 | % | $8.22 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,022.50 | 1.88 | % | $9.45 | |||||||||||
Hypothetical Return | $1,000.00 | $1,015.51 | 1.88 | % | $9.42 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,024.30 | 1.55 | % | $7.80 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.16 | 1.55 | % | $7.77 | |||||||||||
AQR Multi-Strategy Alternative Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $973.40 | 2.48 | % | $12.17 | |||||||||||
Hypothetical Return | $1,000.00 | $1,012.53 | 2.48 | % | $12.41 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $972.30 | 2.72 | % | $13.34 | |||||||||||
Hypothetical Return | $1,000.00 | $1,011.34 | 2.72 | % | $13.60 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $974.40 | 2.38 | % | $11.68 | |||||||||||
Hypothetical Return | $1,000.00 | $1,013.03 | 2.38 | % | $11.91 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
373
Fund Expense Examples (Unaudited) |
FUND | BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/16 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/16 | ||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,192.20 | 0.92 | % | $5.01 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.29 | 0.92 | % | $4.62 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,190.30 | 1.25 | % | $6.81 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.65 | 1.25 | % | $6.27 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,193.60 | 0.90 | % | $4.91 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.39 | 0.90 | % | $4.52 | |||||||||||
AQR Risk Parity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,108.90 | 0.92 | % | $4.82 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.29 | 0.92 | % | $4.62 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,106.80 | 1.18 | % | $6.18 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.00 | 1.18 | % | $5.92 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,108.80 | 0.85 | % | $4.46 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.64 | 0.85 | % | $4.27 | |||||||||||
AQR Risk Parity II HV Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,154.00 | 1.18 | % | $6.32 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.00 | 1.18 | % | $5.92 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,152.60 | 1.49 | % | $7.97 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.45 | 1.49 | % | $7.47 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,155.50 | 1.15 | % | $6.16 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.14 | 1.15 | % | $5.77 | |||||||||||
AQR Risk Parity II MV Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,112.80 | 0.95 | % | $4.99 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.14 | 0.95 | % | $4.77 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,110.70 | 1.19 | % | $6.25 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.95 | 1.19 | % | $5.97 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,112.80 | 0.85 | % | $4.47 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.64 | 0.85 | % | $4.27 | |||||||||||
AQR Style Premia Alternative Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $997.00 | 2.54 | % | $12.61 | |||||||||||
Hypothetical Return | $1,000.00 | $1,012.23 | 2.54 | % | $12.71 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $995.10 | 2.79 | % | $13.84 | |||||||||||
Hypothetical Return | $1,000.00 | $1,010.99 | 2.79 | % | $13.95 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $997.00 | 2.45 | % | $12.16 | |||||||||||
Hypothetical Return | $1,000.00 | $1,012.68 | 2.45 | % | $12.26 |
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
374
Fund Expense Examples (Unaudited) |
FUND | BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/16 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/16 | ||||||||||||
AQR Style Premia Alternative LV Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,005.80 | 1.31 | % | $6.53 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.35 | 1.31 | % | $6.57 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,004.80 | 1.56 | % | $7.78 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.11 | 1.56 | % | $7.82 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,006.70 | 1.23 | % | $6.14 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.75 | 1.23 | % | $6.17 |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 182/366 (to reflect the one-half year period unless stated otherwise).
AQR Funds | Semi-Annual Report | June 2016 | ||||||||||||||
375
Investment Adviser
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Sub-Adviser
CNH Partners, LLC
Two Greenwich Plaza, 3rd Floor,
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
JPMorgan Chase Bank, N.A.
70 Fargo Street
Boston, MA 02210
Independent Registered Public Accounting Firm
PricewaterhouseCoopers, LLP
300 Madison Avenue
New York, NY 10017
You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.
AQR Funds
P.O. Box 2248, Denver, CO 80201-2248
p: +1.866.290.2688 | w: https://funds.aqr.com
Item 2. Code of Ethics.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 6. Investments
(a) | Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not required for this filing. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable. |
(b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AQR Funds | ||
By: | /s/ Marco Hanig | |
Marco Hanig, | ||
Principal Executive Officer | ||
August 30, 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 | ||
August 30, 2016 |
By: | /s/ Heather Bonner | |
Heather Bonner, | ||
Principal Financial Officer | ||
August 30, 2016 |